Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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)
June 30, 2018:
Exchange-traded futures	$	155,213	$	2,105	$	985
Currency forwards	105,475		8,558		9,044
Interest rate swaps	72,056		1,125		1,015
Credit default swaps	81,760		1,639		2,562
Total return swaps	126,621		686		946
Total derivatives	$	541,125	$	14,113	$	14,552
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 and six months ended June 30, 2018 and 2017 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,
	2018			2017			2018			2017
	(in thousands)
Exchange-traded futures	$	717		$	(3,301	)	$	1,542		$	(8,833	)
Currency forwards	257			132			274			(930		)
Interest rate swaps	(7		)	(151		)	267			(248		)
Credit default swaps	(169		)	(237		)	(95		)	(909		)
Total return swaps	(1,217		)	(1,830		)	(40		)	(3,959		)
Net (losses) gains on derivative instruments	$	(419	)	$	(5,387	)	$	1,948		$	(14,879	)