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DERIVATIVE INSTRUMENTS
 6 Months Ended
Jun. 30, 2024
Summary of Derivative Instruments [Abstract]  
DERIVATIVE INSTRUMENTS DERIVATIVE INSTRUMENTS
From time to time, the Company may enter into derivative instruments such as futures, options, swaps, forward contracts and other derivative contracts primarily to manage its foreign currency exposure, obtain exposure to a particular financial market, for yield enhancement, or for trading and to assume or hedge risk. The Company’s derivative instruments can be exchange traded or over-the-counter, with over-the-counter derivatives generally traded under International Swaps and Derivatives Association master agreements, which establish the terms of the transactions entered into with the Company’s derivative counterparties. In the event a party becomes insolvent or otherwise defaults on its obligations, a master agreement generally permits the non-defaulting party to accelerate and terminate all outstanding transactions and net the transactions’ marked-to-market values so that a single sum in a single currency will be owed by, or owed to, the non-defaulting party. Effectively, this contractual close-out netting reduces credit exposure from gross to net exposure. Where the Company has entered into master netting agreements with counterparties, or the Company has the legal and contractual right to offset positions, the derivative positions are generally netted by counterparty and are reported accordingly in other assets and other liabilities.
The Company is not aware of the existence of any credit-risk related contingent features that it believes would be triggered in its derivative instruments that are in a net liability position at June 30, 2024.
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, 2024Gross Amounts of Recognized AssetsGross Amounts Offset in the Balance Sheet Net Amounts of Assets Presented in the Balance SheetBalance Sheet LocationCollateral ReceivedNet Amount
Derivative instruments not designated as hedges
Interest rate futures$14,111 $— $14,111 Other assets$— $14,111 
Foreign currency forward contracts (1)
11,353 — 11,353 Other assets— 11,353 
Foreign currency forward contracts (2)
1,565 — 1,565 Other assets— 1,565 
Credit default swaps653 — 653 Other assets— 653 
Commodity futures
623 — 623 Other assets— 623 
Commodity options
210 — 210 Other assets— 210 
Total derivative instruments not designated as hedges28,515 — 28,515 — 28,515 
Total$28,515 $— $28,515 $— $28,515 
Derivative Liabilities
At June 30, 2024Gross Amounts of Recognized LiabilitiesGross Amounts Offset in the Balance Sheet Net Amounts of Liabilities Presented in the Balance SheetBalance Sheet LocationCollateral PledgedNet Amount
Derivative instruments not designated as hedges
Interest rate futures$6,925 $— $6,925 Other liabilities$6,465 $460 
Foreign currency forward contracts (1)
4,987 — 4,987 Other liabilities1,792 3,195 
Foreign currency forward contracts (2)
1,264 — 1,264 Other liabilities— 1,264 
Credit default swaps1,159 — 1,159 Other liabilities1,159 — 
Total derivative instruments not designated as hedges14,335 — 14,335 9,416 4,919 
Derivative instruments designated as hedges
Foreign currency forward contracts (3)
1,122 — 1,122 Other liabilities— 1,122 
Total$15,457 $— $15,457 $9,416 $6,041 
(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 a foreign operation.
Derivative Assets
At December 31, 2023Gross Amounts of Recognized AssetsGross Amounts Offset in the Balance Sheet Net Amounts of Assets Presented in the Balance SheetBalance Sheet LocationCollateral ReceivedNet Amount
Derivative instruments not designated as hedges
Interest rate futures$13,162 $— $13,162 Other assets$— $13,162 
Foreign currency forward contracts (1)
16,827 — 16,827 Other assets— 16,827 
Foreign currency forward contracts (2)
10,448 — 10,448 Other assets— 10,448 
Credit default swaps749 — 749 Other assets— 749 
Commodity options
3,538 — 3,538 Other assets— 3,538 
Total derivative instruments not designated as hedges44,724 — 44,724 — 44,724 
Total$44,724 $— $44,724 $— $44,724 
Derivative Liabilities
At December 31, 2023Gross Amounts of Recognized LiabilitiesGross Amounts Offset in the Balance Sheet Net Amounts of Liabilities Presented in the Balance SheetBalance Sheet LocationCollateral PledgedNet Amount
Derivative instruments not designated as hedges
Interest rate futures$5,768 $— $5,768 Other liabilities$5,720 $48 
Foreign currency forward contracts (1)
11,890 — 11,890 Other liabilities— 11,890 
Foreign currency forward contracts (2)
2,603 — 2,603 Other liabilities— 2,603 
Credit default swaps1,248 — 1,248 Other liabilities1,248 — 
Commodity options3,162 — 3,162 Other liabilities— 3,162 
Commodity futures1,441 — 1,441 Other liabilities— 1,441 
Total derivative instruments not designated as hedges26,112 — 26,112 6,968 19,144 
Derivative instruments designated as hedges
Foreign currency forward contracts (3)
3,879 — 3,879 Other liabilities— 3,879 
Total$29,991 $— $29,991 $6,968 $23,023 
(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 a foreign operation.
