Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2018

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, 2018 and December 31, 2017 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, 2018:
Exchange-traded futures	$	178,462	$	1,517	$	1,240
Currency forwards	157,448		8,286		8,347
Interest rate swaps	50,403		843		659
Credit default swaps	78,741		1,403		2,410
Total return swaps	135,655		1,516		450
Total derivatives	$	600,709	$	13,565	$	13,106
December 31, 2017:
Exchange-traded futures	$	163,458	$	948	$	2,540
Currency forwards	126,503		8,306		8,058
Interest rate swaps	43,309		951		870
Credit default swaps	74,600		1,247		2,465
Total return swaps	68,106		167		390
Total derivatives	$	475,976	$	11,619	$	14,323

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 discussed below) for the three months ended March 31, 2018 and 2017 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended March 31,
	2018		2017
	(in thousands)
Exchange-traded futures	$	825	$	(5,532	)
Currency forwards	17		(1,062		)
Interest rate swaps	274		(97		)
Credit default swaps	74		(672		)
Total return swaps	1,177		(2,129		)
Net gains (losses) on derivative instruments	$	2,367	$	(9,492	)