Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2019

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 December 31, 2019	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	$	234	$	122	$	112		Other assets	$	—	$	112
Foreign currency forward contracts (1)	22,702		2,418		20,284			Other assets	—		20,284
Foreign currency forward contracts (2)	1,082		622		460			Other assets	—		460
Credit default swaps	37		—		37			Other assets	—		37
Total return swaps	3,744		—		3,744			Other assets	3,601		143
Equity futures	291		—		291			Other assets	—		291
Total derivative instruments not designated as hedges	28,090		3,162		24,928				3,601		21,327
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	64		667		(603		)	Other assets	—		(603		)
Total derivative instruments designated as hedges	64		667		(603		)		—		(603		)
Total	$	28,154	$	3,829	$	24,325			$	3,601	$	20,724
	Derivative Liabilities
At December 31, 2019	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	$	1,545	$	122	$	1,423		Other liabilities	$	1,423	$	—
Interest rate swaps	50		—		50			Other liabilities	50		—
Foreign currency forward contracts (1)	3,808		28		3,780			Other liabilities	—		3,780
Foreign currency forward contracts (2)	939		622		317			Other liabilities	—		317
Total derivative instruments not designated as hedges	6,342		772		5,570				1,473		4,097
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	1,818		—		1,818			Other liabilities	—		1,818
Total	$	8,160	$	772	$	7,388			$	1,473	$	5,915

(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 a net investment in a foreign operation.

	Derivative Assets
At December 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
Derivative instruments not designated as hedges
Interest rate futures	$	971	$	636	$	335	Other assets	$	—	$	335
Interest rate swaps	860		—		860		Other assets	—		860
Foreign currency forward contracts (1)	16,459		2,260		14,199		Other assets	—		14,199
Foreign currency forward contracts (2)	3,194		71		3,123		Other assets	—		3,123
Equity futures	1,390		977		413		Other assets	—		413
Total	$	22,874	$	3,944	$	18,930		$	—	$	18,930
	Derivative Liabilities
At December 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
Derivative instruments not designated as hedges
Interest rate futures	$	910	$	636	$	273	Other liabilities	$	273	$	—
Interest rate swaps	506		—		506		Other liabilities	254		252
Foreign currency forward contracts (1)	4,154		—		4,154		Other liabilities	—		4,154
Foreign currency forward contracts (2)	72		71		1		Other liabilities	—		1
Credit default swaps	1,606		—		1,606		Other liabilities	1,605		1
Equity futures	977		977		—		Other liabilities	—		—
Total	$	8,225	$	1,684	$	6,540		$	2,132	$	4,408

(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
Year ended December 31,		2019			2018			2017
Derivative instruments not designated as hedges
Interest rate futures	Net realized and unrealized gains (losses) on investments	$	16,848		$	6,109		$	(3,252	)
Interest rate swaps	Net realized and unrealized gains (losses) on investments	1,488			(84		)	436
Foreign currency forward contracts (1)	Net foreign exchange losses	12,617			3,840			9,628
Foreign currency forward contracts (2)	Net foreign exchange losses	(1,605		)	5,736			(916		)
Credit default swaps	Net realized and unrealized gains (losses) on investments	7,043			(3,106		)	326
Total return swaps	Net realized and unrealized gains (losses) on investments	12,155			—			—
Equity futures	Net realized and unrealized gains (losses) on investments	21,357			(515		)	—
Total derivative instruments not designated as hedges		69,903			11,980			6,222
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	Accumulated other comprehensive income (loss)	959			—			—
Total		$	70,862		$	11,980		$	6,222

(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 a net investment in a foreign operation.

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 a net investment in a foreign operation, including the weighted average U.S. dollar equivalent of foreign denominated net assets that were hedged and the resulting derivative gain that was recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive income (loss) on the Company’s consolidated statements of changes in shareholders’ equity:

Year ended December 31,	2019		2018
Weighted average of U.S. dollar equivalent of foreign denominated net assets	$	81,264	$	—
Derivative gains (1)	$	959	$	—

(1)

Derivative gains 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 income (loss) on the Company’s consolidated statements of changes in shareholders’ equity.