The following tables identify the listing currency, fair value and notional amounts of derivative instruments included in the condensed consolidated balance sheets, categorized by primary underlying risk. Balances are presented on a gross basis.



	As of September 30, 2017
	Listing currency (1)	Fair Value		Notional Amounts (2)
Derivative Assets by Primary Underlying Risk	($ in thousands)
Credit
Credit Default Swaps - Protection Purchased	USD	$	9,336	$	51,827
Total Return Swaps - Long Contracts	EGP	24,714		24,714
Equity Price
Contracts for Differences - Long Contracts	BRL/CHF/DKK/EUR/GBP/USD	23,257		178,049
Contracts for Differences - Short Contracts	DKK/EUR/SEK/USD	1,252		29,555
Total Return Swaps - Long Contracts	BRL/USD	13,503		148,591
Interest Rates
Interest Rate Swaptions	JPY/USD	1,420		93,834
Sovereign Debt Futures - Short Contracts	EUR	1,295		155,191
Foreign Currency Exchange Rates
Foreign Currency Forward Contracts	EUR/HKD	1,004		194,851
Total Derivative Assets		$	75,781	$	876,612

	Listing currency (1)	Fair Value		Notional Amounts (2)
Derivative Liabilities by Primary Underlying Risk	($ in thousands)
Credit
Credit Default Swaps - Protection Purchased	EUR/USD	$	3,196	$	57,512
Credit Default Swaps - Protection Sold	JPY/USD	2,828		7,031
Equity Price
Contracts for Differences - Long Contracts	BRL/EUR/GBP/USD	857		27,511
Contracts for Differences - Short Contracts	EUR/NOK/SEK	632		16,022
Total Return Swaps - Long Contracts	BRL/USD	559		27,433
Total Return Swaps - Short Contracts	USD	4,852		72,645
Interest Rates
Interest Rate Swaptions	JPY	120		64,600
Foreign Currency Exchange Rates
Foreign Currency Forward Contracts	CHF/CNH/HKD/SAR	4,236		503,808
Total Derivative Liabilities (free standing)		$	17,280	$	776,562

Embedded derivative liabilities in reinsurance contracts (3)	USD	$	180	$	20,000
Total Derivative Liabilities (embedded)		$	180	$	20,000


(1)	BRL = Brazilian Real, CHF = Swiss Franc, CNH = Chinese Yuan, DKK = Danish Krone, EGP = Egyptian Pound, EUR = Euro, GBP = British Pound, HKD = Hong Kong Dollar, JPY = Japanese Yen, NOK = Norwegian Krone, SAR = Saudi Arabian Riyal, SEK = Swedish Krona, USD = US Dollar


(2)	The absolute notional exposure represents the Company’s derivative activity as of September 30, 2017, which is representative of the volume of derivatives held during the period.


(3)	The fair value of embedded derivatives in reinsurance contracts is included in reinsurance balances payable in the condensed consolidated balance sheets.



	As of December 31, 2016
	Listing currency (1)	Fair Value		Notional Amounts (2)
Derivative Assets by Primary Underlying Risk	($ in thousands)
Credit
Credit Default Swaps - Protection Purchased	EUR/ USD	$	10,905	$	84,327
Equity Price
Contracts for Differences - Long Contracts	EUR/ GBP	1,765		36,879
Total Return Swaps - Long Contracts	BRL/ USD	617		19,140
Total Return Swaps - Short Contracts	JPY	183		8,696
Interest Rates
Interest Rate Swaps	GBP/USD	2,462		195,571
Interest Rate Swaptions	JPY / USD	5,354		424,816
Sovereign Debt Futures - Short Contracts	USD	961		107,591
Foreign Currency Exchange Rates
Foreign Currency Forward Contracts	CAD/ CNH/ GBP/ MXN	653		47,754
Foreign Currency Options - Purchased	CNH/EUR/HKD/JPY/SAR	4,532		501,465
Total Derivative Assets		$	27,432	$	1,426,239


