Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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)
September 30, 2020
Futures contracts (2)	$	23,605	$	(9,357)	$	2,804,901
Foreign currency forward contracts (2)	11,428		(3,256)		990,726
TBAs (3)	—		—		—
Other (2)	95,461		(69,844)		6,231,827
Total	$	130,494	$	(82,457)
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	September 30,
hedging instruments:	2020		2019
Three Months Ended
Net realized gains (losses):
Futures contracts	$	10,945	$	46,194
Foreign currency forward contracts	10,813		2,044
TBAs	120		269
Other	(1,509)		(5,614)
Total	$	20,369	$	42,893
Nine Months Ended
Net realized gains (losses):
Futures contracts	$	105,282	$	140,503
Foreign currency forward contracts	3,466		(17,030)
TBAs	1,129		507
Other	36,845		18,750
Total	$	146,722	$	142,730