Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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)
June 30, 2016:
Exchange-traded futures	$	82,680	$	827	$	1,750
Currency forwards	184,612		3,848		4,607
Interest rate swaps	36,548		565		1,780
Credit default swaps	20,636		1,153		385
Option swaps	157		191		34
Total return swaps	61,415		423		992
Total derivatives	$	386,048	$	7,007	$	9,548
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 and six months ended June 30, 2016 and 2015 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,
	2016			2015			2016			2015
	(in thousands)
Exchange-traded futures	$	(913	)	$	1,428		$	2,433		$	(3,559	)
Currency forwards	(685		)	(1,294		)	(1,820		)	2,158
Interest rate swaps	(559		)	415			(1,931		)	(330		)
Credit default swaps	(198		)	(158		)	(606		)	(215		)
Options swaps	39			(4		)	87			(21		)
Total return swaps	(2,736		)	2,086			(6,772		)	(1,615		)
Net (losses) gains on derivative instruments	$	(5,052	)	$	2,473		$	(8,609	)	$	(3,582	)