	Listing currency (1)	Fair Value		Notional Amounts (2)
Derivative Liabilities by Primary Underlying Risk	($ in thousands)
Credit
Credit Default Swaps - Protection Purchased	USD	$	3,286	$	43,184
Credit Default Swaps - Protection Sold	USD	1,952		3,943
Equity Price
Contracts for Differences - Long Contracts	GBP	—		67
Contracts for Differences - Short Contracts	EUR / ZAR	1,106		11,424
Total Return Swaps - Long Contracts	USD	1,675		26,800
Total Return Swaps - Short Contracts	JPY / USD	1,302		10,095
Interest Rates
Interest Rate Swaps	GBP	722		59,115
Interest Rate Swaptions	JPY/USD	1,056		417,052
Sovereign Debt Futures - Short Contracts	EUR / GBP	1,608		159,923
Foreign Currency Exchange Rates
Foreign Currency Forward Contracts	EUR /JPY /SAR	2,009		214,854
Foreign Currency Options - Sold	CNH/JPY	1,334		363,840
Total Derivative Liabilities (free standing)		$	16,050	$	1,310,297

Embedded derivative liabilities in reinsurance contracts (3)	USD	$	92	$	20,000
Total Derivative Liabilities (embedded)		$	92	$	20,000


(1)	BRL = Brazilian Real, CAD = Canadian Dollar, CNH = Chinese Yuan, EUR = Euro, GBP = British Pound, HKD = Hong Kong Dollar, JPY = Japanese Yen, MXN = Mexican Peso, SAR = Saudi Arabian Riyal, USD = US Dollar, ZAR = South African Rand


(2)	The absolute notional exposure represents the Company’s derivative activity as of December 31, 2016, which is representative of the volume of derivatives held during the period.


(3)	The fair value of embedded derivatives in reinsurance contracts is included in reinsurance balances payable in the condensed consolidated balance sheets.

The following table sets forth, by major risk type, the Company’s realized and unrealized gains (losses) relating to derivatives for the three and nine months ended September 30, 2017 and 2016. Realized and unrealized gains (losses) related to free standing derivatives are included in net investment income in the condensed consolidated statements of income. Realized and unrealized gains (losses) related to embedded derivatives are included in other expenses in the condensed consolidated statements of income.



	Three months ended
	September 30, 2017						September 30, 2016
Free standing Derivatives - Primary Underlying Risk	Realized Gain (Loss)			Unrealized Gain (Loss)*			Realized Gain (Loss)			Unrealized Gain (Loss)*
Credit	($ in thousands)
Commodity Future Options - Purchased	$	—		$	—		$	(475	)	$	(1,310	)
Credit
Credit Default Swaps - Protection Purchased	2,824			(4,059		)	(887		)	(433		)
Credit Default Swaps - Protection Sold	(26		)	(288		)	38			(7		)
Total Return Swaps - Long Contracts	—			1,506			—			—
Equity Price
Contracts for Differences - Long Contracts	5,021			13,949			1,666			791
Contracts for Differences - Short Contracts	(511		)	(1,219		)	(3,767		)	(2,166		)
Total Return Swaps - Long Contracts	4,655			5,455			2,172			3,174
Total Return Swaps - Short Contracts	(2,732		)	(4,519		)	(4,392		)	831
Interest Rates
Commodity Futures - Short Contracts	—			—			870			—
Interest Rate Swaps	(7		)	—			—			—
Interest Rate Swaptions	—			(512		)	(244		)	216
Sovereign Debt Futures - Short Contracts	(139		)	1,284			—			—
Total Return Swaps - Long Contracts	—			—			268			(261		)
Total Return Swaps - Short Contracts	—			—			(100		)	65
Treasury Futures - Short Contracts	—			—			14			1,191
Foreign Currency Exchange Rates
Foreign Currency Forward Contracts	(1,863		)	(609		)	(4,110		)	2,838
Foreign Currency Options - Purchased	(529		)	3			—			(384		)
Foreign Currency Options - Sold	1			(2		)	—			(1		)
	$	6,694		$	10,989		$	(8,947	)	$	4,544
Embedded Derivatives
Embedded derivatives in reinsurance contracts	$	—		$	—		$	—		$	39
Total Derivative Liabilities (embedded)	$	—		$	—		$	—		$	39



