XML 44 R33.htm IDEA: XBRL DOCUMENT v3.20.2
Derivative Instruments (Tables)
 9 Months Ended
Sep. 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 September 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 ValueDerivative AssetsDerivative Liabilities
 (in thousands)
September 30, 2020:
Exchange-traded futures$131,895 $317 $223 
Currency forwards68,643 8,271 7,709 
Interest rate swaps71,469 2,226 3,067 
Credit default swaps282,347 14,770 14,075 
Total return swaps50,863 427 656 
Option swaps2,466 659 2,500 
Total derivatives$607,683 $26,670 $28,230 
December 31, 2019:
Exchange-traded futures$171,112 $939 $871 
Currency forwards60,809 8,545 8,633 
Interest rate swaps92,756 1,746 2,254 
Credit default swaps168,303 2,151 5,611 
Total return swaps91,201 110 1,764 
Option swaps354 — 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 nine months ended September 30, 2020 and 2019 recognized in investment (losses) gains in the condensed consolidated statements of income were as follows:
 Three Months Ended September 30,Nine Months Ended September 30,
 2020201920202019
 
Exchange-traded futures$(2,753)$(1,352)$(7,565)$(9,903)
Currency forwards(1,031)1,453 (585)1,338 
Interest rate swaps15 (81)(372)(726)
Credit default swaps(2,298)(449)5,492 (4,254)
Total return swaps(6,840)314 (10,691)(15,452)
Option swaps(1,183)— (1,716)— 
Net (losses) on derivative instruments$(14,090)$(115)$(15,437)$(28,997)