v2.3.0.15

Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Derivative Instruments

Consolidated Balance Sheets And Fair Value Of The Principal Derivative Instruments

Other liabilities

Other liabilities

Other liabilities

Other liabilities

Derivative Assets

September 30, 2011

December 31, 2010

(in thousands of U.S. dollars)

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Interest rate futures

Other assets

$

246

Other assets

$

2,459

Foreign currency forward contracts (1)

Other assets

—

Other assets

6,341

Foreign currency forward contracts (2)

Other assets

9,820

Other assets

—

Foreign currency forward contracts (3)

Other assets

948

Other assets

—

Credit default swaps

Other assets

—

Other assets

3,064

Energy and weather contracts (4)

Other assets

23,855

Other assets

17,925

Platinum warrant

Other assets

—

Other assets

44,925

Total

$

34,869

$

74,714

Other liabilities

Other liabilities

Other liabilities

Other liabilities

Derivative Liabilities

September 30, 2011

December 31, 2010

(in thousands of U.S. dollars)

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Interest rate futures

Other liabilities

$

1,019

Other liabilities

$

719

Foreign currency forward contracts (1)

Other liabilities

9,281

Other liabilities

—

Foreign currency forward contracts (2)

Other liabilities

—

Other liabilities

3,141

Foreign currency forward contracts (3)

Other liabilities

—

Other liabilities

44

Credit default swaps

Other liabilities

537

Other liabilities

—

Energy and weather contracts (4)

Other liabilities

21,312

Other liabilities

15,013

Total

$

32,149

$

18,917

(1) Contracts used to manage foreign currency risks in underwriting operations.

(2) Contracts used to manage foreign currency risks in investment operations.

(3) Contracts used to manage foreign currency risks in energy and risk operations.

(4) Included in other assets is $28.0 million of derivative assets and $4.2 million of derivative liabilities at September 30, 2011 (December 31, 2010 - $21.7 million and $3.7 million, respectively). Included in other liabilities is $10.8 million of derivative assets and $32.1 million of derivative liabilities at September 30, 2011 (December 31, 2010 - $9.9 million and $24.9 million, respectively).

Gain (Loss) Recognized In The Company's Consolidated Statements Of Operations Related To Its Derivative Instruments

		Location of gain (loss) recognized on derivatives		Amount of gain (loss) recognized on derivatives
Three months ended September 30,				2011				2010
(in thousands of U.S. dollars)
Interest rate futures		Net investment (loss) income		$	(15,235	)		$	5,806
Foreign currency forward contracts (1)		Net foreign exchange losses			(15,927	)			(1,160	)
Foreign currency forward contracts (2)		Net foreign exchange losses			14,586				(25,528	)
Foreign currency forward contracts (3)		Net foreign exchange losses			775				(790	)
Credit default swaps		Other (loss) income			(4,290	)			310
Energy and weather contracts		Other (loss) income			2,272				(11	)
Platinum warrant		Other (loss) income			—				14,352
Total				$	(17,819	)		$	(7,021	)

(1) Contracts used to manage foreign currency risks in underwriting operations.

(2) Contracts used to manage foreign currency risks in investment operations.

(3) Contracts used to manage foreign currency risks in energy and risk operations.

		Location of gain (loss) recognized on derivatives		Amount of gain (loss) recognized on derivatives
Nine months ended September 30,				2011				2010
(in thousands of U.S. dollars)
Interest rate futures		Net investment (loss) income		$	(23,582	)		$	5,341
Foreign currency forward contracts (1)		Net foreign exchange losses			1,080				(686	)
Foreign currency forward contracts (2)		Net foreign exchange losses			(6,566	)			13,281
Foreign currency forward contracts (3)		Net foreign exchange losses			127				126
Credit default swaps		Other (loss) income			(3,148	)			223
Energy and weather contracts		Other (loss) income			12,201				7,174
Platinum warrant		Other (loss) income			2,975				8,987
Total				$	(16,913	)		$	34,446

(1) Contracts used to manage foreign currency risks in underwriting operations.

(2) Contracts used to manage foreign currency risks in investment operations.

(3) Contracts used to manage foreign currency risks in energy and risk operations.

Gross Derivative Contract Positions Outstanding Relating To Energy And Weather Derivatives Trading Activities

		Quantity (1)
		September 30, 2011				December 31, 2010				Unit of measurement
Energy			170,550,283				136,767,119			One million British thermal units ("MMBTUs")
Temperature			12,896,109				5,419,846			$ per Degree Day Fahrenheit
Agriculture			12,008,000				260,000			Bushels

(1) Represents the sum of gross long and gross short derivative contracts.

X

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 133

-Paragraph 205G

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.



Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 815

-SubTopic 10

-Section 50

-Paragraph 4C

-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5624171-113959



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Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 133

-Paragraph 44C

-Subparagraph b

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 815

-SubTopic 10

-Section 50

-Paragraph 4B

-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5624163-113959



Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 133

-Paragraph 205G

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.



Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 133

-Paragraph 44C

-Subparagraph a

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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- Definition

Tabular disclosure of the notional amounts of outstanding derivative positions.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Topic 815

-SubTopic 10

-Publisher FASB

-Number

-Article

-Subparagraph (d)

-Name Accounting Standards Codification

-Paragraph 1A

-Section 50

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