Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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
Derivative instruments not designated as hedges
Interest rate futures	$	87	$	85	$	2	Other assets	$	—	$	2
Interest rate swaps	8		—		8		Other assets	—		8
Foreign currency forward contracts (1)	4,980		379		4,601		Other assets	—		4,601
Foreign currency forward contracts (2)	199		199		—		Other assets	—		—
Credit default swaps	115		—		115		Other assets	—		115
Total return swaps	6,550		—		6,550		Other assets	—		6,550
Equity futures	3		—		3		Other assets	—		3
Total	$	11,942	$	663	$	11,279		$	—	$	11,279

	Derivative Liabilities
At June 30, 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
Derivative instruments not designated as hedges
Interest rate futures	$	294	$	85	$	209	Other liabilities	$	205	$	4
Interest rate swaps	26		—		26		Other liabilities	26		—
Foreign currency forward contracts (1)	8,857		—		8,857		Other liabilities	—		8,857
Foreign currency forward contracts (2)	453		199		254		Other liabilities	—		254
Total derivative instruments not designated as hedges	9,630		284		9,346			231		9,115
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	1,379		—		1,379		Other liabilities	—		1,379
Total	$	11,009	$	284	$	10,725		$	231	$	10,494


(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.


(3)	Contracts designated as hedges of a net investment in a foreign operation.




	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
Derivative instruments not designated as hedges
Interest rate futures	$	971	636		$	335	Other assets	$	—	$	335
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
Equity futures	1,390		977		413		Other assets	—		413
Total	$	22,874	$	3,944	$	18,930		$	—	$	18,930

	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
Derivative instruments not designated as hedges
Interest rate futures	$	910	636		$	273	Other liabilities	$	273	$	—
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
Equity futures	977		977		—		Other liabilities	—		—
Total	$	8,225	$	1,684	$	6,540		$	2,132	$	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 June 30,		2019			2018
Derivative instruments not designated as hedges
Interest rate futures	Net realized and unrealized gains (losses) on investments	$	23,077		$	(115	)
Interest rate swaps	Net realized and unrealized gains (losses) on investments	835			241
Foreign currency forward contracts (1)	Net foreign exchange gains (losses)	(11,616		)	(6,374		)
Foreign currency forward contracts (2)	Net foreign exchange gains (losses)	590			1,343
Credit default swaps	Net realized and unrealized gains (losses) on investments	1,046			884
Total return swaps	Net realized and unrealized gains (losses) on investments	4,501			—
Equity futures	Net realized and unrealized gains (losses) on investments	7,714			28
Total derivative instruments not designated as hedges		26,147			(3,993		)
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	Accumulated other comprehensive loss	844			—
Total		$	26,991		$	(3,993	)



	Location of gain (loss) recognized on derivatives	Amount of gain (loss) recognized on derivatives
Six months ended June 30,		2019			2018
Derivative instruments not designated as hedges
Interest rate futures	Net realized and unrealized gains (losses) on investments	$	29,307		$	(2,439	)
Interest rate swaps	Net realized and unrealized gains (losses) on investments	1,184			135
Foreign currency forward contracts (1)	Net foreign exchange gains (losses)	(7,174		)	369
Foreign currency forward contracts (2)	Net foreign exchange gains (losses)	(2,281		)	652
Credit default swaps	Net realized and unrealized gains (losses) on investments	5,456			(1,037		)
Total return swaps	Net realized and unrealized gains (losses) on investments	5,035			—
Equity futures	Net realized and unrealized gains (losses) on investments	9,987			15
Total derivative instruments not designated as hedges		41,514			(2,305		)
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	Accumulated other comprehensive loss	844			—
Total		$	42,358		$	(2,305	)


(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.


(3)	Contracts designated as hedges of a net investment in a foreign operation.

Summary of Derivative Instruments Designated as Hedges of a Net Investment in a Foreign Operation

The table below provides a summary of derivative instruments designated as hedges of a net investment in a foreign operation, including the weighted average U.S. dollar equivalent of foreign denominated net assets that were hedged and the resulting derivative gain that was recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive loss on the Company’s consolidated statements of changes in shareholders’ equity:




	Three months ended				Six months ended
	June 30, 2019		June 30, 2018		June 30, 2019		June 30, 2018
Weighted average of U.S. dollar equivalent of foreign denominated net assets	$	80,037	$	—	$	80,037	$	—
Derivative gains (1)	$	844	$	—	$	844	$	—

(1)

Derivative gains from derivative instruments designated as hedges of the net investment in a foreign operation are recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive loss on the Company’s consolidated statements of changes in shareholders’ equity.