DERIVATIVE INSTRUMENTS (TABLES)

3 Months Ended

Mar. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET

The following table summarizes the balance sheet classification of derivatives recorded at fair values. The notional amount of derivative contracts represents the basis upon which pay or receive amounts are calculated and is presented in the table to quantify the volume of our derivative activities. Notional amounts are not reflective of credit risk.



	March 31, 2015						December 31, 2014
	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⁾

Derivatives not designated as hedging instruments
Relating to investment portfolio:
Foreign exchange forward contracts	$	235,623	$	3,607	$	40	$	161,678	$	3,925	$	12
Interest rate swaps	—		—		—		140,000		—		248
Relating to underwriting portfolio:
Foreign exchange forward contracts	664,621		643		10,272		577,836		3,228		2,781
Weather-related contracts	20,995		—		7,308		58,124		111		15,288
Total derivatives			$	4,250	$	17,620			$	7,264	$	18,329


(1)	Asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets.

RECONCILIATION OF GROSS DERIVATIVE ASSETS AND LIABILITIES TO NET AMOUNTS PRESENTED IN BALANCE SHEETS

The table below presents a reconciliation of our gross derivative assets and liabilities to the net amounts presented in our Consolidated Balance Sheets, with the difference being attributable to the impact of master netting agreements.



	March 31, 2015							December 31, 2014
	Gross Amounts		Gross Amounts Offset			Net Amounts⁽¹⁾		Gross Amounts		Gross Amounts Offset			Net Amounts⁽¹⁾

Derivative assets	$	11,974	$	(7,724	)	$	4,250	$	15,125	$	(7,861	)	$	7,264
Derivative liabilities	$	25,344	$	(7,724	)	$	17,620	$	26,190	$	(7,861	)	$	18,329


(1)	Net asset and liability derivatives are classified within other assets and other liabilities in the Consolidated Balance Sheets.

NET EARNINGS IMPACT OF FAIR VALUE HEDGES AND TOTAL UNREALIZED AND REALIZED GAINS (LOSSES) ON DERIVATIVES NOT DESIGNATED AS HEDGES RECORDED IN EARNINGS

The total unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges were as follows:



	Location of Gain (Loss) Recognized in Income on Derivative	Three months ended March 31,
	Location of Gain (Loss) Recognized in Income on Derivative	2015			2014

Derivatives not designated as hedging instruments
Relating to investment portfolio:
Foreign exchange forward contracts	Net realized investment gains (losses)	$	6,537		$	(1,328	)
Interest rate swaps	Net realized investment gains (losses)	(4,006		)	(4,161		)
Relating to underwriting portfolio:
Foreign exchange forward contracts	Foreign exchange losses (gains)	(15,273		)	12,074
Weather-related contracts	Other insurance related income	7,342			3,678
Total		$	(5,400	)	$	10,263