Derivative Instruments (Tables)

9 Months Ended

Sep. 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 September 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)
September 30, 2024:
Exchange-traded futures	$	157,146	$	106	$	3,004
Currency forwards	26,905		5,208		5,430
Interest rate swaps	23,936		215		1,113
Credit default swaps	203,910		7,235		6,114
Total return swaps	211,368		274		1,931
Option swaps	50,025		—		316
Total derivatives	$	673,290	$	13,038	$	17,908
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 nine months ended September 30, 2024 and 2023 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,
	2024		2023		2024		2023
	(in thousands)
Exchange-traded futures	$	(5,443)	$	4,622	$	(7,893)	$	2,022
Currency forwards	(460)		594		(105)		557
Interest rate swaps	(1,298)		93		(873)		144
Credit default swaps	(920)		(272)		(1,840)		(4,513)
Total return swaps	(5,295)		2,858		(9,233)		(843)
Option swaps	(1,869)		1,041		(1,921)		214
Net (losses) gains on derivative instruments	$	(15,285)	$	8,936	$	(21,865)	$	(2,419)