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Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2018

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, 2018	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	$	81			81				$	—			Other assets		$	—			$	—
	Interest rate swaps	573				—				573				Other assets		—				573
	Foreign currency forward contracts (1)	6,687				—				6,687				Other assets		—				6,687
	Foreign currency forward contracts (2)	1,759				5				1,754				Other assets		—				1,754
	Credit default swaps	462				—				462				Other assets		—				462
	Total	$	9,562			$	86			$	9,476					$	—			$	9,476
		Derivative Liabilities
	At June 30, 2018	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	$	176			81				$	95			Other liabilities		$	95			$	—
	Foreign currency forward contracts (1)	13,100				2,146				10,954				Other liabilities		—				10,954
	Foreign currency forward contracts (2)	593				5				588				Other liabilities		—				588
	Total	$	13,869			$	2,232			$	11,637					$	95			$	11,542

(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, 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	$	684			524				$	160			Other assets		$	—			$	160
	Interest rate swaps	424				—				424				Other assets		—				424
	Foreign currency forward contracts (1)	3,865				358				3,507				Other assets		—				3,507
	Foreign currency forward contracts (2)	39				11				28				Other assets		—				28
	Credit default swaps	1,518				—				1,518				Other assets		—				1,518
	Total	$	6,530			$	893			$	5,637					$	—			$	5,637
		Derivative Liabilities
	At December 31, 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	$	729			524				$	205			Other liabilities		$	205			$	—
	Foreign currency forward contracts (1)	670				—				670				Other liabilities		—				670
	Foreign currency forward contracts (2)	115				11				104				Other liabilities		—				104
	Credit default swaps	22				—				22				Other liabilities		22				—
	Total	$	1,536			$	535			$	1,001					$	227			$	774

(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,			2018				2017
	Interest rate futures	Net realized and unrealized (losses) gains on investments		$	(87	)		$	(890	)
	Interest rate swaps	Net realized and unrealized (losses) gains on investments		241				—
	Foreign currency forward contracts (1)	Net foreign exchange (losses) gains		(6,374		)		5,223
	Foreign currency forward contracts (2)	Net foreign exchange (losses) gains		1,343				(267		)
	Credit default swaps	Net realized and unrealized (losses) gains on investments		884				622
	Total			$	(3,993	)		$	4,688
		Location of gain (loss) recognized on derivatives		Amount of gain (loss) recognized on derivatives
	Six months ended June 30,			2018				2017
	Interest rate futures	Net realized and unrealized (losses) gains on investments		$	(2,424	)		$	(1,048	)
	Interest rate swaps	Net realized and unrealized (losses) gains on investments		135				—
	Foreign currency forward contracts (1)	Net foreign exchange (losses) gains		369				6,283
	Foreign currency forward contracts (2)	Net foreign exchange (losses) gains		652				(900		)
	Credit default swaps	Net realized and unrealized (losses) gains on investments		(1,037		)		724
	Total			$	(2,305	)		$	5,059

(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

No definition available.

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