Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2016

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, including the location on the consolidated balance sheets and fair value of the Company’s principal derivative instruments:

	Derivative Assets
At September 30, 2016	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
Interest rate futures	$	2,781	1,645		$	1,136	Other assets	$	—	$	1,136
Foreign currency forward contracts (1)	4,677		508		4,169		Other assets	—		4,169
Foreign currency forward contracts (2)	244		168		76		Other assets	—		76
Credit default swaps	1,107		106		1,001		Other assets	420		581
Total	$	8,809	$	2,427	$	6,382		$	420	$	5,962
	Derivative Liabilities
At September 30, 2016	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
Interest rate futures	$	1,865	1,645		$	220	Other liabilities	$	220	$	—
Foreign currency forward contracts (1)	1,129		—		1,129		Other liabilities	—		1,129
Foreign currency forward contracts (2)	200		168		32		Other liabilities	—		32
Credit default swaps	425		106		319		Other liabilities	199		120
Total	$	3,619	$	1,919	$	1,700		$	419	$	1,281

(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.

	Derivative Assets
At December 31, 2015	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
Interest rate futures	$	1,059	937		$	122	Other assets	$	—	$	122
Foreign currency forward contracts (1)	4,645		82		4,563		Other assets	—		4,563
Foreign currency forward contracts (2)	1,007		599		408		Other assets	—		408
Credit default swaps	257		44		213		Other assets	—		213
Total	$	6,968	$	1,662	$	5,306		$	—	$	5,306
	Derivative Liabilities
At December 31, 2015	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
Interest rate futures	$	2,293	937		$	1,356	Other liabilities	$	1,356	$	—
Foreign currency forward contracts (1)	1,891		81		1,810		Other liabilities	—		1,810
Foreign currency forward contracts (2)	806		599		207		Other liabilities	—		207
Credit default swaps	491		44		447		Other liabilities	447		—
Total	$	5,481	$	1,661	$	3,820		$	1,803	$	2,017

(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.

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,		2016			2015
Interest rate futures	Net realized and unrealized gains (losses) on investments	$	1,040		$	(16,817	)
Foreign currency forward contracts (1)	Net foreign exchange (losses) gains	5,097			817
Foreign currency forward contracts (2)	Net foreign exchange (losses) gains	(489		)	2,185
Credit default swaps	Net realized and unrealized gains (losses) on investments	687			195
Weather contract	Net realized and unrealized gains (losses) on investments	—			10
Total		$	6,335		$	(13,610	)

	Location of gain (loss) recognized on derivatives	Amount of gain (loss) recognized on derivatives
Nine months ended September 30,		2016			2015
Interest rate futures	Net realized and unrealized gains (losses) on investments	$	(27,775	)	$	(1,441	)
Foreign currency forward contracts (1)	Net foreign exchange (losses) gains	(92		)	(5,782		)
Foreign currency forward contracts (2)	Net foreign exchange (losses) gains	(3,706		)	7,978
Credit default swaps	Net realized and unrealized gains (losses) on investments	902			257
Weather contract	Net realized and unrealized gains (losses) on investments	—			180
Total		$	(30,671	)	$	1,192

(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.