Derivative Instruments (Tables)

9 Months Ended

Sep. 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 September 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)
September 30, 2019:
Exchange-traded futures	$	184,418	$	1,282	$	240
Currency forwards	64,489		8,388		7,716
Interest rate swaps	93,192		2,395		3,046
Credit default swaps	232,116		2,056		5,567
Total return swaps	89,023		589		89
Total derivatives	$	663,238	$	14,710	$	16,658
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 nine months ended September 30, 2019 and 2018 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2019			2018			2019			2018
	(in thousands)
Exchange-traded futures	$	(1,352	)	$	157		$	(9,903	)	$	1,699
Currency forwards	1,453			673			1,338			947
Interest rate swaps	(81		)	157			(726		)	424
Credit default swaps	(449		)	(1,117		)	(4,254		)	(1,212		)
Total return swaps	314			(5,625		)	(15,452		)	(5,665		)
Net (losses) gains on derivative instruments	$	(115	)	$	(5,755	)	$	(28,997	)	$	(3,807	)