Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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)
March 31, 2020
Futures contracts (2)	$	17,696	$	(24,714	)	$	2,444,851
Foreign currency forward contracts (2)	12,164		(27,015		)	1,490,266
TBAs (3)	14,403		—			13,483
Other (2)	62,192		(64,843		)	3,062,419
Total	$	106,455	$	(116,572	)
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	)

(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	March 31,
hedging instruments:	2020			2019
Three Months Ended
Net realized gains (losses):
Futures contracts	$	95,944		$	27,336
Foreign currency forward contracts	(10,870		)	(13,709		)
TBAs	745			190
Other	41,370			22,054
Total	$	127,189		$	35,871