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Derivative Instruments (Tables) | 6 Months Ended
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Jun. 30, 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 June 30, 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 | $ | 837 |  |  | $ | — |  |  | $ | 837 |  |  | Other assets |  | $ | — |  |  | $ | 837 |  |
| Interest rate swaps | 21 |  |  | — |  |  | 21 |  |  | Other assets |  | — |  |  | 21 |  |
| Foreign currency forward contracts (1) | 4,089 |  |  | — |  |  | 4,089 |  |  | Other assets |  | — |  |  | 4,089 |  |
| Foreign currency forward contracts (2) | 1,355 |  |  | — |  |  | 1,355 |  |  | Other assets |  | — |  |  | 1,355 |  |
| Credit default swaps | 95 |  |  | — |  |  | 95 |  |  | Other assets |  | — |  |  | 95 |  |
| Total return swaps | 327 |  |  | — |  |  | 327 |  |  | Other assets |  | — |  |  | 327 |  |
| Total derivative instruments not designated as hedges | 6,724 |  |  | — |  |  | 6,724 |  |  |  |  | — |  |  | 6,724 |  |
| Derivative instruments designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Foreign currency forward contracts (3) | 3,312 |  |  | 571 |  |  | 2,741 |  |  | Other assets |  | — |  |  | 2,741 |  |
| Total | $ | 10,036 |  |  | $ | 571 |  |  | $ | 9,465 |  |  |  |  | $ | — |  |  | $ | 9,465 |  |
|  | Derivative Liabilities |
| At June 30, 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 | $ | 1,281 |  |  | $ | — |  |  | $ | 1,281 |  |  | Other liabilities |  | $ | 1,281 |  |  | $ | — |  |
| Foreign currency forward contracts (1) | 10,185 |  |  | 1,497 |  |  | 8,688 |  |  | Other liabilities |  | — |  |  | 8,688 |  |
| Foreign currency forward contracts (2) | 5,296 |  |  | — |  |  | 5,296 |  |  | Other liabilities |  | — |  |  | 5,296 |  |
| Total derivative instruments not designated as hedges | 16,762 |  |  | 1,497 |  |  | 15,265 |  |  |  |  | 1,281 |  |  | 13,984 |  |
| Derivative instruments designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
| Foreign currency forward contracts (3) | 365 |  |  | — |  |  | 365 |  |  | Other liabilities |  | — |  |  | 365 |  |
| Total | $ | 17,127 |  |  | $ | 1,497 |  |  | $ | 15,630 |  |  |  |  | $ | 1,281 |  |  | $ | 14,349 |  |
(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 June 30 |  | 2021 |  | 2020 |
| Derivative instruments not designated as hedges |  |  |  |  |
| Interest rate futures | Net realized and unrealized gains (losses) on investments | $ | (11,295) |  |  | $ | 2,557 |  |
| Interest rate swaps | Net realized and unrealized gains (losses) on investments | (78) |  |  | 502 |  |
| Foreign currency forward contracts (1) | Net foreign exchange gains (losses) | 240 |  |  | 6,908 |  |
| Foreign currency forward contracts (2) | Net foreign exchange gains (losses) | (1,840) |  |  | (7,613) |  |
| Credit default swaps | Net realized and unrealized gains (losses) on investments | 1,169 |  |  | 1,974 |  |
| Total return swaps | Net realized and unrealized gains (losses) on investments | 875 |  |  | 14,151 |  |
| Equity futures | Net realized and unrealized gains (losses) on investments | — |  |  | 5,188 |  |
| Total derivative instruments not designated as hedges |  | (10,929) |  |  | 23,667 |  |
| Derivative instruments designated as hedges |  |  |  |  |
| Foreign currency forward contracts (3) | Accumulated other comprehensive loss | 2,437 |  |  | (8,694) |  |
| Total derivative instruments designated as hedges |  | 2,437 |  |  | (8,694) |  |
| Total |  | $ | (8,492) |  |  | $ | 14,973 |  |
|  | Location of gain (loss) recognized on derivatives | Amount of gain (loss) recognized on derivatives |
| Six months ended June 30 |  | 2021 |  | 2020 |
| Derivative instruments not designated as hedges |  |  |  |  |
| Interest rate futures | Net realized and unrealized gains (losses) on investments | $ | 4,212 |  |  | $ | 90,563 |  |
| Interest rate swaps | Net realized and unrealized gains (losses) on investments | (979) |  |  | 2,609 |  |
| Foreign currency forward contracts (1) | Net foreign exchange gains (losses) | (3,401) |  |  | 6,578 |  |
| Foreign currency forward contracts (2) | Net foreign exchange gains (losses) | (6,901) |  |  | (1,213) |  |
| Credit default swaps | Net realized and unrealized gains (losses) on investments | 1,424 |  |  | (2,923) |  |
| Total return swaps | Net realized and unrealized gains (losses) on investments | 875 |  |  | (6,986) |  |
| Equity futures | Net realized and unrealized gains (losses) on investments | — |  |  | (25,710) |  |
| Total derivative instruments not designated as hedges |  | (4,770) |  |  | 62,918 |  |
| Derivative instruments designated as hedges |  |  |  |  |
| Foreign currency forward contracts (3) | Accumulated other comprehensive loss | 348 |  |  | 2,150 |  |
| Total derivative instruments designated as hedges |  | 348 |  |  | 2,150 |  |
| Total |  | $ | (4,422) |  |  | $ | 65,068 |  |
(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 on the Company’s consolidated statements of changes in shareholders’ equity:
|  | Three months ended |  | Six months ended |
|  | June 30, 2021 |  | June 30, 2020 |  | June 30, 2021 |  | June 30, 2020 |
| Weighted average of U.S. dollar equivalent of foreign denominated net (liabilities) assets | $ | 58,876 |  |  | $ | 74,451 |  |  | $ | (48,790) |  |  | $ | 77,683 |  |
| Derivative gains (losses) (1) | $ | 2,437 |  |  | $ | (8,694) |  |  | $ | 348 |  |  | $ | 2,150 |  |
(1) Derivative gains (losses) 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 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=125515794&loc=SL109998896-113959 + Details
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