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DERIVATIVE INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2024

Summary of Derivative Instruments [Abstract]

Schedule of Gross and Net Amounts of Recognized Derivative Assets and Liabilities at Fair Value

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, 2024			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			$	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 swaps			653						—						653						Other assets						—						653
			Commodity futures			623						—						623						Other assets						—						623
			Commodity options			210						—						210						Other assets						—						210
			Total derivative instruments not designated as hedges			28,515						—						28,515												—						28,515
			Total			$	28,515					$	—					$	28,515											$	—					$	28,515
						Derivative Liabilities
			At June 30, 2024			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			$	6,925					$	—					$	6,925					Other liabilities						$	6,465					$	460
			Foreign currency forward contracts (1)			4,987						—						4,987						Other liabilities						1,792						3,195
			Foreign currency forward contracts (2)			1,264						—						1,264						Other liabilities						—						1,264
			Credit default swaps			1,159						—						1,159						Other liabilities						1,159						—
			Total derivative instruments not designated as hedges			14,335						—						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, 2023			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			$	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 swaps			749						—						749						Other assets						—						749
			Commodity options			3,538						—						3,538						Other assets						—						3,538
			Total derivative instruments not designated as hedges			44,724						—						44,724												—						44,724
			Total			$	44,724					$	—					$	44,724											$	—					$	44,724
						Derivative Liabilities
			At December 31, 2023			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			$	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 swaps			1,248						—						1,248						Other liabilities						1,248						—
			Commodity options			3,162						—						3,162						Other liabilities						—						3,162
			Commodity futures			1,441						—						1,441						Other liabilities						—						1,441
			Total derivative instruments not designated as hedges			26,112						—						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.

Schedule of Location and Amount of the Gain (Loss) Recognized

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,						2024						2023
			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 investments			10						(561)
			Warrants			Net realized and unrealized gains (losses) on investments			(1,046)						—
			Commodity options			Net realized and unrealized gains (losses) on investments			(1,879)						—
			Commodity futures			Net realized and unrealized gains (losses) on investments			12,083						—
			Total derivative instruments not designated as hedges						15,042						(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,						2024						2023
			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 investments			10						(1,928)
			Warrants			Net realized and unrealized gains (losses) on investments			(1,046)						—
			Commodity options			Net realized and unrealized gains (losses) on investments			(2,249)						—
			Commodity futures			Net realized and unrealized gains (losses) on investments			31,231						—
			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.

Schedule of Derivative Instruments Designated as Hedges of a Net Investment in 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 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 ended												Six 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

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

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-Topic 815
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 4E
-Publisher FASB
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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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