4. Derivative Instruments

Interest rate swaps are used by the Company primarily to reduce risks from changes in interest rates. Under the terms of the interest rate swaps, the Company agrees with another party to exchange, at specified intervals, the difference between fixed rate and floating rate interest amounts as calculated by reference to an agreed notional amount.

The Company accounts for the interest rate swaps as non-hedge instruments and recognizes the fair value of the interest rate swaps in other assets or other liabilities on the consolidated balance sheets with the changes in fair value recognized as net realized investment gains in the consolidated statement of operations. The estimated fair value of the interest rate swaps, which is primarily derived from the forward interest rate curve, is based on the valuation received from a third party financial institution.

The following table summarizes information on the location and the gross amount of the derivatives’ fair value on the consolidated balance sheets as of June 30, 2015 and December 31, 2014:


(Dollars in thousands)			June 30, 2015					December 31, 2014
Derivatives Not Designated as Hedging Instruments under ASC 815	Balance Sheet Location		Notional Amount		Fair Value			Notional Amount		Fair Value
Interest rate swap agreements		Other liabilities	$	200,000	$	(11,801	)	$	200,000	$	(13,675	)

The following table summarizes the net gain and losses included in the consolidated statement of operations for changes in the fair value of the derivatives and the periodic net interest settlements under the derivatives for the quarters and six months ended June 30, 2015 and 2014:


			Quarters Ended June 30,					Six Months Ended June 30,
(Dollars in thousands)	Statement of Operations Line		2015		2014			2015			2014
Interest rate swap agreements		Net realized investment gains	$	5,057	$	(6,018	)	$	(825	)	$	(12,360	)

As of June 30, 2015, the Company is due receivables of $5.3 million for collateral posted and $13.1 million for margin calls made in connection with the interest rate swaps. These amounts are included in other assets on the consolidated balance sheets.