Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair value and notional amount of derivatives

The following table summarizes information on the fair values and notional values of the Company’s derivative instruments:

	Estimated Fair Value
	Asset Derivatives		Liability Derivatives			Notional Value (1)
June 30, 2018
Futures contracts (2)	$	556	$	(3,425	)	$	1,276,189
Foreign currency forward contracts (2)	18,183		(7,732		)	1,072,743
TBAs (3)	14,761		—			14,480
Other (2)	12,884		(11,241		)	1,924,299
Total	$	46,384	$	(22,398	)
December 31, 2017
Futures contracts (2)	$	3,371	$	(1,542	)	$	1,452,497
Foreign currency forward contracts (2)	4,478		(4,381		)	686,941
TBAs (3)	27,184		—			27,066
Other (2)	7,898		(14,541		)	1,457,345
Total	$	42,931	$	(20,464	)

(1) Represents the absolute notional value of all outstanding contracts, consisting of long and short positions.

(2) The fair value of asset derivatives are included in ‘other assets’ and the fair value of liability derivatives are included in ‘other liabilities.’

(3) The fair value of TBAs are included in ‘fixed maturities available for sale, at fair value.’

Summary of net realized gains (losses) recorded in the consolidated statements of income

Realized and unrealized contract gains and losses on the Company’s derivative instruments are reflected in ‘net realized gains (losses)’ in the consolidated statements of income, as summarized in the following table:

Derivatives not designated as	June 30,
hedging instruments:	2018			2017
Three Months Ended
Net realized gains (losses):
Futures contracts	$	(240	)	$	(5,310	)
Foreign currency forward contracts	(1,692		)	(272		)
TBAs	—			86
Other	(214		)	726
Total	$	(2,146	)	$	(4,770	)
Six Months Ended
Net realized gains (losses):
Futures contracts	$	4,790		$	2,410
Foreign currency forward contracts	(7,616		)	(12,038		)
TBAs	(97		)	21
Other	(3,186		)	(4,344		)
Total	$	(6,109	)	$	(13,951	)