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DERIVATIVE INSTRUMENTS (Tables)
3 Months Ended
Mar. 31, 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 March 31, 2024Gross 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$1,879 $— $1,879 Other assets$— $1,879 
Foreign currency forward contracts (1)
3,845 — 3,845 Other assets— 3,845 
Foreign currency forward contracts (2)
16 — 16 Other assets— 16 
Credit default swaps243 — 243 Other assets— 243 
Commodity options
1,642 — 1,642 Other assets— 1,642 
Total derivative instruments not designated as hedges7,625 — 7,625 — 7,625 
Derivative instruments designated as hedges
Foreign currency forward contracts (3)
491 — 491 Other assets— 491 
Total$8,116 $— $8,116 $— $8,116 
Derivative Liabilities
At March 31, 2024Gross 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$83 $— $83 Other liabilities$83 $— 
Foreign currency forward contracts (1)
5,183 — 5,183 Other liabilities3,150 2,033 
Foreign currency forward contracts (2)
2,344 — 2,344 Other liabilities— 2,344 
Credit default swaps1,357 — 1,357 Other liabilities1,357 — 
Commodity options1,636 — 1,636 Other liabilities— 1,636 
Total derivative instruments not designated as hedges10,603 — 10,603 4,590 6,013 
Total$10,603 $— $10,603 $4,590 $6,013 
(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, 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$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 swaps749 — 749 Other assets— 749 
Commodity options
3,538 — 3,538 Other assets— 3,538 
Total derivative instruments not designated as hedges44,724 — 44,724 — 44,724 
Total$44,724 $— $44,724 $— $44,724 
Derivative Liabilities
At December 31, 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$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 swaps1,248 — 1,248 Other liabilities1,248 — 
Commodity options3,162 — 3,162 Other liabilities— 3,162 
Commodity futures1,441 — 1,441 Other liabilities— 1,441 
Total derivative instruments not designated as hedges26,112 — 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 $23,023 
(1)Contracts used to manage foreign currency risks in underwriting and non-investment operations.
(2)Contracts used to manage foreign currency risks in investment operations.
(3)Contracts designated as hedges of net investments in a foreign operation.
Schedule of Location and Amount of the Gain (Loss) Recognized
The location and amount of the gain (loss) recognized in the Company’s consolidated statements of operations related to its principal derivative instruments are shown in the following table:
Location of gain (loss)
recognized on derivatives
Amount of gain (loss) recognized on
derivatives
Three months ended March 31,20242023
Derivative instruments not designated as hedges
Interest rate futures (1)
Net realized and unrealized gains (losses) on investments$(55,280)$25,483 
Foreign currency forward contracts (2)
Net foreign exchange gains (losses)(4,481)4,745 
Foreign currency forward contracts (3)
Net foreign exchange gains (losses)(15,966)(3,680)
Credit default swaps (1)
Net realized and unrealized gains (losses) on investments(21,304)(11,954)
Equity futures (4)
Net realized and unrealized gains (losses) on investments— (1,367)
Commodity optionsNet realized and unrealized gains (losses) on investments(370)— 
Commodity futuresNet realized and unrealized gains (losses) on investments19,148 — 
Total derivative instruments not designated as hedges(78,253)13,227 
Derivative instruments designated as hedges
Foreign currency forward contracts (5)
Accumulated other comprehensive income (loss)2,854 948 
Total$(75,399)$14,175 
(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 (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 ended
March 31,
2024
March 31,
2023
Weighted average of U.S. dollar equivalent of foreign denominated net assets (liabilities) $62,867 $60,342 
Derivative gains (losses) (1)
$2,854 $948 
(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.