Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2013

Derivative Instruments [Abstract]

Notional amount and fair value for derivative instruments not designated as hedging instruments

The following tables present the notional value and fair value as of March 31, 2013 and December 31, 2012 for derivative instruments not designated as hedging instruments:

			Fair Value
	Notional Value		Asset Derivatives		Liability Derivatives
	(in thousands)
March 31, 2013:
Exchange-traded futures	$	103,828	$	821	$	1,336
Currency forwards		108,862		1,192		333
Interest rate swaps		52,143		78		166
Credit default swaps		16,330		35		23
Option swaps		13		189		178
Total return swaps		108,712		616		2,045
Total derivatives	$	389,888	$	2,931	$	4,081

			Fair Value
	Notional Value		Asset Derivatives		Liability Derivatives
	(in thousands)
December 31, 2012:
Exchange-traded futures	$	89,901	$	64	$	1,598
Currency forwards		80,445		473		429
Interest rate swaps		55,435		73		888
Credit default swaps		53,775		457		272
Option swaps		103		83		92
Total return swaps		90,673		1,475		3,791
Total derivatives	$	370,332	$	2,625	$	7,070

Gains and losses recognized in investment gains (losses) in condensed consolidated statement of income

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

		Three Months Ended March 31,
		2013			2012
	(in thousands)
Exchange-traded futures		$	(3,931	)	$	(16,597	)
Currency forwards			176			(181	)
Interest rate swaps			283			737
Credit default swaps			(112	)		(2,599	)
Options swaps			(124	)		—
Total return swaps			(3,375	)		(2,422	)
Balance as of end of period		$	(7,083	)	$	(21,062	)