Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Derivative Instruments

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

	Notional Value		Derivative Assets		Derivative Liabilities		Gains (Losses)
	(in thousands)
December 31, 2015
Exchange-traded futures	$	160,755	$	1,539	$	2,651	$	8,572
Currency forwards	262,873		4,604		4,077		7,445
Interest rate swaps	65,484		2,945		3,745		(443		)
Credit default swaps	29,421		2,089		774		(253		)
Option swaps	24		9		2		11
Total return swaps	146,001		1,402		972		(160		)
Total derivatives	$	664,558	$	12,588	$	12,221	$	15,172
December 31, 2014
Exchange-traded futures	$	149,863	$	571	$	2,438	$	(3,766	)
Currency forwards	149,282		1,782		333		3,160
Interest rate swaps	50,591		1,507		2,679		(2,941		)
Credit default swaps	32,745		1,432		110		(826		)
Option swaps	11		107		88		(338		)
Total return swaps	125,913		1,388		3,744		(14,566		)
Total derivatives	$	508,405	$	6,787	$	9,392	$	(19,277	)