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Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2020

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, 2020			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			$	492					$	(932)					$	1,424					Other assets						$	—					$	1,424
			Foreign currency forward contracts (1)			16,104						3,366						12,738						Other assets						—						12,738
			Foreign currency forward contracts (2)			209						76						133						Other assets						—						133
			Credit default swaps			261						—						261						Other assets						—						261
			Total derivative instruments not designated as hedges			17,066						2,510						14,556												—						14,556
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			—						3,953						(3,953)						Other assets						—						(3,953)
			Total			$	17,066					$	6,463					$	10,603											$	—					$	10,603
						Derivative Liabilities
			At June 30, 2020			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			$	196					$	(932)					$	1,128					Other liabilities						$	1,128					$	—
			Interest rate swaps			37						—						37						Other assets						37						—
			Foreign currency forward contracts (1)			2,102						967						1,135						Other liabilities						—						1,135
			Foreign currency forward contracts (2)			2,919						76						2,843						Other liabilities						—						2,843
			Credit default swaps			—						—						—						Other assets						—						—
			Total return swaps			779						—						779						Other assets						779						—
			Equity futures			606						—						606						Other liabilities						606						—
			Total			$	6,639					$	111					$	6,528											$	2,550					$	3,978

(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, 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			$	234					$	122					$	112					Other assets						$	—					$	112
			Foreign currency forward contracts (1)			22,702						2,418						20,284						Other assets						—						20,284
			Foreign currency forward contracts (2)			1,082						622						460						Other assets						—						460
			Credit default swaps			37						—						37						Other assets						—						37
			Total return swaps			3,744						—						3,744						Other assets						3,601						143
			Equity futures			291						—						291						Other assets						—						291
			Total derivative instruments not designated as hedges			28,090						3,162						24,928												3,601						21,327
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			64						667						(603)						Other assets						—						(603)
			Total			$	28,154					$	3,829					$	24,325											$	3,601					$	20,724
						Derivative Liabilities
			At December 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
			Derivative instruments not designated as hedges
			Interest rate futures			$	1,545					$	122					$	1,423					Other liabilities						$	1,423					$	—
			Interest rate swaps			50						—						50						Other liabilities						50						—
			Foreign currency forward contracts (1)			3,808						28						3,780						Other liabilities						—						3,780
			Foreign currency forward contracts (2)			939						622						317						Other liabilities						—						317
			Total derivative instruments not designated as hedges			6,342						772						5,570												1,473						4,097
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			1,818						—						1,818						Other liabilities						—						1,818
			Total			$	8,160					$	772					$	7,388											$	1,473					$	5,915

(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 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,						2020						2019
			Derivative instruments not designated as hedges
			Interest rate futures			Net realized and unrealized gains on investments			$	2,557					$	22,253
			Interest rate swaps			Net realized and unrealized gains on investments			502						835
			Foreign currency forward contracts (1)			Net foreign exchange (losses) gains			6,908						(11,616)
			Foreign currency forward contracts (2)			Net foreign exchange (losses) gains			(7,613)						590
			Credit default swaps			Net realized and unrealized gains on investments			1,974						1,046
			Total return swaps			Net realized and unrealized gains on investments			14,151						4,501
			Equity futures			Net realized and unrealized gains on investments			5,188						8,538
			Total derivative instruments not designated as hedges						23,667						26,147
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive loss			(8,694)						844
			Total derivative instruments designated as hedges						(8,694)						844
			Total						$	14,973					$	26,991
						Location of gain (loss) recognized on derivatives			Amount of gain (loss) recognized on derivatives
			Six months ended June 30,						2020						2019
			Derivative instruments not designated as hedges
			Interest rate futures			Net realized and unrealized gains on investments			$	90,563					$	28,307
			Interest rate swaps			Net realized and unrealized gains on investments			2,609						1,184
			Foreign currency forward contracts (1)			Net foreign exchange (losses) gains			6,578						(7,174)
			Foreign currency forward contracts (2)			Net foreign exchange (losses) gains			(1,213)						(2,281)
			Credit default swaps			Net realized and unrealized gains on investments			(2,923)						5,456
			Total return swaps			Net realized and unrealized gains on investments			(6,986)						5,035
			Equity futures			Net realized and unrealized gains on investments			(25,710)						10,987
			Total derivative instruments not designated as hedges						62,918						41,514
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive loss			2,150						844
			Total derivative instruments designated as hedges						2,150						844
			Total						$	65,068					$	42,358

(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																		Six months ended
						June 30, 2020						June 30, 2019						June 30, 2020						June 30, 2019
			Weighted average of U.S. dollar equivalent of foreign denominated net assets			$	74,451					$	80,037					$	77,683					$	80,037
			Derivative (losses) gains (1)			$	(8,694)					$	844					$	2,150					$	844

(1) Derivative (losses) 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.

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- 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=121590274&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=121590274&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=121590274&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=121590274&loc=SL5624163-113959

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- Definition

Tabular disclosure of the effective portion of gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in net investment hedges recorded in accumulated other comprehensive income (loss) during the term of the hedging relationship and reclassified into earnings during the current period.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4CCC
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL109998896-113959

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