Fair Value of Financial Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2015

Fair Value Disclosures [Abstract]

Fair Value Hierarchy of Financial Assets and Liabilities under FASB Guidance

The following tables set forth by level within the fair value hierarchy financial assets and liabilities accounted for at fair value under FASB guidance at June 30, 2015 and December 31, 2014 (in thousands):

	Assets at Fair Value at June 30, 2015
	Level 1		Level 2		Level 3		Netting and Collateral		Total
Government debt	$	32,467	$	—	$	—	$	—	$	32,467
Marketable Securities		48,193		85		—		—		48,278
Interest rate swaps		—		290		—		—		290
Forwards		—		1,931		—		—		1,931
Foreign exchange/commodities options		708		—		—		—		708
Foreign exchange swaps		—		610		—		—		610
Futures		—		459		—		—		459
Total	$	81,368	$	3,375	$	—	$	—	$	84,743

	Liabilities at Fair Value at June 30, 2015
	Level 1		Level 2		Level 3		Netting and Collateral		Total
Forwards	$	—	$	953	$	—	$	—	$	953
Foreign exchange/commodities options		159		—		—		—		159
Foreign exchange swaps		—		495		—		—		495
Total	$	159	$	1,448	$	—	$	—	$	1,607

	Assets at Fair Value at December 31, 2014
	Level 1		Level 2		Level 3		Netting and Collateral		Total
Government debt	$	32,508	$	—	$	—	$	—	$	32,508
Marketable securities		144,719		—		—		—		144,719
Interest rate swaps		—		410		—		—		410
Foreign exchange swaps		—		3,098		—		—		3,098
Total	$	177,227	$	3,508	$	—	$	—	$	180,735

	Liabilities at Fair Value at December 31, 2014
	Level 1		Level 2		Level 3		Netting and Collateral		Total
Foreign exchange swaps	$	—	$	153	$	—	$	—	$	153
Total	$	—	$	153	$	—	$	—	$	153

Offsetting of Derivative Instruments and Collateralized Transactions

The following tables present information about the offsetting of derivative instruments and collateralized transactions as of June 30, 2015 and December 31, 2014 (in thousands):

	June 30, 2015
	Gross Amounts		Gross Amounts Offset		Net Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset				Net Amount
							Financial Instruments		Cash Collateral Received
Assets
Interest rate swaps	$	418	$	128	$	290	$	—	$	—	$	290
Forwards		1,931		—		1,931		—		—		1,931
Foreign exchange/commodities options		1,198		490		708		—		—		708
Foreign exchange swaps		875		265		610		—		—		610
Futures		459		—		459		—		—		459
Total	$	4,881	$	883	$	3,998	$	—	$	—	$	3,998
Liabilities
Interest rate swaps	$	128	$	128	$	—	$	—	$	—	$	—
Forwards		953		—		953		—		—		953
Foreign exchange/commodities options		649		490		159		—		—		159
Foreign exchange swaps		760		265		495		—		—		495
Total	$	2,490	$	883	$	1,607	$	—	$	—	$	1,607

	December 31, 2014
	Gross Amounts		Gross Amounts Offset		Net Amounts Presented in the Statements of Financial Condition		Gross Amounts Not Offset				Net Amount
							Financial Instruments		Cash Collateral Received
Assets
Interest rate swaps	$	547	$	137	$	410	$	—	$	—	$	410
Foreign exchange swaps		3,144		46		3,098		—		—		3,098
Total	$	3,691	$	183	$	3,508	$	—	$	—	$	3,508
Liabilities
Interest rate swaps	$	137	$	137	$	—	$	—	$	—	$	—
Foreign exchange swaps		199		46		153		—		—		153
Total	$	336	$	183	$	153	$	—	$	—	$	153