XML 41 R30.htm IDEA: XBRL DOCUMENT v3.5.0.2
Derivative Instruments (Tables)
 9 Months Ended
Sep. 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 September 30, 2016 and December 31, 2015 for derivative instruments (excluding derivative instruments relating to our options desk trading activities and consolidated VIEs discussed below) not designated as hedging instruments were as follows:

 
 
 
Fair Value
 
Notional Value
 
Asset Derivatives
 
Liability Derivatives
 
(in thousands)
September 30, 2016:
 
 
 
 
 
Exchange-traded futures
$
91,229

 
$
1,197

 
$
600

Currency forwards
137,224

 
3,275

 
3,437

Interest rate swaps
42,608

 
798

 
1,664

Credit default swaps
46,165

 
1,421

 
903

Total return swaps
85,572

 
253

 
446

Total derivatives
$
402,798

 
$
6,944

 
$
7,050

 
 
 
 
 
 
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 nine months ended September 30, 2016 and 2015 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,
 
2016
 
2015
 
2016
 
2015
 
(in thousands)
 
 
 
 
 
 
 
 
Exchange-traded futures
$
(4,975
)
 
$
16,683

 
$
(2,542
)
 
$
13,124

Currency forwards
(641
)
 
5,900

 
(2,461
)
 
8,058

Interest rate swaps
(251
)
 
(438
)
 
(2,182
)
 
(768
)
Credit default swaps
(352
)
 
422

 
(958
)
 
207

Options swaps
(157
)
 
80

 
(70
)
 
59

Total return swaps
(1,666
)
 
1,086

 
(8,438
)
 
(529
)
Net (losses) gains on derivative instruments
$
(8,042
)
 
$
23,733

 
$
(16,651
)
 
$
20,151