Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional Value and Fair Value of Derivative Instruments

The notional value and fair value as of March 31, 2024 and December 31, 2023 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, 2024:
Exchange-traded futures	$	121,735	$	47	$	751
Currency forwards	15,991		4,674		4,566
Interest rate swaps	44,545		519		519
Credit default swaps	83,507		8,436		3,240
Total return swaps	94,800		181		2,633
Option swaps	50,109		—		150
Total derivatives	$	410,687	$	13,857	$	11,859
December 31, 2023:
Exchange-traded futures	$	116,344	$	1	$	3,511
Currency forwards	34,440		4,951		5,597
Interest rate swaps	11,345		294		349
Credit default swaps	139,607		9,265		4,197
Total return swaps	95,021		6		4,391
Option swaps	50,232		1		135
Total derivatives	$	446,989	$	14,518	$	18,180

Schedule of Gains and Losses for Derivative Instruments Recognized in Investment Gains (Losses)

The gains and losses for derivative instruments (excluding our options desk trading activities discussed below) for the three months ended March 31, 2024 and 2023 recognized in investment gains (losses) in the condensed consolidated statements of income were as follows:

	Three Months Ended March 31,
	2024		2023
	(in thousands)
Exchange-traded futures	$	(1,579)	$	(4,632)
Currency forwards	364		(105)
Interest rate swaps	143		(63)
Credit default swaps	(829)		(2,228)
Total return swaps	(3,256)		(2,056)
Option swaps	207		(1,410)
Net (losses) on derivative instruments	$	(4,950)	$	(10,494)