Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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)
June 30, 2022:
Exchange-traded futures	$	116,242	$	1,724	$	348
Currency forwards	46,780		5,507		5,283
Interest rate swaps	10,683		20		87
Credit default swaps	181,219		17,269		6,586
Total return swaps	55,040		2,827		178
Option swaps	50,000		—		42
Total derivatives	$	459,964	$	27,347	$	12,524
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 and six months ended June 30, 2022 and 2021 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
	(in thousands)
Exchange-traded futures	$	6,441	$	(4,882)	$	13,954	$	(3,747)
Currency forwards	1,738		(354)		2,282		827
Interest rate swaps	21		(111)		(52)		(23)
Credit default swaps	4,720		(1,714)		6,437		(2,236)
Total return swaps	8,025		(2,980)		15,431		(3,887)
Option swaps	1,154		(1,373)		3,779		(12)
Net gains (losses) on derivative instruments	$	22,099	$	(11,414)	$	41,831	$	(9,078)