Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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)
June 30, 2021
Futures contracts (2)	$	36,277	$	(21,515)	$	2,907,342
Foreign currency forward contracts (2)	8,242		(20,729)		1,573,973
Other (2)	53,969		(25,060)		4,838,552
Total	$	98,488	$	(67,304)
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
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.’

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	June 30,
hedging instruments:	2021		2020
Three Months Ended
Net realized gains (losses):
Futures contracts	$	(54,759)	$	(1,607)
Foreign currency forward contracts	1,295		3,523
TBAs	—		264
Other (1)	2,355		(3,016)
Total	$	(51,109)	$	(836)
Six Months Ended
Net realized gains (losses):
Futures contracts	$	(7,321)	$	94,337
Foreign currency forward contracts	(20,776)		(7,347)
TBAs	—		1,009
Other (1)	13,104		38,354
Total	$	(14,993)	$	126,353

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