observable yield curves. At December 31, 2021, the Company had $Nil of notional positions paying a fixed rate and $Nil receiving a fixed rate denominated in U.S. dollar swap contracts (2020 - $ Nil and $23.5 million, respectively). Foreign Currency Derivatives The Company’s functional currency is the U.S. dollar. The Company writes a portion of its business in currencies other than U.S. dollars and may, from time to time, experience foreign exchange gains and losses in the Company’s consolidated financial statements. The impact of changes in exchange rates on the Company’s assets and liabilities denominated in currencies other than the U.S. dollar, excluding non- monetary assets and liabilities, are recognized in the Company’s consolidated statements of operations. Underwriting and Non-investments Operations Related Foreign Currency Contracts The Company’s foreign currency policy with regard to its underwriting operations is generally to enter into foreign currency forward and option contracts for notional values that approximate the foreign currency liabilities, including claims and claim expense reserves and reinsurance balances payable, net of any cash, investments and receivables held in the respective foreign currency. The Company’s use of foreign currency forward and option contracts is intended to minimize the effect of fluctuating foreign currencies on the value of non-U.S. dollar denominated assets and liabilities associated with its underwriting operations. The Company may determine not to match a portion of its projected underwriting related assets or liabilities with underlying foreign currency exposure with investments in the same currencies, which would increase its exposure to foreign currency fluctuations and potentially increase the impact and volatility of foreign exchange gains and losses on its results of operations. The fair value of the Company’s underwriting operations related foreign currency contracts is determined using indicative pricing obtained from counterparties or broker quotes. At December 31, 2021, the Company had outstanding underwriting related foreign currency contracts of $915.0 million in notional long positions and $329.3 million i n notional short positions, denominated in U.S. dollars (2020 – $0.7 billion and $504.2 million, respectively). Investment Portfolio Related Foreign Currency Forward Contracts The Company’s investment operations are exposed to currency fluctuations through its investments in non- U.S. dollar fixed maturity investments, short term investments and other investments. From time to time, the Company may employ foreign currency forward contracts in its investment portfolio to either assume foreign currency risk or to economically hedge its exposure to currency fluctuations from these investments. The fair value of the Company’s investment portfolio related foreign currency forward contracts is determined using an interpolated rate based on closing forward market rates. At December 31, 2021, the Company had outstanding investment portfolio related foreign currency contracts of $245.8 million in notional long positions and $131.0 million in notional short positions, denominated in U.S. dollars (2020 – $269.5 million and $117.5 million, respectively). Credit Derivatives The Company’s exposure to credit risk is primarily due to its fixed maturity investments, short term investments, premiums receivable and reinsurance recoverable. From time to time, the Company may purchase credit derivatives to manage its exposures in the insurance industry, and to assist in managing the credit risk associated with ceded reinsurance. The Company also employs credit derivatives in its investment portfolio to either assume credit risk or manage its credit exposure. Credit Default Swaps The fair value of the Company credit default swaps is determined using industry valuation models, broker bid indications or internal pricing valuation techniques. The fair value of these credit default swaps can change based on a variety of factors including changes in credit spreads, default rates and recovery rates, the correlation of credit risk between the referenced credit and the counterparty, and market rate inputs such as interest rates. At December 31, 2021, the Company had outstanding credit default swaps of $Nil in notional positions to hedge credit risk and $218.5 million in notional positions to assume credit risk, denominated in U.S. dollars (2020 – $Nil and $96.8 million, respectively). F-88