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Derivative Instruments (Tables)
 9 Months Ended
Sep. 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 September 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 ValueDerivative AssetsDerivative Liabilities
 (in thousands)
September 30, 2022:
Exchange-traded futures$150,594 $8,053 $— 
Currency forwards45,300 4,876 5,162 
Interest rate swaps18,727 430 372 
Credit default swaps215,931 19,699 6,052 
Total return swaps49,387 4,290 — 
Option swaps50,000 — 172 
Total derivatives$529,939 $37,348 $11,758 
December 31, 2021:
Exchange-traded futures$131,876 $392 $1,186 
Currency forwards66,058 7,344 6,980 
Interest rate swaps13,483 497 833 
Credit default swaps155,757 6,594 6,967 
Total return swaps63,817 595 527 
Option swaps50,000 — 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 nine months ended September 30, 2022 and 2021 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,
 2022202120222021
 (in thousands)
Exchange-traded futures$9,388 $2,186 $23,342 $(1,561)
Currency forwards1,318 512 3,600 1,339 
Interest rate swaps45 (179)(7)(202)
Credit default swaps(1,079)(91)5,358 (2,327)
Total return swaps2,970 (611)18,401 (4,498)
Option swaps1,897 78 5,676 66 
Net gains (losses) on derivative instruments$14,539 $1,895 $56,370 $(7,183)