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Derivatives
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives
Derivatives
The Company’s objectives for holding or issuing derivatives are as follows:
Foreign Exchange Forward Contracts—The Company utilizes foreign exchange forward contracts as part of its overall currency risk management and investment strategies. At December 31, 2018, the Company specifically designated certain foreign exchange forward contracts as a highly effective hedge of certain foreign currency denominated short-term investments, which were settled during 2019.
Futures Contracts and Foreign Currency Option Contracts —The Company uses exchange traded treasury note futures contracts to manage portfolio duration and equity futures to hedge certain investments. The Company utilizes foreign currency option contracts to mitigate foreign currency risk. 
Insurance-linked Securities—The Company enters into various derivatives for which the underlying risks reference parametric weather risks and pandemic outbreaks, in addition to longevity total return swaps for which the underlying risks reference longevity risks.
Total Return and Interest Rate Swaps—The Company enters into total return swaps referencing certain investments in Other invested assets. The Company enters into interest rate swaps to mitigate the interest rate risk on certain of the total return swaps and certain fixed maturity investments.
TBAs—The Company utilizes TBAs as part of its overall investment strategy and to enhance investment performance.
The net fair values of derivatives included in Other invested assets within the Company’s Consolidated Balance Sheets and the related net notional exposures at December 31, 2019 and 2018 were as follows (in thousands of U.S. dollars):
 
 
Asset
derivatives
at fair value
 
Liability
derivatives
at fair value
 
Net derivatives
December 31, 2019
 
Fair value
 
Net notional
exposure
Derivatives not designated as hedges
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
 
$
4,363

 
$
(5,643
)
 
$
(1,280
)
 
$
3,028,063

Foreign currency option contracts
 
266

 
—

 
266

 
—

Insurance-linked securities (1)
 
2,728

 
(3,871
)
 
(1,143
)
 
46,250

Total return swaps
 
1,448

 
(2,962
)
 
(1,514
)
 
31,641

Interest rate swaps (2)
 
—

 
(12,378
)
 
(12,378
)
 
—

Total derivatives not designated as hedges
 
$
8,805

 
$
(24,854
)
 
$
(16,049
)
 
 
 
 
 
Asset
derivatives
at fair value
 
Liability
derivatives
at fair value
 
Net derivatives
December 31, 2018
 
Fair value
 
Net notional
exposure
Derivatives designated as hedges
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
 
$
—

 
$
(2,464
)
 
$
(2,464
)
 
$
226,019

Total derivatives designated as hedges
 
$
—

 
$
(2,464
)
 
$
(2,464
)
 
 
 
 
 
 
 
 
 
 
 
Derivatives not designated as hedges
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
 
$
17,820

 
$
(1,209
)
 
$
16,611

 
$
2,231,871

Insurance-linked securities (1)
 
2,824

 
(2,568
)
 
256

 
59,257

Total return swaps
 
1,697

 
(3,232
)
 
(1,535
)
 
41,980

Interest rate swaps (2)
 
10

 
(9,194
)
 
(9,184
)
 
1,840

Total derivatives not designated as hedges
 
$
22,351

 
$
(16,203
)
 
$
6,148

 
 
Total derivatives
 
$
22,351

 
$
(18,667
)
 
$
3,684

 
 
 
(1)
Insurance-linked securities include longevity swaps for which the notional amounts are not reflective of the overall potential exposure of the swaps. The net notional exposure above included the Company's best estimate of the present value of future expected claims.
(2)
The Company enters into interest rate swaps to mitigate notional exposures on certain total return swaps and certain fixed maturities. The net notional exposure for interest rate swaps above relates to fixed maturities.
The fair value of derivatives is recorded in Other invested assets in the Company’s Consolidated Balance Sheets. At December 31, 2018, the Company held foreign exchange forward contracts which were designated as highly effective hedges of the Japanese Yen foreign exchange rate risk exposure against the U.S. dollar related to specific Japanese government issued bonds recorded in Short-term investments. At December 31, 2018, there was less than $2 million of gains related to foreign exchange forward contracts designated as cash flow hedges recognized in Accumulated other comprehensive loss. These gains were reclassified to income upon settlement of the hedges and maturity of the bonds during 2019 and, as a result, there are no hedge related balances recorded in Accumulated other comprehensive loss at December 31, 2019. There were no derivatives designated as hedges at December 31, 2019.
The gains and losses in the Consolidated Statements of Operations for derivatives not designated as hedges for the years ended December 31, 2019, 2018 and 2017 were as follows (in thousands of U.S. dollars):
 
2019
 
2018
 
2017
Foreign exchange forward contracts
$
(41,171
)
 
$
45,143

 
$
(41,776
)
Total included in Net foreign exchange (losses) gains
$
(41,171
)
 
$
45,143

 
$
(41,776
)
Futures contracts
$
(9,952
)
 
$
11,043

 
$
(11,683
)
Insurance-linked securities
(4,381
)
 
6,134

 
(563
)
Total return swaps
—

 
—

 
464

Interest rate swaps
(5,230
)
 
2,332

 
1,105

TBAs
—

 
(13,614
)
 
4,742

Other
463

 
—

 
—

Total included in Net realized and unrealized investment gains (losses)
$
(19,100
)
 
$
5,895

 
$
(5,935
)
Total derivatives not designated as hedges
$
(60,271
)
 
$
51,038

 
$
(47,711
)

Offsetting of Derivatives
The gross and net fair values of derivatives that are subject to offsetting in the Consolidated Balance Sheets at December 31, 2019 and 2018 were as follows (in thousands of U.S. dollars):
 
 
 
 
Gross
amounts
offset in the
balance sheet
 
Net amounts of
assets/liabilities
presented in the
balance sheet
 
Gross amounts not offset
in the balance sheet
 
 
December 31, 2019
 
Gross
amounts
recognized (1)
 
Financial
instruments
 
Cash collateral
received/pledged
 
Net amount
Total derivative assets
 
$
8,805

 
$
—

 
$
8,805

 
$
—

 
$
(19,537
)
 
$
(10,732
)
Total derivative liabilities
 
$
(24,854
)
 
$
—

 
$
(24,854
)
 
$
—

 
$
2,977

 
$
(21,877
)
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
Total derivative assets
 
$
22,351

 
$
—

 
$
22,351

 
$
(544
)
 
$
(24,704
)
 
$
(2,897
)
Total derivative liabilities
 
$
(18,667
)
 
$
—

 
$
(18,667
)
 
$
544

 
$
5,221

 
$
(12,902
)

 
(1)
Amounts include all derivative instruments, irrespective of whether there is a legally enforceable master netting arrangement in place.