Derivative Financial Instruments

12 Months Ended

Oct. 31, 2020

Derivative Financial Instruments [Abstract]

Derivative Financial Instruments

5.Derivative Financial Instruments

The Company utilizes derivative financial instruments to hedge market and currency risks associated with its investments in certain consolidated seed investments that are not designated as hedging instruments for accounting purposes.

Excluding derivative financial instruments held by consolidated sponsored funds, the Company was party to the following derivative financial instruments at October 31, 2020 and 2019:

	2020			2019
	Number of Contracts	Notional Value (in millions)		Number of Contracts	Notional Value (in millions)
Stock index futures contracts	997	$	85.5	1,370	$	108.3
Total return swap contracts	2		87.0	2		84.0
Interest rate swap contracts	-		-	6		24.4
Credit default swap contracts	1		18.8	1		8.0
Foreign exchange contracts	14		11.5	26		56.4
Commodity futures contracts	-		-	415		15.2
Currency futures contracts	-		-	231		24.0
Interest rate futures contracts	53		7.0	151		22.3

The derivative contracts outstanding and associated notional values at October 31, 2020 and 2019 are representative of derivative balances throughout each respective year. The weighted-average remaining contract term for derivative contracts outstanding at October 31, 2020 and 2019 was 3.8 months and 6.3 months, respectively.

The Company has elected not to offset fair value amounts related to derivative financial instruments executed with the same counterparty under master netting arrangements; as a result, the Company records all derivative financial instruments as either other assets or other liabilities, gross, on its Consolidated Balance Sheets and measures them at fair value (see Note 1). The following table presents the fair value of derivative financial instruments not designated for hedge accounting and how they are reflected on the Company’s Consolidated Balance Sheets as of October 31, 2020 and 2019:

		2020				2019
(in thousands)		Other Assets		Other Liabilities		Other Assets		Other Liabilities
Stock index futures contracts	$	2,725	$	134	$	615	$	1,841
Total return swap contracts		732		989		396		114
Interest rate swap contracts		-		-		61		235
Credit default swap contracts		1,038		-		360		-
Foreign exchange contracts		62		156		51		615
Commodity futures contracts		-		-		319		334
Currency futures contracts		-		-		128		153
Interest rate futures contracts		23		-		144		22
Total	$	4,580	$	1,279	$	2,074	$	3,314

The Company may provide cash collateral to, or receive cash collateral from, certain counterparties to satisfy margin requirements for derivative positions that are classified as restricted cash. At October 31, 2020 and 2019, restricted cash collateral balances for derivative positions included in other assets on the Company’s Consolidated Balance Sheets were $12.8 million and $7.5 million, respectively. At October 31, 2020, payables to counterparties for collateral balances received related to derivative positions included in other liabilities on the Company’s Consolidated Balance Sheet were $0.7 million. The Company did not have any payables to counterparties for collateral balances received related to derivative positions at October 31, 2019.

The Company recognized the following gains (losses) on derivative financial instruments during the years ended October 31, 2020, 2019 and 2018 within gains (losses) and other investment income, net, on the Company’s Consolidated Statements of Income:

(in thousands)		2020		2019		2018
Stock index futures contracts	$	2,579	$	(6,701)	$	4,267
Total return swap contracts		230		(5,535)		(2,708)
Interest rate swap contracts		(167)		(248)		-
Credit default swap contracts		445		(251)		178
Foreign exchange contracts		407		(1,749)		(51)
Commodity futures contracts		1,027		531		(1,044)
Currency futures contracts		832		442		(24)
Interest rate futures contracts		(71)		(2,402)		366
Net gains (losses)	$	5,282	$	(15,913)	$	984

In addition to the derivative contracts described above, certain consolidated sponsored funds may utilize derivative financial instruments within their portfolios in pursuit of their stated investment objectives.