Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2016

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 March 31, 2016 and December 31, 2015 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)
March 31, 2016:
Exchange-traded futures	$	76,382	$	373	$	2,957
Currency forwards	198,361		4,658		5,972
Interest rate swaps	43,300		2,144		3,270
Credit default swaps	23,004		1,476		345
Option swaps	43		46		53
Total return swaps	109,641		457		2,788
Total derivatives	$	450,731	$	9,154	$	15,385
December 31, 2015:
Exchange-traded futures	$	160,755	$	1,539	$	2,651
Currency forwards	262,873		4,604		4,077
Interest rate swaps	65,484		2,945		3,745
Credit default swaps	29,421		2,089		774
Option swaps	24		9		2
Total return swaps	146,001		1,402		972
Total derivatives	$	664,558	$	12,588	$	12,221

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 months ended March 31, 2016 and 2015 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended March 31,
	2016			2015
	(in thousands)
Exchange-traded futures	$	3,346		$	(4,987	)
Currency forwards	(1,135		)	3,452
Interest rate swaps	(1,372		)	(745		)
Credit default swaps	(408		)	(57		)
Options swaps	48			(17		)
Total return swaps	(4,036		)	(3,701		)
Net (losses) on derivative instruments	$	(3,557	)	$	(6,055	)