Derivative Instruments (Tables)

9 Months Ended

Sep. 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 September 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)
September 30, 2023:
Exchange-traded futures	$	155,467	$	2,946	$	9
Currency forwards	27,740		5,314		4,494
Interest rate swaps	19,350		671		483
Credit default swaps	170,418		13,130		5,234
Total return swaps	70,403		2,367		3
Option swaps	50,000		—		499
Total derivatives	$	493,378	$	24,428	$	10,722
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 nine months ended September 30, 2023 and 2022 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,
	2023		2022		2023		2022
	(in thousands)
Exchange-traded futures	$	4,622	$	9,388	$	2,022	$	23,342
Currency forwards	594		1,318		557		3,600
Interest rate swaps	93		45		144		(7)
Credit default swaps	(272)		(1,079)		(4,513)		5,358
Total return swaps	2,858		2,970		(843)		18,401
Option swaps	1,041		1,897		214		5,676
Net gains (losses) on derivative instruments	$	8,936	$	14,539	$	(2,419)	$	56,370