Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2018

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, 2018	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	$	175	157		$	18	Other assets	$	—	$	18
Interest rate swaps	357		—		357		Other assets	—		357
Foreign currency forward contracts (1)	7,070		175		6,895		Other assets	—		6,895
Foreign currency forward contracts (2)	79		78		1		Other assets	—		1
Credit default swaps	1,600		—		1,600		Other assets	—		1,600
Total	$	9,281	$	410	$	8,871		$	—	$	8,871
	Derivative Liabilities
At March 31, 2018	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	$	404	157		$	247	Other liabilities	$	247	$	—
Interest rate swaps	53		—		53		Other liabilities	53		—
Foreign currency forward contracts (1)	479		—		479		Other liabilities	—		479
Foreign currency forward contracts (2)	643		78		565		Other liabilities	—		565
Credit default swaps	13		—		13		Other liabilities	13		—
Total	$	1,592	$	235	$	1,357		$	313	$	1,044

(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, 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	$	684	524		$	160	Other assets	$	—	$	160
Interest rate swaps	424		—		424		Other assets	—		424
Foreign currency forward contracts (1)	3,865		358		3,507		Other assets	—		3,507
Foreign currency forward contracts (2)	39		11		28		Other assets	—		28
Credit default swaps	1,518		—		1,518		Other assets	—		1,518
Total	$	6,530	$	893	$	5,637		$	—	$	5,637
	Derivative Liabilities
At December 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	$	729	524		$	205	Other liabilities	$	205	$	—
Foreign currency forward contracts (1)	670		—		670		Other liabilities	—		670
Foreign currency forward contracts (2)	115		11		104		Other liabilities	—		104
Credit default swaps	22		—		22		Other liabilities	22		—
Total	$	1,536	$	535	$	1,001		$	227	$	774

(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,		2018			2017
Interest rate futures	Net realized and unrealized (losses) gains on investments	$	(2,337	)	$	(158	)
Interest rate swaps	Net realized and unrealized (losses) gains on investments	(106		)	—
Foreign currency forward contracts (1)	Net foreign exchange gains	6,743			1,060
Foreign currency forward contracts (2)	Net foreign exchange gains	(691		)	(633		)
Credit default swaps	Net realized and unrealized (losses) gains on investments	(1,921		)	102
Total		$	1,688		$	371

(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.