v2.4.0.6
Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2012
Summary of Derivative Instruments [Abstract]  
Schedule of Location on Consolidated Balance Sheets and Fair Value Of Principal Derivative Instruments
The table below shows the location on the consolidated balance sheets and fair value of the Company’s principal derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Assets
 
 
 
March 31,
2012
 
December 31,
2011
 
 
  
Balance Sheet
Location
 
Fair Value
 
Balance Sheet
Location
 
Fair Value
 
 
Interest rate futures
Other assets
 
$
613

 
Other assets
 
$
612

 
 
Foreign currency forward contracts (1)
Other assets
 
9,406

 
Other assets
 
—

 
 
Foreign currency forward contracts (2)
Other assets
 
3,081

 
Other assets
 
7,219

 
 
Foreign currency forward contracts (3)
Other assets
 
140

 
Other assets
 
387

 
 
Credit default swaps
Other assets
 
568

 
Other assets
 
—

 
 
Energy and weather contracts (4)
Other assets
 
53,364

 
Other assets
 
52,721

 
 
Total
 
 
$
67,172

 
 
 
$
60,939

 
 
 
 
 
 
 
 
 
 
 
 
  
Derivative Liabilities
 
 
 
March 31,
2012
 
December 31,
2011
 
 
  
Balance Sheet
Location
 
Fair Value
 
Balance Sheet
Location
 
Fair Value
 
 
Interest rate futures
Other liabilities
 
$
202

 
Other liabilities
 
$
339

 
 
Foreign currency forward contracts (1)
Other liabilities
 
6,322

 
Other liabilities
 
11,754

 
 
Foreign currency forward contracts (2)
Other liabilities
 
3,966

 
Other liabilities
 
1,606

 
 
Credit default swaps
Other liabilities
 
631

 
Other liabilities
 
539

 
 
Energy and weather contracts (4)
Other liabilities
 
22,646

 
Other liabilities
 
43,389

 
 
Total
 
 
$
33,767

 
 
 
$
57,627

 
 
 
 
 
 
 
 
 
 
 
(1)
Contracts used to manage foreign currency risks in underwriting and non-investment 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 $171.2 million of derivative assets (December 31, 2011 – $104.6 million) and $117.8 million of derivative liabilities (December 31, 2011 – $51.9 million). Included in other liabilities is $7.3 million of derivative assets (December 31, 2011 – $8.8 million) and $29.9 million of derivative liabilities (December 31, 2011 – $52.2 million).
Schedule of Gain (Loss) Recognized In Consolidated Statements Of Operations Related Derivative Instruments
The location and amount of the gain (loss) recognized in the Company’s consolidated statements of operations related to its derivative instruments is shown in the following table:
 
 
 
 
 
 
 
 
 
 
Location of gain (loss)
recognized on derivatives
 
Amount of gain (loss) recognized on
derivatives
 
 
Three months ended March 31,
 
 
2012
 
2011
 
 
Interest rate futures
Net investment income
 
$
1,030

 
$
(654
)
 
 
Foreign currency forward contracts (1)
Net foreign exchange (losses) gains
 
3,552

 
7,799

 
 
Foreign currency forward contracts (2)
Net foreign exchange (losses) gains
 
(4,248
)
 
(13,400
)
 
 
Foreign currency forward contracts (3)
Net foreign exchange (losses) gains
 
137

 
(436
)
 
 
Credit default swaps
Net investment income
 
558

 
722

 
 
Energy and weather contracts
Other (loss) income
 
(28,713
)
 
8,500

 
 
Platinum warrant
Other (loss) income
 
—

 
2,975

 
 
Total
 
 
$
(27,684
)
 
$
5,506

 
 
 
 
 
 
 
 
 
(1)
Contracts used to manage foreign currency risks in underwriting and non-investment 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.
Schedule of Gross Derivative Contract Positions Outstanding Relating To Energy And Weather Derivatives Trading Activities
As of the dates set forth below, the Company had the following gross derivative contract positions outstanding relating to its energy and weather derivatives trading activities.
 
 
 
 
 
 
 
 
 
 
Quantity (1)
 
 
 
 
 
March 31, 2012
 
December 31, 2011
 
Unit of measurement
 
 
Energy
465,396,010

 
240,363,364

 
One million British thermal units (“MMBTUs")
 
 
Temperature
21,596,501

 
14,917,438

 
$ per Degree Day Fahrenheit
 
 
Agriculture
13,073,000

 
6,098,000

 
Bushels
 
 
Precipitation
3,174,114

 
65,000

 
$ per Inch
 
 
Wind
513

 
712

 
$ per Meters per Second Hour
 
 
 
 
 
 
 
 
 
(1)
Represents the sum of gross long and gross short derivative contracts.