Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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)
June 30, 2024:
Exchange-traded futures	$	109,749	$	32	$	556
Currency forwards	10,123		5,022		5,027
Interest rate swaps	38,185		657		516
Credit default swaps	49,503		9,153		2,996
Total return swaps	91,378		475		1,661
Option swaps	50,045		—		208
Total derivatives	$	348,983	$	15,339	$	10,964
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 and six months ended June 30, 2024 and 2023 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,
	2024		2023		2024		2023
	(in thousands)
Exchange-traded futures	$	(871)	$	2,032	$	(2,450)	$	(2,600)
Currency forwards	(9)		68		355		(37)
Interest rate swaps	282		114		425		51
Credit default swaps	(91)		(2,013)		(920)		(4,241)
Total return swaps	(682)		(1,645)		(3,938)		(3,701)
Option swaps	(259)		583		(52)		(827)
Net (losses) on derivative instruments	$	(1,630)	$	(861)	$	(6,580)	$	(11,355)