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DERIVATIVE INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2017
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.
 
  
September 30, 2017
 
December 31, 2016
 
 
  
Derivative
Notional
Amount
 
Derivative
Asset
Fair
Value(1)
 
Derivative
Liability
Fair
Value(1)
 
Derivative
Notional
Amount
 
Derivative
Asset
Fair
Value(1)
 
Derivative
Liability
Fair
Value(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
$
147,015

 
$
—

 
$
439

 
$
195,979

 
$
12,331

 
$
87

 
 
Interest rate swaps
180,000

 
393

 
—

 
—

 
—

 
—

 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
479,818

 
5,466

 
1,434

 
492,899

 
2,034

 
8,989

 
 
Weather-related contracts
—

 
—

 
—

 
67,957

 
2,532

 
6,500

 
 
Commodity contracts
—

 
—

 
—

 
—

 
—

 
—

 
 
Other underwriting-related contracts
85,000

 
—

 
11,844

 
—

 
—

 
—

 
 
Total derivatives
 
 
$
5,859

 
$
13,717

 
 
 
$
16,897

 
$
15,576

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Asset and liability derivatives are classified within other assets and other liabilities in 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 the Consolidated Balance Sheets, with the difference being attributable to the impact of master netting agreements.
 
 
September 30, 2017
 
December 31, 2016
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
9,682

$
(3,823
)
$
5,859

 
$
22,270

$
(5,373
)
$
16,897

 
 
Derivative liabilities
$
17,540

$
(3,823
)
$
13,717

 
$
20,949

$
(5,373
)
$
15,576

 
 
 
 
 
 
 
 
 
 
 
(1)
Net asset and liability derivatives are classified within other assets and other liabilities in 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 the Consolidated Balance Sheets, with the difference being attributable to the impact of master netting agreements.
 
 
September 30, 2017
 
December 31, 2016
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
9,682

$
(3,823
)
$
5,859

 
$
22,270

$
(5,373
)
$
16,897

 
 
Derivative liabilities
$
17,540

$
(3,823
)
$
13,717

 
$
20,949

$
(5,373
)
$
15,576

 
 
 
 
 
 
 
 
 
 
 
(1)
Net asset and liability derivatives are classified within other assets and other liabilities in 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
Three months ended September 30,
 
Nine months ended September 30,
 
 
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Net realized investment gains (losses)
$
(1,815
)
 
$
155

 
$
(6,534
)
 
$
39

 
 
Interest rate swaps
Net realized investment gains (losses)
520

 
—

 
(2,661
)
 
—

 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Foreign exchange losses (gains)
(12,481
)
 
(182
)
 
(26,109
)
 
(2,958
)
 
 
Weather-related contracts
Other insurance related income (losses)
—

 
833

 
(9,629
)
 
809

 
 
Commodity contracts
Other insurance related income (losses)
—

 
1,799

 
—

 
1,499

 
 
Other underwriting-related contracts
Other insurance related income (losses)
514

 
—

 
852

 
—

 
 
Total
 
$
(13,262
)
 
$
2,605

 
$
(44,081
)
 
$
(611
)