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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 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 September 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 | $ | 3,642 |  |  | $ | 2,057 |  |  | $ | 1,585 |  |  | Other assets |  | $ | — |  |  | $ | 1,585 |  |
| Foreign currency forward contracts (1) | 3,235 |  |  | 695 |  |  | 2,540 |  |  | Other assets |  | — |  |  | 2,540 |  |
| Foreign currency forward contracts (2) | 1,100 |  |  | 413 |  |  | 687 |  |  | Other assets |  | — |  |  | 687 |  |
| Credit default swaps | 76 |  |  | — |  |  | 76 |  |  | Other assets |  | — |  |  | 76 |  |
| Total derivative instruments not designated as hedges | 8,053 |  |  | 3,165 |  |  | 4,888 |  |  |  |  | — |  |  | 4,888 |  |
| Derivative instruments designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Foreign currency forward contracts (3) | 4,744 |  |  | 3,210 |  |  | 1,534 |  |  | Other assets |  | — |  |  | 1,534 |  |
| Total | $ | 12,797 |  |  | $ | 6,375 |  |  | $ | 6,422 |  |  |  |  | $ | — |  |  | $ | 6,422 |  |
|  | Derivative Liabilities |
| At September 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 | $ | 2,410 |  |  | $ | 2,057 |  |  | $ | 353 |  |  | Other liabilities |  | $ | 353 |  |  | $ | — |  |
| Interest rate swaps | 54 |  |  | — |  |  | 54 |  |  | Other assets |  | 54 |  |  | — |  |
| Foreign currency forward contracts (1) | 6,885 |  |  | 998 |  |  | 5,887 |  |  | Other liabilities |  | — |  |  | 5,887 |  |
| Foreign currency forward contracts (2) | 1,364 |  |  | 413 |  |  | 951 |  |  | Other liabilities |  | — |  |  | 951 |  |
| Credit default swaps | 244 |  |  | — |  |  | 244 |  |  | Other assets |  | 244 |  |  | — |  |
| Total return swaps | 85 |  |  | — |  |  | 85 |  |  | Other assets |  | — |  |  | 85 |  |
| Total derivative instruments not designated as hedges | 11,042 |  |  | 3,468 |  |  | 7,574 |  |  |  |  | 651 |  |  | 6,923 |  |
| Derivative instruments designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Foreign currency forward contracts (3) | 581 |  |  | 260 |  |  | 321 |  |  | Other liabilities |  | — |  |  | 321 |  |
| Total | $ | 11,623 |  |  | $ | 3,728 |  |  | $ | 7,895 |  |  |  |  | $ | 651 |  |  | $ | 7,244 |  |
(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 net investments in foreign operations.
|  | 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 net investments in foreign 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, |  | 2020 |  | 2019 |
| Derivative instruments not designated as hedges |  |  |  |  |
| Interest rate futures | Net realized and unrealized gains on investments | $ | 4,985 |  |  | $ | 7,263 |  |
| Interest rate swaps | Net realized and unrealized gains on investments | 243 |  |  | 887 |  |
| Foreign currency forward contracts (1) | Net foreign exchange gains (losses) | 2,495 |  |  | (5,912) |  |
| Foreign currency forward contracts (2) | Net foreign exchange gains (losses) | (730) |  |  | 911 |  |
| Credit default swaps | Net realized and unrealized gains on investments | (87) |  |  | 65 |  |
| Total return swaps | Net realized and unrealized gains on investments | 1,227 |  |  | 1,960 |  |
| Equity futures | Net realized and unrealized gains on investments | (4,335) |  |  | 959 |  |
| Total derivative instruments not designated as hedges |  | 3,798 |  |  | 6,133 |  |
| Derivative instruments designated as hedges |  |  |  |  |
| Foreign currency forward contracts (3) | Accumulated other comprehensive loss | (1,957) |  |  | 3,264 |  |
| Total derivative instruments designated as hedges |  | (1,957) |  |  | 3,264 |  |
| Total |  | $ | 1,841 |  |  | $ | 9,397 |  |
|  | Location of gain (loss) recognized on derivatives | Amount of gain (loss) recognized on derivatives |
| Nine months ended September 30, |  | 2020 |  | 2019 |
| Derivative instruments not designated as hedges |  |  |  |  |
| Interest rate futures | Net realized and unrealized gains on investments | $ | 95,548 |  |  | $ | 35,570 |  |
| Interest rate swaps | Net realized and unrealized gains on investments | 2,852 |  |  | 2,071 |  |
| Foreign currency forward contracts (1) | Net foreign exchange gains (losses) | 9,073 |  |  | (13,086) |  |
| Foreign currency forward contracts (2) | Net foreign exchange gains (losses) | (1,943) |  |  | (1,370) |  |
| Credit default swaps | Net realized and unrealized gains on investments | (3,010) |  |  | 5,521 |  |
| Total return swaps | Net realized and unrealized gains on investments | (5,759) |  |  | 6,995 |  |
| Equity futures | Net realized and unrealized gains on investments | (30,045) |  |  | 11,946 |  |
| Total derivative instruments not designated as hedges |  | 66,716 |  |  | 47,647 |  |
| Derivative instruments designated as hedges |  |  |  |  |
| Foreign currency forward contracts (3) | Accumulated other comprehensive loss | 193 |  |  | 4,108 |  |
| Total derivative instruments designated as hedges |  | 193 |  |  | 4,108 |  |
| Total |  | $ | 66,909 |  |  | $ | 51,755 |  |
(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 net investments in foreign operations.
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 net investments in foreign operations, including the weighted average U.S. dollar equivalent of foreign denominated net (liabilities) assets that were hedged and the resulting derivative (losses) gains that are recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive (loss) income on the Company’s consolidated statements of changes in shareholders’ equity:
|  | Three months ended |  | Nine months ended |
|  | September 30, 2020 |  | September 30, 2019 |  | September 30, 2020 |  | September 30, 2019 |
| Weighted average of U.S. dollar equivalent of foreign denominated net (liabilities) assets | $ | (59,250) |  |  | $ | 79,538 |  |  | $ | 8,777 |  |  | $ | 80,303 |  |
| Derivative (losses) gains (1) | $ | (1,957) |  |  | $ | 3,264 |  |  | $ | 193 |  |  | $ | 4,108 |  |
(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) income on the Company’s consolidated statements of changes in shareholders’ equity.

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