	Nine months ended
	September 30, 2017						September 30, 2016
Free standing Derivatives - Primary Underlying Risk	Realized Gain (Loss)			Unrealized Gain (Loss)*			Realized Gain (Loss)			Unrealized Gain (Loss)*
Commodity Price	($ in thousands)
Commodity Future Options - Purchased	$	—		$	—		$	106		$	490
Credit
Credit Default Swaps - Protection Purchased	359			(4,029		)	5,520			(5,420		)
Credit Default Swaps - Protection Sold	11			(347		)	(4,129		)	4,245
Total Return Swaps - Long Contracts	(29		)	1,469			—			—
Equity Price
Contracts for Differences - Long Contracts	51,946			20,636			(756		)	412
Contracts for Differences - Short Contracts	(4,716		)	1,726			803			(1,888		)
Total Return Swaps - Long Contracts	8,517			14,002			(2,654		)	3,974
Total Return Swaps - Short Contracts	(6,475		)	(3,731		)	(3,701		)	(931		)
Interest Rates
Commodities Futures - Short Contracts	—			—			(281		)	(52		)
Fixed Income Swap - Short Contracts	—			—			(94		)	—
Interest Rate Swaps	(3,104		)	(1,740		)	—			—
Interest Rate Swaptions	522			(2,854		)	(356		)	171
Sovereign Debt Futures - Short Contracts	(8,795		)	1,942			—			—
Treasury Futures - Short Contracts	—			—			14			1,191
Foreign Currency Exchange Rates
Foreign Currency Forward Contracts	(11,898		)	(1,877		)	(13,014		)	(1,913		)
Foreign Currency Options - Purchased	(6,716		)	1,165			(2,040		)	(2,001		)
Foreign Currency Options - Sold	2,185			(82		)	617			(183		)
	$	21,807		$	26,280		$	(19,965	)	$	(1,905	)
Embedded Derivatives
Embedded derivatives in reinsurance contracts	$	—		$	(88	)	$	—		$	128
Total Derivative Liabilities (embedded)	$	—		$	(88	)	$	—		$	128

*Unrealized gain (loss) relates to derivatives still held at reporting date.

The Company’s derivative contracts are generally subject to International Swaps and Derivatives Association (“ISDA”) Master Agreements or other similar agreements that contain provisions setting forth events of default and/or termination events (“credit-risk-related contingent features”), including but not limited to provisions setting forth maximum permissible declines in the Company’s net asset value. Upon the occurrence of a termination event with respect to an ISDA Agreement, the Company’s counterparty could elect to terminate the derivative contracts governed by such agreement, resulting in the realization of any net gains or losses with respect to such derivative contracts and the return of collateral held by such party.

The Company obtains/provides collateral from/to various counterparties for OTC derivative and futures contracts in accordance with bilateral collateral agreements. As of September 30, 2017, the aggregate fair value of all derivative instruments with credit-risk-related contingent features that were in a net liability position was $4.3 million (December 31, 2016 - $6.1 million) for which the Company posted collateral in the form of cash of $117.7 million (December 31, 2016 - $48.8 million) in the normal course of business. Similarly, the Company held collateral (approximately $2.8 million) in cash from certain counterparties as of September 30, 2017. If the credit-risk-related contingent features underlying these instruments had been triggered as of September 30, 2017 and the Company had to settle these instruments immediately, no additional amounts would be required to be posted that would exceed the settlement amounts of open derivative contracts or in the case of cross margining relationships, the assets in the Company’s prime brokerage accounts are sufficient to offset the derivative liabilities.

The Company’s derivatives do not qualify as hedges for financial reporting purposes and are recorded in the condensed consolidated financial statements on a gross basis and not offset against any collateral pledged or received. Pursuant to ISDA master agreements and other counterparty agreements, the Company and its counterparties typically have the ability to net certain payments owed to each other in specified circumstances. In addition, in the event a party to one of the ISDA master agreements or other derivatives agreements defaults, or a transaction is otherwise subject to termination, the non-defaulting party generally has the right to offset against payments owed to the defaulting party or collateral held by the non-defaulting party.

