XML 48 R32.htm IDEA: XBRL DOCUMENT
v3.21.2

Derivative Instruments (Tables) | 9 Months Ended
--- | ---
Sep. 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)
September 30, 2021 |  |  |  |  |
Futures contracts (2) | $ | 36,010 |  |  | $ | (17,562) |  |  | $ | 2,796,442 |
Foreign currency forward contracts (2) | 7,380 |  |  | (13,914) |  |  | 1,234,665 |
TBAs (3) | 49,227 |  |  | — |  |  | 47,603 |
Other (2) | 46,568 |  |  | (12,050) |  |  | 4,184,225 |
Total | $ | 139,185 |  |  | $ | (43,526) |  |  |
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 |  | September 30,
hedging instruments: |  | 2021 |  | 2020
Three Months Ended |  |  |  |
Net realized gains (losses): |  |  |  |
Futures contracts |  | $ | (10,073) |  |  | $ | 10,945 |
Foreign currency forward contracts |  | (16,146) |  |  | 10,813 |
TBAs |  | (46) |  |  | 120 |
Other (1) |  | 4,830 |  |  | (1,509) |
Total |  | $ | (21,435) |  |  | $ | 20,369 |
Nine Months Ended |  |  |  |
Net realized gains (losses): |  |  |  |
Futures contracts |  | $ | (17,394) |  |  | $ | 105,282 |
Foreign currency forward contracts |  | (36,922) |  |  | 3,466 |
TBAs |  | (46) |  |  | 1,129 |
Other (1) |  | 17,934 |  |  | 36,845 |
Total |  | $ | (36,428) |  |  | $ | 146,722 |
(1) Includes realized gains and losses on swaps, options and other derivatives contracts.

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative instrument not designated or qualifying as hedging instrument. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (e) -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4CC -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL109998890-113959 + Details
Name: | us-gaap_ScheduleOfOtherDerivativesNotDesignatedAsHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration