Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2011

Schedule of Derivative Fair Values on Condensed Consolidated Balance Sheets


			June 30, 2011								December 31, 2010
	Asset				Liability				Asset				Liability
	Derivative		Asset		Derivative		Liability		Derivative		Asset		Derivative		Liability
	Notional		Derivative		Notional		Derivative		Notional		Derivative		Notional		Derivative
	Amount		Fair Value		Amount		Fair Value		Amount		Fair Value		Amount		Fair Value
Derivatives not designated as hedging instruments
Relating to investment portfolio:
Foreign exchange contracts ⁽¹⁾	$	122,311	$	1,487	$	33,873	$	204	$	—	$	—	$	—	$	—
Interest rate futures ⁽¹⁾		1,797,200		4,183		142,300		32		—		—		—		—

	$	1,919,511	$	5,670	$	176,173	$	236	$	—	$	—	$	—	$	—
Relating to operating activities:
Foreign exchange contracts ⁽²⁾	$	125,528	$	1,378	$	34,830	$	418	$	26,758	$	858	$	51,308	$	1,629

Total derivatives	$	2,045,039	$	7,048	$	211,003	$	654	$	26,758	$	858	$	51,308	$	1,629


(1)		Asset and liability derivatives relating to the investment portfolio are classified within "balances receivable on sale of investments" or "balances due on the purchase of investments" on the consolidated balance sheets.

(2)		Asset and liability derivatives relating to operating activities are classified within "other assets" or "other liabilities" on the consolidated balance sheets.

Schedule of Unrealized and Realized Gains (Losses) on Derivatives Recorded in the Consolidated Income Statement


	Location of Gain (Loss)	Three Months Ended						Six Months Ended
	Recognized in the Consolidated	June 30,						June 30,
	Income Statements	2011			2010			2011			2010
Derivatives not designated as hedging instruments
Relating to investment portfolio:
Foreign exchange contracts	Net realized investment gains	$	723		$	—		$	723		$	—
Interest rate futures	Net realized investment losses		(10,763	)		—			(16,259	)		—

		$	(10,040	)	$	—		$	(15,536	)	$	—

Relating to operating activities:
Foreign exchange contracts	Foreign exchange gains (losses)	$	1,345		$	(1,361	)	$	2,601		$	(1,412	)

Total derivatives		$	(8,695	)	$	(1,361	)	$	(12,935	)	$	(1,412	)
									~~~~~^a

- 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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- 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+ Details