XML 51 R42.htm IDEA: XBRL DOCUMENT
v3.21.1

Derivatives (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of listing currency, fair value and notional amounts of derivative instruments | The following tables identify the listing currency, fair value and notional amounts of derivative instruments included in the consolidated balance sheets as of December 31, 2020 and 2019:
|  |  |  | 2020 |  | 2019
Derivative Assets |  | Listing currency (1) |  | Fair Value |  | Notional Amounts (2) |  | Fair Value |  | Notional Amounts (2)
Reinsurance contracts accounted for as derivative assets |  | GBP |  | $ | 1,153 |  |  | $ | 4,150 |  |  | $ | — |  |  | $ | — |
|  |  |  | $ | 1,153 |  |  | $ | 4,150 |  |  | $ | — |  |  | $ | — |
|  |  |  | 2020 |  | 2019
Derivative Liabilities |  | Listing currency (1) |  | Fair Value |  | Notional Amounts (2) |  | Fair Value |  | Notional Amounts (2)
Reinsurance contracts accounted for as derivative liabilities |  | GBP |  | $ | 1,008 |  |  | $ | 15,704 |  |  | $ | — |  |  | $ | — |
Embedded derivative liabilities in reinsurance contracts |  | USD |  | 5 |  |  | 20,000 |  |  | 31 |  |  | 20,000 |
|  |  |  | $ | 1,013 |  |  | $ | 35,704 |  |  | $ | 31 |  |  | $ | 20,000 |
(1)GBP = British Pound, USD = US Dollar. (2)The absolute notional exposure represents the Company’s derivative activity as of December 31, 2020 and 2019, which is representative of the volume of derivatives held during the period.
Schedule of realized and unrealized gains (losses) relating to trading activities | The following table sets forth, by major risk type, the Company’s realized and unrealized gains (losses) relating to derivatives for the years ended December 31, 2020, 2019 and 2018. Realized and unrealized gains (losses) for the year ended December 31, 2018 includes activity in the separate accounts up to the date of change in the investment account structure. Realized and unrealized gains (losses) related to free standing derivatives were included in net investment income in the consolidated statements of income (loss). Realized and unrealized gains (losses) related to underwriting-related derivatives are included in other expenses in the consolidated statements of income (loss).
| 2020 |  | 2019 |  | 2018
Free standing Derivatives - Primary Underlying Risk | Realized Gain (Loss) |  | Unrealized Gain (Loss)* |  | Realized Gain (Loss) |  | Unrealized Gain (Loss)* |  | Realized Gain (Loss) |  | Unrealized Gain (Loss)*
Credit |  |  |  |  |  |  |  |  |  |  |
Credit Default Swaps - Protection Purchased | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (3,557) |  |  | $ | 921 |
Credit Default Swaps - Protection Sold | — |  |  | — |  |  | — |  |  | — |  |  | (333) |  |  | 744 |
Total Return Swaps - Long Contracts | — |  |  | — |  |  | — |  |  | — |  |  | 3,486 |  |  | (2,000) |
Equity Price |  |  |  |  |  |  |  |  |  |  |
Contracts for Differences - Long Contracts | — |  |  | — |  |  | — |  |  | — |  |  | 32,460 |  |  | (15,098) |
Contracts for Differences - Short Contracts | — |  |  | — |  |  | — |  |  | — |  |  | 4,568 |  |  | (3,608) |
Total Return Swaps - Long Contracts | — |  |  | — |  |  | — |  |  | — |  |  | 16,792 |  |  | (15,864) |
Total Return Swaps - Short Contracts | — |  |  | — |  |  | — |  |  | — |  |  | (17,329) |  |  | 1,883 |
Interest Rates |  |  |  |  |  |  |  |  |  |  |
Interest Rate Swaptions | — |  |  | — |  |  | — |  |  | — |  |  | (1,819) |  |  | 1,228 |
Sovereign Future Options - Long Contracts | — |  |  | — |  |  | — |  |  | — |  |  | 403 |  |  | — |
Sovereign Future Options - Short Contracts | — |  |  | — |  |  | — |  |  | — |  |  | 50 |  |  | — |
Sovereign Futures - Long Contracts | — |  |  | — |  |  | — |  |  | — |  |  | 639 |  |  | — |
Sovereign Futures - Short Contracts | — |  |  | — |  |  | — |  |  | — |  |  | (1,166) |  |  | — |
Total Return Swaps - Long Contracts | — |  |  | — |  |  | — |  |  | — |  |  | (7,569) |  |  | — |
Foreign Currency Exchange Rates |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Forward Contracts | — |  |  | — |  |  | — |  |  | — |  |  | (2,849) |  |  | 4,403 |
Foreign Currency Future Options - Purchased | — |  |  | — |  |  | — |  |  | — |  |  | (108) |  |  | — |
Foreign Currency Options - Purchased | — |  |  | — |  |  | — |  |  | — |  |  | 5,138 |  |  | — |
Foreign Currency Options - Sold | — |  |  | — |  |  | — |  |  | — |  |  | (771) |  |  | — |
| $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 28,035 |  |  | $ | (27,391) |
Other Derivatives |  |  |  |  |  |  |  |  |  |  |
Reinsurance contracts accounted for as derivative instruments | $ | — |  |  | $ | 1,222 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Embedded derivatives in reinsurance contracts | — |  |  | 26 |  |  | — |  |  | (9) |  |  | — |  |  | 149 |
| $ | — |  |  | $ | 1,248 |  |  | $ | — |  |  | $ | (9) |  |  | $ | — |  |  | $ | 149 |
*Unrealized gain (loss) relates to derivatives still held at reporting date.

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

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 http://asc.fasb.org/extlink&oid=121590274&loc=SL5624181-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5618551-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579240-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration