Derivatives (Tables)

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value of Derivative Contracts

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

	March 31, 2024						December 31, 2023
Derivative contract	Assets		Liabilities		Notional Amounts1		Assets		Liabilities		Notional Amounts1
FX swaps	$	4,067	$	2,408	$	946,438	$	2,674	$	5,119	$	545,669
Forwards	831		616		201,420		805		609		310,880
Interest rate swaps	91		—		14,023,833		128		—		34,272,592
Futures	—		61		6,930,238		—		28		6,703,624
Total	$	4,989	$	3,085	$	22,101,929	$	3,607	$	5,756	$	41,832,765

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, 2024
	Gross Amounts		Gross Amounts Offset		Net Amounts Presented in the Statements of Financial Condition1
Assets
FX swaps	$	4,663	$	(596)	$	4,067
Forwards	861		(30)		831
Interest rate swaps	9,359		(9,268)		91
Futures	69,555		(69,555)		—
Total derivative assets	$	84,438	$	(79,449)	$	4,989
Liabilities
FX swaps	$	3,004	$	(596)	$	2,408
Forwards	646		(30)		616
Futures	69,616		(69,555)		61
Interest rate swaps	9,268		$	(9,268)	—
Total derivative liabilities	$	82,534	$	(79,449)	$	3,085

	December 31, 2023
	Gross Amounts		Gross Amounts Offset		Net Amounts Presented in the Statements of Financial Condition1
Assets
FX swaps	$	3,467	$	(793)	$	2,674
Forwards	855		(50)		805
Interest rate swaps	12,310		(12,182)		128
Futures	62,693		(62,693)		—
Total derivative assets	$	79,325	$	(75,718)	$	3,607
Liabilities
FX swaps	$	5,912	$	(793)	$	5,119
Forwards	659		(50)		609
Futures	62,721		(62,693)		28
Interest rate swaps	12,182		(12,182)		—
Total derivative liabilities	$	81,474	$	(75,718)	$	5,756

1There were no additional balances in gross amounts not offset as of either March 31, 2024 or December 31, 2023.

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	2024		2023
Futures	$	3,806	$	3,421
Interest rate swaps	2,096		28
FX swaps	498		770
FX/commodities options	47		41
Gains	$	6,447	$	4,260