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Derivative Instruments (Tables)

12 Months Ended

Dec. 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)
December 31, 2021
Futures contracts (2)			$	34,999					$	(9,808)											$	2,826,564
Foreign currency forward contracts (2)			7,734						(11,390)												915,962
TBAs			11,227						—												11,227
Other (2)			73,161						(33,026)												3,736,773
Total			$	127,121					$	(54,224)
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			—						—												—
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 hedging instruments						Year Ended December 31,
						2021						2020						2019
Net realized gains (losses):
Futures contracts						$	(15,262)					$	114,987					$	114,123
Foreign currency forward contracts						(39,755)						49,974						(9,499)
TBAs						(233)						1,129						463
Other						22,860						13,585						14,654
Total						$	(32,390)					$	179,675					$	119,741

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- References

No definition available.

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- 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

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- 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

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