Derivative instruments used in hedging activities

6 Months Ended

Jun. 30, 2011

Derivative Instruments Used in Hedging Activities [Abstract]

Derivative instruments used in hedging activities

5. Derivative instruments used in hedging activities

     The Company enters into derivative instruments for risk management purposes, specifically to economically hedge unmatched foreign currency exposures. During the three months ended June 30, 2011, the Company entered into a foreign currency forward exchange contract to mitigate the risk of foreign currency exposure of unpaid losses denominated in Japanese Yen. During the three months ended March 31, 2011, the Company entered into three foreign currency forward exchange contracts to mitigate the risk of fluctuations in the Euro and Australian dollar to U.S. dollar rates. Two of the contracts were renewed during the three months ended June 30, 2011. During the year ended December 31, 2010, the Company entered into a foreign currency forward contract to mitigate the risk of foreign currency exposure of unpaid losses denominated in Chilean Pesos (CLP). The CLP foreign currency forward contract was renewed during the three months ended June 30, 2011. The following table summarizes information on the location and amount of the derivative fair value on the consolidated balance sheet at June 30, 2011:

			Asset Derivatives			Liability Derivatives
Derivatives designated as			Balance Sheet			Balance Sheet
hedging instruments:	Notional Amount		location	Fair value		location	Fair value
						Accounts payable
						and accrued
Foreign exchange contracts	$	128,613	Other assets	$	354	expenses	$	173

The following table summarizes information on the location and amount of the derivative fair value on the consolidated balance sheet at December 31, 2010:

			Asset Derivatives			Liability Derivatives
Derivatives designated as			Balance Sheet			Balance Sheet
hedging instruments:	Notional Amount		location	Fair value		location	Fair value
						Accounts payable
						and accrued
Foreign exchange contract	$	75,000	Other assets	$	2,905	expenses	$	—

(a) Classification within the fair value hierarchy

     As described in Note 3 “Investments” under U.S. GAAP, a company must determine the appropriate level in the fair value hierarchy for each fair value measurement. The assumptions used within the valuation are observable in the marketplace, can be derived from observable data or are supported by observable levels at which transactions are executed in the marketplace. Accordingly, these derivatives were classified within Level 2 of the fair value hierarchy.

(b) Derivative instruments designated as a fair value hedge

     The Company designates its derivative instruments as fair value hedges and formally and contemporaneously documents all relationships between the hedging instruments and hedged items and links the hedging derivatives to specific assets and liabilities. The Company assesses the effectiveness of the hedges, both at inception and on an on-going basis and determines whether the hedges are highly effective in offsetting changes in fair value of the linked hedged items.

     The following table provides the total impact on earnings relating to the derivative instruments formally designated as fair value hedges along with the impact of the related hedged items for the three and six months ended June 30, 2011:

		Three Months Ended June 30, 2011
				Amount of Gain			Amount of Gain
				(Loss)			(Loss) Recognized
		Amount of Gain		on Hedged Item			in Income on
Derivatives designated as	Location of Gain	(Loss) Recognized		Recognized in Income			Derivative
fair value hedges and	(Loss) Recognized	in Income on		Attributable to Risk			(Ineffective
related hedged item:	in Income	Derivative		Being Hedged			Portion)
Foreign exchange	Foreign exchange gains (losses)	$	897	$	(897	)	$	—

		Six Months Ended June 30, 2011
					Amount of Gain		Amount of Gain
					(Loss)		(Loss) Recognized
		Amount of Gain			on Hedged Item		in Income on
Derivatives designated as	Location of Gain	(Loss) Recognized			Recognized in Income		Derivative
fair value hedges and	(Loss) Recognized	in Income on			Attributable to Risk		(Ineffective
related hedged item:	in Income	Derivative			Being Hedged		Portion)
Foreign exchange	Foreign exchange (losses) gains	$	(2,925	)	$	2,925	$	—

There was no derivative activity for the three and six months ended June 30, 2010.