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DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 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 September 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			$	8,059					$	—					$	8,059					Other assets						$	—					$	8,059
			Foreign currency forward contracts (1)			15,156						—						15,156						Other assets						—						15,156
			Foreign currency forward contracts (2)			5,770						—						5,770						Other assets						—						5,770
			Credit default swaps			56,774						—						56,774						Other assets						—						56,774
			Equity futures			438						—						438						Other assets						—						438
			Commodity options			832						—						832						Other assets						—						832
			Total derivative instruments not designated as hedges			87,029						—						87,029												—						87,029
			Total			$	87,029					$	—					$	87,029											$	—					$	87,029
						Derivative Liabilities
			At September 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			$	15,924					$	—					$	15,924					Other liabilities						$	13,184					$	2,740
			Foreign currency forward contracts (1)			5,965						—						5,965						Other liabilities						917						5,048
			Foreign currency forward contracts (2)			205						—						205						Other liabilities						—						205
			Credit default swaps			52,076						—						52,076						Other liabilities						43,348						8,728
			Commodity futures			1,917						—						1,917						Other liabilities						—						1,917
			Total derivative instruments not designated as hedges			76,087						—						76,087												57,449						18,638
			Derivative instruments designated as hedges
			Foreign currency forward contracts (3)			2,581						—						2,581						Other liabilities						—						2,581
			Total			$	78,668					$	—					$	78,668											$	57,449					$	21,219

(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 September 30,						2024						2023
			Derivative instruments not designated as hedges
			Interest rate futures (1)			Net realized and unrealized gains (losses) on investments			$	50,961					$	28,366
			Foreign currency forward contracts (2)			Net foreign exchange gains (losses)			16,885						(23,686)
			Foreign currency forward contracts (3)			Net foreign exchange gains (losses)			12,803						(10,938)
			Credit default swaps (1)			Net realized and unrealized gains (losses) on investments			(21,007)						2,228
			Equity futures (4)			Net realized and unrealized gains (losses) on investments			10,409						—
			Commodity options			Net realized and unrealized gains (losses) on investments			(1,427)						—
			Commodity futures			Net realized and unrealized gains (losses) on investments			58,598						—
			Total derivative instruments not designated as hedges						127,222						(4,030)
			Derivative instruments designated as hedges
			Foreign currency forward contracts (5)			Accumulated other comprehensive income (loss)			(2,181)						1,818
			Total						$	125,041					$	(2,212)

(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
			Nine months ended September 30,						2024						2023
			Derivative instruments not designated as hedges
			Interest rate futures (1)			Net realized and unrealized gains (losses) on investments			$	(1,388)					$	6,819
			Foreign currency forward contracts (2)			Net foreign exchange gains (losses)			20,958						(14,041)
			Foreign currency forward contracts (3)			Net foreign exchange gains (losses)			(7,049)						(25,729)
			Credit default swaps (1)			Net realized and unrealized gains (losses) on investments			(44,036)						(27,186)
			Equity futures (4)			Net realized and unrealized gains (losses) on investments			10,419						(1,928)
			Warrants			Net realized and unrealized gains (losses) on investments			(1,046)						—
			Commodity options			Net realized and unrealized gains (losses) on investments			(3,676)						—
			Commodity futures			Net realized and unrealized gains (losses) on investments			89,829						—
			Total derivative instruments not designated as hedges						64,011						(62,065)
			Derivative instruments designated as hedges
			Foreign currency forward contracts (5)			Accumulated other comprehensive income (loss)			(688)						3,357
			Total						$	63,323					$	(58,708)

(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												Nine months ended
						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
			Weighted average of U.S. dollar equivalent of foreign denominated net assets (liabilities)			$	61,544					$	57,216					$	62,205					$	58,779
			Derivative gains (losses)			$	(2,181)					$	1,818					$	(688)					$	3,357

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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.

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-Topic 815
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-Name Accounting Standards Codification
-Section 50
-Paragraph 4E
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+ References

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