Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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, 2020 and December 31, 2019 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		Derivative Assets		Derivative Liabilities
	(in thousands)
March 31, 2020:
Exchange-traded futures	$	175,080	$	1,505	$	4,895
Currency forwards	85,003		8,414		7,943
Interest rate swaps	82,780		2,886		3,641
Credit default swaps	275,733		16,238		15,294
Total return swaps	90,608		2,351		8,283
Option swaps	354		1,172		—
Total derivatives	$	709,558	$	32,566	$	40,056
December 31, 2019:
Exchange-traded futures	$	171,112	$	939	$	871
Currency forwards	60,809		8,545		8,633
Interest rate swaps	92,756		1,746		2,254
Credit default swaps	168,303		2,151		5,611
Total return swaps	91,201		110		1,764
Option swaps	354		—		126
Total derivatives	$	584,535	$	13,491	$	19,259

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, 2020 and 2019 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended March 31,
	2020			2019
Exchange-traded futures	$	1,006		$	(5,115	)
Currency forwards	658			(40		)
Interest rate swaps	(612		)	(314		)
Credit default swaps	12,101			(2,340		)
Total return swaps	15,115			(11,956		)
Option swaps	1,298			—
Net gains (losses) on derivative instruments	$	29,566		$	(19,765	)