Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2022

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 (1)		Liability Derivatives (1)		Notional Value (2)
September 30, 2022
Futures contracts	$	72,730	$	(60,684)	$	2,189,945
Foreign currency forward contracts	25,281		(26,995)		835,941
TBAs	—		—		—
Other	78,149		(24,898)		3,766,549
Total	$	176,160	$	(112,577)
December 31, 2021
Futures contracts	$	34,999	$	(9,808)	$	2,826,564
Foreign currency forward contracts	7,734		(11,390)		915,962
TBAs	11,227		—		11,227
Other	73,161		(33,026)		3,736,773
Total	$	127,121	$	(54,224)

(1)    The fair value of asset derivatives are included in ‘other assets’ and the fair value of liability derivatives are included in ‘other liabilities.’

(2)    Represents the absolute notional value of all outstanding contracts, consisting of long and short positions.

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:	2022		2021
Three Months Ended
Net realized gains (losses):
Futures contracts	$	(26,347)	$	(10,073)
Foreign currency forward contracts	(18,340)		(16,146)
TBAs	—		(46)
Other (1)	(3,509)		4,830
Total	$	(48,196)	$	(21,435)
Nine Months Ended
Net realized gains (losses):
Futures contracts	$	(112,326)	$	(17,394)
Foreign currency forward contracts	(46,016)		(36,922)
TBAs	(51)		(46)
Other (1)	40,802		17,934
Total	$	(117,591)	$	(36,428)

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