XML 44 R33.htm IDEA: XBRL DOCUMENT v3.10.0.1

Derivative Instruments (Tables)

9 Months Ended

Sep. 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 September 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	$	438			184				$	254			Other assets		$	—			$	254
	Interest rate swaps	782				—				782				Other assets		—				782
	Foreign currency forward contracts (1)	6,547				—				6,547				Other assets		—				6,547
	Foreign currency forward contracts (2)	1,416				40				1,376				Other assets		—				1,376
	Credit default swaps	277				—				277				Other assets		—				277
	Total	$	9,460			$	224			$	9,236					$	—			$	9,236
		Derivative Liabilities
	At September 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	$	189			184				$	5			Other liabilities		$	5			$	—
	Interest rate swaps	232				—				232				Other liabilities		232				—
	Foreign currency forward contracts (1)	7,272				504				6,768				Other liabilities		—				6,768
	Foreign currency forward contracts (2)	663				40				623				Other liabilities		—				623
	Credit default swaps	14				—				14				Other liabilities		—				14
	Total	$	8,370			$	728			$	7,642					$	237			$	7,405

(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 September 30,			2018				2017
	Interest rate futures	Net realized and unrealized gains (losses) on investments		$	2,760			$	(3,016	)
	Interest rate swaps	Net realized and unrealized gains (losses) on investments		(6		)		271
	Foreign currency forward contracts (1)	Net foreign exchange (losses) gains		(2,596		)		2,056
	Foreign currency forward contracts (2)	Net foreign exchange (losses) gains		650				(40		)
	Credit default swaps	Net realized and unrealized gains (losses) on investments		(191		)		(1,275		)
	Total			$	617			$	(2,004	)
		Location of gain (loss) recognized on derivatives		Amount of gain (loss) recognized on derivatives
	Nine months ended September 30,			2018				2017
	Interest rate futures	Net realized and unrealized gains (losses) on investments		$	336			$	(4,064	)
	Interest rate swaps	Net realized and unrealized gains (losses) on investments		129				271
	Foreign currency forward contracts (1)	Net foreign exchange (losses) gains		(2,227		)		8,339
	Foreign currency forward contracts (2)	Net foreign exchange (losses) gains		1,302				(940		)
	Credit default swaps	Net realized and unrealized gains (losses) on investments		(1,228		)		(551		)
	Total			$	(1,688	)		$	3,055

(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/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4E
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624181-113959

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5618551-113959

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959

+ 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://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=109980867&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