v3.26.3
Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of Notional Value and Fair Value of Derivative Instruments
The notional value and fair value as of September 30, 2026 and December 31, 2025 for derivative instruments not designated as hedging instruments were as follows:
Fair Value
Notional ValueDerivative AssetsDerivative Liabilities
(in thousands)
September 30, 2026:
Exchange-traded futures$202,002 $4,286 $194 
Currency forwards116,363 7,235 4,597 
Interest rate swaps5,575 682 — 
Credit default swaps440,454 2,368 10,447 
Total return swaps27,524 716 400 
Option swaps50,026 6,053 149 
Total derivatives$841,944 $21,340 $15,787 
December 31, 2025:
Exchange-traded futures$200,332 $832 $366 
Currency forwards88,910 5,073 6,102 
Interest rate swaps7,185 181 12 
Credit default swaps371,581 864 10,551 
Total return swaps157,940 1,140 419 
Option swaps50,196 4,895 165 
Total derivatives$876,144 $12,985 $17,615 
Summary of Gains and Losses for Derivative Instruments Recognized in Investment Gains (Losses)
The gains and losses for derivative instruments for the three and nine months ended September 30, 2026 and 2025 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,
2026202520262025
(in thousands)
Exchange-traded futures$7,562 $(3,782)$1,313 $(7,415)
Currency forwards1,315 809 4,942 (4,966)
Interest rate swaps526 9 12 (301)
Credit default swaps254 (1,445)(1,740)(3,932)
Total return swaps590 168 (5,625)(9,209)
Option swaps898 (638)2,523 (2,906)
Net gains (losses) on derivative instruments$11,145 $(4,879)$1,425 $(28,729)