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DERIVATIVE INSTRUMENTS (Tables)
6 Months Ended
Jun. 30, 2023
Summary of Derivative Instruments [Abstract]  
Schedule of Location on Consolidated Balance Sheets and Fair Value of Principal Derivative Instruments 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, 2023Gross Amounts of Recognized AssetsGross Amounts Offset in the Balance Sheet Net Amounts of Assets Presented in the Balance SheetBalance Sheet LocationCollateral ReceivedNet Amount
Derivative instruments not designated as hedges
Interest rate futures$370 $— $370 Other assets$— $370 
Foreign currency forward contracts (1)
24,119 — 24,119 Other assets— 24,119 
Foreign currency forward contracts (2)
78 — 78 Other assets— 78 
Credit default swaps121 — 121 Other assets— 121 
Total derivative instruments not designated as hedges24,688 — 24,688 — 24,688 
Derivative instruments designated as hedges
Foreign currency forward contracts (3)
619 — 619 Other assets— 619 
Total$25,307 $— $25,307 $— $25,307 
Derivative Liabilities
At June 30, 2023Gross Amounts of Recognized LiabilitiesGross Amounts Offset in the Balance Sheet Net Amounts of Liabilities Presented in the Balance SheetBalance Sheet LocationCollateral PledgedNet Amount
Derivative instruments not designated as hedges
Interest rate futures$2,113 $— $2,113 Other liabilities$2,045 $68 
Foreign currency forward contracts (1)
4,027 — 4,027 Other liabilities— 4,027 
Foreign currency forward contracts (2)
2,998 — 2,998 Other liabilities— 2,998 
Credit default swaps5,851 — 5,851 Other liabilities5,851 — 
Total derivative instruments not designated as hedges14,989 — 14,989 7,896 7,093 
Total$14,989 $— $14,989 $7,896 $7,093 
(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, 2022Gross Amounts of Recognized AssetsGross Amounts Offset in the Balance Sheet Net Amounts of Assets Presented in the Balance SheetBalance Sheet LocationCollateral ReceivedNet Amount
Derivative instruments not designated as hedges
Interest rate futures$387 $— $387 Other assets$— $387 
Foreign currency forward contracts (1)
31,755 — 31,755 Other assets— 31,755 
Foreign currency forward contracts (2)
11,866 — 11,866 Other assets— 11,866 
Credit default swaps413 — 413 Other assets— 413 
Total derivative instruments not designated as hedges44,421 — 44,421 — 44,421 
Total$44,421 $— $44,421 $— $44,421 
Derivative Liabilities
At December 31, 2022Gross Amounts of Recognized LiabilitiesGross Amounts Offset in the Balance Sheet Net Amounts of Liabilities Presented in the Balance SheetBalance Sheet LocationCollateral PledgedNet Amount
Derivative instruments not designated as hedges
Interest rate futures$1,685 $— $1,685 Other liabilities$209 $1,476 
Foreign currency forward contracts (1)
1,160 — 1,160 Other liabilities— 1,160 
Foreign currency forward contracts (2)
2,165 — 2,165 Other liabilities— 2,165 
Credit default swaps1,055 — 1,055 Other liabilities100 955 
Equity futures323 — 323 Other liabilities— 323 
Total derivative instruments not designated as hedges6,388 — 6,388 309 6,079 
Derivative instruments designated as hedges
Foreign currency forward contracts (3)
1,193 — 1,193 Other liabilities— 1,193 
Total$7,581 $— $7,581 $309 $7,272 
(1)Contracts used to manage foreign currency risks in underwriting and non-investment operations.
(2)Contracts used to manage foreign currency risks in investment operations.
(3)Contracts designated as hedges of net investments in a foreign operation.
Schedule of Gain (Loss) Recognized in Consolidated Statements of Operations Related to Principal Derivative Instruments
The location and amount of the gain (loss) recognized in the Company’s consolidated statements of operations related to its principal derivative instruments are shown in the following table:
Location of gain (loss)
recognized on derivatives
Amount of gain (loss) recognized on
derivatives
Three months ended June 30,20232022
Derivative instruments not designated as hedges
Interest rate futures (1)
Net realized and unrealized gains (losses) on investments$(47,030)$(14,699)
Foreign currency forward contracts (2)
Net foreign exchange gains (losses)4,900 (51,834)
Foreign currency forward contracts (3)
Net foreign exchange gains (losses)(11,111)10,062 
Foreign currency option contractsNet foreign exchange gains (losses)— (225)
Credit default swaps (1)
Net realized and unrealized gains (losses) on investments(17,460)(2,337)
Equity futures (4)
Net realized and unrealized gains (losses) on investments(561)(49,042)
Total derivative instruments not designated as hedges(71,262)(108,075)
Derivative instruments designated as hedges
Foreign currency forward contracts (5)
Accumulated other comprehensive income (loss)591 7,321 
Total$(70,671)$(100,754)
Location of gain (loss)
recognized on derivatives
Amount of gain (loss) recognized on
derivatives
Six months ended June 30,20232022
Derivative instruments not designated as hedges
Interest rate futures (1)
Net realized and unrealized gains (losses) on investments$(21,547)$(43,486)
Foreign currency forward contracts (2)
Net foreign exchange gains (losses)9,645 (72,757)
Foreign currency forward contracts (3)
Net foreign exchange gains (losses)(14,791)8,171 
Foreign currency option contractsNet foreign exchange gains (losses)— (444)
Credit default swaps (1)
Net realized and unrealized gains (losses) on investments(29,414)(6,474)
Equity futures (4)
Net realized and unrealized gains (losses) on investments(1,928)(56,406)
Total derivative instruments not designated as hedges(58,035)(171,396)
Derivative instruments designated as hedges
Foreign currency forward contracts (5)
Accumulated other comprehensive income (loss)1,539 4,294 
Total$(56,496)$(167,102)
(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 a 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 (liabilities) assets 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 endedSix months ended
June 30,
2023
June 30,
2022
June 30,
2023
June 30,
2022
Weighted average of U.S. dollar equivalent of foreign denominated net assets (liabilities) $59,020 $79,933 $59,348 $83,769 
Derivative gains (losses) (1)
$591 $7,321 $1,539 $4,294 
(1)Derivative gains (losses) from derivative instruments designated as hedges of the net investment in a foreign operation 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.