Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2023

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, 2023 and December 31, 2022 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, 2023:
Exchange-traded futures	$	164,368	$	4	$	4,878
Currency forwards	35,796		4,456		5,019
Interest rate swaps	14,890		204		162
Credit default swaps	218,604		11,796		4,882
Total return swaps	52,247		227		1,178
Option swaps	50,000		—		292
Total derivatives	$	535,905	$	16,687	$	16,411
December 31, 2022:
Exchange-traded futures	$	154,687	$	1,768	$	162
Currency forwards	34,597		4,446		5,047
Interest rate swaps	16,847		386		262
Credit default swaps	225,671		17,507		7,302
Total return swaps	28,742		605		933
Option swaps	50,000		—		6
Total derivatives	$	510,544	$	24,712	$	13,712

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, 2023 and 2022 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended March 31,
	2023		2022
	(in thousands)
Exchange-traded futures	$	(4,632)	$	7,513
Currency forwards	(105)		544
Interest rate swaps	(63)		(73)
Credit default swaps	(2,228)		1,717
Total return swaps	(2,056)		7,406
Option swaps	(1,410)		2,625
Net (losses) gains on derivative instruments	$	(10,494)	$	19,732