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 tables:
Location of gain (loss)
recognized on derivatives		Amount of gain (loss) recognized on
derivatives
Three months ended June 30,20242023
Derivative instruments not designated as hedges
Interest rate futures (1)
Net realized and unrealized gains (losses) on investments$2,931 $(47,030)
Foreign currency forward contracts (2)
Net foreign exchange gains (losses)8,554 4,900 
Foreign currency forward contracts (3)
Net foreign exchange gains (losses)(3,886)(11,111)
Credit default swaps (1)
Net realized and unrealized gains (losses) on investments(1,725)(17,460)
Equity futures (4)
Net realized and unrealized gains (losses) on investments10 (561)
WarrantsNet realized and unrealized gains (losses) on investments(1,046)— 
Commodity optionsNet realized and unrealized gains (losses) on investments(1,879)— 
Commodity futuresNet realized and unrealized gains (losses) on investments12,083 — 
Total derivative instruments not designated as hedges15,042 (71,262)
Derivative instruments designated as hedges
Foreign currency forward contracts (5)
Accumulated other comprehensive income (loss)(1,361)591 
Total$13,681 $(70,671)
(1)Fixed income related derivatives included in net realized and unrealized gains (losses) on investment-related derivatives. See “Note 3. Investments” for additional information.
(2)Contracts used to manage foreign currency risks in underwriting and non-investment operations.
(3)Contracts used to manage foreign currency risks in investment operations.
(4)Equity related derivatives included in net realized and unrealized gains (losses) on investment-related derivatives. See “Note 3. Investments” for additional information.
(5)Contracts designated as hedges of net investments in a foreign operation.
Location of gain (loss)
recognized on derivatives		Amount of gain (loss) recognized on
derivatives
Six months ended June 30,20242023
Derivative instruments not designated as hedges
Interest rate futures (1)
Net realized and unrealized gains (losses) on investments$(52,349)$(21,547)
Foreign currency forward contracts (2)
Net foreign exchange gains (losses)4,073 9,645 
Foreign currency forward contracts (3)
Net foreign exchange gains (losses)(19,852)(14,791)
Credit default swaps (1)
Net realized and unrealized gains (losses) on investments(23,029)(29,414)
Equity futures (4)
Net realized and unrealized gains (losses) on investments10 (1,928)
WarrantsNet realized and unrealized gains (losses) on investments(1,046)— 
Commodity optionsNet realized and unrealized gains (losses) on investments(2,249)— 
Commodity futuresNet realized and unrealized gains (losses) on investments31,231 — 
Total derivative instruments not designated as hedges(63,211)(58,035)
Derivative instruments designated as hedges
Foreign currency forward contracts (5)
Accumulated other comprehensive income (loss)1,493 1,539 
Total$(61,718)$(56,496)
(1)Fixed income related derivatives included in net realized and unrealized gains (losses) on investment-related derivatives. See “Note 3. Investments” for additional information.
(2)Contracts used to manage foreign currency risks in underwriting and non-investment operations.
(3)Contracts used to manage foreign currency risks in investment operations.
(4)Equity related derivatives included in net realized and unrealized gains (losses) on investment-related derivatives. See “Note 3. Investments” for additional information.
(5)Contracts designated as hedges of net investments in a foreign operation.
Derivative Instruments Not Designated as Hedges
Interest Rate Derivatives
The Company uses interest rate futures and swaps within its portfolio of fixed maturity investments to manage its exposure to interest rate risk, which may result in increasing or decreasing its exposure to this risk.
Interest Rate Futures
The fair value of interest rate futures is determined using exchange traded prices. At June 30, 2024, the Company had $6.8 billion of notional long positions and $2.4 billion of notional short positions of primarily U.S. treasury, Eurozone and U.K. government bond futures contracts (December 31, 2023 - $5.9 billion and $2.7 billion, respectively, of primarily U.S. treasury and Eurozone government bond futures contracts).
Foreign Currency Derivatives
The Company’s functional currency is the U.S. dollar. The Company writes a portion of its business in currencies other than U.S. dollars and may, from time to time, experience foreign exchange gains and losses in the Company’s consolidated financial statements. The impact of changes in exchange rates on the Company’s assets and liabilities denominated in currencies other than the U.S. dollar, excluding non-monetary assets and liabilities, are recognized in the Company’s consolidated statements of operations.
