Derivative Instruments (Tables)

6 Months Ended

Jun. 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 June 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	$	1,514	262		$	1,252	Other assets	$	—	$	1,252
Foreign currency forward contracts (1)	5,236		73		5,163		Other assets	—		5,163
Foreign currency forward contracts (2)	127		87		40		Other assets	—		40
Credit default swaps	726		99		627		Other assets	447		180
Total	$	7,603	$	521	$	7,082		$	447	$	6,635
	Derivative Liabilities
At June 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	$	430	262		$	168	Other liabilities	$	151	$	17
Foreign currency forward contracts (1)	4,968		1,665		3,303		Other liabilities	—		3,303
Foreign currency forward contracts (2)	1,060		87		973		Other liabilities	—		973
Credit default swaps	369		99		270		Other liabilities	245		25
Total	$	6,827	$	2,113	$	4,714		$	396	$	4,318

(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 June 30,		2016			2015
Interest rate futures	Net realized and unrealized gains (losses) on investments	$	(9,456	)	$	19,784
Foreign currency forward contracts (1)	Net foreign exchange losses	(3,815		)	(10,210		)
Foreign currency forward contracts (2)	Net foreign exchange losses	2,641			(3,417		)
Credit default swaps	Net realized and unrealized gains (losses) on investments	305			22
Weather contract	Net realized and unrealized gains (losses) on investments	—			10
Total		$	(10,325	)	$	6,189

	Location of gain (loss) recognized on derivatives	Amount of gain (loss) recognized on derivatives
Six months ended June 30,		2016			2015
Interest rate futures	Net realized and unrealized gains (losses) on investments	$	(28,815	)	$	15,376
Foreign currency forward contracts (1)	Net foreign exchange losses	(5,189		)	(6,599		)
Foreign currency forward contracts (2)	Net foreign exchange losses	(3,217		)	5,793
Credit default swaps	Net realized and unrealized gains (losses) on investments	215			62
Weather contract	Net realized and unrealized gains (losses) on investments	—			170
Total		$	(37,006	)	$	14,802

(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.