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DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended
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Jun. 30, 2017
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 value. 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, 2017 |  | December 31, 2016 |
|  | 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 | $ | 160,998 |  |  | $ | — |  |  | $ | 748 |  |  | $ | 195,979 |  |  | $ | 12,331 |  |  | $ | 87 |  |
| Interest rate swaps | 180,000 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Relating to underwriting portfolio: |  |  |  |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts | 479,347 |  |  | 6,912 |  |  | 319 |  |  | 492,899 |  |  | 2,034 |  |  | 8,989 |  |
| Weather-related contracts | 3,050 |  |  | — |  |  | 74 |  |  | 67,957 |  |  | 2,532 |  |  | 6,500 |  |
| Commodity contracts | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Other underwriting-related contracts | 75,000 |  |  | — |  |  | 12,135 |  |  | — |  |  | — |  |  | — |  |
| Total derivatives |  |  | $ | 6,912 |  |  | $ | 13,276 |  |  |  |  | $ | 16,897 |  |  | $ | 15,576 |  |
(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 the Consolidated Balance Sheets, with the difference being attributable to the impact of master netting agreements.
|  | June 30, 2017 |  | December 31, 2016 |
|  | Gross Amounts | Gross Amounts Offset | Net Amounts(1) |  | Gross Amounts | Gross Amounts Offset | Net Amounts(1) |
| Derivative assets | $ | 9,514 |  | $ | (2,602 | ) | $ | 6,912 |  |  | $ | 22,270 |  | $ | (5,373 | ) | $ | 16,897 |  |
| Derivative liabilities | $ | 15,878 |  | $ | (2,602 | ) | $ | 13,276 |  |  | $ | 20,949 |  | $ | (5,373 | ) | $ | 15,576 |  |
(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 the Consolidated Balance Sheets, with the difference being attributable to the impact of master netting agreements.
|  | June 30, 2017 |  | December 31, 2016 |
|  | Gross Amounts | Gross Amounts Offset | Net Amounts(1) |  | Gross Amounts | Gross Amounts Offset | Net Amounts(1) |
| Derivative assets | $ | 9,514 |  | $ | (2,602 | ) | $ | 6,912 |  |  | $ | 22,270 |  | $ | (5,373 | ) | $ | 16,897 |  |
| Derivative liabilities | $ | 15,878 |  | $ | (2,602 | ) | $ | 13,276 |  |  | $ | 20,949 |  | $ | (5,373 | ) | $ | 15,576 |  |
(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, |
|  | 2017 |  | 2016 |  | 2017 |  | 2016 |
| Relating to investment portfolio: |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts | Net realized investment gains (losses) | $ | (2,347 | ) |  | $ | 2,404 |  |  | $ | (4,719 | ) |  | $ | (116 | ) |
| Interest rate swaps | Net realized investment gains (losses) | (3,620 | ) |  | — |  |  | (3,181 | ) |  | — |  |
| Relating to underwriting portfolio: |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts | Foreign exchange losses (gains) | (16,385 | ) |  | (5,876 | ) |  | (13,628 | ) |  | (2,776 | ) |
| Weather-related contracts | Other insurance related income (losses) | (1,697 | ) |  | 451 |  |  | (9,629 | ) |  | (24 | ) |
| Commodity contracts | Other insurance related income (losses) | — |  |  | (543 | ) |  | — |  |  | (301 | ) |
| Other underwriting-related contracts | Other insurance related income (losses) | 338 |  |  | — |  |  | 338 |  |  | — |  |
| Total |  | $ | (23,711 | ) |  | $ | (3,564 | ) |  | $ | (30,819 | ) |  | $ | (3,217 | ) |

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