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.