The Company has pledged cash collateral to counterparties to support the current value of amounts due to the counterparties based on the value of the underlying security. As of September 30, 2017 and December 31, 2016, the gross and net amounts of derivative instruments and repurchase and reverse repurchase agreements that are subject to enforceable master netting arrangements or similar agreements were as follows:



	Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
September 30, 2017 Derivative Contracts	Gross Amount (1)		Financial Instruments		Cash Collateral Received		Net Amount
Financial assets, derivative assets and collateral received	($ in thousands)
Counterparty 1	$	1,174	$	1,174	$	—	$	—
Counterparty 2	3,279		300		—		2,979
Counterparty 3	38,429		5,408		—		33,021
Counterparty 4	5,041		4,290		—		751
Counterparty 5	12,275		3,515		—		8,760
Counterparty 6	3,625		8		2,806		811
Counterparty 8	13,969		3,889		—		10,080
Counterparty 9	965		965		—		—
	$	78,757	$	19,549	$	2,806	$	56,402

	Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
September 30, 2017 Derivative Contracts	Gross Amount (2)		Financial Instruments		Cash Collateral Pledged		Net Amount
Financial liabilities, derivative liabilities and collateral pledged	($ in thousands)
Counterparty 1	$	3,825	$	1,174	$	2,651	$	—
Counterparty 2	300		300		—		—
Counterparty 3	5,408		5,408		—		—
Counterparty 4	4,290		4,290		—		—
Counterparty 5	3,515		3,515		—		—
Counterparty 6	8		8		—		—
Counterparty 8	3,889		3,889		—		—
Counterparty 9	2,215		965		1,250		—
Counterparty 15	410		—		359		51
	$	23,860	$	19,549	$	4,260	$	51


(1)	The gross amounts of assets presented in the condensed consolidated balance sheets presented above includes the fair value of derivative contract assets as well as gross OTC option contract assets of $3.0 million included in other investments in the condensed consolidated balance sheets.


(2)	The gross amounts of liabilities presented in the condensed consolidated balance sheets presented above includes the fair value of derivative contract liabilities as well as gross OTC option contract liabilities of $6.6 million included in securities sold, not yet purchased in the condensed consolidated balance sheets.



	Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
December 31, 2016 Derivative Contracts	Gross Amount (1)		Financial Instruments		Cash Collateral Received		Net Amount
Financial assets, derivative assets and collateral received	($ in thousands)
Counterparty 1	$	535	$	535	$	—	$	—
Counterparty 2	3,147		607		—		2,540
Counterparty 3	8,652		4,760		—		3,892
Counterparty 4	1,639		1,639		—		—
Counterparty 5	7,336		3,027		—		4,309
Counterparty 6	6,262		2,599		3,383		280
Counterparty 7	227		—		197		30
Counterparty 8	277		277		—		—
Counterparty 9	37		37		—		—
	$	28,112	$	13,481	$	3,580	$	11,051

	Gross Amounts not Offset in the Condensed Consolidated Balance Sheet
December 31, 2016 Derivative Contracts	Gross Amount (2)		Financial Instruments		Cash Collateral Pledged		Net Amount
Financial liabilities, derivative liabilities and collateral pledged	($ in thousands)
Counterparty 1	$	2,959	$	535	$	2,424	$	—
Counterparty 2	607		607		—		—
Counterparty 3	4,760		4,760		—		—
Counterparty 4	3,827		1,639		2,188		—
Counterparty 5	3,027		3,027		—		—
Counterparty 6	2,599		2,599		—		—
Counterparty 8	977		277		—		700
Counterparty 9	822		37		785		—
	$	19,578	$	13,481	$	5,397	$	700

Securities lending transactions
Counterparty 3	$	302	$	302	$	—	$	—
	$	302	$	302	$	—	$	—


(1)	The gross amounts of assets presented in the condensed consolidated balance sheets presented above includes the fair value of derivative contract assets as well as gross OTC option contract assets of $0.7 million included in other investments in the condensed consolidated balance sheets.


(2)	The gross amounts of liabilities presented in the condensed consolidated balance sheets presented above includes the fair value of derivative contract liabilities as well as gross OTC option contract liabilities of $3.5 million included in securities sold, not yet purchased in the condensed consolidated balance sheets.