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DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET

The following table provides the balance sheet classifications of derivatives recorded at fair value:

						March 31, 2022																		December 31, 2021
						Derivative notional amount						Derivative asset fair value(1)						Derivative liability fair value(1)						Derivative notional amount						Derivative asset fair value(1)						Derivative liability fair value(1)
			Relating to investment portfolio:
			Foreign exchange forward contracts			$	221,208					$	1,085					$	197					$	184,187					$	13					$	1,463
			Relating to underwriting portfolio:
			Foreign exchange forward contracts			1,077,969						6						18,695						1,258,836						3,103						13,524
			Other underwriting-related contracts			50,000						—						5,074						50,000						—						5,630
			Total derivatives									$	1,091					$	23,966											$	3,116					$	20,617

(1)Derivative assets and derivative liabilities are classified within other assets and other liabilities in the consolidated balance sheets.

RECONCILIATION OF GROSS DERIVATIVE ASSETS TO NET AMOUNTS PRESENTED IN BALANCE SHEETS

The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated

balance sheets, with the difference being attributable to the impact of master netting agreements:

						March 31, 2022												December 31, 2021
						Gross amounts			Gross amounts offset			Net amounts(1)						Gross amounts			Gross amounts offset			Net amounts(1)
			Derivative assets			$	2,116		$	(1,025)		$	1,091					$	9,047		$	(5,931)		$	3,116
			Derivative liabilities			$	24,991		$	(1,025)		$	23,966					$	26,548		$	(5,931)		$	20,617

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.

RECONCILIATION OF GROSS DERIVATIVE LIABILITIES TO NET AMOUNTS PRESENTED IN BALANCE SHEETS

The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated

balance sheets, with the difference being attributable to the impact of master netting agreements:

						March 31, 2022												December 31, 2021
						Gross amounts			Gross amounts offset			Net amounts(1)						Gross amounts			Gross amounts offset			Net amounts(1)
			Derivative assets			$	2,116		$	(1,025)		$	1,091					$	9,047		$	(5,931)		$	3,116
			Derivative liabilities			$	24,991		$	(1,025)		$	23,966					$	26,548		$	(5,931)		$	20,617

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.

TOTAL UNREALIZED AND REALIZED GAINS (LOSSES) ON DERIVATIVES NOT DESIGNATED AS HEDGES RECORDED IN EARNINGS

The following table provides the total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges:

									Consolidated statement of operations line item that includes gain (loss) recognized in net income			Three months ended March 31,
												2022						2021
						Relating to investment portfolio:
						Foreign exchange forward contracts			Net investment gains (losses)			$	2,242					$	1,749
						Relating to underwriting portfolio:
						Foreign exchange forward contracts			Foreign exchange gains (losses)			(27,976)						(26,056)
						Other underwriting-related contracts			Other insurance related income (loss)			555						661
						Total						$	(25,179)					$	(23,646)

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-Publisher FASB
-Name Accounting Standards Codification
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