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Derivative Instruments
 3 Months Ended
Mar. 31, 2017
Derivative Instruments  
Derivative Instruments

10. Derivative Instruments

 

The fair value of the Company's derivative instruments on a gross basis consisted of the following at March 31, 2017 and December 31, 2016:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(in thousands)

 

 

 

March 31, 2017

 

December 31, 2016

 

Derivatives Assets        

    

Balance Sheet Classification

    

Fair Value

    

Notional

    

Fair Value

    

Notional

 

Equities futures

 

Receivables from broker dealers and clearing organizations

 

$

427

 

$

654,155

 

$

2,403

 

$

1,461,286

 

Commodity futures       

 

Receivables from broker dealers and clearing organizations

 

 

(23,638)

 

 

5,612,720

 

 

13,964

 

 

3,918,778

 

Currency futures

 

Receivables from broker dealers and clearing organizations

 

 

12,902

 

 

3,219,766

 

 

1,591

 

 

3,264,093

 

Fixed income futures

 

Receivables from broker dealers and clearing organizations

 

 

(71)

 

 

3,609

 

 

31

 

 

5,730

 

Options

 

Financial instruments owned

 

 

266

 

 

9,876

 

 

141

 

 

6,844

 

Currency forwards

 

Financial instruments owned

 

 

1,756,179

 

 

165,982,871

 

 

1,147,261

 

 

94,192,414

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives Liabilities

    

Balance Sheet Classification

    

Fair Value

    

Notional

    

Fair Value

    

Notional

 

Equities futures

 

Payables to broker dealers and clearing organizations

 

$

(1,632)

 

$

220,751

 

$

(43)

 

$

62,417

 

Commodity futures

 

Payables to broker dealers and clearing organizations

 

 

(3,091)

 

 

20,879,583

 

 

2,842

 

 

22,616,170

 

Currency futures

 

Payables to broker dealers and clearing organizations

 

 

(19)

 

 

1,713,567

 

 

(6,282)

 

 

1,137,908

 

Currency forwards

 

Financial instruments sold, not yet purchased

 

 

228

 

 

15,124

 

 

80

 

 

4,486

 

Interest rate swaps

 

Financial instruments sold, not yet purchased

 

 

1,792,466

 

 

169,531,047

 

 

1,009,038

 

 

85,874,684

 

 

Amounts included in receivables from and payables to broker-dealers and clearing organizations represent variation margin on long and short futures contracts.

 

The following table summarizes the net gain from derivative instruments not designated as hedging instruments under ASC 815, which are recorded in trading income, net in the accompanying condensed consolidated statements of comprehensive income for the three months ended March 31, 2017 and 2016.

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 

 

 

(in thousands)

    

2017

    

2016

    

 

Futures

 

$

165,590

 

$

308,480

 

 

Currency forwards

 

 

(51,381)

 

 

(425)

 

 

Options

 

 

 1

 

 

(74)

 

 

Interest rate swaps

 

 

 —

 

 

 2

 

 

 

 

$

114,210

 

$

307,983