Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2021

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, 2021
Futures contracts (2)	$	85,379	$	(54,615)	$	7,116,745
Foreign currency forward contracts (2)	17,898		(29,887)		2,190,031
TBAs (3)	—		—		—
Other (2)	52,883		(13,601)		6,324,926
Total	$	156,160	$	(98,103)
December 31, 2020
Futures contracts (2)	$	11,046	$	(4,496)	$	3,099,796
Foreign currency forward contracts (2)	52,716		(6,202)		1,656,729
TBAs (3)	—		—		—
Other (2)	113,621		(98,007)		5,763,919
Total	$	177,383	$	(108,705)

(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:	2021		2020
Three Months Ended
Net realized gains (losses):
Futures contracts	$	47,438	$	95,944
Foreign currency forward contracts	(22,071)		(10,870)
TBAs	—		745
Other (1)	10,749		41,370
Total	$	36,116	$	127,189

(1)    Includes realized gains and losses on swaps, options and other derivatives contracts.