Derivatives (Tables)

12 Months Ended

Dec. 31, 2023

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, 2023 and 2022 were as follows (in thousands of U.S. dollars):

	Asset derivatives at fair value		Liability derivatives at fair value		Net derivatives
December 31, 2023					Fair value		Net notional exposure
Derivatives not designated as hedges
Foreign exchange forward contracts	$	31,565	$	(27,669)	$	3,896	$	4,205,417
Insurance-linked securities (1)	7,235		—		7,235		9,700
Interest rate swaps (2)	—		(849)		(849)		—
Options and warrants	4,390		—		4,390		8,898
Total derivatives not designated as hedges	$	43,190	$	(28,518)	$	14,672

	Asset derivatives at fair value		Liability derivatives at fair value		Net derivatives
December 31, 2022					Fair value		Net notional exposure
Derivatives not designated as hedges
Foreign exchange forward contracts	$	13,705	$	(17,336)	$	(3,631)	$	4,277,894
Insurance-linked securities (1)	6,657		—		6,657		16,937
Interest rate swaps (2)	258		(153)		105		—
TBAs	578		—		578		—
Options and warrants	8,691		—		8,691		8,815
Total derivatives not designated as hedges	$	29,889	$	(17,489)	$	12,400

(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, 2023, 2022 and 2021 were as follows (in thousands of U.S. dollars):

	2023		2022		2021
Foreign exchange forward contracts	$	(38,858)	$	(34,902)	$	(16,788)
Total included in Net foreign exchange losses	$	(38,858)	$	(34,902)	$	(16,788)
Insurance-linked securities	$	(1,754)	$	2,049	$	4,807
Total return swaps	(5)		934		1,430
Interest rate swaps	(951)		10,594		7,020
TBAs	448		(23)		(56)
Other	—		—		(298)
Total included in Net realized and unrealized investment (losses) gains	$	(2,262)	$	13,554	$	12,903
Total derivatives not designated as hedges	$	(41,120)	$	(21,348)	$	(3,885)

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, 2023 and 2022 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, 2023	Gross amounts recognized (1)						Financial instruments		Cash collateral received/pledged		Net amount
Total derivative assets	$	43,190	$	—	$	43,190	$	—	$	(41,747)	$	1,443
Total derivative liabilities	$	(28,518)	$	—	$	(28,518)	$	—	$	16,220	$	(12,298)
December 31, 2022
Total derivative assets	$	29,889	$	—	$	29,889	$	(258)	$	(37,262)	$	(7,631)
Total derivative liabilities	$	(17,489)	$	—	$	(17,489)	$	258	$	15,978	$	(1,253)

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