XML 40 R28.htm IDEA: XBRL DOCUMENT v3.20.4
Financial Instruments with Off-Balance Sheet Risk and Concentrations of Credit Risk (Tables)
 3 Months Ended
Dec. 31, 2020
Financial Instruments with Off-Balance Sheet Risk and Concentrations of Credit Risk [Abstract]  
Schedule of Derivative Instruments
Listed below are the fair values of the Company’s derivative assets and liabilities as of December 31, 2020 and September 30, 2020. Assets represent net unrealized gains and liabilities represent net unrealized losses.
 December 31, 2020September 30, 2020
(in millions)
Assets (1)
Liabilities (1)
Assets (1)
Liabilities (1)
Derivative contracts not accounted for as hedges:
Exchange-traded commodity derivatives$1,594.0 $1,600.9 $1,637.2 $1,747.3 
OTC commodity derivatives763.2 647.4 553.9 433.2 
Exchange-traded foreign exchange derivatives32.8 44.4 9.3 13.0 
OTC foreign exchange derivatives378.1 303.2 520.8 461.5 
Exchange-traded interest rate derivatives88.6 86.3 271.1 200.7 
OTC interest rate derivatives84.5 84.9 96.0 96.6 
Exchange-traded equity index derivatives51.1 28.2 32.1 39.8 
OTC equity and indices derivatives149.9 90.4 113.0 55.4 
TBA and forward settling securities28.2 30.8 31.0 22.0 
Gross fair value of derivative contracts$3,170.4 $2,916.5 $3,264.4 $3,069.5 
Impact of netting and collateral (3,053.1)(2,767.4)(3,319.0)(3,100.7)
Total fair value included in 'Deposits with and receivables from broker-dealers, clearing organizations, and counterparties, net' $(11.8)$(173.5)
Total fair value included in 'Receivables from clients, net'$2.2 $1.5 
Total fair value included in 'Financial instruments owned, at fair value'$126.9 $117.4 
Total fair value included in 'Payables to clients'$(121.3)$(222.7)
Total fair value included in 'Payables to broker-dealers, clearing organizations and counterparties’$30.6 $14.7 
Total fair value included in 'Financial instruments sold, not yet purchased, at fair value'$239.8 $176.8 
(1)As of December 31, 2020 and September 30, 2020, the Company’s derivative contract volume for open positions were approximately 7.4 million and 7.9 million contracts, respectively.
Schedule of Derivative Instruments Included in Trading Activities
As of December 31, 2020 and September 30, 2020, these transactions are summarized as follows:
December 31, 2020September 30, 2020
(in millions)Gain / (Loss)Notional AmountsGain / (Loss)Notional Amounts
Unrealized gain on TBA securities purchased within deposits with and receivables from broker-dealers, clearing organizations and counterparties and related notional amounts $25.6 $6,190.7 $10.8 $5,389.3 
Unrealized loss on TBA securities purchased within deposits with and receivables from broker-dealers, clearing organizations and counterparties and related notional amounts $— $136.9 $(1.7)$2,647.7 
Unrealized gain on TBA securities sold within payables to broker-dealers, clearing organizations and counterparties and related notional amounts $— (120.4)$2.8 $(2,978.7)
Unrealized loss on TBA securities sold within payables to broker-dealers, clearing organizations and counterparties and related notional amounts $(30.8)$(7,613.1)$(13.0)$(6,549.4)
Unrealized gain on forward settling securities purchased within deposits with and receivables from broker-dealers, clearing organizations and counterparties and related notional amounts $1.4 1,392.7 $— $— 
Unrealized gain on forward settling securities sold within deposits with and receivables from broker-dealers, clearing organizations and counterparties and related notional amounts $1.2 $(1,040.6)$17.4 $(1,946.0)
Unrealized loss on forward settling securities purchased within deposits with and receivables from broker-dealers, clearing organizations and counterparties and related notional amounts $— — $(7.3)$2,447.1 
(1) The notional amounts of these instruments reflect the extent of the Company's involvement in TBA and forward settling securities and do not represent risk of loss due to counterparty non-performance.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
The following table sets forth the Company’s net gains (losses) related to derivative financial instruments for the three months ended December 31, 2020 and 2019 in accordance with the Derivatives and Hedging Topic of the ASC. The net gains (losses) set forth below are included in ‘principal gains, net’ and ‘cost of sales of physical commodities’ in the condensed consolidated income statements.
Three Months Ended December 31,
(in millions)20202019
Commodities$4.2 $18.2 
Foreign exchange 36.0 2.2 
Interest rate, equities, and indices 12.6 (0.4)
TBA and forward settling securities(8.5)(0.9)
Net gains from derivative contracts$44.3 $19.1