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Derivatives (Tables)
 6 Months Ended
Jun. 30, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of listing currency, fair value and notional amounts of derivative instruments
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 June 30, 2014
 
 Listing currency (1)
 
 Fair Value
 
 Notional Amounts (2)
Derivative Assets by Primary Underlying Risk
 ($ in thousands)
Credit
 
 
 
 
 
Credit Default Swaps - Protection Purchased
USD
 
$
11,349

 
$
105,945

Credit Default Swaps - Protection Sold
USD
 
1,221

 
11,481

Equity Price
 
 
 
 
 
Contracts for Differences - Long Contracts
EUR/USD
 
3,716

 
50,889

Total Return Swaps - Long Contracts
AUD/BRL/MXN
 
1,899

 
19,768

Interest Rates
 
 
 
 
 
Interest Rate Swaps
EUR
 
175

 
211,261

Interest Rate Swaptions
USD
 
2,193

 
357,585

Foreign Currency Exchange Rates
 
 
 
 
 
Foreign Currency Options - Purchased
HKD/JPY/SAR
 
1,963

 
169,711

Total Derivative Assets
 
 
$
22,516

 
$
926,640

 
 
 
 
 
 
 
 Listing currency (1)
 
 Fair Value
 
 Notional Amounts (2)
Derivative Liabilities by Primary Underlying Risk
 ($ in thousands)
Credit
 
 
 
 
 
Credit Default Swaps - Protection Purchased
EUR/USD
 
$
2,905

 
$
76,193

Credit Default Swaps - Protection Sold
USD
 
1,254

 
4,555

Equity Price
 
 
 
 
 
Contracts for Differences - Long Contracts
EUR/GBP
 
370

 
22,343

Contracts for Differences - Short Contracts
EUR
 
307

 
4,402

Total Return Swaps - Long Contracts
USD
 
2

 
13,156

Total Return Swaps - Short Contracts
USD
 
635

 
7,300

Index
 
 
 
 
 
Index Futures - Short Contracts
USD
 
369

 
27,173

Interest Rates
 
 
 
 
 
Bond Futures - Short Contracts
JPY
 
142

 
46,021

Interest Rate Swaps
EUR
 
464

 
210,623

Interest Rate Swaptions
USD
 
1,608

 
182,777

Treasury Futures - Short Contracts
USD
 
21

 
11,089

Foreign Currency Exchange Rates
 
 
 
 
 
Foreign Currency Forward
AUD/BRL/CAD/EUR/GBP/JPY/TRY
 
1,916

 
181,606

Foreign Currency Options - Sold
JPY
 
535

 
26,083

Total Derivative Liabilities (free standing)
 
 
$
10,528

 
$
813,321

 
 
 
 
 
 
Embedded derivative liabilities in reinsurance contracts (3)
USD
 
$
888

 
$
15,000

Embedded derivative liabilities in deposit contracts (4)
USD
 
4,650

 
75,000

Total Derivative Liabilities (embedded)
 
 
$
5,538

 
$
90,000

(1) USD = US dollar, JPY = Japanese yen, EUR = Euro, GBP = British pound, BRL = Brazilian real, MXN=Mexican Peso, AUD = Australian dollar, CAD = Canadian dollar, TRY = Turkish lira, SAR= Saudi Arabian Riyal, HKD = Hong Kong
(2) The absolute notional exposure represents the Company's derivative activity as of June 30, 2014, 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 sheet.
(4) The fair value of embedded derivatives in deposit contracts is included in deposit liabilities in the condensed consolidated balance sheet.

 
As of December 31, 2013
 
 Listing currency (1)
 
 Fair Value
 
 Notional Amounts (2)
Derivative Assets by Primary Underlying Risk
 ($ in thousands)
Commodity Price
 
 
 
 
 
Commodity Future Options - Purchased
USD
 
$
256

 
$
12,325

Credit
 
 
 
 
 
Credit Default Swaps - Protection Purchased
USD
 
15,397

 
109,520

Credit Default Swaps - Protection Sold
USD
 
1,157

 
9,557

Equity Price
 
 
 
 
 
Contracts for Differences - Long Contracts
CHF/EUR/GBP/USD
 
10,549

 
62,847

Contracts for Differences - Short Contracts
NOK
 
67

 
2,758

Total Return Swaps - Long Contracts
BRL/JPY/USD
 
2,950

 
68,044

Total Return Swaps - Short Contracts
USD
 
3

 
290

Interest Rates
 
 
 
