Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2017

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, 2017	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	$	1,011	939		$	72	Other assets	$	—	$	72
Foreign currency forward contracts (1)	607		—		607		Other assets	—		607
Foreign currency forward contracts (2)	560		403		157		Other assets	—		157
Credit default swaps	1,407		16		1,391		Other assets	—		1,391
Total	$	3,585	$	1,358	$	2,227		$	—	$	2,227
	Derivative Liabilities
At March 31, 2017	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	$	1,064	939		$	125	Other liabilities	$	125	$	—
Foreign currency forward contracts (1)	3,203		168		3,035		Other liabilities	—		3,035
Foreign currency forward contracts (2)	952		403		549		Other liabilities	—		549
Credit default swaps	286		16		270		Other liabilities	—		270
Total	$	5,505	$	1,526	$	3,979		$	125	$	3,854

(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, 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	$	1,384	1,235		$	149	Other assets	$	—	$	149
Foreign currency forward contracts (1)	774		—		774		Other assets	—		774
Foreign currency forward contracts (2)	621		447		174		Other assets	—		174
Credit default swaps	1,429		23		1,406		Other assets	—		1,406
Total	$	4,208	$	1,705	$	2,503		$	—	$	2,503
	Derivative Liabilities
At December 31, 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	$	2,030	1,235		$	795	Other liabilities	$	789	$	6
Foreign currency forward contracts (1)	10,550		397		10,153		Other liabilities	—		10,153
Foreign currency forward contracts (2)	766		447		319		Other liabilities	—		319
Credit default swaps	181		23		158		Other liabilities	—		158
Total	$	13,527	$	2,102	$	11,425		$	789	$	10,636

(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 March 31,		2017			2016
Interest rate futures	Net realized and unrealized gains on investments	$	(158	)	$	(19,359	)
Foreign currency forward contracts (1)	Net foreign exchange gains (losses)	1,060			(1,374		)
Foreign currency forward contracts (2)	Net foreign exchange gains (losses)	(633		)	(5,858		)
Credit default swaps	Net realized and unrealized gains on investments	102			(90		)
Total		$	371		$	(26,681	)

(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.