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Derivatives | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2014 | Dec. 31, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract] |  |
Derivatives | Derivatives 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 September 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 |  | $ | 9,110 |  |  | $ | 106,908 |
Credit Default Swaps - Protection Sold | USD |  | 158 |  |  | 2,318 |
Equity Price |  |  |  |  |
Contracts for Differences - Long Contracts | GBP/USD |  | 5,145 |  |  | 40,331 |
Contracts for Differences - Short Contracts | NOK |  | 3 |  |  | 2,580 |
Total Return Swaps - Long Contracts | MXN/USD |  | 11,888 |  |  | 179,657 |
Total Return Swaps - Short Contracts | USD |  | 290 |  |  | 3,950 |
Interest Rates |  |  |  |  |
Interest Rate Swaps | EUR |  | 250 |  |  | 194,906 |
Interest Rate Swaptions | USD |  | 624 |  |  | 511,971 |
Treasury Futures - Short Contracts | USD |  | 170 |  |  | 9,929 |
Foreign Currency Exchange Rates |  |  |  |  |
Foreign Currency Forward | AUD/CAD/EUR/GBP/JPY/TRY |  | 5,501 |  |  | 319,597 |
Foreign Currency Options - Purchased | JPY/KRW/SAR |  | 4,121 |  |  | 192,944 |
Total Derivative Assets |  |  | $ | 37,260 |  |  | $ | 1,565,091 |
| Listing currency (1) |  | Fair Value |  | Notional Amounts (2)
Derivative Liabilities by Primary Underlying Risk | ($ in thousands)
Commodity Price |  |  |  |  |
Commodity Future Options - Short | USD |  | $ | 80 |  |  | $ | 120,080 |
Credit |  |  |  |  |
Credit Default Swaps - Protection Purchased | EUR/USD |  | 2,240 |  |  | 64,465 |
Credit Default Swaps - Protection Sold | USD |  | 1,503 |  |  | 5,437 |
Equity Price |  |  |  |  |
Contracts for Differences - Long Contracts | EUR/GBP |  | 5,418 |  |  | 57,363 |
Total Return Swaps - Long Contracts | USD |  | — |  |  | 365 |
Total Return Swaps - Short Contracts | USD |  | 129 |  |  | 1,532 |
Interest Rates |  |  |  |  |
Bond Futures - Short Contracts | JPY |  | 41 |  |  | 41,211 |
Interest Rate Swaps | EUR |  | 621 |  |  | 194,035 |
Interest Rate Swaptions | USD |  | 142 |  |  | 354,139 |
Foreign Currency Exchange Rates |  |  |  |  |
Foreign Currency Options - Sold | JPY/KRW |  | 1,939 |  |  | 100,950 |
Catastrophe Risk Derivatives | USD |  | 233 |  |  | 6,000 |
Total Derivative Liabilities (free standing) |  |  | $ | 12,346 |  |  | $ | 945,577 |
Embedded derivative liabilities in reinsurance contracts (3) | USD |  | $ | 3,173 |  |  | $ | 15,000 |
Embedded derivative liabilities in deposit contracts (4) | USD |  | 4,740 |  |  | 75,000 |
Total Derivative Liabilities (embedded) |  |  | $ | 7,913 |  |  | $ | 90,000 |
(1) AUD = Australian Dollar, CAD = Canadian Dollar, EUR = Euro, GBP = British Pound, HKD = Hong Kong Dollar, JPY = Japanese Yen, KRW = South Korean Won, MXN = Mexican Peso, NOK = Norwegian Krone, SAR = Saudi Arabian Riyal, TRY = Turkish Lira, USD = US Dollar (2) The absolute notional exposure represents the Company's derivative activity as of September 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) AUD = Australian dollar, BRL = Brazilian real, CAD = Canadian dollar, CHF = Swiss franc, DKK = Danish krone EUR = Euro, GBP = British pound, JPY = Japanese yen, NOK = Norwegian krone, TRY=Turkish lira, USD = US dollar (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. The following tables set forth, by major risk type, the Company’s realized and unrealized gains (losses) relating to derivatives for the three and nine months ended September 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 (loss). Realized and unrealized gains (losses) related to embedded derivatives are included in other expenses in the condensed consolidated statements of income (loss).
