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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2019
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, 2019 and 2018 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, 2019
 
 
 
 
 
 
 
Exchange-traded futures
$
171,112

 
$
939

 
$
871

 
$
(10,840
)
Currency forwards
60,809

 
8,545

 
8,633

 
738

Interest rate swaps
92,756

 
1,746

 
2,254

 
(616
)
Credit default swaps
168,303

 
2,151

 
5,611

 
(6,413
)
Total return swaps
91,201

 
110

 
1,764

 
(21,164
)
Option swaps
354

 
—

 
126

 
(126
)
Total derivatives
$
584,535

 
$
13,491

 
$
19,259

 
$
(38,421
)
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