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Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2022

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 June 30, 2022			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 Received						Net Amount
			Derivative instruments not designated as hedges
			Interest rate futures			$	9,164					$	—					$	9,164					Other assets						$	—					$	9,164
			Foreign currency forward contracts (1)			16,810						—						16,810						Other assets						—						16,810
			Foreign currency forward contracts (2)			3,299						—						3,299						Other assets						—						3,299
			Foreign currency option contracts			22						—						22						Other assets						—						22
			Credit default swaps			5						—						5						Other assets						—						5
			Total derivative instruments not designated as hedges			29,300						—						29,300												—						29,300
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			1,420						—						1,420						Other assets						—						1,420
			Total			$	30,720					$	—					$	30,720											$	—					$	30,720
						Derivative Liabilities
			At June 30, 2022			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			$	4,119					$	—					$	4,119					Other liabilities						$	3,948					$	171
			Foreign currency forward contracts (1)			13,120						—						13,120						Other liabilities						—						13,120
			Foreign currency forward contracts (2)			3,647						—						3,647						Other liabilities						—						3,647
			Foreign currency option contracts			230						—						230						Other liabilities						—						230
			Credit default swaps			6						—						6						Other assets						6						—
			Equity futures			2,754						—						2,754						Other liabilities						2,754						—
			Total			$	23,876					$	—					$	23,876											$	6,708					$	17,168

(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, 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 Received						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
			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 liabilities						—						3,412
			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.

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
			Three months ended June 30						2022						2021
			Derivative instruments not designated as hedges
			Interest rate futures (4)			Net realized and unrealized gains (losses) on investments			$	(14,699)					$	(11,295)
			Interest rate swaps (4)			Net realized and unrealized gains (losses) on investments			—						(78)
			Foreign currency forward contracts (1)			Net foreign exchange gains (losses)			(51,834)						240
			Foreign currency forward contracts (2)			Net foreign exchange gains (losses)			10,062						(1,840)
			Foreign currency option contracts			Net foreign exchange gains (losses)			(225)						—
			Credit default swaps (4)			Net realized and unrealized gains (losses) on investments			(2,337)						1,169
			Total return swaps (4)			Net realized and unrealized gains (losses) on investments			—						875
			Equity futures (5)			Net realized and unrealized gains (losses) on investments			(49,042)						—
			Total derivative instruments not designated as hedges						(108,075)						(10,929)
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive income (loss)			7,321						2,437
			Total						$	(100,754)					$	(8,492)
						Location of gain (loss) recognized on derivatives			Amount of gain (loss) recognized on derivatives
			Six months ended June 30						2022						2021
			Derivative instruments not designated as hedges
			Interest rate futures			Net realized and unrealized gains (losses) on investments			$	(43,486)					$	4,212
			Interest rate swaps			Net realized and unrealized gains (losses) on investments			—						(979)
			Foreign currency forward contracts (1)			Net foreign exchange gains (losses)			(72,757)						(3,401)
			Foreign currency forward contracts (2)			Net foreign exchange gains (losses)			8,171						(6,901)
			Foreign currency option contracts			Net foreign exchange gains (losses)			(444)						—
			Credit default swaps			Net realized and unrealized gains (losses) on investments			(6,474)						1,424
			Total return swaps			Net realized and unrealized gains (losses) on investments			—						875
			Equity futures			Net realized and unrealized gains (losses) on investments			(56,406)						—
			Total derivative instruments not designated as hedges						(171,396)						(4,770)
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive income (loss)			4,294						348
			Total						$	(167,102)					$	(4,422)

(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 3. Investments” for additional information.

(5)Equity related derivatives included in net realized and unrealized gains (losses) on investment-related derivatives. See “Note 3. 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 gains (losses) that 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:

						Three months ended												Six months ended
						June 30, 2022						June 30, 2021						June 30, 2022						June 30, 2021
			Weighted average of U.S. dollar equivalent of foreign denominated net assets (liabilities)			$	79,933					$	58,876					$	83,769					$	(48,790)
			Derivative gains (losses) (1)			$	7,321					$	2,437					$	4,294					$	348

(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.

X

- 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

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4E
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624181-113959

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-Section 50
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Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

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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.

+ 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
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Tabular disclosure of the effective portion of gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in net investment hedges recorded in accumulated other comprehensive income (loss) during the term of the hedging relationship and reclassified into earnings during the current period.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4CCC
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL109998896-113959

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