Derivatives (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Values and Related Notional Values of Derivatives [Table Text Block]

The net fair values and the related net notional values of derivatives included in the Company’s Condensed Consolidated Balance Sheets at September 30, 2015 and December 31, 2014 were as follows (in thousands of U.S. dollars):



	Asset derivatives at fair value		Liability derivatives at fair value			Net derivatives
September 30, 2015	Asset derivatives at fair value		Liability derivatives at fair value			Net notional exposure		Fair value
Derivatives designated as hedges
Foreign exchange forward contracts (net investment hedge)	$	2,362	$	—		$	392,523	$	2,362
Total derivatives designated as hedges	$	2,362	$	—				$	2,362

Derivatives not designated as hedges
Foreign exchange forward contracts	$	10,518	$	(2,939	)	$	1,858,513	$	7,579
Foreign currency option contracts	—		(4,614		)	88,362		(4,614		)
Futures contracts	—		(16,382		)	3,896,112		(16,382		)
Insurance-linked securities ⁽¹⁾	8,523		—			134,288		8,523
Total return swaps	1,487		(2,609		)	42,458		(1,122		)
Interest rate swaps ⁽²⁾	—		(25,518		)	197,348		(25,518		)
TBAs	2,159		—			301,250		2,159
Total derivatives not designated as hedges	$	22,687	$	(52,062	)			$	(29,375	)

Total derivatives	$	25,049	$	(52,062	)			$	(27,013	)



	Asset derivatives at fair value		Liability derivatives at fair value			Net derivatives
December 31, 2014	Asset derivatives at fair value		Liability derivatives at fair value			Net notional exposure		Fair value
Derivatives not designated as hedges
Foreign exchange forward contracts	$	20,033	$	(7,446	)	$	2,080,276	$	12,587
Foreign currency option contracts	—		(1,196		)	43,380		(1,196		)
Futures contracts	846		(467		)	2,348,735		379
Insurance-linked securities ⁽¹⁾	3		(339		)	145,481		(336		)
Total return swaps	485		(2,007		)	42,524		(1,522		)
Interest rate swaps ⁽²⁾	—		(16,282		)	201,160		(16,282		)
TBAs	154		(240		)	235,105		(86		)
Total derivatives	$	21,521	$	(27,977	)			$	(6,456	)


(1)	At September 30, 2015 and December 31, 2014, 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.


(2)	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.

Gains and Losses on Derivatives not Designated as Hedges [Table Text Block]

The gains and losses in the Condensed Consolidated Statements of Operations for derivatives not designated as hedges for the three months and nine months ended September 30, 2015 and 2014 were as follows (in thousands of U.S. dollars):



	For the three months ended						For the nine months ended
	September 30, 2015			September 30, 2014			September 30, 2015			September 30, 2014
Foreign exchange forward contracts	$	3,632		$	20,721		$	(18,273	)	$	29,613
Foreign currency option contracts	(4,568		)	(721		)	(3,472		)	427
Total included in net foreign exchange gains and losses	$	(936	)	$	20,000		$	(21,745	)	$	30,040
Futures contracts	$	(39,198	)	$	5,895		$	(72,981	)	$	(44,606	)
Credit default swaps (protection purchased)	—			—			—			(3		)
Insurance-linked securities	7,648			(50		)	7,656			206
Total return swaps	943			(1,213		)	400			(595		)
Interest rate swaps	(9,606		)	(1,055		)	(9,236		)	(9,788		)
TBAs	5,595			273			4,952			8,387
Other	—			—			2,493			—
Total included in net realized and unrealized investment gains and losses	$	(34,618	)	$	3,850		$	(66,716	)	$	(46,399	)
Total derivatives not designated as hedges	$	(35,554	)	$	23,850		$	(88,461	)	$	(16,359	)

Offsetting Disclosures [Table Text Block]

The gross and net fair values of derivatives that are subject to offsetting in the Condensed Consolidated Balance Sheets at September 30, 2015 and December 31, 2014 were as follows (in thousands of U.S. dollars):



				Gross amounts offset in the balance sheet		Net amounts of assets/liabilities presented in the balance sheet			Gross amounts not offset in the balance sheet
September 30, 2015	Gross amounts recognized ⁽¹⁾			Gross amounts offset in the balance sheet					Financial instruments			Cash collateral received/pledged			Net amount
Total derivative assets	$	25,049		$	—	$	25,049		$	(520	)	$	(9,440	)	$	15,089
Total derivative liabilities	$	(52,062	)	$	—	$	(52,062	)	$	520		$	47,430		$	(4,112	)

December 31, 2014
Total derivative assets	$	21,521		$	—	$	21,521		$	(766	)	$	(8,536	)	$	12,219
Total derivative liabilities	$	(27,977	)	$	—	$	(27,977	)	$	766		$	14,858		$	(12,353	)


(1)	Amounts include all derivative instruments, irrespective of whether there is a legally enforceable master netting arrangement in place.