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DERIVATIVE INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET
The balance sheet classifications of derivatives recorded at fair value are shown in the following table. The notional amount of derivative contracts represents the basis upon which pay or receive amounts are calculated and are 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.
 
  
June 30, 2018
 
December 31, 2017
 
 
  
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
$
159,226

 
$
231

 
$
680

 
$
137,422

 
$
10

 
$
619

 
 
Interest rate swaps
166,000

 
—

 
975

 
191,000

 
448

 
1,556

 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
963,373

 
9,860

 
3,501

 
698,959

 
4,667

 
701

 
 
Weather-related contracts
—

 
—

 
—

 
—

 
—

 
—

 
 
Other underwriting-related contracts
85,000

 
—

 
10,589

 
85,000

 
—

 
11,510

 
 
Total derivatives
 
 
$
10,091

 
$
15,745

 
 
 
$
5,125

 
$
14,386

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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
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.
 
 
June 30, 2018
 
December 31, 2017
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
17,227

$
(7,136
)
$
10,091

 
$
8,178

$
(3,053
)
$
5,125

 
 
Derivative liabilities
$
22,881

$
(7,136
)
$
15,745

 
$
17,439

$
(3,053
)
$
14,386

 
 
 
 
 
 
 
 
 
 
 
(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
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.
 
 
June 30, 2018
 
December 31, 2017
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
17,227

$
(7,136
)
$
10,091

 
$
8,178

$
(3,053
)
$
5,125

 
 
Derivative liabilities
$
22,881

$
(7,136
)
$
15,745

 
$
17,439

$
(3,053
)
$
14,386

 
 
 
 
 
 
 
 
 
 
 
(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 net income for derivatives not designated as hedges are shown in the following table:  
 
  
Location of Gain (Loss) Recognized in Income on Derivative
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Net investment gains (losses)
$
2,515

 
$
(2,347
)
 
$
1,323

 
$
(4,719
)
 
 
Interest rate swaps
Net investment gains (losses)
2,619

 
(3,620
)
 
5,833

 
(3,181
)
 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Foreign exchange (losses) gains
(7,809
)
 
16,385

 
(138
)
 
13,628

 
 
Weather-related contracts
Other insurance related income (losses)
—

 
(1,697
)
 
—

 
(9,629
)
 
 
Other underwriting-related contracts
Other insurance related income (losses)
647

 
338

 
1,548

 
338

 
 
Total
 
$
(2,028
)
 
$
9,059

 
$
8,566

 
$
(3,563
)