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Derivatives | 6 Months Ended
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Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | Derivatives ProAssurance is exposed to certain risks relating to its ongoing business and investment activities. ProAssurance utilizes derivative instruments as part of its risk management strategy to reduce the market risk related to fluctuations in future interest rates associated with a portion of its variable-rate debt. As of June 30, 2018, ProAssurance has not designated any derivative instruments as hedging instruments and does not use derivative instruments for trading purposes. ProAssurance utilizes an interest rate cap agreement with the objective of reducing the Company's exposure to interest rate risk related to its variable-rate Mortgage Loans. Additional information regarding the Company's Mortgage Loans is provided in Note 8. Under the terms of the interest rate cap agreement, ProAssurance paid a premium of $2 million in the fourth quarter of 2017 for the right to receive cash payments based upon a notional amount of $35 million if and when the three-month LIBOR rises above 2.35%. The Company's variable-rate Mortgage Loans bear an interest rate of three-month LIBOR plus 1.325%. Therefore, this derivative instrument is effectively ensuring the interest rate related to the Mortgage Loans is capped at a maximum of 3.675% until expiration of the interest rate cap agreement in October 2027. ProAssurance has designated the interest rate cap as an economic hedge (non-hedging instrument) of interest rate exposure and any change in fair value of the derivative is immediately recognized in earnings during the period of change. The following table provides a summary of the volume and fair value position of the interest rate cap as well as the reporting location in the Condensed Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017.
($ in thousands) | June 30, 2018 |  | December 31, 2017
Derivatives Not Designated as Hedging Instruments | Location in the Condensed Consolidated Balance Sheets | Number of Instruments | Notional Amount (1) | Estimated Fair Value (2) |  | Number of Instruments | Notional Amount (1) | Estimated Fair Value (2)
Interest Rate Cap | Other assets | 1 | $ | 35,000 |  | $ | 2,588 |  |  | 1 | $ | 35,000 |  | $ | 1,731 |
(1) Volume is represented by the derivative instrument's notional amount.
(2) Additional information regarding the fair value of the Company's interest rate cap is provided in Note 2.
The following table presents the pre-tax impact of the change in the fair value of the interest rate cap and the reporting location in the Condensed Consolidated Statements of Income and Comprehensive Income for the three and six months ended June 30, 2018 and 2017.
| Gains (Losses) Recognized in Income on Derivatives
(In thousands) | Three Months Ended June 30 |  | Six Months Ended June 30
Derivatives Not Designated as Hedging Instruments | Location in the Condensed Consolidated Statements of Income and Comprehensive Income | 2018 |  | 2017 |  | 2018 |  | 2017
Interest Rate Cap | Interest expense | $ | 282 |  |  | $ | — |  |  | $ | 857 |  |  | $ | — |
As a result of this derivative instrument, ProAssurance is exposed to risk that the counterparty will fail to meet its contractual obligations. To mitigate this counterparty credit risk, ProAssurance only enters into derivative contracts with carefully selected major financial institutions based upon their credit ratings and monitors their creditworthiness. As of June 30, 2018, the counterparty had an investment grade rating of BBB- and has performed in accordance with their contractual obligations.

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- References No definition available. + Details
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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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