Derivatives (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The fair value of derivative contracts, computed in accordance with the Company’s netting policy, is set forth below (in thousands):


	March 31, 2023						December 31, 2022
Derivative contract	Assets		Liabilities		Notional Amounts1		Assets		Liabilities		Notional Amounts1
FX swaps	$	6,453	$	5,662	$	742,441	$	3,134	$	5,796	$	586,020
Forwards	564		977		248,746		603		569		197,278
Interest rate swaps	28		—		103,231,849		25		—		2,114,412
Futures	—		929		4,733,162		—		1,268		4,253,088
Total	$	7,045	$	7,568	$	108,956,198	$	3,762	$	7,633	$	7,150,798

____________________________

1Notional amounts represent the sum of gross long and short derivative contracts, an indication of the volume of the Company’s derivative activity, and do not represent anticipated losses.

Summary of Offsetting of Derivative Instruments

The following tables present information about the offsetting of derivative instruments (in thousands):


	March 31, 2023
	Gross Amounts		Gross Amounts Offset		Net Amounts Presented in the Statements of Financial Condition1
Assets
FX swaps	$	6,994	$	(541)	$	6,453
Forwards	588		(24)		564
Interest rate swaps	19,710		(19,682)		28
Futures	47,987		(47,987)		—
Total derivative assets	$	75,279	$	(68,234)	$	7,045
Liabilities
FX swaps	$	6,203	$	(541)	$	5,662
Forwards	1,001		(24)		977
Futures	48,916		(47,987)		929
Interest rate swaps	19,682		$	(19,682)	—
Total derivative liabilities	$	75,802	$	(68,234)	$	7,568


	December 31, 2022
	Gross Amounts		Gross Amounts Offset		Net Amounts Presented in the Statements of Financial Condition1
Assets
FX swaps	$	3,623	$	(489)	$	3,134
Forwards	746		(143)		603
Interest Rate Swaps	895		(870)		25
Futures	64,769		(64,769)		—
Total derivative assets	$	70,033	$	(66,271)	$	3,762
Liabilities
FX swaps	$	6,285	$	(489)	$	5,796
Futures	66,037		(64,769)		1,268
Forwards	712		(143)		569
Interest Rate Swaps	870		(870)		—
Total derivative liabilities	$	73,904	$	(66,271)	$	7,633

____________________________

1There were no additional balances in gross amounts not offset as of either March 31, 2023 or December 31, 2022.

Summary of Gains and (Losses) on Derivative Contracts

The table below summarizes gains and (losses) on derivative contracts (in thousands):


	Three Months Ended March 31,
Derivative contract	2023		2022
Futures	$	3,421	$	4,409
FX swaps	770		329
FX/commodities options	41		100
Interest rate swaps	28		—
Gains, net	$	4,260	$	4,838