Underwriting and Non-investments Operations Related Foreign Currency Contracts
The Company’s foreign currency policy with regard to its underwriting operations is generally to enter into foreign currency forward and option contracts for notional values that approximate the foreign currency liabilities, including claims and claim expense reserves and reinsurance balances payable, net of any cash, investments and receivables held in the respective foreign currency. The Company’s use of foreign currency forward and option contracts is intended to minimize the effect of fluctuating foreign currencies on the value of non-U.S. dollar denominated assets and liabilities associated with its underwriting operations. The Company may determine not to match a portion of its projected underwriting related assets or liabilities with underlying foreign currency exposure with investments in the same currencies, which would increase its exposure to foreign currency fluctuations and potentially increase the impact and volatility of foreign exchange gains and losses on its results of operations. The fair value of the Company’s underwriting operations related foreign currency contracts is determined using indicative pricing obtained from counterparties or broker quotes. At June 30, 2024, the Company had outstanding underwriting related foreign currency contracts of $636.2 million in notional long positions and $310.8 million in notional short positions, denominated in U.S. dollars (December 31, 2023 - $805.2 million and $496.4 million, respectively).
Investment Portfolio Related Foreign Currency Forward Contracts
The Company’s investment operations are exposed to currency fluctuations through its investments in non-U.S. dollar fixed maturity investments, short term investments and other investments. From time to time, the Company may employ foreign currency forward contracts in its investment portfolio to either assume foreign currency risk or to economically hedge its exposure to currency fluctuations from these investments. The fair value of the Company’s investment portfolio related foreign currency forward contracts is determined using an interpolated rate based on closing forward market rates. At June 30, 2024, the Company had outstanding investment portfolio related foreign currency contracts of $279.8 million in notional long positions and $102.4 million in notional short positions, denominated in U.S. dollars (December 31, 2023 - $420.7 million and $130.0 million, respectively).
Credit Derivatives
The Company’s exposure to credit risk is primarily due to its fixed maturity investments, short term investments, premiums receivable and reinsurance recoverable. From time to time, the Company may purchase credit derivatives to manage its exposures in the insurance industry, and to assist in managing the credit risk associated with ceded reinsurance. The Company also employs credit derivatives in its investment portfolio to either assume credit risk or manage its credit exposure.
Credit Default Swaps
The fair value of the Company’s credit default swaps is determined using industry valuation models, broker bid indications or internal pricing valuation techniques. The fair value of these credit default swaps can change based on a variety of factors including changes in credit spreads, default rates and recovery rates, the correlation of credit risk between the referenced credit and the counterparty, and market rate inputs such as interest rates. At June 30, 2024, the Company had outstanding credit default swaps of $1.5 billion in notional positions to protect the investment portfolio against increasing credit risk and $19.3 million in notional positions to assume credit risk, denominated in U.S. dollars (December 31, 2023 - $1.5 billion and $22.1 million, respectively).
Equity Derivatives
Equity Futures
From time to time, the Company uses equity derivatives in its investment portfolio to either assume equity risk or hedge its equity exposure. The fair value of the Company’s equity futures is determined using market-based prices from pricing vendors. At June 30, 2024, the Company had no notional positions of equity futures (December 31, 2023 - no notional positions).
Commodity Derivatives
The Company uses commodity derivatives within its investments portfolio of fixed maturity investments to manage its exposures in the insurance industry, and to assist in managing the market risk associated with ceded reinsurance. Commodity derivatives expose the Company to potentially unfavorable price changes to the underlying commodities.
Commodity Futures
The fair value of the Company’s commodity futures is determined using market-based prices from pricing vendors. At June 30, 2024, the Company had a $486.2 million notional long position of commodity futures, denominated in U.S. dollars (December 31, 2023 - $255.2 million notional long position).
Commodity Options
An option contract provides its owner the right, but not the obligation, to buy or sell specified amounts of a commodity at a contracted price during a specified period or on a specified date. The maximum risk of loss to the Company is the fair value of the contracts and the premiums paid to purchase its open options. The fair value of these derivatives is determined using market-based prices from pricing vendors. At June 30, 2024, the Company had $0.3 million of notional long positions of exchange traded commodity option contracts (December 31, 2023 - $0.4 million).
Derivative Instruments Designated as Hedges of Net Investments in Foreign Operations
Foreign Currency Derivatives
Hedges of Net Investments in Foreign Operations
One of the Company’s subsidiaries currently uses a non-U.S. dollar functional currency. The Company, from time to time, enters into foreign exchange forwards to hedge non-U.S. dollar functional currencies, on an after-tax basis, from changes in the exchange rate between the U.S. dollar and these currencies.
As of June 30, 2024 and 2023, this included the Australian dollar net investment in a foreign operation. These foreign exchange forward contracts were formally designated as hedges of its investment in subsidiaries with non-U.S. dollar functional currencies and there was no ineffectiveness in these transactions.
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 assets (liabilities) 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 endedSix months ended
June 30,
2024		June 30,
2023		June 30,
2024		June 30,
2023
Weighted average of U.S. dollar equivalent of foreign denominated net assets (liabilities) $60,752 $59,020 $61,570 $59,348 
Derivative gains (losses)
$(1,361)$591 $1,493 $1,539