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Derivative Instruments (Tables)

9 Months Ended

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.

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=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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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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