| For the three months ended
| September 30, 2014 |  | September 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 - Short Contracts | $ | (6 | ) |  | $ | (80 | ) |  | $ | (273 | ) |  | $ | — |
Commodity Future Options - Purchased | — |  |  | — |  |  | (25 | ) |  | (44 | )
Credit |  |  |  |  |  |  |
Credit Default Swaps - Protection Purchased | (1,479 | ) |  | 2,843 |  |  | 346 |  |  | (1,751 | )
Credit Default Swaps - Protection Sold | 1,081 |  |  | (1,181 | ) |  | (1,337 | ) |  | 3,774 |
Equity Price |  |  |  |  |  |  |
Contracts for Differences - Long Contracts | (1,397 | ) |  | (5,837 | ) |  | (1,984 | ) |  | 5,229 |
Contracts for Differences - Short Contracts | (1,396 | ) |  | 310 |  |  | 11 |  |  | (183 | )
Total Return Swaps - Long Contracts | 2,488 |  |  | 9,990 |  |  | 1,712 |  |  | 3,665 |
Total Return Swaps - Short Contracts | (1,112 | ) |  | 795 |  |  | (836 | ) |  | (664 | )
Index |  |  |  |  |  |  |
Index Futures - Long Contracts | (840 | ) |  | — |  |  | — |  |  | — |
Index Futures - Short Contracts | 79 |  |  | 369 |  |  | — |  |  | — |
Interest Rates |  |  |  |  |  |  |
Bond Futures - Short Contracts | (273 | ) |  | 101 |  |  | (320 | ) |  | (382 | )
Interest Rate Swaps | 107 |  |  | (82 | ) |  | 723 |  |  | (896 | )
Interest Rate Swaptions | (42 | ) |  | (272 | ) |  | (75 | ) |  | 218 |
Treasury Futures - Short Contracts | (399 | ) |  | 191 |  |  | 73 |  |  | (195 | )
Foreign Currency Exchange Rates |  |  |  |  |  |  |
Foreign Currency Forward | 5,037 |  |  | 7,417 |  |  | 1,223 |  |  | (5,750 | )
Foreign Currency Options - Purchased | 256 |  |  | 1,539 |  |  | (1,794 | ) |  | (1,493 | )
Foreign Currency Options - Sold | (78 | ) |  | (463 | ) |  | 352 |  |  | (636 | )
Reinsurance contract derivatives | — |  |  | 780 |  |  | — |  |  | 2,062 |
| $ | 2,026 |  |  | $ | 16,420 |  |  | $ | (2,204 | ) |  | $ | 2,954 |
Embedded Derivatives |  |  |  |  |  |  |  |  |  |  |
Embedded derivatives in reinsurance contracts | $ | — |  |  | $ | (21 | ) |  | $ | — |  |  | $ | — |
Embedded derivatives in deposit contracts | — |  |  | (90 | ) |  | — |  |  | (100 | )
| $ | — |  |  | $ | (111 | ) |  | $ | — |  |  | $ | (100 | )
| For the nine months ended
| September 30, 2014 |  | September 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 | (6 | ) |  | (80 | ) |  | 290 |  |  | (212 | )
Commodity Future Options - Purchased | (271 | ) |  | (5 | ) |  | (166 | ) |  | (45 | )
Commodity Future Options - Sold | 316 |  |  | (168 | ) |  |  |  |  |  |
Credit |  |  |  |  |  |  |  |  |  |  |
Credit Default Swaps - Protection Purchased | (3,793 | ) |  | (678 | ) |  | (8,469 | ) |  | 3,579 |
Credit Default Swaps - Protection Sold | 1,266 |  |  | (977 | ) |  | 6,814 |  |  | (4,017 | )
Equity Price |  |  |  |  |  |  |  |  |  |  |
Contracts for Differences - Long Contracts | 3,639 |  |  | (12,972 | ) |  | 6,706 |  |  | 987 |
Contracts for Differences - Short Contracts | (3,734 | ) |  | 361 |  |  | 1,000 |  |  | 254 |
Total Return Swaps - Long Contracts | 12,279 |  |  | 10,323 |  |  | 2,717 |  |  | 2,732 |
Total Return Swaps - Short Contracts | (588 | ) |  | 298 |  |  | 418 |  |  | (500 | )
Index |  |  |  |  |  |  |  |  |  |  |
Index Futures - Long Contracts | (840 | ) |  | — |  |  | — |  |  | — |
Index Futures - Short Contracts | (253 | ) |  | 441 |  |  | 19 |  |  | — |
Interest Rates |  |  |  |  |  |  |  |  |  |  |
Bond Futures - Short Contracts | (817 | ) |  | (253 | ) |  | 242 |  |  | (630 | )
Interest Rate Swaps | (350 | ) |  | 267 |  |  | 1,352 |  |  | (409 | )
Interest Rate Swaptions | 487 |  |  | (1,848 | ) |  | (244 | ) |  | 251 |
Treasury Futures - Short Contracts | (1,040 | ) |  | 62 |  |  | 508 |  |  | (625 | )
Foreign Currency Exchange Rates |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Forward | 5,256 |  |  | 4,877 |  |  | 7,533 |  |  | (3,756 | )
Foreign Currency Options - Purchased | (1,484 | ) |  | (613 | ) |  | 6,823 |  |  | (1,031 | )
Foreign Currency Options - Sold | 608 |  |  | (78 | ) |  | (2,844 | ) |  | (848 | )
