v2.4.1.9

Financial Derivatives (Tables) | 12 Months Ended
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Dec. 31, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the years ended December 31, 2014, 2013, and 2012 are summarized in the tables below: December 31, 2014:
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gain/(Loss) for the Year Ended December 31, 2014 |  | Change in Net Unrealized Gain/(Loss) for the Year Ended December 31, 2014
(In thousands) |  |  |  |  |  |
Financial derivatives–assets |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | Credit |  | $ | (4,596 | ) |  | $ | 4,547 |
Credit default swaps on asset-backed indices |  | Credit |  | (4,662 | ) |  | 2,059 |
Credit default swaps on corporate bond indices |  | Credit |  | 1,938 |  |  | (2,589 | )
Total return swaps |  | Equity Market |  | 12,975 |  |  | 3 |
Interest rate swaps |  | Interest Rates |  | 10,610 |  |  | 5,101 |
Futures |  | Interest Rates/Equity Market |  | 4,841 |  |  | 261 |
Forwards |  | Currency |  | 3,845 |  |  | 884 |
Other |  | Credit/ Interest Rates |  | 1,147 |  |  | (928 | )
|  |  |  | 26,098 |  |  | 9,338 |
Financial derivatives–liabilities |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | Credit |  | (78 | ) |  | 111 |
Credit default swaps on asset-backed indices |  | Credit |  | 3,111 |  |  | (1,743 | )
Credit default swaps on corporate bond indices |  | Credit |  | (6,242 | ) |  | 6,926 |
Credit default swaps on corporate bonds |  | Credit |  | 270 |  |  | (782 | )
Total return swaps |  | Equity Market |  | (5,671 | ) |  | 46 |
Interest rate swaps |  | Interest Rates |  | (23,939 | ) |  | (24,318 | )
Futures |  | Interest Rates/Equity Market |  | (252 | ) |  | 2,291 |
Forwards |  | Currency |  | (2,215 | ) |  | (98 | )
Other |  | Credit/ Interest Rates/Equity Market |  | (2,293 | ) |  | (43 | )
|  |  |  | (37,309 | ) |  | (17,610 | )
Total |  |  |  | $ | (11,211 | ) |  | $ | (8,272 | )
December 31, 2013:
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gain/(Loss) for the Year Ended December 31, 2013 |  | Change in Net Unrealized Gain/(Loss) for the Year Ended December 31, 2013
(In thousands) |  |  |  |  |  |
Financial derivatives–assets |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | Credit |  | $ | (2,826 | ) |  | $ | 1,070 |
Credit default swaps on asset-backed indices |  | Credit |  | (5,954 | ) |  | 1,082 |
Credit default swaps on corporate bond indices |  | Credit |  | 626 |  |  | 1,026 |
Total return swaps |  | Equity Market |  | 2,992 |  |  | 4 |
Interest rate swaps |  | Interest Rates |  | (2,829 | ) |  | 23,548 |
Other |  | Credit/ Interest Rates |  | 115 |  |  | (244 | )
|  |  |  | (7,876 | ) |  | 26,486 |
Financial derivatives–liabilities |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | Credit |  | (78 | ) |  | (349 | )
Credit default swaps on asset-backed indices |  | Credit |  | 1,870 |  |  | 2,869 |
Credit default swaps on corporate bond indices |  | Credit |  | (9,573 | ) |  | (9,157 | )
Total return swaps |  | Equity Market |  | (5,260 | ) |  | (3 | )
Interest rate swaps |  | Interest Rates |  | 319 |  |  | (3,940 | )
Futures |  | Interest Rates |  | (795 | ) |  | (2,302 | )
Forwards |  | Currency |  | — |  |  | (38 | )
Other |  | Interest Rates/ Equity Market |  | (86 | ) |  | (84 | )
|  |  |  | (13,603 | ) |  | (13,004 | )
Total |  |  |  | $ | (21,479 | ) |  | $ | 13,482 |
December 31, 2012:
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gain/(Loss) for the Year Ended December 31, 2012 |  | Change in Net Unrealized Gain/(Loss) for the Year Ended December 31, 2012
(In thousands) |  |  |  |  |  |
Financial derivatives–assets |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | Credit |  | $ | (1,164 | ) |  | $ | 3,218 |
Credit default swaps on asset-backed indices |  | Credit |  | (14,870 | ) |  | (5,887 | )
Credit default swaps on corporate bond indices |  | Credit |  | (1,548 | ) |  | 570 |
Interest rate swaps |  | Interest Rates |  | 169 |  |  | (91 | )
Futures |  | Interest Rates |  | (51 | ) |  | (11 | )
|  |  |  | (17,464 | ) |  | (2,201 | )
Financial derivatives–liabilities |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | Credit |  | (79 | ) |  | (1 | )
Credit default swaps on asset-backed indices |  | Credit |  | 9,665 |  |  | (491 | )
Credit default swaps on corporate bond indices |  | Credit |  | (579 | ) |  | (122 | )
Total return swaps |  | Equity Market |  | (3,563 | ) |  | 209 |
Interest rate swaps |  | Interest Rates |  | (22,777 | ) |  | 16,094 |
Futures |  | Interest Rates |  | — |  |  | (71 | )
|  |  |  | (17,333 | ) |  | 15,618 |
Total |  |  |  | $ | (34,797 | ) |  | $ | 13,417 |
Derivative activity, volume | The tables below detail the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the years ended December 31, 2014 and 2013:
Derivative Type |  | Year Ended December 31, 2014 |  | Year Ended December 31, 2013
|  | (In thousands)
Interest rate swaps |  | $ | 2,227,315 |  |  | $ | 828,442 |
Credit default swaps |  | 552,411 |  |  | 319,603 |
Total return swaps |  | 55,108 |  |  | 29,212 |
Futures |  | 738,830 |  |  | 134,831 |
Options |  | 926,369 |  |  | 10,736 |
Forwards |  | 42,143 |  |  | 369 |
Warrants |  | 120 |  |  | — |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at December 31, 2014 and 2013, are summarized below:
Credit Derivatives |  | Amount at December 31, 2014 |  | Amount at December 31, 2013
(In thousands) |  |  |  |
Fair Value of Written Credit Derivatives, Net |  | $ | 27,741 |  |  | $ | 1,421 |
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | $ | (3,287 | ) |  | $ | 57 |
Notional Amount of Written Credit Derivatives (2) |  | $ | (341,014 | ) |  | $ | (120,497 | )
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | $ | 54,874 |  |  | $ | 249 |
(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 credit protection 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 credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional amount of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional amount of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.

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- Definition Disclosure of the volume of derivative activity for the period. Calculated using average monthly notional. + References No definition available. + Details
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- 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). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Credit Derivative -URI http://asc.fasb.org/extlink&oid=6854095 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5708775-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5708773-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5708777-113959 + Details
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- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: 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=7476318&loc=SL5618551-113959 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=7476318&loc=SL5624171-113959 + Details
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