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Financial Derivatives (Tables) | 9 Months Ended
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Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three and nine month periods ended September 30, 2017 and 2016 are summarized in the tables below: Three and Nine Month Periods Ended September 30, 2017:
|  |  |  | Three Month Period Ended September 30, 2017 |  | Nine Month Period Ended September 30, 2017
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gain/(Loss)(1) |  | Change in Net Unrealized Gain/(Loss)(2) |  | Net Realized Gain/(Loss)(1) |  | Change in Net Unrealized Gain/(Loss)(2)
(In thousands) |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | Credit |  | $ | 583 |  |  | $ | (577 | ) |  | $ | 486 |  |  | $ | (319 | )
Credit default swaps on asset-backed indices |  | Credit |  | (58 | ) |  | (522 | ) |  | (2,514 | ) |  | (3,132 | )
Credit default swaps on corporate bond indices |  | Credit |  | (975 | ) |  | (591 | ) |  | (2,147 | ) |  | (573 | )
Credit default swaps on corporate bonds |  | Credit |  | (241 | ) |  | 1,837 |  |  | 218 |  |  | 842 |
Total return swaps |  | Equity Market/Credit |  | (293 | ) |  | 1 |  |  | (1,649 | ) |  | 150 |
Interest rate swaps |  | Interest Rates |  | 318 |  |  | (694 | ) |  | (262 | ) |  | (1,492 | )
Futures |  | Interest Rates |  | (152 | ) |  | 147 |  |  | (331 | ) |  | 183 |
Forwards |  | Currency |  | (4,013 | ) |  | 2,026 |  |  | (7,357 | ) |  | 1,162 |
Warrants |  | Equity Market |  | — |  |  | — |  |  | (100 | ) |  | (6 | )
Mortgage loan purchase commitments |  | Interest Rates |  | — |  |  | — |  |  | — |  |  | 31 |
Options |  | Credit/Interest Rate/Equity Market |  | 167 |  |  | 26 |  |  | 18 |  |  | 41 |
Total |  |  |  | $ | (4,664 | ) |  | $ | 1,653 |  |  | $ | (13,638 | ) |  | $ | (3,113 | )
(1) | Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $(56) thousand and $(68) thousand, for the three and nine month periods ended September 30, 2017, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions.
(2) | Includes foreign currency translation on derivatives in the amount of $(59) thousand and $(194) thousand, for the three and nine month periods ended September 30, 2017, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation.
Three and Nine Month Periods Ended September 30, 2016:
|  |  |  | Three Month Period Ended September 30, 2016 |  | Nine Month Period Ended September 30, 2016
Derivative Type |  | Primary Risk Exposure |  | Net Realized Gain/(Loss)(1) |  | Change in Net Unrealized Gain/(Loss)(2) |  | Net Realized Gain/(Loss)(1) |  | Change in Net Unrealized Gain/(Loss)(2)
(In thousands) |  |  |  |  |  |  |  |  |  |
Credit default swaps on asset-backed securities |  | Credit |  | $ | 622 |  |  | $ | (288 | ) |  | $ | 1,007 |  |  | $ | (518 | )
Credit default swaps on asset-backed indices |  | Credit |  | 983 |  |  | (2,660 | ) |  | 3,790 |  |  | (905 | )
Credit default swaps on corporate bond indices |  | Credit |  | (21,220 | ) |  | 12,572 |  |  | (34,230 | ) |  | (5,260 | )
Credit default swaps on corporate bonds |  | Credit |  | 110 |  |  | (14 | ) |  | 237 |  |  | 47 |
Total return swaps |  | Equity Market/Credit |  | (4,408 | ) |  | (917 | ) |  | (11,323 | ) |  | 3,466 |
Interest rate swaps |  | Interest Rates |  | 182 |  |  | 1,087 |  |  | (1,167 | ) |  | (11,129 | )
Futures |  | Interest Rates/Equity Market |  | (89 | ) |  | 271 |  |  | (824 | ) |  | 417 |
Forwards |  | Currency |  | 1,525 |  |  | (1,855 | ) |  | 221 |  |  | (1,402 | )
Warrants |  | Equity Market |  | — |  |  | — |  |  | (50 | ) |  | — |
Mortgage loan purchase commitments |  | Interest Rates |  | — |  |  | — |  |  | — |  |  | 8 |
Options |  | Credit/ Interest Rates |  | 925 |  |  | (656 | ) |  | 7,257 |  |  | (298 | )
Total |  |  |  | $ | (21,370 | ) |  | $ | 7,540 |  |  | $ | (35,082 | ) |  | $ | (15,574 | )
(1) | Includes gain/(loss) on foreign currency transactions on derivatives in the amount of $0.4 million and $0.3 million, for the three and nine month periods ended September 30, 2016, which is included on the Consolidated Statement of Operations in Realized gain (loss) on foreign currency transactions.
(2) | Includes foreign currency translation on derivatives in the amount of $(0.1) million and $1.0 million, for the three and nine month periods ended September 30, 2016, which is included on the Consolidated Statement of Operations in Change in net unrealized gain (loss) on foreign currency translation.
Derivative activity, volume | The tables below detail the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine month period ended September 30, 2017 and the year ended December 31, 2016:
Derivative Type |  | Nine Month Period Ended September 30, 2017 |  | Year Ended December 31, 2016
|  | (In thousands)
Interest rate swaps |  | $ | 1,270,482 |  |  | $ | 1,731,368 |
Credit default swaps |  | 489,515 |  |  | 1,586,923 |
Total return swaps |  | 22,536 |  |  | 113,628 |
Futures |  | 57,240 |  |  | 371,900 |
Options |  | 88,699 |  |  | 357,260 |
Forwards |  | 74,623 |  |  | 80,513 |
Warrants |  | 492 |  |  | 1,640 |
Mortgage loan purchase commitments |  | 2,060 |  |  | 6,143 |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at September 30, 2017 and December 31, 2016, are summarized below:
Credit Derivatives |  | September 30, 2017 |  | December 31, 2016
(In thousands) |  |  |  |
Fair Value of Written Credit Derivatives, Net |  | $ | (705 | ) |  | $ | (1,551 | )
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | $ | 756 |  |  | $ | 4,552 |
Notional Value of Written Credit Derivatives (2) |  | $ | 158,397 |  |  | $ | 117,476 |
Notional Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1) |  | $ | 90,411 |  |  | $ | 68,357 |
(1) | Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation.
(2) | The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.

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- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5708777-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5708775-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5708773-113959 + Details
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- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5624171-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5618551-113959 + Details
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