Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2019

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, 2019 and December 31, 2018 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, 2019:
Exchange-traded futures	$	168,743	$	231	$	1,672
Currency forwards	57,539		7,044		6,960
Interest rate swaps	99,922		1,391		1,815
Credit default swaps	96,504		1,347		3,481
Total return swaps	92,706		41		462
Total derivatives	$	515,414	$	10,054	$	14,390
December 31, 2018:
Exchange-traded futures	$	218,657	$	1,594	$	2,534
Currency forwards	87,019		7,647		7,582
Interest rate swaps	112,658		1,649		1,959
Credit default swaps	94,657		2,888		2,685
Total return swaps	99,038		3,301		62
Total derivatives	$	612,029	$	17,079	$	14,822

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, 2019 and 2018 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended March 31,
	2019			2018
	(in thousands)
Exchange-traded futures	$	(5,115	)	$	825
Currency forwards	(40		)	17
Interest rate swaps	(314		)	274
Credit default swaps	(2,340		)	74
Total return swaps	(11,956		)	1,177
Net (losses) gains on derivative instruments	$	(19,765	)	$	2,367