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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of Derivative Instruments
The notional value, fair value and gains and losses recognized in investment gains (losses) as of December 31, 2018 and 2017 for derivative instruments (excluding derivative instruments relating to our options desk trading activities discussed below) not designated as hedging instruments were as follows:
 
Notional
Value
 
Derivative
Assets
 
Derivative
Liabilities
 
Gains
(Losses)
 
(in thousands)
December 31, 2018
 
 
 
 
 
 
 
Exchange-traded futures
$
218,657

 
$
1,594

 
$
2,534

 
$
3,515

Currency forwards
87,019

 
7,647

 
7,582

 
379

Interest rate swaps
112,658

 
1,649

 
1,959

 
(125
)
Credit default swaps
94,657

 
2,888

 
2,685

 
335

Total return swaps
99,038

 
3,301

 
62

 
8,246

Total derivatives
$
612,029

 
$
17,079

 
$
14,822

 
$
12,350

December 31, 2017
 
 
 
 
 
 
 
Exchange-traded futures
$
242,355

 
$
948

 
$
2,540

 
$
(15,343
)
Currency forwards
126,503

 
8,306

 
8,058

 
(457
)
Interest rate swaps
43,309

 
951

 
870

 
(137
)
Credit default swaps
74,600

 
1,247

 
2,465

 
(1,757
)
Total return swaps
68,106

 
167

 
390

 
(6,167
)
Total derivatives
$
554,873

 
$
11,619

 
$
14,323

 
$
(23,861
)