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DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 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 September 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			$	1,179					$	—					$	1,179					Other assets						$	—					$	1,179
			Foreign currency forward contracts (1)			41,080						—						41,080						Other assets						—						41,080
			Foreign currency forward contracts (2)			7,255						—						7,255						Other assets						—						7,255
			Foreign currency option contracts			—						—						—						Other assets						—						—
			Credit default swaps			6						—						6						Other assets						—						6
			Total derivative instruments not designated as hedges			49,520						—						49,520												—						49,520
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			4,401						—						4,401						Other assets						—						4,401
			Total			$	53,921					$	—					$	53,921											$	—					$	53,921
						Derivative Liabilities
			At September 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			$	4,125					$	—					$	4,125					Other liabilities						$	4,125					$	—
			Foreign currency forward contracts (1)			38,286						—						38,286						Other liabilities						—						38,286
			Foreign currency forward contracts (2)			3,176						—						3,176						Other liabilities						—						3,176
			Foreign currency option contracts			—						—						—						Other liabilities						—						—
			Credit default swaps			6						—						6						Other assets						6						—
			Equity futures			1,648						—						1,648						Other liabilities						1,648						—
			Total derivative instruments not designated as hedges			47,241						—						47,241												5,779						41,462
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			144						—						144						Other liabilities						—						144
			Total			$	47,385					$	—					$	47,385											$	5,779					$	41,606

(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 September 30,						2022						2021
			Derivative instruments not designated as hedges
			Interest rate futures (4)			Net realized and unrealized gains (losses) on investments			$	(40,245)					$	(2,767)
			Interest rate swaps (4)			Net realized and unrealized gains (losses) on investments			—						9
			Foreign currency forward contracts (1)			Net foreign exchange gains (losses)			(32,346)						(11,367)
			Foreign currency forward contracts (2)			Net foreign exchange gains (losses)			6,576						3,825
			Foreign currency option contracts			Net foreign exchange gains (losses)			208						—
			Credit default swaps (4)			Net realized and unrealized gains (losses) on investments			24						366
			Total return swaps (4)			Net realized and unrealized gains (losses) on investments			(6)						336
			Equity futures (5)			Net realized and unrealized gains (losses) on investments			(16,594)						—
			Warrants			Net realized and unrealized gains (losses) on investments			1,241						—
			Total derivative instruments not designated as hedges						(81,142)						(9,598)
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive income (loss)			4,925						447
			Total						$	(76,217)					$	(9,151)
						Location of gain (loss) recognized on derivatives			Amount of gain (loss) recognized on derivatives
			Nine months ended September 30,						2022						2021
			Derivative instruments not designated as hedges
			Interest rate futures (4)			Net realized and unrealized gains (losses) on investments			$	(83,731)					$	1,445
			Interest rate swaps (4)			Net realized and unrealized gains (losses) on investments			—						(970)
			Foreign currency forward contracts (1)			Net foreign exchange gains (losses)			(105,103)						(14,768)
			Foreign currency forward contracts (2)			Net foreign exchange gains (losses)			14,747						(3,076)
			Foreign currency option contracts			Net foreign exchange gains (losses)			(236)						—
			Credit default swaps (4)			Net realized and unrealized gains (losses) on investments			(6,450)						1,790
			Total return swaps (4)			Net realized and unrealized gains (losses) on investments			(6)						1,211
			Equity futures (5)			Net realized and unrealized gains (losses) on investments			(73,000)						—
			Warrants			Net realized and unrealized gains (losses) on investments			1,241						—
			Total derivative instruments not designated as hedges						(252,538)						(14,368)
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			Accumulated other comprehensive income (loss)			9,219						795
			Total						$	(243,319)					$	(13,573)

(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 a foreign operation, 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												Nine months ended
						September 30, 2022						September 30, 2021						September 30, 2022						September 30, 2021
			Weighted average of U.S. dollar equivalent of foreign denominated net assets (liabilities)			$	65,599					$	(895)					$	76,839					$	(49,057)
			Derivative gains (losses) (1)			$	4,925					$	447					$	9,219					$	795

(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
-Paragraph 4C
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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

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-Publisher FASB
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-SubTopic 10
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+ References

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-Publisher FASB
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-SubTopic 10
-Section 50
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