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 September 30, 2011 or December 31, 2010.

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 while the fair value of all other derivatives is included in other investments in the consolidated balance sheets.

		Asset Derivatives				Liability Derivatives
		Estimated Fair Value		Notional Value		Estimated Fair Value		Notional Value

At September 30, 2011
Futures contracts		$	4,221	$	284,785	$	(170)	$	687,145
Foreign currency forward contracts			17,860		324,003		(5,923)		122,408
TBAs			560,860		525,730		(575,373)		538,400
Other			7,038		180,918		(3,919)		320,287
	Total	$	589,979			$	(585,385)

At December 31, 2010
Futures contracts		$	1,968	$	512,292	$	(62)	$	23,544
Foreign currency forward contracts			4,093		119,969		(13,582)		277,908
TBAs			125,397		121,100		-		-
Other			14,236		239,552		(4,595)		268,597
	Total	$	145,694			$	(18,239)

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

		Three Months Ended				Nine Months Ended
Derivatives not designated as		September 30,				September 30,
hedging instruments		2011		2010		2011		2010

Futures contracts		$	12,142	$	10,419	$	15,515	$	26,136
Foreign currency forward contracts			12,155		(22,425)		(4,238)		(7,016)
TBAs			2,554		3,147		11,056		5,541
Other			9,328		1,829		5,702		3,861
	Total	$	36,179	$	(7,030)	$	28,035	$	28,522