XML 34 R28.htm IDEA: XBRL DOCUMENT v3.3.0.814
DERIVATIVE INSTRUMENTS (TABLES)
 9 Months Ended
Sep. 30, 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.
 
  
September 30, 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
$
218,921

 
$
1,422

 
$
22

 
$
161,678

 
$
3,925

 
$
12

 
 
Interest rate swaps
—

 
—

 
—

 
140,000

 
—

 
248

 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
712,136

 
—

 
9,323

 
577,836

 
3,228

 
2,781

 
 
Weather-related contracts
53,206

 
35

 
6,962

 
58,124

 
111

 
15,288

 
 
Commodity contracts
77,875

 
1,151

 
—

 
—

 
—

 
—

 
 
Total derivatives
 
 
$
2,608

 
$
16,307

 
 
 
$
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.
 
 
September 30, 2015
 
December 31, 2014
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
8,943

$
(6,335
)
$
2,608

 
$
15,125

$
(7,861
)
$
7,264

 
 
Derivative liabilities
$
22,642

$
(6,335
)
$
16,307

 
$
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 September 30,
 
Nine months ended September 30,
 
 
  
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives not designated as hedging instruments
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Net realized investment gains (losses)
$
6,412

 
$
7,034

 
$
11,234

 
$
3,350

 
 
Interest rate swaps
Net realized investment gains (losses)
—

 
(4,034
)
 
(4,006
)
 
(12,994
)
 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Foreign exchange losses (gains)
(5,210
)
 
(21,915
)
 
(21,494
)
 
(8,784
)
 
 
Weather-related contracts
Other insurance related income
307

 
668

 
11,274

 
4,730

 
 
Commodity contracts
Other insurance related income
(33
)
 
7,530

 
(923
)
 
9,243

 
 
Total
 
$
1,476

 
$
(10,717
)
 
$
(3,915
)
 
$
(4,455
)