Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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, 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		Net Amount
Derivative instruments not designated as hedges
Interest rate futures	$	139	$	(789	)	$	928		Other assets	$	—	$	928
Foreign currency forward contracts (1)	17,824		2,416			15,408			Other assets	—		15,408
Foreign currency forward contracts (2)	6,645		439			6,206			Other assets	—		6,206
Credit default swaps	30		—			30			Other assets	—		30
Total derivative instruments not designated as hedges	24,638		2,066			22,572				—		22,572
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	4,154		—			4,154			Other assets	—		4,154
Total	$	28,792	$	2,066		$	26,726			$	—	$	26,726
	Derivative Liabilities
At March 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	$	1,654	$	(789	)	$	2,443		Other liabilities	$	2,443	$	—
Interest rate swaps	114		—			114			Other assets	114		—
Foreign currency forward contracts (1)	9,700		4,810			4,890			Other liabilities	—		4,890
Foreign currency forward contracts (2)	440		439			1			Other liabilities	—		1
Credit default swaps	332		—			332			Other assets	332		—
Total return swaps	17,767		—			17,767			Other assets	17,767		—
Equity futures	813		—			813			Other liabilities	813		—
Total derivative instruments not designated as hedges	30,820		4,460			26,360				21,469		4,891
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	—		1,489			(1,489		)	Other liabilities	—		(1,489		)
Total	$	30,820	$	5,949		$	24,871			$	21,469	$	3,402

(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, 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	$	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.

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,		2020			2019
Derivative instruments not designated as hedges
Interest rate futures	Net realized and unrealized (losses) gains on investments	$	88,006		$	6,056
Interest rate swaps	Net realized and unrealized (losses) gains on investments	2,107			349
Foreign currency forward contracts (1)	Net foreign exchange losses	(330		)	4,442
Foreign currency forward contracts (2)	Net foreign exchange losses	6,400			1,145
Credit default swaps	Net realized and unrealized (losses) gains on investments	(4,897		)	4,410
Total return swaps	Net realized and unrealized (losses) gains on investments	(21,137		)	534
Equity futures	Net realized and unrealized (losses) gains on investments	(30,898		)	2,447
Total derivative instruments not designated as hedges		39,251			19,383
Derivative instruments designated as hedges
Foreign currency forward contracts (3)	Accumulated other comprehensive loss	10,844			—
Total		$	50,095		$	19,383

(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 loss on the Company’s consolidated statements of changes in shareholders’ equity:

	Three months ended
	March 31, 2020		March 31, 2019
Weighted average of U.S. dollar equivalent of foreign denominated net assets	$	76,804	$	—
Derivative gains (1)	$	10,844	$	—

(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 loss on the Company’s consolidated statements of changes in shareholders’ equity.