Derivative Instruments (Tables)

9 Months Ended

Sep. 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 September 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	$	175	$	145	$	30	Other assets	$	—	$	30
Interest rate swaps	5		—		5		Other assets	—		5
Foreign currency forward contracts (1)	21,822		—		21,822		Other assets	—		21,822
Foreign currency forward contracts (2)	1,105		368		737		Other assets	—		737
Credit default swaps	209		—		209		Other assets	—		209
Total return swaps	1,177		—		1,177		Other assets	—		1,177
Equity futures	555		—		555		Other assets	—		555
Total derivative instruments not designated as hedges	25,048		513		24,535			—		24,535
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	1,072		—		1,072		Other assets	—		1,072
Total derivative instruments designated as hedges	1,072		—		1,072			—		1,072
Total	$	26,120	$	513	$	25,607		$	—	$	25,607




	Derivative Liabilities
At September 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	$	518	$	145	$	373		Other liabilities	$	373	$	—
Interest rate swaps	16		—		16			Other liabilities	16		—
Foreign currency forward contracts (1)	6,676		497		6,179			Other liabilities	—		6,179
Foreign currency forward contracts (2)	1,078		368		710			Other liabilities	—		710
Total return swaps	180		—		180			Other liabilities	—		180
Total derivative instruments not designated as hedges	8,468		1,010		7,458				389		7,069
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	—		416		(416		)	Other liabilities	—		(416		)
Total	$	8,468	$	1,426	$	7,042			$	389	$	6,653


(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 September 30,		2019			2018
Derivative instruments not designated as hedges
Interest rate futures	Net realized and unrealized gains (losses) on investments	$	7,199		$	2,731
Interest rate swaps	Net realized and unrealized gains (losses) on investments	887			(6		)
Foreign currency forward contracts (1)	Net foreign exchange losses	(5,912		)	(2,596		)
Foreign currency forward contracts (2)	Net foreign exchange losses	911			650
Credit default swaps	Net realized and unrealized gains (losses) on investments	65			(191		)
Total return swaps	Net realized and unrealized gains (losses) on investments	1,960			—
Equity futures	Net realized and unrealized gains (losses) on investments	1,023			29
Total derivative instruments not designated as hedges		6,133			617
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	Accumulated other comprehensive income (loss)	3,264			—
Total		$	9,397		$	617



	Location of gain (loss) recognized on derivatives	Amount of gain (loss) recognized on derivatives
Nine months ended September 30,		2019			2018
Derivative instruments not designated as hedges
Interest rate futures	Net realized and unrealized gains (losses) on investments	$	35,136		$	292
Interest rate swaps	Net realized and unrealized gains (losses) on investments	2,071			129
Foreign currency forward contracts (1)	Net foreign exchange losses	(13,086		)	(2,227		)
Foreign currency forward contracts (2)	Net foreign exchange losses	(1,370		)	1,302
Credit default swaps	Net realized and unrealized gains (losses) on investments	5,521			(1,228		)
Total return swaps	Net realized and unrealized gains (losses) on investments	6,995			—
Equity futures	Net realized and unrealized gains (losses) on investments	12,380			44
Total derivative instruments not designated as hedges		47,647			(1,688		)
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	Accumulated other comprehensive income (loss)	4,108			—
Total		$	51,755		$	(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.


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

Schedule 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				Nine months ended
	September 30, 2019		September 30, 2018		September 30, 2019		September 30, 2018
Weighted average of U.S. dollar equivalent of foreign denominated net assets	$	79,538	$	—	$	80,303	$	—
Derivative gains (1)	$	3,264	$	—	$	4,108	$	—

(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.