FLAGSTONE ANNUAL REPORT 2009
DERIVATIVES
Asset Derivatives
Balance Location
Derivatives designated as hedging instruments
Foreign currency forward contracts1
Derivatives not designated as hedging instruments
Purpose – risk management
Currency swaps
Foreign currency forward contracts
Purpose – exposure
Futures contracts Total return swaps
Mortgage backed securities TBA Other reinsurance derivatives
Total Derivatives
Designated
Amount of Gain or (Loss) on Derivatives Recognized in
Comprehensive Income (Loss) (Effective Portion)
Derivatives designated as hedging instruments
Foreign currency forward contracts1
1
For the years ended December 31, 2009
2008
$
$
(4,586 )
(4,586 )
$
$
Recognized as a foreign currency hedge under the Derivatives and Hedging Topic of the ASC.
Non Designated
Derivatives not designated as hedging instruments
Futures contracts
Total return swaps Currency swaps
Interest rate swaps Interest rate swaps
Foreign currency forward contracts Foreign currency forward contracts Mortgage backed securities TBA Other reinsurance derivatives
Location
Gain or (Loss) on Derivatives Recognized in Net Income
For the years ended December 31, 2009
Net realized and unrealized gains (losses) – investments Net realized and unrealized (losses) gains – investments Net realized and unrealized gains (losses) – other Net realized and unrealized (losses) gains – investments Net realized and unrealized (losses) gains – other Net realized and unrealized (losses) gains – investments Net realized and unrealized gains (losses) – other Net realized and unrealized gains (losses) – investments Net realized and unrealized gains (losses) – other
$
12,458 (4,630 ) 661 – –
(25,375 ) 9,867 2,402 2,390
$ (2,227 )
$
Location
(16,989 ) Net realized and unrealized (losses) gains – other
(16,989 )
Net Income (Loss) (Ineffective Portion)
For the years ended December 31, 2009
$
$
(1,665 )
(1,665 )
$
$
2008 5,996
5,996
Other Assets Other Assets
Other Assets Other Assets Other Assets Other Assets
$ $ — $ 54,768
40,530 58,395 63,937 —
$ —
1,493 1,493
333
5,564 648 —
$
6,545
9,457
Other Liabilities Other Liabilities
Other Liabilities Other Liabilities Other Liabilities Other Liabilities
$ $
18,071 60,924
21,356 12,473 — —
$ $ 315
5,317 5,632
190
1,852 —
541 2,583
$ 15,318 $
$ $
18,071 115,692
61,886 70,868 63,937 —
$ $ (315 )
(3,824 ) (4,139 )
143
3,712 648
(541 ) 3,962
(5,861 )
Other Assets $ 43,327 $
1,419 1,419
Other Liabilities $ 294,385 $
7,103 7,103
$ 337,712 $
(5,684 ) (5,684 )
Sheet Derivative Exposure
Value Fair
As at December 31, 2008
Liability Derivatives
Balance Location
Sheet Derivative Exposure
Value Total Derivatives
Fair Derivative Net Fair Exposure
Value
2008
(147,493 ) (18,431 ) (783 ) (295 )
(1,353 ) –
1,099 2,203 6,658
$ (158,395 )
27
For complete financial statements including auditors’ opinion and notes please refer to our 2009 10-K which can be found on our website
at www.flagstonere.com
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