Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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	$	740	614		$	126	Other assets	$	—	$	126
Interest rate swaps	551		277		274		Other assets	—		274
Foreign currency forward contracts (1)	4,758		557		4,201		Other assets	—		4,201
Foreign currency forward contracts (2)	43		14		29		Other assets	—		29
Credit default swaps	956		308		648		Other assets	—		648
Total	$	7,048	$	1,770	$	5,278		$	—	$	5,278
	Derivative Liabilities
At September 30, 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	$	854	614		$	240	Other liabilities	$	240	$	—
Interest rate swaps	280		277		3		Other liabilities	3		—
Foreign currency forward contracts (1)	2,996		—		2,996		Other liabilities	—		2,996
Foreign currency forward contracts (2)	90		14		76		Other liabilities	—		76
Credit default swaps	327		308		19		Other liabilities	—		19
Total	$	4,547	$	1,213	$	3,334		$	243	$	3,091

(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 September 30,		2017			2016
Interest rate futures	Net realized and unrealized gains on investments	$	(3,016	)	$	1,040
Interest rate swaps	Net realized and unrealized gains on investments	271			—
Foreign currency forward contracts (1)	Net foreign exchange (losses) gains	2,056			5,097
Foreign currency forward contracts (2)	Net foreign exchange (losses) gains	(40		)	(489		)
Credit default swaps	Net realized and unrealized gains on investments	(1,275		)	687
Total		$	(2,004	)	$	6,335

	Location of gain (loss) recognized on derivatives	Amount of gain (loss) recognized on derivatives
Nine months ended September 30,		2017			2016
Interest rate futures	Net realized and unrealized gains on investments	$	(4,064	)	$	(27,775	)
Interest rate swaps	Net realized and unrealized gains on investments	271			—
Foreign currency forward contracts (1)	Net foreign exchange (losses) gains	8,339			(92		)
Foreign currency forward contracts (2)	Net foreign exchange (losses) gains	(940		)	(3,706		)
Credit default swaps	Net realized and unrealized gains on investments	(551		)	902
Total		$	3,055		$	(30,671	)

(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.