XML 30 R19.htm IDEA: XBRL DOCUMENT v3.23.2
Derivatives
 6 Months Ended
Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives Derivatives
In the normal course of operations, the Company enters into derivative contracts to facilitate client transactions, hedge principal positions and facilitate hedging activities of affiliated companies. These derivative contracts primarily consist of FX swaps, FX/commodities options, futures and forwards.
Derivative contracts can be exchange-traded or OTC. Exchange-traded derivatives typically fall within Level 1 or Level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Company generally values exchange-traded derivatives using their closing prices. OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, broker or dealer quotations or alternative pricing sources with reasonable levels of price transparency. For OTC derivatives that trade in liquid markets, such as forwards, swaps and options, model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.
The Company does not designate any derivative contracts as hedges for accounting purposes. U.S. GAAP guidance requires that an entity recognize all derivative contracts as either assets or liabilities in the unaudited Condensed Consolidated Statements of Financial Condition and measure those instruments at fair value. The fair value of all derivative contracts is recorded on a net-by-counterparty basis where a legal right to offset exists under an enforceable netting agreement. Derivative contracts are recorded as part of “Receivables from broker-dealers, clearing organizations, customers and related broker-dealers” and “Payables to broker-dealers, clearing organizations, customers and related broker-dealers” in the Company’s unaudited Condensed Consolidated Statements of Financial Condition.
The fair value of derivative contracts, computed in accordance with the Company’s netting policy, is set forth below (in thousands):
June 30, 2023December 31, 2022
Derivative contractAssetsLiabilities
Notional
Amounts1
AssetsLiabilities
Notional
Amounts1
FX swaps$4,386 $2,534 $712,985 $3,134 $5,796 $586,020 
Forwards598 1,109 300,046 603 569 197,278 
Interest rate swaps217 — 343,360,180 25 — 2,114,412 
Futures— 357 7,165,070 — 1,268 4,253,088 
Total$5,201 $4,000 $351,538,281 $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.
Certain of the Company’s FX swaps are with Cantor. See Note 13—“Related Party Transactions,” for additional information related to these transactions.
The replacement costs of contracts in a gain position were $5.2 million and $3.8 million, as of June 30, 2023 and December 31, 2022, respectively.
The following tables present information about the offsetting of derivative instruments (in thousands):
June 30, 2023
Gross
Amounts		Gross
Amounts
Offset
Net Amounts Presented in the
Statements of Financial Condition1
Assets
FX swaps$4,642 $(256)$4,386 
Forwards649 (51)598 
Interest rate swaps15,693 (15,476)217 
Futures70,092 (70,092)— 
Total derivative assets$91,076 $(85,875)$5,201 
Liabilities
FX swaps$2,790 $(256)$2,534 
Forwards1,160 (51)1,109 
Futures70,449 (70,092)357 
Interest rate swaps15,476 $(15,476)— 
Total derivative liabilities$89,875 $(85,875)$4,000 
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 
Forwards746 (143)603 
Interest Rate Swaps895 (870)25 
Futures64,769 (64,769)— 
Total derivative assets$70,033 $(66,271)$3,762 
Liabilities
FX swaps$6,285 $(489)$5,796 
Futures66,037 (64,769)1,268 
Forwards712 (143)569 
Interest Rate Swaps870 (870)— 
Total derivative liabilities$73,904 $(66,271)$7,633 

1There were no additional balances in gross amounts not offset as of either June 30, 2023 or December 31, 2022.
The change in fair value of derivative contracts is reported as part of “Principal transactions” in the Company’s unaudited Condensed Consolidated Statements of Operations.
The table below summarizes gains and (losses) on derivative contracts (in thousands):
Three Months Ended June 30,Six Months Ended June 30,
Derivative contract2023202220232022
Futures$3,356 $3,832 $6,777 $8,241 
Interest rate swaps189 — 217 — 
FX swaps126 601 896 930 
FX/commodities options41 48 82 148 
Gains$3,712 $4,481 $7,972 $9,319