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Derivative Financial Instruments | 6 Months Ended
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Jun. 30, 2019
General Discussion of Derivative Instruments and Hedging Activities [Abstract] |
Derivative Financial Instruments | Derivative Financial Instruments The Company is exposed to certain risks relating to its ongoing business operations. The primary risk managed by using derivative instruments is equity price risk. Equity contracts (options sold) on various equity securities are intended to manage the price risk associated with forecasted purchases or sales of such securities. The Company also enters into derivative contracts to enhance returns on its investment portfolio. On February 13, 2014, Fannette Funding LLC (“FFL”), a special purpose investment vehicle formed by and consolidated into the Company, entered into a total return swap agreement with Citibank. Under the agreement, FFL receives the income equivalent on underlying obligations due to Citibank and pays to Citibank interest on the outstanding notional amount of the underlying obligations. The total return swap is secured by approximately $31 million of U.S. Treasuries as collateral, which are included in short-term investments on the consolidated balance sheets. The Company paid interest at the rate of LIBOR plus 128 basis points prior to the renewal of the agreement in January 2018, LIBOR plus 120 basis points subsequent to the January 2018 renewal through July 2018, and LIBOR plus 105 basis points subsequent to the July 2018 renewal on the outstanding notional amount of the underlying obligations, which was approximately $99 million and $100 million as of June 30, 2019 and December 31, 2018, respectively. The agreement had an initial term of one year, subject to periodic renewal. In July 2018, the agreement was renewed through January 24, 2020, and the interest rate was changed to LIBOR plus 105 basis points. The following tables present the location and amounts of derivative fair values in the consolidated balance sheets and derivative gains or losses in the consolidated statements of operations:
| Liability Derivatives
| June 30, 2019 |  | December 31, 2018
| (Amount in thousands)
Options sold - Other liabilities | $ | 405 |  |  | $ | 3 |
Total return swap - Other liabilities | 1,722 |  |  | 4,851 |
Total derivatives | $ | 2,127 |  |  | $ | 4,854 |
| Gains (Losses) Recognized in Income
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2019 |  | 2018 |  | 2019 |  | 2018
| (Amounts in thousands)
Total return swap - Net realized investment gains (losses) | $ | 515 |  |  | $ | (320 | ) |  | $ | 2,281 |  |  | $ | 280 |
Options sold - Net realized investment gains (losses) | 2,472 |  |  | 2,807 |  |  | 3,344 |  |  | 5,731 |
Total | $ | 2,987 |  |  | $ | 2,487 |  |  | $ | 5,625 |  |  | $ | 6,011 |
Most options sold consist of covered calls. The Company writes covered calls on underlying equity positions held as an enhanced income strategy that is permitted for the Company’s insurance subsidiaries under statutory regulations. The Company manages the risk associated with covered calls through strict capital limitations and asset diversification throughout various industries. See Note 5. Fair Value Measurements for additional disclosures regarding options sold.

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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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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