Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2014

Derivative Instruments [Abstract]

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

The notional value and fair value as of March 31, 2014 and December 31, 2013 for derivative instruments not designated as hedging instruments were as follows:

			Fair Value
	Notional  Value		Asset Derivatives		Liability  Derivatives
	(in thousands)
March 31, 2014:
Exchange-traded futures	$	70,587	$	144	$	2,348
Currency forwards		192,570		566		1,678
Interest rate swaps		72,452		1,021		951
Credit default swaps		52,065		810		363
Option swaps		232		188		101
Total return swaps		81,742		923		1,573
Total derivatives	$	469,648	$	3,652	$	7,014

December 31, 2013:
Exchange-traded futures	$	63,107	$	289	$	2,542
Currency forwards		111,774		576		927
Interest rate swaps		81,253		1,149		573
Credit default swaps		42,270		696		126
Option swaps		144		87		86
Total return swaps		85,107		488		2,057
Total derivatives	$	383,655	$	3,285	$	6,311

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

The gains and losses for the three months ended March 31, 2014 and 2013 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended March 31,
	2014			2013
	(in thousands)
Exchange-traded futures	$	(498	)	$	(3,931	)
Currency forwards		(1,666	)		176
Interest rate swaps		(793	)		283
Credit default swaps		(5	)		(112	)
Options swaps		(35	)		(124	)
Total return swaps		(2,524	)		(3,375	)
Net (losses) on derivative instruments	$	(5,521	)	$	(7,083	)