Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Instruments [Abstract]

Derivative instruments

The following tables present the notional value and fair value as of September 30, 2012 and December 31, 2011 for derivative instruments not designated as hedging instruments:

	Fair Value
	Notional Value		Asset Derivatives		Liability Derivatives
	(in thousands)
September 30, 2012:
Exchange-traded futures	$	103,400	$	2,097	$	32
Currency forwards		92,937		41		719
Interest rate swaps		95,355		326		1,370
Credit default swaps		104,240		2,376		2,582
Option swaps		263		260		250
Total return swaps		39,739		346		1,738
Total derivatives	$	435,934	$	5,446	$	6,691

	Fair Value
	Notional Value		Asset Derivatives		Liability Derivatives
	(in thousands)
December 31, 2011:
Exchange-traded futures	$	111,447	$	127	$	2,054
Currency forwards		38,330		358		227
Interest rate swaps		47,640		136		3,301
Credit default swaps		84,215		2,962		639
Total return swaps		38,148		38		1,038
Total derivatives	$	319,780	$	3,621	$	7,259

As of September 30, 2012 and December 31, 2011, the derivative assets and liabilities are included in both receivables and payables to brokers and dealers on our condensed consolidated statements of financial condition.

The following table presents the gains and losses recognized in investment gains (losses) in the condensed consolidated statements of income:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
	(in thousands)
Exchange-traded futures	$	(5,608	)	$	19,057		$	(14,156	)	$	18,704
Currency forwards		(1,019	)		736			165			533
Interest rate swaps		(699	)		(4,664	)		(1,422	)		(5,374	)
Credit default swaps		(3,751	)		3,837			(7,102	)		3,633
Options swaps		(222	)		—			(311	)		—
Total return swaps		(2,311	)		7,289			(4,866	)		6,166
Balance as of end of period	$	(13,610	)	$	26,255		$	(27,692	)	$	23,662