Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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)
June 30, 2019:
Exchange-traded futures	$	185,680	$	220	$	3,075
Currency forwards	90,925		7,116		7,241
Interest rate swaps	95,146		1,885		2,537
Credit default swaps	150,244		2,211		5,832
Total return swaps	98,083		39		2,644
Total derivatives	$	620,078	$	11,471	$	21,329
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 and six months ended June 30, 2019 and 2018 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,
	2019			2018			2019			2018
	(in thousands)
Exchange-traded futures	$	(3,436	)	$	717		$	(8,551	)	$	1,542
Currency forwards	(75		)	257			(115		)	274
Interest rate swaps	(331		)	(7		)	(645		)	267
Credit default swaps	(1,465		)	(169		)	(3,805		)	(95		)
Total return swaps	(3,810		)	(1,217		)	(15,766		)	(40		)
Net (losses) gains on derivative instruments	$	(9,117	)	$	(419	)	$	(28,882	)	$	1,948