Reinsurance contract derivatives | — |  |  | 780 |  |  | — |  |  | 3,167 |
| $ | 10,675 |  |  | $ | (263 | ) |  | $ | 20,244 |  |  | $ | (1,103 | )
Embedded Derivatives |  |  |  |  |  |  |  |  |  |  |
Embedded derivatives in reinsurance contracts | $ | — |  |  | $ | (127 | ) |  | $ | — |  |  | $ | — |
Embedded derivatives in deposit contracts | — |  |  | (310 | ) |  | — |  |  | (310 | )
Total Derivative Liabilities (embedded) | $ | — |  |  | $ | (437 | ) |  | $ | — |  |  | $ | (310 | )
* Unrealized gain (loss) relates to derivatives still held at reporting date. The Company’s ISDA agreements with its counterparties provide for various termination events including decline in the NAV of the Company’s investments over a certain period, key-man provisions, document delivery schedules, and Employment Retirement Income Security Act and bankruptcy provisions. Upon the triggering of a termination event, a counterparty may avail itself of various remedies including, but not limited to, waiver of the termination event, request for additional collateral, renegotiation of the ISDA agreement, or immediate settlement of positions. The Company obtains/provides collateral from/to various counterparties for OTC derivative contracts in accordance with bilateral collateral agreements. As of September 30, 2014, the Company posted collateral in the form of cash of $60.4 million (December 31, 2013 - $35.4 million) to certain counterparties to cover collateral requirements for open OTC derivatives. The Company does not offset its derivative instruments and presents all amounts in the condensed consolidated balance sheets on a gross basis. The Company has pledged cash collateral to counterparties to support the current value of amounts due to the counterparties based on the value of the underlying security. As of September 30, 2014 and December 31, 2013, the gross and net amounts of derivative instruments that are subject to enforceable master netting arrangements or similar agreements were as follows:
|  | Gross Amounts not offset in the condensed consolidated balance sheet
September 30, 2014 Counterparty |  | Gross Amounts of Assets Presented in the condensed consolidated balance sheet |  | Financial Instruments |  | Cash Collateral Received |  | Net Amount
|  | ($ in thousands)
Counterparty 1 |  | $ | 493 |  |  | $ | 493 |  |  | $ | — |  |  | $ | — |
Counterparty 2 |  | 1,262 |  |  | 1,262 |  |  | — |  |  | — |
Counterparty 3 |  | 16,935 |  |  | 3,135 |  |  | — |  |  | 13,800 |
Counterparty 4 |  | 857 |  |  | 857 |  |  | — |  |  | — |
Counterparty 5 |  | 4,078 |  |  | 630 |  |  | — |  |  | 3,448 |
Counterparty 6 |  | 9,820 |  |  | 1,014 |  |  | 4,039 |  |  | 4,767 |
Counterparty 7 |  | 408 |  |  | 151 |  |  | — |  |  | 257 |
Counterparty 8 |  | — |  |  | — |  |  | — |  |  | — |
Counterparty 9 |  | 3,407 |  |  | 384 |  |  | — |  |  | 3,023 |
Total |  | $ | 37,260 |  |  | $ | 7,926 |  |  | $ | 4,039 |  |  | $ | 25,295 |
|  | Gross Amounts not offset in the condensed consolidated balance sheet
September 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 |  | $ | 1,149 |  |  | $ | 493 |  |  | $ | 656 |  |  | $ | — |
Counterparty 2 |  | 3,788 |  |  | 1,262 |  |  | 2,526 |  |  | — |
Counterparty 3 |  | 3,135 |  |  | 3,135 |  |  | — |  |  | — |
Counterparty 4 |  | 1,132 |  |  | 857 |  |  | 275 |  |  | — |
Counterparty 5 |  | 630 |  |  | 630 |  |  | — |  |  | — |
Counterparty 6 |  | 1,014 |  |  | 1,014 |  |  | — |  |  | — |
Counterparty 7 |  | 151 |  |  | 151 |  |  | — |  |  | — |
Counterparty 8 |  | 730 |  |  | — |  |  | 730 |  |  | — |
Counterparty 9 |  | 384 |  |  | 384 |  |  | — |  |  | — |
Total |  | $ | 12,113 |  |  | $ | 7,926 |  |  | $ | 4,187 |  |  | $ | — |
|  | 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 |  |  | $ | — |
| Derivatives The following tables identify the listing currency, fair value and notional amounts of derivative instruments included in the consolidated balance sheets, categorized by primary underlying risk. Balances are presented on a gross basis.
