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Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2019

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 March 31, 2019	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	$	1,263			1,206				$	57			Other assets		$	—			$	57
	Interest rate swaps	6				—				6				Other assets		—				6
	Foreign currency forward contracts (1)	10,490				152				10,338				Other assets		—				10,338
	Foreign currency forward contracts (2)	743				64				679				Other assets		—				679
	Credit default swaps	121				—				121				Other assets		—				121
	Total return swaps	600				—				600				Other assets		—				600
	Total	$	13,223			$	1,422			$	11,801					$	—			$	11,801
		Derivative Liabilities
	At March 31, 2019	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	$	3,330			1,206				$	2,124			Other liabilities		$	2,113			$	11
	Interest rate swaps	71				—				71				Other liabilities		71				—
	Foreign currency forward contracts (1)	3,011				103				2,908				Other liabilities		—				2,908
	Foreign currency forward contracts (2)	945				64				881				Other liabilities		—				881
	Total	$	7,357			$	1,373			$	5,984					$	2,184			$	3,800

(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, 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	$	2,361			1,660				$	701			Other assets		$	—			$	701
	Interest rate swaps	860				—				860				Other assets		—				860
	Foreign currency forward contracts (1)	16,459				2,260				14,199				Other assets		—				14,199
	Foreign currency forward contracts (2)	3,194				71				3,123				Other assets		—				3,123
	Total	$	22,874			$	3,991			$	18,883					$	—			$	18,883
		Derivative Liabilities
	At December 31, 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	$	1,887			1,670				$	217			Other liabilities		$	217			$	—
	Interest rate swaps	506				—				506				Other liabilities		254				252
	Foreign currency forward contracts (1)	4,154				—				4,154				Other liabilities		—				4,154
	Foreign currency forward contracts (2)	72				71				1				Other liabilities		—				1
	Credit default swaps	1,606				—				1,606				Other liabilities		1,605				1
	Total	$	8,225			$	1,741			$	6,484					$	2,076			$	4,408

(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 March 31,			2019				2018
	Interest rate futures	Net realized and unrealized gains (losses) on investments		$	8,503			$	(2,337	)
	Interest rate swaps	Net realized and unrealized gains (losses) on investments		349				(106		)
	Foreign currency forward contracts (1)	Net foreign exchange (losses) gains		4,442				6,743
	Foreign currency forward contracts (2)	Net foreign exchange (losses) gains		1,145				(691		)
	Credit default swaps	Net realized and unrealized gains (losses) on investments		4,410				(1,921		)
	Total return swaps	Net realized and unrealized gains (losses) on investments		534				—
	Total			$	19,383			$	1,688

(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

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- 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

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