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DERIVATIVE INSTRUMENTS (TABLES)
 12 Months Ended
Dec. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET
The following table summarizes the balance sheet classification of derivatives recorded at fair value. The notional amount of derivative contracts represents the basis upon which pay or receive amounts are calculated and is presented in the table to quantify the volume of our derivative activities. Notional amounts are not reflective of credit risk.

None of our derivative instruments are designated as hedges under current accounting guidance.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
At December 31, 2016
 
At December 31, 2015
 
 
  
Derivative
Notional
Amount
 
Asset
Derivative
Fair
Value(1)
 
Liability
Derivative
Fair
Value(1)
 
Derivative
Notional
Amount
 
Asset
Derivative
Fair
Value(1)
 
Liability
Derivative
Fair
Value(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
$
195,979

 
$
12,331

 
$
87

 
$
198,406

 
$
490

 
$
837

 
 
Interest rate swaps
—

 
—

 
—

 
—

 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
492,899

 
2,034

 
8,989

 
692,023

 
1,582

 
6,855

 
 
Weather-related contracts
67,957

 
2,532

 
6,500

 
51,395

 
4,395

 
10,937

 
 
Commodity contracts
—

 
—

 
—

 
—

 
—

 
—

 
 
Total derivatives
 
 
$
16,897

 
$
15,576

 
 
 
$
6,467

 
$
18,629

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Asset and liability derivatives are classified within other assets and other liabilities on the Consolidated Balance Sheets.
RECONCILIATION OF GROSS DERIVATIVE ASSETS TO NET AMOUNTS PRESENTED IN BALANCE SHEETS
The table below presents a reconciliation of our gross derivative assets and liabilities to the net amounts presented in our Consolidated Balance Sheets, with the difference being attributable to the impact of master netting agreements.
 
 
December 31, 2016
 
December 31, 2015
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
22,270

$
(5,373
)
$
16,897

 
$
14,336

$
(7,869
)
$
6,467

 
 
Derivative liabilities
$
20,949

$
(5,373
)
$
15,576

 
$
26,498

$
(7,869
)
$
18,629

 
 
 
 
 
 
 
 
 
 
 
(1)
Net asset and liability derivatives are classified within other assets and other liabilities on the Consolidated Balance Sheets.
RECONCILIATION OF GROSS DERIVATIVE LIABILITIES TO NET AMOUNTS PRESENTED IN BALANCE SHEETS
The table below presents a reconciliation of our gross derivative assets and liabilities to the net amounts presented in our Consolidated Balance Sheets, with the difference being attributable to the impact of master netting agreements.
 
 
December 31, 2016
 
December 31, 2015
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
22,270

$
(5,373
)
$
16,897

 
$
14,336

$
(7,869
)
$
6,467

 
 
Derivative liabilities
$
20,949

$
(5,373
)
$
15,576

 
$
26,498

$
(7,869
)
$
18,629

 
 
 
 
 
 
 
 
 
 
 
(1)
Net asset and liability derivatives are classified within other assets and other liabilities on the Consolidated Balance Sheets.
TOTAL UNREALIZED AND REALIZED GAINS (LOSSES) ON DERIVATIVES NOT DESIGNATED AS HEDGES RECORDED IN EARNINGS
The total unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges were as follows:
 
 
 
 
 
 
 
 
 
 
  
Location of Gain (Loss) Recognized
in Income on Derivative
Amount of Gain (Loss) Recognized  in
Income on Derivative
 
 
 
 
 
  
2016
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Net realized investment gains (losses)
$
10,929

 
$
11,265

 
$
10,333

 
 
        Interest rate swaps
Net realized investment gains (losses)
—

 
(4,006
)
 
(19,936
)
 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Foreign exchange gains (losses)
(8,179
)
 
(25,412
)
 
(10,363
)
 
 
Weather-related contracts
Other insurance related income (loss)
4,910

 
(3,005
)
 
(5,373
)
 
 
Commodity contracts
Other insurance related income (loss)
(2,382
)
 
(1,814
)
 
8,328

 
 
Total
 
$
5,278

 
$
(22,972
)
 
$
(17,011
)