| 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 |  |  |  |  |
Bond Futures - Short Contracts |  |  |  |  | — |
Interest Rate Swaps | EUR/USD |  | 821 |  |  | 465,560 |
Interest Rate Swaptions | USD/JPY |  | 174 |  |  | 99,587 |
Treasury Futures - Short Contracts | USD |  |  |  |
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 |
(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.
| As of December 31, 2012
| Listing currency (1) |  | Fair Value |  | Notional Amounts (2)
Derivative Assets by Primary Underlying Risk | ($ in thousands)
Commodity Price |  |  |  |  |
Commodity Future - Short Contracts | USD |  | $ | 212 |  |  | $ | 5,363 |
Credit |  |  |  |  |
Credit Default Swaps - Protection Purchased | JPY/USD |  | 14,176 |  |  | 69,059 |
Equity Price |  |  |  |  |
Contracts for Differences - Long Contracts | EUR/GBP/USD |  | 4,913 |  |  | 40,454 |
Total Return Swaps - Long Contracts | BRL/USD |  | 246 |  |  | 13,710 |
Total Return Swaps - Short Contracts | HKD |  | (65 | ) |  | 179 |
Interest Rates |  |  |  |  |
Bond Futures - Short Contracts | JPY |  | 248 |  |  | 43,108 |
Interest Rate Swaps | EUR |  | 156 |  |  | 6,569 |
Interest Rate Swaptions | EUR/JPY/USD |  | 584 |  |  | 584 |
Treasury Futures - Short Contracts | USD |  | 564 |  |  | 64,819 |
Foreign Currency Exchange Rates |  |  |  |  |
Foreign Currency Forward | CAD/JPY/USD |  | 2,090 |  |  | 57,549 |
Foreign Currency Options - Purchased | EUR/USD |  | 2,504 |  |  | 2,504 |
Total Derivative Assets |  |  | $ | 25,628 |  |  | $ | 303,898 |
| Listing currency (1) |  | Fair Value |  | Notional Amounts (2)
Derivative Liabilities by Primary Underlying Risk | ($ in thousands)
Commodity Price |  |  |  |  |
Commodity Future Options - Purchased | USD |  | $ | 10 |  |  | $ | 17 |
Credit |  |  |  |  |
Credit Default Swaps - Protection Purchased | EUR/JPY/USD |  | 10,458 |  |  | 37,567 |
Credit Default Swaps - Protection Sold | USD |  | 212 |  |  | 438 |
Equity Price |  |  |  |  |
Contracts for Differences - Long Contracts | EUR/GBP/USD |  | 710 |  |  | 9,016 |
Contracts for Differences - Short Contracts | EUR |  | 29 |  |  | 1,513 |
Total Return Swaps - Long Contracts | BRL/JPY/USD |  | 467 |  |  | 24,499 |
Total Return Swaps - Short Contracts | HKD/USD |  | 38 |  |  | 1,014 |
Interest Rates |  |  |  |  |
Interest Rate Swaps | JPY/USD |  | 539 |  |  | 478,730 |
Interest Rate Swaptions | USD |  | — |  |  | — |
Foreign Currency Exchange Rates |  |  |  |  |
Foreign Currency Forward | EUR/GBP/USD |  | 211 |  |  | 41,334 |
Foreign Currency Options - Sold | USD |  | 318 |  |  | 318 |
Total Derivative Liabilities |  |  | $ | 12,992 |  |  | $ | 594,446 |
(1) USD = US dollar, JPY = Japanese yen, EUR = Euro, GBP = British pound, BRL = Brazilian real, HKD = Hong Kong dollar, NOK = Norwegian krone, AUD = Australian dollar, DKK = Danish krone, CAD = Canadian dollar, CHF = Swiss Franc (2) The absolute notional exposure represents the Company's derivative activity as of December 31, 2012, which is representative of the volume of derivatives held during the period. The following table sets forth, by major risk type, the Company’s realized and unrealized gains (losses) relating to derivative trading activities for the years ended December 31, 2013 and 2012 . These realized and unrealized gains (losses) are included in net investment income in the consolidated statements of income (loss).
