XML 44 R33.htm IDEA: XBRL DOCUMENT
v3.8.0.1

Derivative Instruments (Tables) | 9 Months Ended
--- | ---
Sep. 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 September 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 | $ | 740 |  |  | 614 |  |  | $ | 126 |  |  | Other assets |  | $ | — |  |  | $ | 126 |  |
| Interest rate swaps | 551 |  |  | 277 |  |  | 274 |  |  | Other assets |  | — |  |  | 274 |  |
| Foreign currency forward contracts (1) | 4,758 |  |  | 557 |  |  | 4,201 |  |  | Other assets |  | — |  |  | 4,201 |  |
| Foreign currency forward contracts (2) | 43 |  |  | 14 |  |  | 29 |  |  | Other assets |  | — |  |  | 29 |  |
| Credit default swaps | 956 |  |  | 308 |  |  | 648 |  |  | Other assets |  | — |  |  | 648 |  |
| Total | $ | 7,048 |  |  | $ | 1,770 |  |  | $ | 5,278 |  |  |  |  | $ | — |  |  | $ | 5,278 |  |
|  | Derivative Liabilities |
| At September 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 | $ | 854 |  |  | 614 |  |  | $ | 240 |  |  | Other liabilities |  | $ | 240 |  |  | $ | — |  |
| Interest rate swaps | 280 |  |  | 277 |  |  | 3 |  |  | Other liabilities |  | 3 |  |  | — |  |
| Foreign currency forward contracts (1) | 2,996 |  |  | — |  |  | 2,996 |  |  | Other liabilities |  | — |  |  | 2,996 |  |
| Foreign currency forward contracts (2) | 90 |  |  | 14 |  |  | 76 |  |  | Other liabilities |  | — |  |  | 76 |  |
| Credit default swaps | 327 |  |  | 308 |  |  | 19 |  |  | Other liabilities |  | — |  |  | 19 |  |
| Total | $ | 4,547 |  |  | $ | 1,213 |  |  | $ | 3,334 |  |  |  |  | $ | 243 |  |  | $ | 3,091 |  |
(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 September 30, |  |  | 2017 |  | 2016 |
| Interest rate futures | Net realized and unrealized gains on investments |  | $ | (3,016 | ) |  | $ | 1,040 |  |
| Interest rate swaps | Net realized and unrealized gains on investments |  | 271 |  |  | — |  |
| Foreign currency forward contracts (1) | Net foreign exchange (losses) gains |  | 2,056 |  |  | 5,097 |  |
| Foreign currency forward contracts (2) | Net foreign exchange (losses) gains |  | (40 | ) |  | (489 | ) |
| Credit default swaps | Net realized and unrealized gains on investments |  | (1,275 | ) |  | 687 |  |
| Total |  |  | $ | (2,004 | ) |  | $ | 6,335 |  |
|  | Location of gain (loss) recognized on derivatives |  | Amount of gain (loss) recognized on derivatives |
| Nine months ended September 30, |  |  | 2017 |  | 2016 |
| Interest rate futures | Net realized and unrealized gains on investments |  | $ | (4,064 | ) |  | $ | (27,775 | ) |
| Interest rate swaps | Net realized and unrealized gains on investments |  | 271 |  |  | — |  |
| Foreign currency forward contracts (1) | Net foreign exchange (losses) gains |  | 8,339 |  |  | (92 | ) |
| Foreign currency forward contracts (2) | Net foreign exchange (losses) gains |  | (940 | ) |  | (3,706 | ) |
| Credit default swaps | Net realized and unrealized gains on investments |  | (551 | ) |  | 902 |  |
| Total |  |  | $ | 3,055 |  |  | $ | (30,671 | ) |
(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 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

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 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_SummaryOfDerivativeInstrumentsAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration