XML 59 R25.htm IDEA: XBRL DOCUMENT v3.20.1
DERIVATIVE INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET
The following table provides the balance sheet classifications of derivatives recorded at fair value:
  March 31, 2020December 31, 2019
  
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$221,515  $1,405  $254  $68,998  $—  $1,405  
Relating to underwriting portfolio:
Foreign exchange forward contracts972,913  7,551  1,827  1,038,630  3,174  2,560  
Other underwriting-related contracts85,000  —  20,164  85,000  —  9,672  
Total derivatives$8,956  $22,245  $3,174  $13,637  
(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 following table provides 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:
March 31, 2020December 31, 2019
Gross amountsGross amounts offset
Net
amounts(1)
Gross amountsGross amounts offset
Net
amounts(1)
Derivative assets$17,034  $(8,078) $8,956  $7,673  $(4,499) $3,174  
Derivative liabilities$30,323  $(8,078) $22,245  $18,136  $(4,499) $13,637  
(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 following table provides 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:
March 31, 2020December 31, 2019
Gross amountsGross amounts offset
Net
amounts(1)
Gross amountsGross amounts offset
Net
amounts(1)
Derivative assets$17,034  $(8,078) $8,956  $7,673  $(4,499) $3,174  
Derivative liabilities$30,323  $(8,078) $22,245  $18,136  $(4,499) $13,637  
(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 incomeThree months ended March 31,
  20202019
Relating to investment portfolio:
Foreign exchange forward contractsNet investment gains (losses)$3,162  $752  
Interest rate swapsNet investment gains (losses)—  (2,854) 
Relating to underwriting portfolio:
Foreign exchange forward contractsForeign exchange gains (losses)(690) (10,517) 
Other underwriting-related contractsOther insurance related income (losses)(10,201) 347  
Total$(7,729) $(12,272)