Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Derivative Instruments

The notional value, fair value and gains and losses recognized in investment gains (losses) as of December 31, 2021 and 2020 for derivative instruments (excluding derivative instruments relating to our options desk trading activities discussed below) not designated as hedging instruments were as follows:

	Notional Value			Derivative Assets			Derivative Liabilities			Gains (Losses)
	(in thousands)
December 31, 2021
Exchange-traded futures		$	131,876		$	392		$	1,186		$	(5,072)
Currency forwards		66,058			7,344			6,980			1,746
Interest rate swaps		13,483			497			833			(316)
Credit default swaps		155,757			6,594			6,967			(2,914)
Total return swaps		63,817			595			527			(6,433)
Option swaps		50,000			—			430			(309)
Total derivatives		$	480,991		$	15,422		$	16,923		$	(13,298)
December 31, 2020
Exchange-traded futures		$	142,886		$	118		$	1,834		$	(15,743)
Currency forwards		63,906			8,576			8,451			(1,779)
Interest rate swaps		60,997			2,043			2,955			(347)
Credit default swaps		167,649			10,910			13,304			(104)
Total return swaps		52,061			94			1,847			(15,242)
Option swaps		2,486			—			2,146			(2,374)
Total derivatives		$	489,985		$	21,741		$	30,537		$	(35,589)