v2.4.0.6

Derivative Instruments (Tables) | 6 Months Ended
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Jun. 30, 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 |
|  | June 30, 2012 |  | December 31, 2011 |
|  | Balance Sheet Location |  | Fair Value |  | Balance Sheet Location |  | Fair Value |
| Interest rate futures | Other assets |  | $ | 2,301 |  |  | Other assets |  | $ | 612 |  |
| Foreign currency forward contracts (1) | Other assets |  | 4,278 |  |  | Other assets |  | — |  |
| Foreign currency forward contracts (2) | Other liabilities |  | 3,359 |  |  | Other liabilities |  | 7,219 |  |
| Foreign currency forward contracts (3) | Other assets |  | — |  |  | Other assets |  | 387 |  |
| Credit default swaps | Other assets |  | 491 |  |  | Other assets |  | — |  |
| Energy and weather contracts (4) | Other assets |  | 27,516 |  |  | Other assets |  | 52,721 |  |
| Total |  |  | $ | 37,945 |  |  |  |  | $ | 60,939 |  |
|  | Derivative Liabilities |
|  | June 30, 2012 |  | December 31, 2011 |
|  | Balance Sheet Location |  | Fair Value |  | Balance Sheet Location |  | Fair Value |
| Interest rate futures | Other liabilities |  | $ | 289 |  |  | Other liabilities |  | $ | 339 |  |
| Foreign currency forward contracts (1) | Other liabilities |  | 4,987 |  |  | Other liabilities |  | 11,754 |  |
| Foreign currency forward contracts (2) | Other liabilities |  | 3,684 |  |  | Other liabilities |  | 1,606 |  |
| Foreign currency forward contracts (3) | Other assets |  | 175 |  |  | Other assets |  | — |  |
| Credit default swaps | Other liabilities |  | 536 |  |  | Other liabilities |  | 539 |  |
| Energy and weather contracts (4) | Other liabilities |  | 13,522 |  |  | Other liabilities |  | 43,389 |  |
| Total |  |  | $ | 23,193 |  |  |  |  | $ | 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. Included in other liabilities are derivative assets of $3.4 million (December 31, 2011 – $7.2 million) which are netted with derivative liabilities of $3.7 million (December 31, 2011 – $1.6 million) under a master netting arrangements.
(3) | Contracts used to manage foreign currency risks in energy and risk operations.
(4) | Included in other assets is $56.8 million of derivative assets (December 31, 2011 – $104.6 million) and $29.3 million of derivative liabilities (December 31, 2011 – $51.9 million). Included in other liabilities is $5.2 million of derivative assets (December 31, 2011 – $8.8 million) and $18.7 million of derivative liabilities (December 31, 2011 – $52.2 million).
Schedule of Gain (Loss) Recognized In Consolidated Statements Of Operations Related To 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 June 30, |  |  | 2012 |  | 2011 |
| Interest rate futures | Net investment income |  | $ | (2,847 | ) |  | $ | (7,693 | ) |
| Foreign currency forward contracts (1) | Net foreign exchange gains (losses) |  | (2,183 | ) |  | 9,208 |  |
| Foreign currency forward contracts (2) | Net foreign exchange gains (losses) |  | 1,899 |  |  | (7,752 | ) |
| Foreign currency forward contracts (3) | Net foreign exchange gains (losses) |  | 376 |  |  | (212 | ) |
| Credit default swaps | Net investment income |  | (24 | ) |  | 420 |  |
| Energy and weather contracts | Other income (loss) |  | 11,987 |  |  | 1,429 |  |
| Total |  |  | $ | 9,208 |  |  | $ | (4,600 | ) |
|  | Location of gain (loss) recognized on derivatives |  | Amount of gain (loss) recognized on derivatives |
| Six months ended June 30, |  |  | 2012 |  | 2011 |
| Interest rate futures | Net investment income |  | $ | (1,817 | ) |  | $ | (8,347 | ) |
| Foreign currency forward contracts (1) | Net foreign exchange gains (losses) |  | 1,369 |  |  | 17,007 |  |
| Foreign currency forward contracts (2) | Net foreign exchange gains (losses) |  | (2,349 | ) |  | (21,152 | ) |
| Foreign currency forward contracts (3) | Net foreign exchange gains (losses) |  | 513 |  |  | (648 | ) |
| Credit default swaps | Net investment income |  | 534 |  |  | 1,142 |  |
| Energy and weather contracts | Other income (loss) |  | (16,726 | ) |  | 9,929 |  |
| Platinum warrant | Other income (loss) |  | — |  |  | 2,975 |  |
| Total |  |  | $ | (18,476 | ) |  | $ | 906 |  |
(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) |  |  |
|  | June 30, 2012 |  | December 31, 2011 |  | Unit of measurement |
| Energy | 170,095,670 |  |  | 240,363,364 |  |  | One million British thermal units (“MMBTUs") |
| Temperature | 24,141,394 |  |  | 14,917,438 |  |  | $ per Degree Day Fahrenheit |
| Agriculture | 29,798,000 |  |  | 6,098,000 |  |  | Bushels |
| Precipitation | 1,799,475 |  |  | 65,000 |  |  | $ per Inch |
| Wind | 146 |  |  | 712 |  |  | $ per Meters per Second Hour |
(1) | Represents the sum of gross long and gross short derivative contracts.

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- 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 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5618551-113959 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. + Details
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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. + Details
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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 -URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5579245-113959 + Details
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