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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 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)
June 30, 2020:
 
 
 
 
 
Exchange-traded futures
$
173,988

 
$
113

 
$
1,126

Currency forwards
87,263

 
8,339

 
7,873

Interest rate swaps
79,327

 
2,512

 
3,328

Credit default swaps
217,575

 
11,957

 
10,793

Total return swaps
86,431

 
599

 
2,143

Option swaps
2,466

 
704

 
1,363

Total derivatives
$
647,050

 
$
24,224

 
$
26,626

 
 
 
 
 
 
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 and six months ended June 30, 2020 and 2019 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,
 
2020
 
2019
 
2020
 
2019
 
 
Exchange-traded futures
$
(5,818
)
 
$
(3,436
)
 
$
(4,812
)
 
$
(8,551
)
Currency forwards
(212
)
 
(75
)
 
446

 
(115
)
Interest rate swaps
225

 
(331
)
 
(387
)
 
(645
)
Credit default swaps
(4,311
)
 
(1,465
)
 
7,790

 
(3,805
)
Total return swaps
(18,966
)
 
(3,810
)
 
(3,851
)
 
(15,766
)
Option swaps
(1,831
)
 
—

 
(533
)
 
—

Net (losses) on derivative instruments
$
(30,913
)
 
$
(9,117
)
 
$
(1,347
)
 
$
(28,882
)