v2.4.0.6

Derivative Instruments (Tables)

6 Months Ended

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.

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

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-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

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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 133

-Paragraph 44C

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-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.

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-Topic 815

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-Publisher FASB

-Number

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