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DERIVATIVE INSTRUMENTS | 12 Months Ended
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Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVE INSTRUMENTS | The balance sheet classification of derivatives recorded at fair value is shown in the following table. 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 the Company's derivative activities. Notional amounts are not reflective of credit risk. None of the Company's derivative instruments are designated as hedges under current accounting guidance.
|  | At December 31, 2017 |  | At December 31, 2016 |
|  | Derivative Notional Amount |  | Asset Derivative Fair Value(1) |  | Liability Derivative Fair Value(1) |  | Derivative Notional Amount |  | Asset Derivative Fair Value(1) |  | Liability Derivative Fair Value(1) |
| Relating to investment portfolio: |  |  |  |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts | $ | 137,422 |  |  | $ | 10 |  |  | $ | 619 |  |  | $ | 195,979 |  |  | $ | 12,331 |  |  | $ | 87 |  |
| Interest rate swaps | 191,000 |  |  | 448 |  |  | 1,556 |  |  | — |  |  | — |  |  | — |  |
| Relating to underwriting portfolio: |  |  |  |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts | 698,959 |  |  | 4,667 |  |  | 701 |  |  | 492,899 |  |  | 2,034 |  |  | 8,989 |  |
| Weather-related contracts | — |  |  | — |  |  | — |  |  | 67,957 |  |  | 2,532 |  |  | 6,500 |  |
| Commodity contracts | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Other underwriting-related contracts | 85,000 |  |  | — |  |  | 11,510 |  |  | — |  |  | — |  |  | — |  |
| Total derivatives |  |  | $ | 5,125 |  |  | $ | 14,386 |  |  |  |  | $ | 16,897 |  |  | $ | 15,576 |  |
(1) | Asset and liability derivatives are classified within other assets and other liabilities on the Consolidated Balance Sheets.
Offsetting Assets and Liabilities The Company's derivative instruments are generally traded under International Swaps and Derivatives Association master netting agreements, which establish terms that apply to all transactions. In the event of a bankruptcy or other stipulated event, master netting agreements provide that individual positions be replaced with a new amount, usually referred to as the termination amount, determined by taking into account market prices and converting into a single currency. Effectively, this contractual close-out netting reduces credit exposure from gross to net exposure. A reconciliation of 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, is shown in the following table.
|  | December 31, 2017 |  | December 31, 2016 |
|  | Gross Amounts | Gross Amounts Offset | Net Amounts(1) |  | Gross Amounts | Gross Amounts Offset | Net Amounts(1) |
| Derivative assets | $ | 8,178 |  | $ | (3,053 | ) | $ | 5,125 |  |  | $ | 22,270 |  | $ | (5,373 | ) | $ | 16,897 |  |
| Derivative liabilities | $ | 17,439 |  | $ | (3,053 | ) | $ | 14,386 |  |  | $ | 20,949 |  | $ | (5,373 | ) | $ | 15,576 |  |
(1) | Net asset and liability derivatives are classified within other assets and other liabilities on the Consolidated Balance Sheets.
For information on reverse repurchase agreements see Note 6 'Investments'. a) Relating to Investment Portfolio Foreign Currency Risk Within the investment portfolio the Company is exposed to foreign currency risk. Accordingly, the fair values for the investment portfolio are partially influenced by the change in foreign exchange rates. The Company may enter into foreign currency forward contracts to manage the effect of this foreign currency risk. These foreign currency hedging activities are not designated as specific hedges for financial reporting purposes. Interest Rate Risk The Company's investment portfolio contains a large percentage of fixed maturities which expose it to significant interest rate risk. As part of overall management of this risk, the Company may use interest rate swaps. b) Relating to Underwriting Portfolio Foreign Currency Risk The Company's (re)insurance subsidiaries and branches operate in various foreign countries. Consequently, some of its business is written in currencies other than the U.S. dollar therefore, the underwriting portfolio is exposed to significant foreign currency risk. The Company manages foreign currency risk by seeking to match its foreign-denominated net liabilities under (re)insurance contracts with cash and investments that are denominated in such currencies. The Company may also use derivative instruments, specifically forward contracts and currency options, to economically hedge foreign currency exposures. Weather Risk During 2013, the Company began to write derivative-based risk management products designed to address weather risks with the objective of generating profits on a portfolio basis. The majority of this business consists of receiving a payment at contract inception in exchange for bearing the risk of variations in a quantifiable weather-related phenomenon, such as temperature. Where a client wishes to minimize the upfront payment, these transactions may be structured as swaps or collars. In general, the Company's portfolio of such derivative contracts is of short duration, with contracts being predominantly seasonal in nature. In order to economically hedge a portion of this portfolio, the Company may also purchase weather derivatives. Effective July 1, 2017, the Company no longer writes derivative-based risk management products which address weather risks. Commodity Risk Within the Company's (re)insurance portfolio it is exposed to commodity price risk. The Company may hedge a portion of this price risk by entering into commodity derivative contracts. Other Underwriting-Related Risks The Company enters into insurance and reinsurance contracts that are accounted for as derivatives. These insurance or reinsurance contracts provide indemnification to an insured or cedant as a result of a change in a variable as opposed to an identifiable insurable event. The Company considers these contracts to be part of its underwriting operations. The total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges are shown in the following table:
|  | Location of Gain (Loss) Recognized in Income on Derivative | Amount of Gain (Loss) Recognized in Income on Derivative |
|  | 2017 |  | 2016 |  | 2015 |
| Relating to investment portfolio: |  |  |  |  |  |  |
| Foreign exchange forward contracts | Net realized investment gains (losses) | $ | (6,935 | ) |  | $ | 10,929 |  |  | $ | 11,265 |  |
| Interest rate swaps | Net realized investment gains (losses) | (1,334 | ) |  | — |  |  | (4,006 | ) |
| Relating to underwriting portfolio: |  |  |  |  |  |  |
| Foreign exchange forward contracts | Foreign exchange gains (losses) | 25,383 |  |  | (8,179 | ) |  | (25,412 | ) |
| Weather-related contracts | Other insurance related income (loss) | (9,629 | ) |  | 4,910 |  |  | (3,005 | ) |
| Commodity contracts | Other insurance related income (loss) | — |  |  | (2,382 | ) |  | (1,814 | ) |
| Other underwriting-related contracts | Other insurance related income (loss) | 1,476 |  |  | — |  |  | — |  |
| Total |  | $ | 8,961 |  |  | $ | 5,278 |  |  | $ | (22,972 | ) |

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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