3.	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 (losses) in the consolidated statements of operations. The Company is ultimately responsible for the valuation of the interest rate swaps. To aid in determining the estimated fair value of the interest rate swaps, the Company relies on the forward interest rate curve and information obtained 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, 2017 and December 31, 2016:


(Dollars in thousands)			June 30, 2017					December 31, 2016
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	$	(11,188	)	$	200,000	$	(11,524	)

The following table summarizes the net gain (loss) included in the consolidated statements 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, 2017 and 2016:


	Consolidated Statement of	Quarters Ended June 30,						Six Months Ended June 30,
(Dollars in thousands)	Operations Line	2017			2016			2017			2016
Interest rate swap agreements	Net realized investment gains (losses)	$	(1,823	)	$	(4,574	)	$	(1,650	)	$	(13,552	)

As of June 30, 2017 and December 31, 2016, the Company is due $3.5 million and $5.3 million, respectively, for funds it needed to post to execute the swap transaction and $13.3 million and $12.6 million, respectively, for margin calls made in connection with the interest rate swaps. These amounts are included in other assets on the consolidated balance sheets.