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DERIVATIVE INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET
The following table provides the balance sheet classifications of derivatives recorded at fair value:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
At December 31, 2019
 
At December 31, 2018
 
 
  
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
$
68,998

 
$
—

 
$
1,405

 
$
79,336

 
$
262

 
$
531

 
 
Interest rate swaps
—

 
—

 
—

 
150,000

 
—

 
1,116

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
1,038,630

 
3,174

 
2,560

 
737,419

 
7,975

 
2,576

 
 
Other underwriting-related contracts
85,000

 
—

 
9,672

 
85,000

 
—

 
10,299

 
 
Total derivatives
 
 
$
3,174

 
$
13,637

 
 
 
$
8,237

 
$
14,522

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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 following table provides 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:
 
 
December 31, 2019
 
December 31, 2018
 
 
 
Gross amounts
Gross amounts offset
Net
amounts(1)
 
Gross amounts
Gross amounts offset
Net
amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
7,673

$
(4,499
)
$
3,174

 
$
11,967

$
(3,730
)
$
8,237

 
 
Derivative liabilities
$
18,136

$
(4,499
)
$
13,637

 
$
18,252

$
(3,730
)
$
14,522

 
 
 
 
 
 
 
 
 
 
 
(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 following table provides 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:
 
 
December 31, 2019
 
December 31, 2018
 
 
 
Gross amounts
Gross amounts offset
Net
amounts(1)
 
Gross amounts
Gross amounts offset
Net
amounts(1)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
7,673

$
(4,499
)
$
3,174

 
$
11,967

$
(3,730
)
$
8,237

 
 
Derivative liabilities
$
18,136

$
(4,499
)
$
13,637

 
$
18,252

$
(3,730
)
$
14,522

 
 
 
 
 
 
 
 
 
 
 
(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 following table provides the total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges:
 
 
 
 
 
 
 
 
 
 
  
Location of gain (loss) recognized
in net income
Amount of gain (loss) recognized in
net income
 
 
 
 
 
  
2019
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
Relating to investment portfolio:
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Net investment gains (losses)
$
1,854

 
$
3,446

 
$
(6,935
)
 
 
        Interest rate swaps
Net investment gains (losses)
(3,677
)
 
1,999

 
(1,334
)
 
 
Relating to underwriting portfolio:
 
 
 
 
 
 
 
 
Foreign exchange forward contracts
Foreign exchange gains (losses)
(10,678
)
 
(3,509
)
 
25,383

 
 
Weather-related contracts
Other insurance related income (losses)
—

 
—

 
(9,629
)
 
 
Other underwriting-related contracts
Other insurance related income
1,789

 
2,384

 
1,476

 
 
Total
 
$
(10,712
)
 
$
4,320

 
$
8,961