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Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2017

Summary of Derivative Instruments [Abstract]

Schedule of Location on Consolidated Balance Sheets and Fair Value Of Principal Derivative Instruments

The tables below show the gross and net amounts of recognized derivative assets and liabilities at fair value, including the location on the consolidated balance sheets of the Company’s principal derivative instruments:

		Derivative Assets
	At June 30, 2017	Gross Amounts of Recognized Assets				Gross Amounts Offset in the Balance Sheet				Net Amounts of Assets Presented in the Balance Sheet				Balance Sheet Location		Collateral				Net Amount
	Interest rate futures	$	1,277			973				$	304			Other assets		$	—			$	304
	Foreign currency forward contracts (1)	7,245				617				6,628				Other assets		—				6,628
	Foreign currency forward contracts (2)	57				18				39				Other assets		—				39
	Credit default swaps	2,502				19				2,483				Other assets		—				2,483
	Total	$	11,081			$	1,627			$	9,454					$	—			$	9,454
		Derivative Liabilities
	At June 30, 2017	Gross Amounts of Recognized Liabilities				Gross Amounts Offset in the Balance Sheet				Net Amounts of Liabilities Presented in the Balance Sheet				Balance Sheet Location		Collateral Pledged				Net Amount
	Interest rate futures	$	1,067			973				$	94			Other liabilities		$	94			$	—
	Foreign currency forward contracts (1)	2,273				—				2,273				Other liabilities		—				2,273
	Foreign currency forward contracts (2)	97				18				79				Other liabilities		—				79
	Credit default swaps	636				19				617				Other liabilities		—				617
	Total	$	4,073			$	1,010			$	3,063					$	94			$	2,969

(1) Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2) Contracts used to manage foreign currency risks in investment operations.

		Derivative Assets
	At December 31, 2016	Gross Amounts of Recognized Assets				Gross Amounts Offset in the Balance Sheet				Net Amounts of Assets Presented in the Balance Sheet				Balance Sheet Location		Collateral				Net Amount
	Interest rate futures	$	1,384			1,235				$	149			Other assets		$	—			$	149
	Foreign currency forward contracts (1)	774				—				774				Other assets		—				774
	Foreign currency forward contracts (2)	621				447				174				Other assets		—				174
	Credit default swaps	1,429				23				1,406				Other assets		—				1,406
	Total	$	4,208			$	1,705			$	2,503					$	—			$	2,503
		Derivative Liabilities
	At December 31, 2016	Gross Amounts of Recognized Liabilities				Gross Amounts Offset in the Balance Sheet				Net Amounts of Liabilities Presented in the Balance Sheet				Balance Sheet Location		Collateral Pledged				Net Amount
	Interest rate futures	$	2,030			1,235				$	795			Other liabilities		$	789			$	6
	Foreign currency forward contracts (1)	10,550				397				10,153				Other liabilities		—				10,153
	Foreign currency forward contracts (2)	766				447				319				Other liabilities		—				319
	Credit default swaps	181				23				158				Other liabilities		—				158
	Total	$	13,527			$	2,102			$	11,425					$	789			$	10,636

(1) Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2) Contracts used to manage foreign currency risks in investment operations.

Schedule of Gain (Loss) Recognized In Consolidated Statements Of Operations Related To Principal Derivative Instruments

The location and amount of the gain (loss) recognized in the Company’s consolidated statements of operations related to its principal derivative instruments are shown in the following table:

		Location of gain (loss) recognized on derivatives		Amount of gain (loss) recognized on derivatives
	Three months ended June 30,			2017				2016
	Interest rate futures	Net realized and unrealized gains on investments		$	(890	)		$	(9,456	)
	Foreign currency forward contracts (1)	Net foreign exchange gains (losses)		5,223				(3,815		)
	Foreign currency forward contracts (2)	Net foreign exchange gains (losses)		(267		)		2,641
	Credit default swaps	Net realized and unrealized gains on investments		622				305
	Total			$	4,688			$	(10,325	)

		Location of gain (loss) recognized on derivatives		Amount of gain (loss) recognized on derivatives
	Six months ended June 30,			2017				2016
	Interest rate futures	Net realized and unrealized gains on investments		$	(1,048	)		$	(28,815	)
	Foreign currency forward contracts (1)	Net foreign exchange gains (losses)		6,283				(5,189		)
	Foreign currency forward contracts (2)	Net foreign exchange gains (losses)		(900		)		(3,217		)
	Credit default swaps	Net realized and unrealized gains on investments		724				215
	Total			$	5,059			$	(37,006	)

(1) Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2) Contracts used to manage foreign currency risks in investment operations.

X

- Definition

Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5618551-113959

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X

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624163-113959

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- References

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