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Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional and Fair Value for Derivative Instruments Not Designated as Hedging Instruments
The notional value and fair value as of September 30, 2021 and December 31, 2020 for derivative instruments (excluding derivative instruments relating to our options desk trading activities discussed below) not designated as hedging instruments were as follows:
 Fair Value
 Notional ValueDerivative AssetsDerivative Liabilities
 (in thousands)
September 30, 2021:
Exchange-traded futures$115,197 $2,280 $448 
Currency forwards48,080 7,906 7,312 
Interest rate swaps13,483 358 593 
Credit default swaps121,158 6,754 6,645 
Total return swaps26,656 861 142 
Option swaps50,000 — 136 
Total derivatives$374,574 $18,159 $15,276 
December 31, 2020:
Exchange-traded futures$142,886 $118 $1,834 
Currency forwards63,906 8,576 8,451 
Interest rate swaps60,997 2,043 2,955 
Credit default swaps167,649 10,910 13,304 
Total return swaps52,061 94 1,847 
Option swaps2,486 — 2,146 
Total derivatives$489,985 $21,741 $30,537 
Gains and Losses for Derivative Instruments Recognized in Investment Gains (Losses) in the Condensed Consolidated Statements of Income
The gains and losses for derivative instruments (excluding our options desk trading activities discussed below) for the three and nine months ended September 30, 2021 and 2020 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:
 Three Months Ended September 30,Nine Months Ended September 30,
 2021202020212020
 (in thousands)
Exchange-traded futures$2,186 $(2,753)$(1,561)$(7,565)
Currency forwards512 (1,031)1,339 (585)
Interest rate swaps(179)15 (202)(372)
Credit default swaps(91)(2,298)(2,327)5,492 
Total return swaps(611)(6,840)(4,498)(10,691)
Option swaps78 (1,183)66 (1,716)
Net gains (losses) on derivative instruments$1,895 $(14,090)$(7,183)$(15,437)