Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2019

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)
September 30, 2019
Futures contracts (2)	$	15,148	$	(20,515	)	$	3,987,260
Foreign currency forward contracts (2)	5,316		(8,616		)	965,348
TBAs (3)	54,961		—			53,229
Other (2)	31,183		(24,609		)	3,983,466
Total	$	106,608	$	(53,740	)
December 31, 2018
Futures contracts (2)	$	51,800	$	(2,115	)	$	3,153,518
Foreign currency forward contracts (2)	8,147		(7,796		)	1,008,907
TBAs (3)	8,292		—			8,132
Other (2)	13,946		(10,753		)	2,213,981
Total	$	82,185	$	(20,664	)

(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	September 30,
hedging instruments:	2019			2018
Three Months Ended
Net realized gains (losses):
Futures contracts	$	46,194		$	(15,399	)
Foreign currency forward contracts	2,044			(5,458		)
TBAs	269			(3		)
Other	(5,614		)	3,304
Total	$	42,893		$	(17,556	)
Nine Months Ended
Net realized gains (losses):
Futures contracts	$	140,503		$	(10,609	)
Foreign currency forward contracts	(17,030		)	(13,074		)
TBAs	507			(100		)
Other	18,750			118
Total	$	142,730		$	(23,665	)