 
 
Bond Futures - Short Contracts
JPY
 
212

 
40,847

Interest Rate Swaps
EUR
 
182

 
212,594

Interest Rate Swaptions
EUR/JPY/USD
 
1,269

 
54,884

Treasury Futures - Short Contracts
USD
 
108

 
6,544

Foreign Currency Exchange Rates
 
 
 
 
 
Foreign Currency Forward
AUD/CAD/JPY/TRY
 
1,332

 
59,925

Foreign Currency Options - Purchased
USD
 
5,563

 
240,062

Total Derivative Assets
 
 
$
39,045

 
$
880,197

 
 
 
 
 
 
 
 Listing currency (1)
 
 Fair Value
 
 Notional Amounts (2)
Derivative Liabilities by Primary Underlying Risk
 ($ in thousands)
Commodity Price
 
 
 
 
 
Commodity Future Options - Sold
 USD
 
$
148

 
$
35,484

Credit
 
 
 
 
 
Credit Default Swaps - Protection Purchased
 EUR/USD
 
2,634

 
59,446

Credit Default Swaps - Protection Sold
 USD
 
348

 
875

Equity Price
 
 
 
 
 
Contracts for Differences - Long Contracts
 EUR
 
66

 
14,607

Contracts for Differences - Short Contracts
 DKK
 
425

 
7,253

Total Return Swaps - Long Contracts
 BRL/JPY/USD
 
1,385

 
24,807

Total Return Swaps - Short Contracts
 USD
 
140

 
5,037

Index
 
 
 
 
 
Index Futures - Short Contracts
USD
 
441

 
8,888

Interest Rates
 
 
 
 
 
Interest Rate Swaps
EUR/USD
 
821

 
465,560

Interest Rate Swaptions
USD/JPY
 
174

 
99,587

Foreign Currency Exchange Rates
 
 
 
 
 
Foreign Currency Forward
EUR/GBP
 
709

 
189,030

Foreign Currency Options - Sold
USD
 
1,528

 
178,476

Total Derivative Liabilities
 
 
$
8,819

 
$
1,089,050

 
 
 
 
 
 
Embedded derivative liabilities in deposit contracts (3)
USD
 
$
4,430

 
$
75,000

Total Derivative Liabilities (embedded)
 
 
$
4,430

 
$
75,000

(1) USD = US dollar, JPY = Japanese yen, EUR = Euro, GBP = British pound, BRL = Brazilian real, NOK = Norwegian krone, AUD = Australian dollar, DKK = Danish krone, CAD = Canadian dollar, CHF = Swiss franc, TRY=Turkish lira
(2) The absolute notional exposure represents the Company's derivative activity as of December 31, 2013, which is representative of the volume of derivatives held during the period.
(3) The fair value of embedded derivatives in deposit contracts is included in deposit liabilities in the condensed consolidated balance sheet.
(4) The fair value of embedded derivatives in deposit contracts is included in deposit liabilities in the condensed consolidated balance sheet.
Schedule of realized and unrealized gains (losses) relating to trading activities
The following tables set forth, by major risk type, the Company’s realized and unrealized gains (losses) relating to derivatives for the three and six months ended June 30, 2014 and 2013. 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.
 
For the three months ended
 
June 30, 2014
 
June 30, 2013
Free standing Derivatives - Primary Underlying Risk
Realized Gain (Loss)
 
Unrealized Gain (Loss)*
 
Realized Gain (Loss)
 
Unrealized Gain (Loss)*
Commodity Price
($ in thousands)
Commodities Futures - Long Contracts
$
—

 
$
—

 
$
(2,455
)
 
$
—

Commodities Futures - Short Contracts
—

 
—

 
176

 
(30
)
Commodity Future Options - Purchased
—

 
—

 
(77
)
 
(2
)
Credit
 
 
 
 
 
 
 
Credit Default Swaps - Protection Purchased
(1,511
)
 
(615
)
 
(9,530
)
 
7,535

Credit Default Swaps - Protection Sold
104

 
323

 
8,151

 
(7,792
)
Equity Price
 
 
 
 
 
 
 
Contracts for Differences - Long Contracts
4,760

 
(4,566
)
 
