Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional amount and fair value for derivative instruments not designated as hedging instruments

The notional value and fair value as of June 30, 2015 and December 31, 2014 for derivative instruments (excluding our options desk trading activities discussed below) not designated as hedging instruments were as follows:

			Fair Value
	Notional Value		Asset Derivatives		Liability Derivatives
	(in thousands)
June 30, 2015:
Exchange-traded futures	$	147,181	$	2,347	$	168
Currency forwards	256,119		4,145		3,750
Interest rate swaps	76,058		4,579		5,146
Credit default swaps	27,244		1,451		357
Option swaps	64		54		7
Total return swaps	103,916		1,993		1,187
Total derivatives	$	610,582	$	14,569	$	10,615
December 31, 2014:
Exchange-traded futures	$	149,863	$	571	$	2,438
Currency forwards	149,282		1,782		333
Interest rate swaps	50,591		1,507		2,679
Credit default swaps	32,745		1,432		110
Option swaps	11		107		88
Total return swaps	125,913		1,388		3,744
Total derivatives	$	508,405	$	6,787	$	9,392

Gains and losses recognized in investment gains (losses) in condensed consolidated statement of income

The gains and losses for derivative instruments (excluding our options desk trading activities) for the three and six months ended June 30, 2015 and 2014 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended June 30,						Six Months Ended June 30,
	2015			2014			2015			2014
	(in thousands)
Exchange-traded futures	$	1,428		$	(3,898	)	$	(3,559	)	$	(4,396	)
Currency forwards	(1,294		)	(1,346		)	2,158			(3,012		)
Interest rate swaps	415			(1,134		)	(330		)	(1,927		)
Credit default swaps	(158		)	(374		)	(215		)	(379		)
Options swaps	(4		)	(107		)	(21		)	(142		)
Total return swaps	2,086			(7,086		)	(1,615		)	(9,610		)
Net gains (losses) on derivative instruments	$	2,473		$	(13,945	)	$	(3,582	)	$	(19,466	)