XML 68 R50.htm IDEA: XBRL DOCUMENT v3.24.0.1
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2023
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 December 31, 2023Gross Amounts of Recognized AssetsGross Amounts Offset in the Balance Sheet Net Amounts of Assets Presented in the Balance SheetBalance Sheet LocationCollateralNet Amount
Derivative instruments not designated as hedges
Interest rate futures
$13,162 $— $13,162 Other assets$— $13,162 
Foreign currency forward contracts (1)
16,827 — 16,827 Other assets— 16,827 
Foreign currency forward contracts (2)
10,448 — 10,448 Other assets— 10,448 
Credit default swaps
749 — 749 Other assets— 749 
Commodity options
3,538 — 3,538 Other assets— 3,538 
Total derivative instruments not designated as hedges
44,724 — 44,724 — 44,724 
Total$44,724 $— $44,724 $— $44,724 
Derivative Liabilities
At December 31, 2023Gross Amounts of Recognized LiabilitiesGross Amounts Offset in the Balance Sheet Net Amounts of Liabilities Presented in the Balance SheetBalance Sheet LocationCollateral PledgedNet Amount
Derivative instruments not designated as hedges
Interest rate futures
$5,768 $— $5,768 Other liabilities$5,720 $48 
Foreign currency forward contracts (1)
11,890 — 11,890 Other liabilities— 11,890 
Foreign currency forward contracts (2)
2,603 — 2,603 Other liabilities— 2,603 
Credit default swaps
1,248 — 1,248 Other liabilities1,248 — 
Commodity options
3,162 — 3,162 Other liabilities— 3,162 
Commodity futures
1,441 — 1,441 Other liabilities— 1,441 
Total derivative instruments not designated as hedges
26,112 — 26,112 6,968 19,144 
Derivative instruments designated as hedges
Foreign currency forward contracts (3)
3,879 — 3,879 Other liabilities— 3,879 
Total$29,991 $— $29,991 $6,968 $23,023 
(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.
(3)Contracts designated as hedges of net investments in a foreign operation.
Derivative Assets
At December 31, 2022Gross Amounts of Recognized AssetsGross Amounts Offset in the Balance Sheet Net Amounts of Assets Presented in the Balance SheetBalance Sheet LocationCollateralNet Amount
Derivative instruments not designated as hedges
Interest rate futures
$387 $— $387 Other assets$— $387 
Foreign currency forward contracts (1)
31,755 — 31,755 Other assets— 31,755 
Foreign currency forward contracts (2)
11,866 — 11,866 Other assets— 11,866 
Credit default swaps
413 — 413 Other assets— 413 
Total derivative instruments not designated as hedges44,421 — 44,421 — 44,421 
Total
$44,421 $— $44,421 $— $44,421 
Derivative Liabilities
At December 31, 2022Gross Amounts of Recognized LiabilitiesGross Amounts Offset in the Balance Sheet Net Amounts of Liabilities Presented in the Balance SheetBalance Sheet LocationCollateral PledgedNet Amount
Derivative instruments not designated as hedges
Interest rate futures
$1,685 $— $1,685 Other liabilities$209 $1,476 
Foreign currency forward contracts (1)
1,160 — 1,160 Other liabilities— 1,160 
Foreign currency forward contracts (2)
2,165 — 2,165 Other liabilities— 2,165 
Credit default swaps
1,055 — 1,055 Other liabilities100 955 
Equity futures323 — 323 Other liabilities— 323 
Total derivative instruments not designated as hedges6,388 — 6,388 309 6,079 
Derivative instruments designated as hedges
Foreign currency forward contracts (3)
1,193 — 1,193 Other liabilities— 1,193 
Total
$7,581 $— $7,581 $309 $7,272 
(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.
(3)Contracts designated as hedges of net investments in a foreign operation.
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 31,202320222021
Derivative instruments not designated as hedges
Interest rate futures (1)
Net realized and unrealized gains (losses) on investments$3,877 $(86,863)$(15,846)
Interest rate swaps
Net realized and unrealized gains (losses) on investments— — (1,184)
Foreign currency forward contracts (2)
Net foreign exchange gains (losses)(877)(51,401)(19,151)
Foreign currency forward contracts (3)
Net foreign exchange gains (losses)(11,761)21,689 (1,521)
Credit default swaps (1)
Net realized and unrealized gains (losses) on investments(70,924)(9,084)3,479 
Total return swaps (1)
Net realized and unrealized gains (losses) on investments— (6)1,314 
Equity futures (4)
Net realized and unrealized gains (losses) on investments(1,928)(69,972)— 
WarrantsNet realized and unrealized gains (losses) on investments— 632 — 
Commodity options
Net realized and unrealized gains (losses) on investments(4,553)— — 
Commodity futures
Net realized and unrealized gains (losses) on investments5,256 — — 
Total derivative instruments not designated as hedges
(80,910)(195,005)(32,909)
Derivative instruments designated as hedges
Foreign currency forward contracts (5)
Accumulated other comprehensive income (loss)205 6,466 (4,535)
Total$(80,705)$(188,539)$(37,444)
(1)Fixed income related derivatives included in net realized and unrealized gains (losses) on investment-related derivatives. See “Note 5. Investments” for additional information.
(2)Contracts used to manage foreign currency risks in underwriting and non-investment operations.
(3)Contracts used to manage foreign currency risks in investment operations.
(4)Equity related derivatives included in net realized and unrealized gains (losses) on investment-related derivatives. See “Note 5. Investments” for additional information.
(5)Contracts designated as hedges of net investments in a foreign operation.
Schedule of Derivative Instruments Designated as Hedges of a Net Investment in a Foreign Operation
The table below provides a summary of derivative instruments designated as hedges of net investments in a foreign operation, including the weighted average U.S. dollar equivalent of foreign denominated net (liabilities) assets that were hedged and the resulting derivative gains (losses) that are recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive income (loss) on the Company’s consolidated statements of changes in shareholders’ equity:
Year ended December 31,20232022
Weighted average of U.S. dollar equivalent of foreign denominated net assets (liabilities)$59,664 $73,472 
Derivative gains (losses) (1)
$205 $6,466 
(1)Derivative gains (losses) from derivative instruments designated as hedges of the net investment in a foreign operation are recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive income (loss) on the Company’s consolidated statements of changes in shareholders’ equity.