2,576

 
(3,926
)
Contracts for Differences - Short Contracts
(518
)
 
(228
)
 
854

 
(250
)
Total Return Swaps - Long Contracts
5,101

 
(408
)
 
41

 
(1,267
)
Total Return Swaps - Short Contracts
337

 
(264
)
 
1,459

 
(484
)
Index
 
 
 
 
 
 
 
Index Futures - Short Contracts
(193
)
 
(369
)
 
—

 
—

Interest Rates
 
 
 
 
 
 
 
Bond Futures - Short Contracts
(224
)
 
(184
)
 
704

 
99

Interest Rate Swaps
167

 
56

 
635

 
(477
)
Interest Rate Swaptions
(1
)
 
(657
)
 
(13
)
 
(58
)
Treasury Futures - Short Contracts
(385
)
 
(2
)
 
87

 
157

Foreign Currency Exchange Rates
 
 
 
 
 
 
 
Foreign Currency Forward
(315
)
 
(1,625
)
 
(1,784
)
 
3,523

Foreign Currency Options - Purchased
(474
)
 
(305
)
 
4,110

 
1,686

Foreign Currency Options - Sold
—

 
214

 
(1,544
)
 
(894
)
Reinsurance contract derivatives
—

 
—

 
—

 
342

 
$
6,848

 
$
(8,630
)
 
$
3,390

 
$
(1,838
)
Embedded Derivatives


 


 


 


Embedded derivatives in reinsurance contracts
$
—

 
$
(43
)
 
$
—

 
$
—

Embedded derivatives in deposit contracts
—

 
(139
)
 
—

 
(40
)

$
—

 
$
(182
)
 
$
—

 
$
(40
)







For the six months ended

June 30, 2014
 
June 30, 2013
Free standing Derivatives - Primary Underlying Risk
Realized Gain (Loss)
 
Unrealized Gain (Loss)*
 
Realized Gain (Loss)
 
Unrealized Gain (Loss)*
Commodity Price
($ in thousands)
Commodities Futures - Long Contracts
$
—

 
$
—

 
$
(2,455
)
 
$
—

Commodities Futures - Short Contracts
—

 
—

 
563

 
(212
)
Commodity Future Options - Purchased
(271
)
 
(5
)
 
(141
)
 
(1
)
Commodity Future Options - Sold
316

 
(168
)
 
—

 
—

Credit


 


 


 


Credit Default Swaps - Protection Purchased
(2,314
)
 
(3,521
)
 
(8,815
)
 
5,330

Credit Default Swaps - Protection Sold
185

 
204

 
8,151

 
(7,791
)
Equity Price


 


 


 


Contracts for Differences - Long Contracts
5,036

 
(7,135
)
 
8,690

 
(4,242
)
Contracts for Differences - Short Contracts
(2,338
)
 
51

 
989

 
437

Total Return Swaps - Long Contracts
9,791

 
332

 
1,005

 
(933
)
Total Return Swaps - Short Contracts
524

 
(497
)
 
1,254

 
164

Index


 


 


 


Index Futures - Short Contracts
(332
)
 
72

 
19

 
—

Interest Rates


 


 


 


Bond Futures - Short Contracts
(544
)
 
(354
)
 
562

 
(248
)
Interest Rate Swaps
(457
)
 
349

 
629

 
487

Interest Rate Swaptions
529

 
(1,576
)
 
(169
)
 
33

Treasury Futures - Short Contracts
(641
)
 
(129
)
 
435

 
(430
)
Foreign Currency Exchange Rates


 


 


 


Foreign Currency Forward
219

 
(2,540
)
 
6,310

 
1,995

Foreign Currency Options - Purchased
(1,740
)
 
(2,152
)
 
8,617

 
462

Foreign Currency Options - Sold
686

 
385

 
(3,196
)
 
(212
)
Reinsurance contract derivatives
—

 
—

 
—

 
1,105


$
8,649

 
$
(16,684
)
 
$
22,448

 
$
(4,056
)
Embedded Derivatives


 


 


 


Embedded derivatives in reinsurance contracts
$
—

 
$
(106
)
 
$
—

 
$
—

Embedded derivatives in deposit contracts
—

 
(219
)
 
—

 
(210
)
Total Derivative Liabilities (embedded)
$
—

 
$
(325
)
 
