Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and December 31, 2021 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 Value		Derivative Assets		Derivative Liabilities
	(in thousands)
March 31, 2022:
Exchange-traded futures	$	100,466	$	1,564	$	1,895
Currency forwards	66,216		7,647		7,133
Interest rate swaps	10,683		545		652
Credit default swaps	159,622		9,572		4,883
Total return swaps	61,597		2,754		1,060
Option swaps	50,000		—		524
Total derivatives	$	448,584	$	22,082	$	16,147
December 31, 2021:
Exchange-traded futures	$	131,876	$	392	$	1,186
Currency forwards	66,058		7,344		6,980
Interest rate swaps	13,483		497		833
Credit default swaps	155,757		6,594		6,967
Total return swaps	63,817		595		527
Option swaps	50,000		—		430
Total derivatives	$	480,991	$	15,422	$	16,923

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 months ended March 31, 2022 and 2021 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

		Three Months Ended March 31,
		2022		2021
	(in thousands)
Exchange-traded futures		$	7,513	$	1,135
Currency forwards		544		1,181
Interest rate swaps		(73)		88
Credit default swaps		1,717		(522)
Total return swaps		7,406		(907)
Option swaps		2,625		1,361
Net gains on derivative instruments		$	19,732	$	2,336