Derivatives (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair values and notional values of derivatives

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, 2020 and 2019 were as follows (in thousands of U.S. dollars):

	Asset derivatives at fair value		Liability derivatives at fair value		Net derivatives
December 31, 2020					Fair value		Net notional exposure
Derivatives not designated as hedges
Foreign exchange forward contracts	$	7,309	$	(10,698)	$	(3,389)	$	3,843,436
Insurance-linked securities (1)	3,074		(2,000)		1,074		18,850
Total return swaps	797		(3,152)		(2,355)		31,580
Interest rate swaps (2)	—		(17,509)		(17,509)		—
Other	419		—		419		—
Total derivatives not designated as hedges	$	11,599	$	(33,359)	$	(21,760)

	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)

(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 includes 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.

Gains and losses for derivatives not designated as hedges

The gains and losses in the Consolidated Statements of Operations for derivatives not designated as hedges for the years ended December 31, 2020, 2019 and 2018 were as follows (in thousands of U.S. dollars):

	2020		2019		2018
Foreign exchange forward contracts	$	(32,611)	$	(41,171)	$	45,143
Total included in Net foreign exchange (losses) gains	$	(32,611)	$	(41,171)	$	45,143
Futures contracts	$	—	$	(9,952)	$	11,043
Insurance-linked securities	(2,341)		(4,381)		6,134
Total return swaps	(845)		—		—
Interest rate swaps	(5,131)		(5,230)		2,332
TBAs	(510)		—		(13,614)
Other	1,376		463		—
Total included in Net realized and unrealized investment gains (losses)	$	(7,451)	$	(19,100)	$	5,895
Total derivatives not designated as hedges	$	(40,062)	$	(60,271)	$	51,038

Gross and net fair values of derivatives subject to offsetting

The gross and net fair values of derivatives that are subject to offsetting in the Consolidated Balance Sheets at December 31, 2020 and 2019 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, 2020	Gross amounts recognized (1)						Financial instruments		Cash collateral received/pledged		Net amount
Total derivative assets	$	11,599	$	—	$	11,599	$	—	$	(26,853)	$	(15,254)
Total derivative liabilities	$	(33,359)	$	—	$	(33,359)	$	—	$	11,503	$	(21,856)
December 31, 2019
Total derivative assets	$	8,805	$	—	$	8,805	$	—	$	(19,537)	$	(10,732)
Total derivative liabilities	$	(24,854)	$	—	$	(24,854)	$	—	$	2,977	$	(21,877)

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