Derivatives (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary information on the fair values and notional amount of derivative instruments

The following table summarizes information on the fair values and notional amount of the Company’s derivative instruments at March 31, 2020 and December 31, 2019:

	Estimated Fair Value
	Asset Derivatives		Liability Derivatives		Net Derivatives			Notional Amount(1)
	($ in thousands)
March 31, 2020
Other underwriting derivatives	$	—	$	314	$	(314	)	$	56,923
Total return swaps	—		23,726		(23,726		)	112,745
Total	$	—	$	24,040	$	(24,040	)	$	169,668
December 31, 2019
Other underwriting derivatives	$	148	$	—	$	148		$	59,879
Total return swaps	1,667		257		1,410			162,678
Total	$	1,815	$	257	$	1,558		$	222,557

(1) The notional amount represents the absolute value of all outstanding contracts.

Summary of realized and unrealized gains and losses on derivative instruments

The realized and unrealized gains and losses on the Company’s derivative instruments are reflected in the consolidated statements of income, as summarized in the following table:

	Three Months Ended March 31,
	2020			2019
	($ in thousands)
Underwriting derivatives:
Other underwriting income (loss)	$	133		$	592
Investment derivatives:
Net realized and unrealized gains (losses):
Options	1,081			801
Total return swaps	(23,882		)	1,582