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Derivative Instruments
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments Derivative Instruments
 
The fair value of the Company’s derivative instruments on a gross basis consisted of the following at December 31, 2019 and December 31, 2018:
(in thousands)
 
 
 
December 31, 2019
 
December 31, 2018
Derivatives Assets
 
Financial Statements Location
 
Fair Value
 
Notional
 
Fair Value
 
Notional
Derivative instruments not designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
Equities futures
 
Receivables from broker-dealers and clearing organizations
 
$
(1,366
)
 
$
4,502,017

 
$
(15,382
)
 
$
2,891,606

Commodity futures
 
Receivables from broker-dealers and clearing organizations
 
40,656

 
7,758,974

 
69,235

 
11,595,215

Currency futures
 
Receivables from broker-dealers and clearing organizations
 
(2,860
)
 
1,116,246

 
(9,432
)
 
3,756,914

Fixed income futures
 
Receivables from broker-dealers and clearing organizations
 
47

 
155,697

 
(28
)
 
18,694

Options
 
Financial instruments owned
 
8,538

 
442,808

 
11,899

 
659,101

Currency forwards
 
Financial instruments owned
 
242,552

 
24,369,818

 
2,792,373

 
171,288,432

Interest rate swap
 
Other assets
 
8,976

 
525,000

 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
Derivatives Liabilities
 
Financial Statements Location
 
Fair Value
 
Notional
 
Fair Value
 
Notional
Derivative instruments not designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
Equities futures
 
Payables to broker-dealers and clearing organizations
 
$
751

 
$
83,803

 
$
468

 
$
106,487

Commodity futures
 
Payables to broker-dealers and clearing organizations
 
(45,175
)
 
3,604,979

 
(375
)
 
54,782

Currency futures
 
Payables to broker-dealers and clearing organizations
 
(23,223
)
 
6,594,991

 
(30,643
)
 
6,239,725

Fixed income futures
 
Payables to broker-dealers and clearing organizations
 
94

 
190,938

 
93

 
8,591

Options
 
Financial instruments sold, not yet purchased
 
3,087

 
436,422

 
11,051

 
608,756

Currency forwards
 
Financial instruments sold, not yet purchased
 
196,554

 
24,346,818

 
2,720,749

 
171,252,224

 
 
 
 
 
 
 
 
 
 
 
Derivative instruments designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
Currency forwards
 
Financial instruments sold, not yet purchased
 
—

 
—

 
(792
)
 
13,501

 
 
Amounts included in receivables from and payables to broker-dealers and clearing organizations represent net variation margin on long and short futures contracts.
 
The following table summarizes the net gain (loss) from derivative instruments not designated as hedging instruments under ASC 815, which are recorded in total revenues, and from those designated as hedging instruments under ASC 815, which are recorded in accumulated other comprehensive income in the accompanying Consolidated Statements of Comprehensive Income for the years ended December 31, 2019, 2018 and 2017.
 
 
 
 
Years Ended December 31,
(in thousands)
 
Financial Statements Location
 
2019
 
2018
 
2017
Derivative instruments not designated as hedging instruments:
 
 
 
 
 
 
 
 
Futures
 
Trading income, net
 
$
247,619

 
$
(309,598
)
 
$
290,609

Currency forwards
 
Trading income, net
 
(44,293
)
 
174,310

 
2,603

Options
 
Trading income, net
 
19,692

 
(6,161
)
 
(7,166
)
Interest rate swap (1)
 
Other, net
 
8,976

 
—

 
—

 
 
 
 
$
231,994

 
$
(141,449
)
 
$
286,046

 
 
 
 
 
 
 
 
 
Derivative instruments designated as hedging instruments:
 
 
 
 
 
 
 
 
Foreign exchange - forward contract
 
Accumulated other comprehensive income
 
$
—

 
$
63

 
(642
)


(1) As disclosed in “Note 10 Borrowings”, the Company's Credit Agreement was amended on October 9, 2019, on which date VFH borrowed an additional $525.0 million of Incremental Term Loans. The Company entered into a five-year $525 million floating to fixed interest rate swap agreement that effectively fixes interest payment obligations on the Incremental Term Loans at 4.8% through September 2024. As of December 31, 2019, this interest rate swap did not meet the criteria in ASC 815 to qualify for hedge accounting, and gains and losses due to the derivative's change in market value were recorded in Other, net within total revenues.