Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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)
June 30, 2017:
Exchange-traded futures	$	98,938	$	813	$	916
Currency forwards	190,292		5,666		5,156
Interest rate swaps	34,038		898		970
Credit default swaps	32,399		423		1,015
Total return swaps	63,770		76		119
Total derivatives	$	419,437	$	7,876	$	8,176
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 and six months ended June 30, 2017 and 2016 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,
	2017			2016			2017			2016
	(in thousands)
Exchange-traded futures	$	(3,301	)	$	(913	)	$	(8,833	)	$	2,433
Currency forwards	132			(685		)	(930		)	(1,820		)
Interest rate swaps	(151		)	(559		)	(248		)	(1,931		)
Credit default swaps	(237		)	(198		)	(909		)	(606		)
Options swaps	—			39			—			87
Total return swaps	(1,830		)	(2,736		)	(3,959		)	(6,772		)
Net (losses) on derivative instruments	$	(5,387	)	$	(5,052	)	$	(14,879	)	$	(8,609	)