DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 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:

	September 30, 2020						December 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	$	256,338	$	1,804	$	201	$	68,998	$	—	$	1,405
Relating to underwriting portfolio:
Foreign exchange forward contracts	1,009,860		5,463		1,377		1,038,630		3,174		2,560
Other underwriting-related contracts	75,000		—		9,448		85,000		—		9,672
Total derivatives			$	7,267	$	11,026			$	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:

	September 30, 2020						December 31, 2019
	Gross amounts		Gross amounts offset		Net amounts(1)		Gross amounts		Gross amounts offset		Net amounts(1)
Derivative assets	$	14,376	$	(7,109)	$	7,267	$	7,673	$	(4,499)	$	3,174
Derivative liabilities	$	18,135	$	(7,109)	$	11,026	$	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:

	September 30, 2020						December 31, 2019
	Gross amounts		Gross amounts offset		Net amounts(1)		Gross amounts		Gross amounts offset		Net amounts(1)
Derivative assets	$	14,376	$	(7,109)	$	7,267	$	7,673	$	(4,499)	$	3,174
Derivative liabilities	$	18,135	$	(7,109)	$	11,026	$	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 income	Three months ended September 30,				Nine months ended September 30,
		2020		2019		2020		2019
Relating to investment portfolio:
Foreign exchange forward contracts	Net investment gains (losses)	$	(1,346)	$	2,592	$	1,970	$	3,964
Interest rate swaps	Net investment gains (losses)	—		—		—		(3,677)
Relating to underwriting portfolio:
Foreign exchange forward contracts	Foreign exchange gains (losses)	16,370		(6,883)		14,811		(16,598)
Other underwriting-related contracts	Other insurance related income (losses)	370		417		(9,361)		1,035
Total		$	15,394	$	(3,874)	$	7,420	$	(15,276)