Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2015

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, 2015 and December 31, 2014 for derivative instruments (excluding our options desk trading activities) not designated as hedging instruments were as follows:

			Fair Value
	Notional Value		Asset Derivatives		Liability Derivatives
	(in thousands)
March 31, 2015:
Exchange-traded futures	$	143,141	$	360	$	3,011
Currency forwards		204,894		1,948		963
Interest rate swaps		59,126		1,909		3,045
Credit default swaps		165,028		3,881		293
Option swaps		11		11		—
Total return swaps		102,096		442		2,461
Total derivatives	$	674,296	$	8,551	$	9,773

December 31, 2014:
Exchange-traded futures	$	149,863	$	571	$	2,438
Currency forwards		149,282		1,782		333
Interest rate swaps		50,591		1,507		2,679
Credit default swaps		32,745		1,432		110
Option swaps		11		107		88
Total return swaps		125,913		1,388		3,744
Total derivatives	$	508,405	$	6,787	$	9,392

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

The gains and losses for derivative instruments (excluding our options desk trading activities) for the three months ended March 31, 2015 and 2014 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended March 31,
	2015			2014
	(in thousands)
Exchange-traded futures	$	(4,987	)	$	(498	)
Currency forwards		3,452			(1,666	)
Interest rate swaps		(745	)		(793	)
Credit default swaps		(57	)		(5	)
Options swaps		(17	)		(35	)
Total return swaps		(3,701	)		(2,524	)
Net (losses) on derivative instruments	$	(6,055	)	$	(5,521	)