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Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2021

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 March 31, 2021			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			$	2,317					$	—					$	2,317					Other assets						$	—					$	2,317
			Interest rate swaps			232						—						232						Other assets						—						232
			Foreign currency forward contracts (1)			13,064						—						13,064						Other assets						—						13,064
			Foreign currency forward contracts (2)			2,750						143						2,607						Other assets						—						2,607
			Credit default swaps			211						—						211						Other assets						—						211
			Total derivative instruments not designated as hedges			18,574						143						18,431												—						18,431
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			2,018						—						2,018						Other assets						—						2,018
			Total			$	20,592					$	143					$	20,449											$	—					$	20,449
						Derivative Liabilities
			At March 31, 2021			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			$	2,494					$	—					$	2,494					Other liabilities						$	2,494					$	—
			Foreign currency forward contracts (1)			17,573						—						17,573						Other liabilities						—						17,573
			Foreign currency forward contracts (2)			4,175						143						4,032						Other liabilities						—						4,032
			Total derivative instruments not designated as hedges			24,242						143						24,099												2,494						21,605
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			2,365						—						2,365						Other liabilities						—						2,365
			Total			$	26,607					$	143					$	26,464											$	2,494					$	23,970

(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, 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			$	1,019					$	863					$	156					Other assets						$	—					$	156
			Interest rate swaps			22						—						22						Other assets						—						22
			Foreign currency forward contracts (1)			23,055						184						22,871						Other assets						—						22,871
			Foreign currency forward contracts (2)			2,232						69						2,163						Other assets						—						2,163
			Credit default swaps			68						—						68						Other assets						—						68
			Total derivative instruments not designated as hedges			26,396						1,116						25,280												—						25,280
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			19,953						—						19,953						Other assets						—						19,953
			Total			$	46,349					$	1,116					$	45,233											$	—					$	45,233
						Derivative Liabilities
			At December 31, 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			$	1,430					$	863					$	567					Other liabilities						$	567					$	—
			Foreign currency forward contracts (1)			12,791						—						12,791						Other liabilities						—						12,791
			Foreign currency forward contracts (2)			3,919						69						3,850						Other liabilities						1,053						2,797
			Total derivative instruments not designated as hedges			18,140						932						17,208												1,620						15,588
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			5,152						—						5,152						Other liabilities						—						5,152
			Total			$	23,292					$	932					$	22,360											$	1,620					$	20,740

(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 March 31						2021						2020
			Derivative instruments not designated as hedges
			Interest rate futures			Net realized and unrealized losses on investments			$	15,507					$	88,006
			Interest rate swaps			Net realized and unrealized losses on investments			(901)						2,107
			Foreign currency forward contracts (1)			Net foreign exchange losses			(3,641)						(330)
			Foreign currency forward contracts (2)			Net foreign exchange losses			(5,061)						6,400
			Credit default swaps			Net realized and unrealized losses on investments			255						(4,897)
			Total return swaps			Net realized and unrealized losses on investments			—						(21,137)
			Equity futures			Net realized and unrealized losses on investments			—						(30,898)
			Total derivative instruments not designated as hedges						6,159						39,251
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive loss			(2,089)						10,844
			Total derivative instruments designated as hedges						(2,089)						10,844
			Total						$	4,070					$	50,095

(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
																		March 31, 2021						March 31, 2020
			Weighted average of U.S. dollar equivalent of foreign denominated net (liabilities) assets															$	(97,219)					$	76,804
			Derivative (losses) gains (1)															$	(2,089)					$	10,844

(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) income 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

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-SubTopic 10
-Section 50
-Paragraph 4A
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-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

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
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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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