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Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Summary of Derivative Instruments [Abstract]

Schedule of Location on Consolidated Balance Sheets and Fair Value of Principal Derivative Instruments

The tables below show the gross and net amounts of recognized derivative assets and liabilities at fair value, including the location on the consolidated balance sheets of the Company’s principal derivative instruments:

						Derivative Assets
			At December 31, 2021			Gross Amounts of Recognized Assets						Gross Amounts Offset in the Balance Sheet						Net Amounts of Assets Presented in the Balance Sheet						Balance Sheet Location						Collateral						Net Amount
			Derivative Instruments Not Designated as Hedges
			Interest rate futures			$	1,068					$	—					$	1,068					Other assets						$	—					$	1,068
			Foreign currency forward contracts (1)			13,730						—						13,730						Other assets						—						13,730
			Foreign currency forward contracts (2)			1,247						—						1,247						Other assets						—						1,247
			Credit default swaps			478						—						478						Other assets						—						478
			Equity futures			—						—						—						Other assets						—						—
			Total derivative instruments not designated as hedges			16,523						—						16,523												—						16,523
			Derivative Instruments Designated as Hedges
			Foreign currency forward contracts (3)			1,366						—						1,366						Other assets						—						1,366
			Total			$	17,889					$	—					$	17,889											$	—					$	17,889
						Derivative Liabilities
			At December 31, 2021			Gross Amounts of Recognized Liabilities						Gross Amounts Offset in the Balance Sheet						Net Amounts of Liabilities Presented in the Balance Sheet						Balance Sheet Location						Collateral Pledged						Net Amount
			Derivative Instruments Not Designated as Hedges
			Interest rate futures			$	1,426					$	—					$	1,426					Other liabilities						$	1,426					$	—
			Foreign currency forward contracts (1)			7,880						—						7,880						Other liabilities						—						7,880
			Foreign currency forward contracts (2)			3,412						—						3,412						Other assets						—						3,412
			Credit default swaps			—						—						—						Other liabilities						—						—
			Equity futures			173						—						173						Other liabilities						173						—
			Total derivative instruments not designated as hedges			12,891						—						12,891												1,599						11,292
			Derivative Instruments Designated as Hedges
			Foreign currency forward contracts (3)			4,063						—						4,063						Other liabilities						—						4,063
			Total			$	16,954					$	—					$	16,954											$	1,599					$	15,355

(1)Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2)Contracts used to manage foreign currency risks in investment operations.

(3)Contracts designated as hedges of net investments in foreign operations.

						Derivative Assets
			At December 31, 2020			Gross Amounts of Recognized Assets						Gross Amounts Offset in the Balance Sheet						Net Amounts of Assets Presented in the Balance Sheet						Balance Sheet Location						Collateral						Net Amount
			Derivative Instruments Not Designated as Hedges
			Interest rate futures			$	1,019					$	863					$	156					Other assets						$	—					$	156
			Interest rate swaps			22						—						22						Other assets						—						22
			Foreign currency forward contracts (1)			23,055						184						22,871						Other assets						—						22,871
			Foreign currency forward contracts (2)			2,232						69						2,163						Other assets						—						2,163
			Credit default swaps			68						—						68						Other assets						—						68
			Total derivative instruments not designated as hedges			26,396						1,116						25,280												—						25,280
			Derivative Instruments Designated as Hedges
			Foreign currency forward contracts (3)			19,953						—						19,953						Other assets						—						19,953
			Total			$	46,349					$	1,116					$	45,233											$	—					$	45,233
						Derivative Liabilities
			At December 31, 2020			Gross Amounts of Recognized Liabilities						Gross Amounts Offset in the Balance Sheet						Net Amounts of Liabilities Presented in the Balance Sheet						Balance Sheet Location						Collateral Pledged						Net Amount
			Derivative Instruments Not Designated as Hedges
			Interest rate futures			$	1,430					$	863					$	567					Other liabilities						$	567					$	—
			Foreign currency forward contracts (1)			12,791						—						12,791						Other liabilities						—						12,791
			Foreign currency forward contracts (2)			3,919						69						3,850						Other liabilities						1,053						2,797
			Total derivative instruments not designated as hedges			18,140						932						17,208												1,620						15,588
			Derivative Instruments Designated as Hedges
			Foreign currency forward contracts (3)			5,152						—						5,152						Other liabilities						—						5,152
			Total			$	23,292					$	932					$	22,360											$	1,620					$	20,740

(1)Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2)Contracts used to manage foreign currency risks in investment operations.

(3)Contracts designated as hedges of net investments in foreign operations.

Schedule of Gain (Loss) Recognized in Consolidated Statements of Operations Related to Principal Derivative Instruments

The location and amount of the gain (loss) recognized in the Company’s consolidated statements of operations related to its principal derivative instruments are shown in the following table:

						Location of gain (loss) recognized on derivatives			Amount of gain (loss) recognized on derivatives
			Year ended December 31,						2021						2020						2019
			Derivative Instruments Not Designated as Hedges
			Interest rate futures (4)			Net realized and unrealized gains (losses) on investments			$	(15,846)					$	103,102					$	16,848
			Interest rate swaps (4)			Net realized and unrealized gains (losses) on investments			(1,184)						2,334						1,488
			Foreign currency forward contracts (1)			Net foreign exchange gains (losses)			(19,151)						24,309						12,617
			Foreign currency forward contracts (2)			Net foreign exchange gains (losses)			(1,521)						(4,450)						(1,605)
			Credit default swaps (4)			Net realized and unrealized gains (losses) on investments			3,479						(1,304)						7,043
			Total return swaps (4)			Net realized and unrealized gains (losses) on investments			1,314						(5,479)						12,155
			Equity futures (5)			Net realized and unrealized gains (losses) on investments			—						(30,045)						21,357
			Total derivative instruments not designated as hedges						(32,909)						88,467						69,903
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive income (loss)			(4,535)						11,685						959
			Total derivative instruments designated as hedges						(4,535)						11,685						959
			Total						$	(37,444)					$	100,152					$	70,862

(1)Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2)Contracts used to manage foreign currency risks in investment operations.

(3)Contracts designated as hedges of net investments in foreign operations.

(4)Fixed income related derivatives included in net realized and unrealized gains (losses) on investment-related derivatives. See “Note 5. Investments” for additional information.

(5)Equity related derivatives included in net realized and unrealized gains (losses) on investment-related derivatives. See “Note 5. Investments” for additional information.

Schedule of Derivative Instruments Designated as Hedges of a Net Investment in a Foreign Operation

The table below provides a summary of derivative instruments designated as hedges of net investments in foreign operations, including the weighted average U.S. dollar equivalent of foreign denominated net (liabilities) assets that were hedged and the resulting derivative gain that are recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive loss on the Company’s consolidated statements of changes in shareholders’ equity:

			Year ended December 31,			2021						2020
			Weighted average of U.S. dollar equivalent of foreign denominated net assets (liabilities)			$	(66,438)					$	(45,803)
			Derivative gains (losses) (1)			$	(4,535)					$	11,685

(1)    Derivative gains (losses) from derivative instruments designated as hedges of the net investment in a foreign operation are recorded in foreign currency translation adjustments, net of tax, within accumulated other comprehensive income (loss) on the Company’s consolidated statements of changes in shareholders’ equity.

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- Definition

Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
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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.

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+ References

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