Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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)
June 30, 2023:
Exchange-traded futures	$	174,162	$	1,517	$	1,226
Currency forwards	37,414		4,703		4,593
Interest rate swaps	16,850		581		451
Credit default swaps	186,110		11,428		6,304
Total return swaps	60,615		32		1,628
Option swaps	50,000		—		463
Total derivatives	$	525,151	$	18,261	$	14,665
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 and six months ended June 30, 2023 and 2022 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,
	2023		2022		2023		2022
	(in thousands)
Exchange-traded futures	$	2,032	$	6,441	$	(2,600)	$	13,954
Currency forwards	68		1,738		(37)		2,282
Interest rate swaps	114		21		51		(52)
Credit default swaps	(2,013)		4,720		(4,241)		6,437
Total return swaps	(1,645)		8,025		(3,701)		15,431
Option swaps	583		1,154		(827)		3,779
Net (losses) gains on derivative instruments	$	(861)	$	22,099	$	(11,355)	$	41,831