Financial Derivatives (Tables)

September 30, 2012:


						Change in Net						Change in Net
			Net Realized			Unrealized			Net Realized			Unrealized
			Gain/(Loss) for			Gain/(Loss) for			Gain/(Loss) for			Gain/(Loss) for
			the Three Month			the Three Month			the Nine Month			the Nine Month
			Period Ended			Period Ended			Period Ended			Period Ended
	Primary Risk		September 30,			September 30,			September 30,			September 30,
Derivative Type	Exposure		2012			2012			2012			2012
(In thousands)
Financial derivatives - assets
Credit default swaps on asset-backed securities	Credit	$	3,963		$	(3,823	)	$	(1,514	)	$	4,285
Credit default swaps on asset-backed indices	Credit		(134	)		(4,174	)		(7,200	)		(6,442	)
Credit default swaps on corporate bond indices	Credit		12			(602	)		(1,548	)		570
Total return swaps	Equity Market		(1,520	)		257			(1,520	)		257
Interest rate swaps	Interest Rates		0			495			49			417
Eurodollar futures	Interest Rates		(15	)		0			(32	)		(12	)
			2,306			(7,847	)		(11,765	)		(925	)

Financial derivatives - liabilities
Credit default swaps on asset-backed indices	Credit		(190	)		1,543			4,372			650
Credit default swaps on corporate bond indices	Credit		(160	)		11			143			11
Total return swaps	Equity Market		1,066			252			(2,262	)		273
Interest rate swaps	Interest Rates		(6,209	)		3,410			(22,157	)		15,093
Eurodollar futures	Interest Rates		0			(33	)		0			(87	)
			(5,493	)		5,183			(19,904	)		15,940
Total		$	(3,187	)	$	(2,664	)	$	(31,669	)	$	15,015

September 30, 2011:


						Change in Net						Change in Net
			Net Realized			Unrealized			Net Realized			Unrealized
			Gain/(Loss) for			Gain/(Loss) for			Gain/(Loss) for			Gain/(Loss) for
			the Three Month			the Three Month			the Nine Month			the Nine Month
			Period Ended			Period Ended			Period Ended			Period Ended
	Primary Risk		September 30,			September 30,			September 30,			September 30,
Derivative Type	Exposure		2011			2011			2011			2011
(In thousands)
Financial derivatives - assets
Credit default swaps on asset-backed securities	Credit	$	3,088		$	(248	)	$	8,396		$	(4,987	)
Credit default swaps on asset-backed indices	Credit		6,539			3,746			5,313			5,719
Credit default swaps on corporate bond indices	Credit		(150	)		109			(150	)		109
Total return swaps	Equity Market		(29	)		826			(29	)		826
Interest rate swaps	Interest Rates		456			(938	)		(195	)		(1,773	)
			9,904			3,495			13,335			(106	)
Financial derivatives - liabilities
Credit default swaps on asset-backed indices	Credit		24			(1,038	)		8,886			(1,256	)
Credit default swaps on corporate bond indices	Credit		100			220			0			186
Interest rate swaps	Interest Rates		(3,249	)		(14,154	)		(4,250	)		(17,844	)
Eurodollar futures	Interest Rates		(375	)		369			(1,094	)		890
			(3,500	)		(14,603	)		3,542			(18,024	)
Total		$	6,404		$	(11,108	)	$	16,877		$	(18,130	)

		Amount at			Amount at
Credit Default Swaps on Asset Backed Indices		September 30, 2012			December 31, 2011
(In thousands)
Fair Value of Written Credit Derivatives, Net	$	(16,172	)	$	(9,548	)
Fair Value of Purchased Credit Derivatives Offsetting Written
Credit Derivatives with Third Parties⁽¹⁾	$	2,881		$	0
Notional Amount of Written Credit Derivatives⁽²⁾	$	(56,505	)	$	(22,615	)
Notional Amount of Purchased Credit Derivatives Offsetting
Written Credit Derivatives with Third Parties⁽¹⁾	$	24,685		$	0

(1) Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation.

(2) The notional value is the maximum amount that a seller of ABS indices would be obligated to pay, and a buyer of credit protection would receive upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under an ABS index contract may be offset against amounts due or owed on another ABS index contract with the same ISDA counterparty.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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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.

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