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DERIVATIVE INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2019
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:
 
  
September 30, 2019
 
December 31, 2018
 
 
  
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
$
152,963

 
$
517

 
$
425

 
$
79,336

 
$
262

 
$
531

 
 
Interest rate swaps
—

 
—

 
—

 
150,000

 
—

 
1,116

 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
531,864

 
826

 
7,040

 
737,419

 
7,975

 
2,576

 
 
Other underwriting-related contracts
85,000

 
—

 
10,136

 
85,000

 
—

 
10,299

 
 
Total derivatives
 
 
$
1,343

 
$
17,601

 
 
 
$
8,237

 
$
14,522

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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:
 
 
September 30, 2019
 
December 31, 2018
 
 
 
Gross amounts
Gross amounts offset
Net
amounts(1)
 
Gross amounts
Gross amounts offset
Net
amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
2,357

$
(1,014
)
$
1,343

 
$
11,967

$
(3,730
)
$
8,237

 
 
Derivative liabilities
$
18,615

$
(1,014
)
$
17,601

 
$
18,252

$
(3,730
)
$
14,522

 
 
 
 
 
 
 
 
 
 
 
(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:
 
 
September 30, 2019
 
December 31, 2018
 
 
 
Gross amounts
Gross amounts offset
Net
amounts(1)
 
Gross amounts
Gross amounts offset
Net
amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
2,357

$
(1,014
)
$
1,343

 
$
11,967

$
(3,730
)
$
8,237

 
 
Derivative liabilities
$
18,615

$
(1,014
)
$
17,601

 
$
18,252

$
(3,730
)
$
14,522

 
 
 
 
 
 
 
 
 
 
 
(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 net income
Three months ended September 30,
 
Nine months ended September 30,
 
 
  
2019
 
2018
 
2019
 
2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Net investment gains (losses)
$
2,592

 
$
766

 
$
3,964

 
$
2,090

 
 
Interest rate swaps
Net investment gains (losses)
—

 
1,859

 
(3,677
)
 
7,692

 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Foreign exchange gains (losses)
(6,883
)
 
(3,965
)
 
(16,598
)
 
(4,103
)
 
 
Other underwriting-related contracts
Other insurance related income (losses)
417

 
677

 
1,035

 
2,225

 
 
Total
 
$
(3,874
)
 
$
(663
)
 
$
(15,276
)
 
$
7,904