Derivatives (Tables)

3 Months Ended

Mar. 31, 2016

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 March 31, 2016 and December 31, 2015 were as follows (in thousands of U.S. dollars):



	Asset derivatives at fair value		Liability derivatives at fair value			Net derivatives
March 31, 2016	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 hedges)	$	1,058	$	—		$	394,807	$	1,058
Total derivatives designated as hedges	$	1,058	$	—				$	1,058

Derivatives not designated as hedges
Foreign exchange forward contracts	$	14,061	$	(4,258	)	$	1,632,863	$	9,803
Foreign currency option contracts	1,977		—			90,413		1,977
Futures contracts	5,588		(1,441		)	3,186,204		4,147
Insurance-linked securities ⁽¹⁾	9,491		(5,830		)	140,558		3,661
Total return swaps	2,953		(2,999		)	42,418		(46		)
Interest rate swaps ⁽²⁾	—		(25,280		)	196,268		(25,280		)
TBAs	1,619		—			439,105		1,619
Total derivatives not designated as hedges	$	35,689	$	(39,808	)			$	(4,119	)

Total derivatives	$	36,747	$	(39,808	)			$	(3,061	)



	Asset derivatives at fair value		Liability derivatives at fair value			Net derivatives
December 31, 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 hedges)	$	—	$	(9,305	)	$	392,523	$	(9,305	)
Total derivatives designated as hedges	$	—	$	(9,305	)			$	(9,305	)

Derivatives not designated as hedges
Foreign exchange forward contracts	$	15,311	$	(5,804	)	$	1,708,285	$	9,507
Foreign currency option contracts	—		—			82,148		—
Futures contracts	5,675		(140		)	3,610,658		5,535
Insurance-linked securities ⁽¹⁾	9,428		(3,944		)	140,320		5,484
Total return swaps	2,745		(2,878		)	42,438		(133		)
Interest rate swaps ⁽²⁾	—		(24,383		)	196,804		(24,383		)
TBAs	—		(1,462		)	447,315		(1,462		)
Total derivatives not designated as hedges	$	33,159	$	(38,611	)			$	(5,452	)

Total derivatives	$	33,159	$	(47,916	)			$	(14,757	)


(1)	At March 31, 2016 and December 31, 2015, 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 ended March 31, 2016 and 2015 were as follows (in thousands of U.S. dollars):



	For the three months ended
	March 31, 2016			March 31, 2015
Foreign exchange forward contracts	$	(5,925	)	$	(4,636	)
Foreign currency option contracts	1,977			2,028
Total included in net foreign exchange gains and losses	$	(3,948	)	$	(2,608	)
Futures contracts	$	(41,674	)	$	(34,539	)
Insurance-linked securities	(405		)	2
Total return swaps	86			465
Interest rate swaps	(897		)	(4,791		)
TBAs	10,926			3,671
Other	—			2,493
Total included in net realized and unrealized investment gains and losses	$	(31,964	)	$	(32,699	)
Total derivatives not designated as hedges	$	(35,912	)	$	(35,307	)

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 March 31, 2016 and December 31, 2015 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
March 31, 2016	Gross amounts recognized ⁽¹⁾			Gross amounts offset in the balance sheet					Financial instruments			Cash collateral received/pledged			Net amount
Total derivative assets	$	36,747		$	—	$	36,747		$	(2,405	)	$	(12,335	)	$	22,007
Total derivative liabilities	$	(39,808	)	$	—	$	(39,808	)	$	2,405		$	7,076		$	(30,327	)

December 31, 2015
Total derivative assets	$	33,159		$	—	$	33,159		$	(1,037	)	$	(10,222	)	$	21,900
Total derivative liabilities	$	(47,916	)	$	—	$	(47,916	)	$	1,037		$	25,904		$	(20,975	)


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