Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional and Fair Value for Derivative Instruments Not Designated as Hedging Instruments

The notional value and fair value as of September 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)
September 30, 2015:
Exchange-traded futures	$	140,160	$	2,740	$	264
Currency forwards	296,794		6,092		3,644
Interest rate swaps	73,565		5,251		6,666
Credit default swaps	29,092		2,322		334
Option swaps	213		81		25
Total return swaps	88,964		2,253		421
Total derivatives	$	628,788	$	18,739	$	11,354
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 for Derivative Instruments Recognized in Investment Gains (Losses) in the Condensed Consolidated Statements of Income

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

	Three Months Ended September 30,						Nine Months Ended September 30,
	2015			2014			2015			2014
	(in thousands)
Exchange-traded futures	$	16,683		$	1,715		$	13,124		$	(2,681	)
Currency forwards	5,900			3,462			8,058			450
Interest rate swaps	(438		)	170			(768		)	(1,757		)
Credit default swaps	422			320			207			(59		)
Options swaps	80			(93		)	59			(235		)
Total return swaps	1,086			(1,154		)	(529		)	(10,764		)
Net gains (losses) on derivative instruments	$	23,733		$	4,420		$	20,151		$	(15,046	)