Derivative Instruments

The Company’s investment strategy allows for the use of derivative securities. The Company’s derivative instruments are recorded on its consolidated balance sheets at fair value. The fair values of those derivatives are based on quoted market prices. All realized and unrealized contract gains and losses are reflected in the Company’s results of operations. The Company utilizes exchange traded U.S. Treasury note, Eurodollar and other futures contracts and commodity futures to manage portfolio duration or replicate investment positions in its portfolios. Certain of the Company’s corporate bonds are managed in a global bond portfolio which incorporates the use of foreign currency forward contracts which are intended to provide an economic hedge against foreign currency movements on the portfolio’s non-U.S. Dollar denominated holdings. The Company routinely utilizes other foreign currency forward contracts, currency options, index futures contracts and other derivatives as part of its total return objective.

In addition, the Company purchases to-be-announced mortgage backed securities (“TBAs”) as part of its investment strategy. TBAs represent commitments to purchase a future issuance of agency mortgage backed securities. For the period between purchase of a TBA and issuance of the underlying security, the Company’s position is accounted for as a derivative. The Company purchases TBAs in both long and short positions to enhance investment performance and as part of its overall investment strategy. The Company did not hold any derivatives which were designated as hedging instruments at December 31, 2014 or 2013.

The following table summarizes information on the fair values and notional values of the Company’s derivative instruments. The fair value of TBAs is included in “fixed maturities available for sale, at fair value.”



	Asset Derivatives		Liability Derivatives			Net Derivatives
	Fair Value		Fair Value			Fair Value			Notional Value (1)
December 31, 2014
Futures contracts	$	2,156	$	(1,907	)	$	249		$	2,549,027
Foreign currency forward contracts	10,511		(1,145		)	9,366			397,106
TBAs	10,592		—			10,592			10,056
Other	3,209		(2,345		)	864			735,684
Total	$	26,468	$	(5,397	)	$	21,071

December 31, 2013
Futures contracts	$	461	$	(110	)	$	351		$	475,967
Foreign currency forward contracts	5,023		(3,090		)	1,933			330,746
TBAs	33,455		(21,731		)	11,724			56,160
Other	920		(1,541		)	(621		)	347,916
Total	$	39,859	$	(26,472	)	$	13,387


(1)	Represents the absolute notional value of all outstanding contracts, consisting of long and short positions.

The Company’s derivative instruments are generally traded under master netting agreements, which establish terms that apply to all derivative transactions with a counterparty. In the event of a bankruptcy or other stipulated event of default, such agreements provide that the non-defaulting party may elect to terminate all outstanding derivative transactions, in which case all individual derivative positions (loss or gain) with a counterparty are closed out and netted and replaced with a single amount, usually referred to as the termination amount, which is expressed in a single currency. The resulting single net amount, where positive, is payable to the party “in-the-money” regardless of whether or not it is the defaulting party, unless the parties have agreed that only the non-defaulting party is entitled to receive a termination payment where the net amount is positive and is in its favor. Effectively, contractual close-out netting reduces derivatives credit exposure from gross to net exposure. At December 31, 2014, $25.3 million and $5.4 million, respectively, of asset derivatives and liability derivatives were subject to a master netting agreement or similar arrangement, compared to $28.0 million and $14.6 million, respectively, at December 31, 2013. The remaining derivatives included in the table above were not subject to a master netting agreement.

The following table summarizes net realized gains (losses) recorded on the Company’s derivative instruments in the consolidated statements of income:



Derivatives not designated as hedging instruments	Year Ended December 31,
Derivatives not designated as hedging instruments	2014			2013			2012
Futures contracts	$	30,444		$	10,742		$	(3,307	)
Foreign currency forward contracts	13,430			9,762			(214		)
TBAs	(342		)	(1,623		)	4,413
Other	402			2,031			(2,218		)
Total	$	43,934		$	20,912		$	(1,326	)