Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 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)
December 31, 2019
Futures contracts (2)	$	10,065	$	(13,722	)	$	4,104,559
Foreign currency forward contracts (2)	5,352		(5,327		)	686,878
TBAs (3)	55,010		—			53,229
Other (2)	33,529		(20,701		)	4,356,300
Total	$	103,956	$	(39,750	)
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.’ Such amounts include risk in force on GSE credit-risk sharing transactions that are accounted for as derivatives.

(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

All 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 hedging instruments	Year Ended December 31,
	2019			2018			2017
Net realized gains (losses):
Futures contracts	$	114,123		$	48,443		$	9,318
Foreign currency forward contracts	(9,499		)	(21,770		)	(14,495		)
TBAs	463			(133		)	9
Other	14,654			(10,904		)	(2,188		)
Total	$	119,741		$	15,636		$	(7,356	)