| December 31, 2013 |  | December 31, 2012
Primary Underlying Risk | Realized Gain (Loss) |  | Unrealized Gain (Loss)* |  | Realized Gain (Loss) |  | Unrealized Gain (Loss)*
Commodity Price | ($ in thousands)
Commodities Futures - Long Contracts | $ | — |  |  | $ | — |  |  | $ | 1,710 |  |  | $ | — |
Commodities Futures - Short Contracts | 437 |  |  | (212 | ) |  | 127 |  |  | 212 |
Commodity Future Options - Purchased | 264 |  |  | 15 |  |  | (17 | ) |  | (10 | )
Commodity Future Options - Sold | (81 | ) |  | 168 |  |  | — |  |  | — |
Credit |  |  |  |  |  |  |
Credit Default Swaps - Protection Purchased | 4,243 |  |  | (10,943 | ) |  | 1,239 |  |  | 265 |
Credit Default Swaps - Protection Sold | (4,845 | ) |  | 10,690 |  |  | — |  |  | (212 | )
Equity Price |  |  |  |  |  |  |
Contracts for Differences - Long Contracts | 8,900 |  |  | 6,172 |  |  | 288 |  |  | 4,203 |
Contracts for Differences - Short Contracts | 1,219 |  |  | (341 | ) |  | 931 |  |  | (29 | )
Total Return Swaps - Long Contracts | 1,026 |  |  | 1,786 |  |  | (4,666 | ) |  | (221 | )
Total Return Swaps - Short Contracts | (557 | ) |  | 76 |  |  | 2,569 |  |  | (103 | )
Index |  |  |  |  |  |  |
Index Futures - Long Contracts | (2,413 | ) |  | — |  |  | — |  |  | — |
Index Futures - Short Contracts | 1,169 |  |  | (441 | ) |  | (314 | ) |  | — |
Interest Rates |  |  |  |  |  |  |
Bond Futures - Short Contracts | (289 | ) |  | (36 | ) |  | — |  |  | 248 |
Interest Rate Swaps | 949 |  |  | (255 | ) |  | 312 |  |  | (383 | )
Interest Rate Swaptions | (170 | ) |  | 913 |  |  | 665 |  |  | 5 |
Sovereign Debt Futures - Short Contracts | — |  |  | — |  |  | (970 | ) |  | — |
Treasury Futures - Long Contracts | (119 | ) |  | — |  |  | — |  |  | — |
Treasury Futures - Short Contracts | 830 |  |  | (456 | ) |  | (1,233 | ) |  | 564 |
Foreign Currency Exchange Rates |  |  |  |  |  |  |
Foreign Currency Forward | 5,385 |  |  | (1,255 | ) |  | (1,270 | ) |  | 1,879 |
Foreign Currency Options | — |  |  | — |  |  | 38 |  |  | — |
Foreign Currency Options - Purchased | 5,920 |  |  | 1,069 |  |  | (145 | ) |  | 198 |
Foreign Currency Options - Sold | (3,787 | ) |  | (109 | ) |  | — |  |  | (87 | )
Catastrophe Risk Derivatives | 1,250 |  |  | 3,085 |  |  | — |  |  | — |
| $ | 19,331 |  |  | $ | 9,926 |  |  | $ | (736 | ) |  | $ | 6,529 |
*Unrealized gain (loss) relates to derivatives still held at reporting date. The Company’s ISDA agreements with its counterparties provide for various termination events including decline in NAV of the Company’s investments over a certain period, key-man provisions, document delivery schedules, and Employment Retirement Income Security Act and bankruptcy provisions. Upon the triggering of a termination event, a counterparty may avail itself of various remedies including, but not limited to, waiver of the termination event, request for additional collateral, renegotiation of the ISDA agreement, or immediate settlement of positions. The Company obtains/provides collateral from/to various counterparties for OTC derivative contracts in accordance with bilateral collateral agreements. As of December 31, 2013, the Company posted collateral in the form of cash of $35.4 million (December 31, 2012 - $28.0 million) to certain