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DERIVATIVE INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET
The balance sheet classification of derivatives recorded at fair value is shown in the following table. 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 the Company's derivative activities. Notional amounts are not reflective of credit risk.

None of the Company's derivative instruments are designated as hedges under current accounting guidance.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
At December 31, 2017
 
At December 31, 2016
 
 
  
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
$
137,422

 
$
10

 
$
619

 
$
195,979

 
$
12,331

 
$
87

 
 
Interest rate swaps
191,000

 
448

 
1,556

 
—

 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
698,959

 
4,667

 
701

 
492,899

 
2,034

 
8,989

 
 
Weather-related contracts
—

 
—

 
—

 
67,957

 
2,532

 
6,500

 
 
Commodity contracts
—

 
—

 
—

 
—

 
—

 
—

 
 
Other underwriting-related contracts
85,000

 
—

 
11,510

 
—

 
—

 
—

 
 
Total derivatives
 
 
$
5,125

 
$
14,386

 
 
 
$
16,897

 
$
15,576

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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
A reconciliation of 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, is shown in the following table.
 
 
December 31, 2017
 
December 31, 2016
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
8,178

$
(3,053
)
$
5,125

 
$
22,270

$
(5,373
)
$
16,897

 
 
Derivative liabilities
$
17,439

$
(3,053
)
$
14,386

 
$
20,949

$
(5,373
)
$
15,576

 
 
 
 
 
 
 
 
 
 
 
(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
A reconciliation of 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, is shown in the following table.
 
 
December 31, 2017
 
December 31, 2016
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
8,178

$
(3,053
)
$
5,125

 
$
22,270

$
(5,373
)
$
16,897

 
 
Derivative liabilities
$
17,439

$
(3,053
)
$
14,386

 
$
20,949

$
(5,373
)
$
15,576

 
 
 
 
 
 
 
 
 
 
 
(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 net income for derivatives not designated as hedges are shown in the following table:
 
 
 
 
 
 
 
 
 
 
  
Location of Gain (Loss) Recognized
in Income on Derivative
Amount of Gain (Loss) Recognized  in
Income on Derivative
 
 
 
 
 
  
2017
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Net realized investment gains (losses)
$
(6,935
)
 
$
10,929

 
$
11,265

 
 
        Interest rate swaps
Net realized investment gains (losses)
(1,334
)
 
—

 
(4,006
)
 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Foreign exchange gains (losses)
25,383

 
(8,179
)
 
(25,412
)
 
 
Weather-related contracts
Other insurance related income (loss)
(9,629
)
 
4,910

 
(3,005
)
 
 
Commodity contracts
Other insurance related income (loss)
—

 
(2,382
)
 
(1,814
)
 
 
Other underwriting-related contracts
Other insurance related income (loss)
1,476

 
—

 
—

 
 
Total
 
$
8,961

 
$
5,278

 
$
(22,972
)