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DERIVATIVE INSTRUMENTS (TABLES)
 6 Months Ended
Jun. 30, 2016
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.

None of our derivative instruments are designated as hedges under current accounting guidance.
 
  
June 30, 2016
 
December 31, 2015
 
 
  
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
$
75,429

 
$
1,753

 
$
134

 
$
198,406

 
$
490

 
$
837

 
 
Interest rate swaps
—

 
—

 
—

 
—

 
—

 
—

 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
675,419

 
3,014

 
4,408

 
692,023

 
1,582

 
6,855

 
 
Weather-related contracts
17,345

 
5

 
1,978

 
51,395

 
4,395

 
10,937

 
 
Commodity contracts
181,000

 
1,967

 
—

 
—

 
—

 
—

 
 
Total derivatives
 
 
$
6,739

 
$
6,520

 
 
 
$
6,467

 
$
18,629

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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 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.
 
 
June 30, 2016
 
December 31, 2015
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
13,849

$
(7,110
)
$
6,739

 
$
14,336

$
(7,869
)
$
6,467

 
 
Derivative liabilities
$
13,630

$
(7,110
)
$
6,520

 
$
26,498

$
(7,869
)
$
18,629

 
 
 
 
 
 
 
 
 
 
 
(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 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.
 
 
June 30, 2016
 
December 31, 2015
 
 
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
Gross Amounts
Gross Amounts Offset
Net
Amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
13,849

$
(7,110
)
$
6,739

 
$
14,336

$
(7,869
)
$
6,467

 
 
Derivative liabilities
$
13,630

$
(7,110
)
$
6,520

 
$
26,498

$
(7,869
)
$
18,629

 
 
 
 
 
 
 
 
 
 
 
(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 earnings for derivatives not designated as hedges were as follows:  
 
  
Location of Gain (Loss) Recognized in Income on Derivative
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives not designated as hedging instruments
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Net realized investment gains (losses)
$
2,404

 
$
(1,716
)
 
$
(116
)
 
$
4,822

 
 
Interest rate swaps
Net realized investment gains (losses)
—

 
—

 
—

 
(4,006
)
 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Foreign exchange losses (gains)
(5,876
)
 
(1,011
)
 
(2,776
)
 
(16,284
)
 
 
Weather-related contracts
Other insurance related income (losses)
451

 
3,625

 
(24
)
 
10,968

 
 
Commodity contracts
Other insurance related income (losses)
(543
)
 
(890
)
 
(301
)
 
(890
)
 
 
Total
 
$
(3,564
)
 
$
8

 
$
(3,217
)
 
$
(5,390
)