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Derivative Instruments (Tables)

9 Months Ended

Sep. 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 September 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 Received						Net Amount
			Derivative instruments not designated as hedges
			Interest rate futures			$	1,156					$	—					$	1,156					Other assets						$	—					$	1,156
			Interest rate swaps			11						—						11						Other assets						—						11
			Foreign currency forward contracts (1)			9,464						—						9,464						Other assets						—						9,464
			Foreign currency forward contracts (2)			1,782						—						1,782						Other assets						—						1,782
			Total derivative instruments not designated as hedges			12,413						—						12,413												—						12,413
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			2,304						—						2,304						Other assets						—						2,304
			Total			$	14,717					$	—					$	14,717											$	—					$	14,717
						Derivative Liabilities
			At September 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			$	446					$	—					$	446					Other liabilities						$	446					$	—
			Foreign currency forward contracts (1)			18,366						—						18,366						Other liabilities						—						18,366
			Foreign currency forward contracts (2)			3,402						—						3,402						Other assets						—						3,402
			Credit default swaps			57						—						57						Other assets						57						—
			Total return swaps			258						—						258						Other assets						258						—
			Total derivative instruments not designated as hedges			22,529						—						22,529												761						21,768
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			2,675						—						2,675						Other liabilities						—						2,675
			Total			$	25,204					$	—					$	25,204											$	761					$	24,443

(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 Received						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 September 30,						2021						2020
			Derivative instruments not designated as hedges
			Interest rate futures			Net realized and unrealized (losses) gains on investments			$	(2,767)					$	4,985
			Interest rate swaps			Net realized and unrealized (losses) gains on investments			9						243
			Foreign currency forward contracts (1)			Net foreign exchange (losses) gains			(11,367)						2,495
			Foreign currency forward contracts (2)			Net foreign exchange (losses) gains			3,825						(730)
			Credit default swaps			Net realized and unrealized (losses) gains on investments			366						(87)
			Total return swaps			Net realized and unrealized (losses) gains on investments			336						1,227
			Equity futures			Net realized and unrealized (losses) gains on investments			—						(4,335)
			Total derivative instruments not designated as hedges						(9,598)						3,798
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive loss			447						(1,957)
			Total derivative instruments designated as hedges						447						(1,957)
			Total						$	(9,151)					$	1,841
						Location of gain (loss) recognized on derivatives			Amount of gain (loss) recognized on derivatives
			Nine months ended September 30,						2021						2020
			Derivative instruments not designated as hedges
			Interest rate futures			Net realized and unrealized (losses) gains on investments			$	1,445					$	95,548
			Interest rate swaps			Net realized and unrealized (losses) gains on investments			(970)						2,852
			Foreign currency forward contracts (1)			Net foreign exchange (losses) gains			(14,768)						9,073
			Foreign currency forward contracts (2)			Net foreign exchange (losses) gains			(3,076)						(1,943)
			Credit default swaps			Net realized and unrealized (losses) gains on investments			1,790						(3,010)
			Total return swaps			Net realized and unrealized (losses) gains on investments			1,211						(5,759)
			Equity futures			Net realized and unrealized (losses) gains on investments			—						(30,045)
			Total derivative instruments not designated as hedges						(14,368)						66,716
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive loss			795						193
			Total derivative instruments designated as hedges						795						193
			Total						$	(13,573)					$	66,909

(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 gains (losses) 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												Nine months ended
						September 30, 2021						September 30, 2020						September 30, 2021						September 30, 2020
			Weighted average of U.S. dollar equivalent of foreign denominated net (liabilities) assets			$	(895)					$	(59,250)					$	(49,057)					$	8,777
			Derivative gains (losses) (1)			$	447					$	(1,957)					$	795					$	193

(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 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=125515794&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=125515794&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=125515794&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=125515794&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=125515794&loc=SL109998896-113959

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