Derivative Instruments

12 Months Ended

Dec. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The Company’s investment strategy allows for the use of derivative instruments. The Company’s derivative instruments are recorded on its consolidated balance sheets at fair value. The Company utilizes exchange traded U.S. Treasury note, Eurodollar and other futures contracts and commodity futures to manage portfolio duration or replicate investment positions in its portfolios and the Company routinely utilizes foreign currency forward contracts, currency options, index futures contracts and other derivatives as part of its total return objective. In addition, certain of the Company’s investments are managed in portfolios which incorporate the use of foreign currency forward contracts which are intended to provide an economic hedge against foreign currency movements.

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)
December 31, 2024
Futures contracts	$	78	$	(46)	$	4,781
Foreign currency forward contracts	90		(48)		1,698

Other (3)	38		(21)		236
Total	$	206	$	(115)

December 31, 2023
Futures contracts	$	139	$	(61)	$	3,746
Foreign currency forward contracts	27		(32)		1,224

Other (3)	31		(26)		512
Total	$	197	$	(119)

(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.

(3) Includes swaps, options and other derivatives contracts.

The Company did not hold any derivatives which were designated as hedging instruments at December 31, 2024 or 2023.

The Company’s derivative instruments can be traded under master netting agreements, which establish terms that apply to all derivative transactions with a counterparty. In the event of a bankruptcy or other stipulated event of default, such agreements provide that the non-defaulting party may elect to terminate all outstanding derivative transactions, in which case all individual derivative positions (loss or gain) with a counterparty are closed out and netted and replaced with a single amount, usually referred to as the termination amount, which is expressed in a single currency. The resulting single net amount, where positive, is payable to the party “in-the-money” regardless of whether or not it is the defaulting party, unless the parties have agreed that only the non-defaulting party is entitled to receive a termination payment where the net amount is positive and is in its favor.

At December 31, 2024, $206 million and $115 million, respectively, of asset derivatives and liability derivatives were subject to a master netting agreement compared to $197 million and $119 million, respectively, at December 31, 2023. The remaining derivatives included in the table above were not subject to a master netting agreement.

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,
	2024		2023		2022
Net realized gains (losses):
Futures contracts	$	4	$	49	$	(86)
Foreign currency forward contracts	(6)		21		6

Other (1)	10		(11)		5
Total	$	8	$	59	$	(75)

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