$
—

 
$
(210
)
* Unrealized gain (loss) relates to derivatives still held at reporting date.
Schedule of gross and net amounts of derivative instruments that are subject to enforceable master netting arrangements or similar agreements
As of June 30, 2014 and December 31, 2013, the gross and net amounts of derivative instruments that are subject to enforceable master netting arrangements or similar agreements were as follows:
 
 
Gross Amounts not offset in the condensed consolidated balance sheet
June 30, 2014 Counterparty
 
Gross Amounts of Assets Presented in the condensed consolidated balance sheet
 
Financial Instruments
 
Cash Collateral Received
 
Net Amount
 
 
($ in thousands)
Counterparty 1
 
$
886

 
$
886

 
$
—

 
$
—

Counterparty 2
 
1,648

 
528

 
—

 
1,120

Counterparty 3
 
7,912

 
3,897

 
—

 
4,015

Counterparty 4
 
1,054

 
1,054

 
—

 
—

Counterparty 5
 
1,656

 
1,656

 
—

 
—

Counterparty 6
 
8,674

 
458

 
5,608

 
2,608

Counterparty 7
 
31

 
31

 
—

 
—

Counterparty 8
 
50

 
50

 
—

 
—

Counterparty 9
 
605

 
—

 
560

 
45

Total
 
$
22,516

 
$
8,560

 
$
6,168

 
$
7,788

 
 
 
 
 
 
 
 
 
 
 
Gross Amounts not offset in the condensed consolidated balance sheet
June 30, 2014 Counterparty
 
Gross Amounts of Liabilities Presented in the condensed consolidated balance sheet
 
Financial Instruments
 
Cash Collateral Pledged
 
Net Amount
 
 
($ in thousands)
Counterparty 1
 
$
1,440

 
$
886

 
$
554

 
$
—

Counterparty 2
 
528

 
528

 
—

 
—

Counterparty 3
 
3,897

 
3,897

 
—

 
—

Counterparty 4
 
1,540

 
1,054

 
486

 
—

Counterparty 5
 
1,804

 
1,656

 
148

 
—

Counterparty 6
 
458

 
458

 
—

 
—

Counterparty 7
 
480

 
31

 
449

 
—

Counterparty 8
 
381

 
50

 
331

 
—

Total
 
$
10,528

 
$
8,560

 
$
1,968

 
$
—

 
 
Gross Amounts not offset in the condensed consolidated balance sheet
December 31, 2013
Counterparty
 
Gross Amounts of Assets Presented in the condensed consolidated balance sheet
 
Financial Instruments
 
Cash Collateral Received
 
Net Amount
 
 
($ in thousands)
Counterparty 1
 
$
1,128

 
$
1,041

 
$
—

 
$
87

Counterparty 2
 
4,998

 
400

 
1,629

 
2,969

Counterparty 3
 
16,066

 
3,509

 
—

 
12,557

Counterparty 4
 
1,351

 
1,351

 
—

 
—

Counterparty 5
 
3,198

 
1,054

 
—

 
2,144

Counterparty 6
 
12,234

 
492

 
10,465

 
1,277

Counterparty 7
 
2

 
2

 
—

 
—

Counterparty 8
 
—

 
—

 
—

 
—

Counterparty 9
 
68

 
68

 
—

 
—

Total
 
$
39,045

 
$
7,917

 
$
12,094

 
$
19,034

 
 
 
 
 
 
 
 
 
 
 
Gross Amounts not offset in the condensed consolidated balance sheet
December 31, 2013
Counterparty
 
Gross Amounts of Liabilities Presented in the condensed consolidated balance sheet
 
Financial Instruments
 
Cash Collateral Pledged
 
Net Amount
 
 
($ in thousands)
Counterparty 1
 
$
1,041

 
$
1,041

 
$
—

 
$
—

Counterparty 2
 
400

 
400

 
—

 
—

Counterparty 3
 
3,509

 
3,509

 
—

 
—

Counterparty 4
 
1,360

 
1,351

 
9

 
—

Counterparty 5
 
1,054

 
1,054

 
—

 
—

Counterparty 6
 
492

 
492

 
—

 
—

Counterparty 7
 
59

 
2

 
57

 
—

Counterparty 8
 
—

 
—

 
—

 
—

Counterparty 9
 
904

 
68

 
836

 
—

Total
 
$
8,819

 
$
7,917

 
$
902

 
$
—