counterparties to cover collateral requirements for open OTC derivatives. The Company does not offset its derivative instruments and presents all amounts in the consolidated balance sheets on a gross basis. The Company has pledged cash collateral to counterparties to support the current value of amounts due to the counterparties based on the value of the underlying security. As of December 31, 2013 and December 31, 2012, the gross and net amounts of derivative instruments that are subject to enforceable master netting arrangements or similar agreements were as follows:
|  | Gross Amounts not Offset in the Consolidated Balance Sheet
December 31, 2013 Counterparty |  | Gross Amounts of Assets Presented in the Consolidated Balance Sheet |  | Financial Instruments |  | Cash Collateral Received |  | Net Amount
|  | ($ 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 Consolidated Balance Sheet
December 31, 2013 Counterparty |  | Gross Amounts of Liabilities Presented in the 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 |  |  | $ | — |
|  | Gross Amounts not Offset in the Consolidated Balance Sheet
December 31, 2012 Counterparty |  | Gross Amounts of Assets Presented in the Consolidated Balance Sheet |  | Financial Instruments |  | Cash Collateral Received |  | Net Amount
|  | ($ in thousands)
Counterparty 1 |  | $ | 1,381 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,381 |
Counterparty 2 |  | 4,987 |  |  | 1,761 |  |  | — |  |  | 3,226 |
Counterparty 3 |  | 6,390 |  |  | 4,850 |  |  | — |  |  | 1,540 |
Counterparty 4 |  | 124 |  |  | 124 |  |  | — |  |  | — |
Counterparty 5 |  | 526 |  |  | 526 |  |  | — |  |  | — |
Counterparty 6 |  | 11,607 |  |  | 1,080 |  |  | — |  |  | 10,527 |
Counterparty 7 |  | 231 |  |  | 231 |  |  | — |  |  | — |
Counterparty 8 |  | 232 |  |  | 16 |  |  | — |  |  | 216 |
Counterparty 9 |  | — |  |  | — |  |  | — |  |  | — |
Counterparty 10 |  | 142 |  |  | — |  |  | — |  |  | 142 |
Counterparty 11 |  | — |  |  | — |  |  | — |  |  | — |
Counterparty 12 |  | 8 |  |  | — |  |  | — |  |  | 8 |
Total |  | $ | 25,628 |  |  | $ | 8,588 |  |  | $ | — |  |  | $ | 17,040 |
|  | Gross Amounts not Offset in the Consolidated Balance Sheet
December 31, 2012 Counterparty |  | Gross Amounts of Liabilities Presented in the Consolidated Balance Sheet |  | Financial Instruments |  | Cash Collateral Pledged |  | Net Amount
|  | ($ in thousands)
Counterparty 1 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Counterparty 2 |  | 1,761 |  |  | 1,761 |  |  | — |  |  | — |
Counterparty 3 |  | 4,850 |  |  | 4,850 |  |  | — |  |  | — |
Counterparty 4 |  | 1,812 |  |  | 124 |  |  | 1,688 |  |  | — |
Counterparty 5 |  | 2,456 |  |  | 526 |  |  | 1,930 |  |  | — |
Counterparty 6 |  | 1,080 |  |  | 1,080 |  |  | — |  |  | — |
Counterparty 7 |  | 1,017 |  |  | 231 |  |  | 786 |  |  | — |
Counterparty 8 |  | 16 |  |  | 16 |  |  | — |  |  | — |
Counterparty 9 |  | — |  |  | — |  |  | — |  |  | — |
Counterparty 10 |  | — |  |  | — |  |  | — |  |  | — |
Counterparty 11 |  | — |  |  | — |  |  | — |  |  | — |
Counterparty 12 |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | 12,992 |  |  | $ | 8,588 |  |  | $ | 4,404 |  |  | $ | — |

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