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Derivatives | 3 Months Ended
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Mar. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | 8. Derivatives The Company holds derivatives for both risk management and investment purposes. Foreign currency exchange rate derivatives The Company executes foreign currency forwards, swaps, and futures to manage foreign currency exposure. The foreign currency exchange rate derivatives are not designated or accounted for under hedge accounting. The fair value of the swaps and forwards are estimated using a single broker quote, and accordingly, are classified as a Level 3 measurement. The fair value of the futures is widely available and have quoted prices in active markets, and accordingly, were classified as a Level 1 measurement. As of March 31, 2025, the Company pledged no securities collateral associated with the foreign currency derivatives (December 31, 2024 - none). Securities pledged as collateral are included in debt securities, available for sale, in the Company’s consolidated balance sheets. Weather derivatives The Company holds assets and assumes liabilities related to weather and weather contingent risk management products. Weather and weather contingent derivative contracts are entered into with the objective of generating profits in normal climatic conditions. Accordingly, the Company’s weather and weather contingent derivatives are not designed to meet the criteria for hedge accounting under U.S. GAAP. The Company receives payment of premium at the contract inception in exchange for bearing the risk of variations in a quantifiable weather index. Management uses available market data and intern al pricing models based upon consistent statistical methodologies to estimate the fair value. Because of the significance of the unobservable inputs used to estimate the fair value of the Company's weather risk contracts, the fair value measurements of the contracts are deemed to be Level 3 measurements in the fair value hierarchy. The Company does not provide or hold any collateral associated with the weather derivatives. Credit default swap Credit default swaps protect the buyer against the loss of principal on one or more underlying bonds, loans, or mortgages in the event the issuer suffers a credit event. The Company provides its client with protection against financial non-performance of a subsidiary. The fair value of the swap is estimated using a single broker quote, and accordingly, is classified as a Level 3 measurement. As of March 31, 2025, the Company has $11.3 million pledged in securities collateral associated with the credit default swap (December 31, 2024 - $9.9 million). Securities pledged as collateral are included in debt securities, available for sale, in the Company’s consolidated balance sheets. The following table summarizes information on the classification and amount of the fair value of derivatives not designated as hedging instruments within the Company's consolidated balance sheets as of March 31, 2025 and December 31, 2024:
|  | March 31, 2025 |  | December 31, 2024
Derivatives not designated as hedging instruments |  | Derivative assets at fair value(1) |  | Derivative liabilities at fair value(2) |  | Notional Value |  | Derivative assets at fair value(1) |  | Derivative liabilities at fair value(2) |  | Notional Value
Foreign currency forwards |  | $ | 27.8 |  |  | $ | 0.9 |  |  | $ | 843.8 |  |  | $ | 0.9 |  |  | $ | 3.3 |  |  | $ | 768.6 |
Weather derivatives |  | — |  |  | — |  |  | — |  |  | — |  |  | 5.6 |  |  | 3.7 |
Interest rate swaps |  | — |  |  | — |  |  | 29.8 |  |  | — |  |  | — |  |  | 29.8 |
Credit default swap |  | — |  |  | 0.2 |  |  | 55.9 |  |  | — |  |  | 0.5 |  |  | 49.1 |
Reinsurance contracts accounted for as derivatives |  | $ | — |  |  | $ | 5.0 |  |  | $ | 74.7 |  |  | $ | — |  |  | $ | 4.9 |  |  | $ | 100.1 |
(1)Derivative assets are classified within Other assets in the Company’s consolidated balance sheets. (2)Derivative liabilities are classified within Other liabilities in the Company’s consolidated balance sheets. The following table summarizes information on the classification and net impact on earnings, recognized in the Company’s consolidated statements of income relating to derivatives during the three months ended March 31, 2025 and 2024:
Derivatives not designated as hedging instruments |  | Classification of gains (losses) recognized in earnings |  | 2025 |  | 2024 |  |  |  |  |
Foreign currency forwards |  | Foreign exchange gains |  | $ | 40.8 |  |  | $ | (17.4) |  |  |  |  |  |
Weather derivatives |  | Other revenues |  | 0.3 |  |  | (1.5) |  |  |  |  |  |
Interest rate swaps |  | Net realized and unrealized investment gains (losses) |  | (0.2) |  |  | 1.3 |  |  |  |  |  |
Reinsurance contracts accounted for as derivatives |  | Other revenues |  | $ | — |  |  | $ | (4.8) |  |  |  |  |  |

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/815/tableOfContent + Details
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