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, 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. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 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 | | | Year ended December 31, | | | 2017 | | 2016 | | 2015 | | | Interest rate futures | Net realized and unrealized gains (losses) on investments | | $ | (3,252 | ) | | $ | (17,379 | ) | | $ | 5,573 |
| | | Interest rate swaps | Net realized and unrealized gains (losses) on investments | | 436 |
| | — |
| | — |
| | | Foreign currency forward contracts (1) | Net foreign exchange gains (losses) | | 9,628 |
| | (6,937 | ) | | (1,943 | ) | | | Foreign currency forward contracts (2) | Net foreign exchange gains (losses) | | (916 | ) | | (1,591 | ) | | 8,862 |
| | | Credit default swaps | Net realized and unrealized gains (losses) on investments | | 326 |
| | 1,965 |
| | (313 | ) | | | Weather contract | Net realized and unrealized gains (losses) on investments | | — |
| | — |
| | 183 |
| | | Total | | | $ | 6,222 |
| | $ | (23,942 | ) | | $ | 12,362 |
| | | | | | | | | | | |
| | (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. |
|