XML 29 R29.htm IDEA: XBRL DOCUMENT v2.4.0.8
Derivatives (Details - Balance Sheet) (USD $)
In Thousands, unless otherwise specified
Sep. 30, 2014
Dec. 31, 2013
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset $ 13,824 [1] $ 44,508 [1]
Derivative Fair Value Of Derivative Liability (22,565) [1] (14,010) [1]
Fair value net (8,741) 30,498
Foreign exchange forward contracts [Member]
   
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 8,456 1,249
Derivative Fair Value Of Derivative Liability (7,904) (8,648)
Net notional exposure 2,441,173 1,957,409
Fair value net 552 (7,399)
Foreign currency option contracts [Member]
   
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 901 0
Derivative Fair Value Of Derivative Liability (1,682) (535)
Net notional exposure 86,692 87,620
Fair value net (781) (535)
Futures contracts [Member]
   
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 3,723 41,031
Derivative Fair Value Of Derivative Liability (37) 0
Net notional exposure 2,677,157 3,266,004
Fair value net 3,686 41,031
Credit default swaps (protection purchased) [Member]
   
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset   0
Derivative Fair Value Of Derivative Liability   (71)
Net notional exposure   14,000
Fair value net   (71)
Insurance-linked securities [Member]
   
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 0 [2] 0 [2]
Derivative Fair Value Of Derivative Liability (375) [2] (268) [2]
Net notional exposure 181,238 [2] 168,724 [2]
Fair value net (375) [2] (268) [2]
Total return swaps [Member]
   
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 744 79
Derivative Fair Value Of Derivative Liability (1,859) (599)
Net notional exposure 42,569 31,740
Fair value net (1,115) (520)
Interest rate swaps [Member]
   
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 0 [3] 2,147 [3]
Derivative Fair Value Of Derivative Liability (10,200) [3] (2,558) [3]
Net notional exposure 201,659 [3] 202,859 [3]
Fair value net (10,200) [3] (411) [3]
TBAs [Member]
   
Derivative [Line Items]    
Derivative Fair Value Of Derivative Asset 0 2
Derivative Fair Value Of Derivative Liability (508) (1,331)
Net notional exposure 176,015 183,835
Fair value net $ (508) $ (1,329)
[1] Amounts include all derivative instruments, irrespective of whether there is a legally enforceable master netting arrangement in place.
[2] At September 30, 2014 and December 31, 2013, insurance-linked securities include a longevity swap for which the notional amount is not reflective of the overall potential exposure of the swap. As such, the Company has included the probable maximum loss under the swap within the net notional exposure as an approximation of the notional amount.
[3] The Company enters into interest rate swaps to mitigate notional exposures on certain total return swaps and certain fixed maturities. Only the notional value of interest rate swaps on fixed maturities is presented separately in the table.