Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2017

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, 2017 and December 31, 2016 for derivative instruments (excluding derivative instruments relating to 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, 2017:
Exchange-traded futures	$	93,712	$	536	$	1,909
Currency forwards	196,853		5,742		5,690
Interest rate swaps	54,105		635		708
Credit default swaps	39,988		687		1,157
Total return swaps	95,598		168		883
Total derivatives	$	480,256	$	7,768	$	10,347
December 31, 2016:
Exchange-traded futures	$	103,108	$	1,224	$	1,092
Currency forwards	180,820		4,541		4,711
Interest rate swaps	40,664		940		897
Credit default swaps	45,108		1,205		905
Total return swaps	90,043		503		1,044
Total derivatives	$	459,743	$	8,413	$	8,649

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, 2017 and 2016 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

		Three Months Ended March 31,
		2017			2016
	(in thousands)
Exchange-traded futures		$	(5,532	)	$	3,346
Currency forwards		(1,062		)	(1,135		)
Interest rate swaps		(97		)	(1,372		)
Credit default swaps		(672		)	(408		)
Options swaps		—			48
Total return swaps		(2,129		)	(4,036		)
Net (losses) on derivative instruments		$	(9,492	)	$	(3,557	)