v2.4.0.6

Fair Value

3 Months Ended

Mar. 31, 2013

Notes to Consolidated Financial Statements

Fair value

6. Financial Assets and Financial Liabilities

Fair Value

                 The following tables set forth, by level within the fair value hierarchy (Note 2), financial assets and liabilities, primarily financial instruments owned and financial instruments sold, but not yet purchased at fair value as of March 31, 2013 and December 31, 2012. As required by ASC 820, financial assets and financial liabilities are classified in their entirety based on the lowest level of input that is significant to the respective fair value measurement.

		Financial Assets At Fair Value as of March 31, 2013
		Level 1			Level 2			Level 3			Total
Securities segregated for regulatory purposes	$	2,447,389		$	-		$	-		$	2,447,389
Financial instruments owned:
Stocks		999,035			-			-			999,035
Options		2,477,113			-			-			2,477,113
Warrants and discount certificates		153,403			-			-			153,403
U.S. and foreign government obligations		33,777			3,145			-			36,922
Corporate and municipal bonds		111,673			44,169			-			155,842
Total financial instruments owned		3,775,001			47,314			-			3,822,315
Financial instruments owned and pledged as collateral:
Stocks		694,338			-			-			694,338
Warrants		614			-			-			614
U.S. and foreign government obligations		142,963			-			-			142,963
Corporate and municipal bonds		2,079			-			-			2,079
Total financial instruments owned and pledged as collateral		839,994			-			-			839,994
Subtotal		4,614,995			47,314			-			4,662,309
Other fair value investments
Investments in common stock		12,436			6,895			-			19,331
Other investments		2,489			103,019			-			105,508
Total Financial Assets at Fair Value	$	7,077,309		$	157,228		$	-		$	7,234,537
		Financial Liabilities At Fair Value as of March 31, 2013
		Level 1			Level 2			Level 3			Total
Financial instruments sold, not yet purchased:
Stocks	$	1,801,394		$	-		$	-		$	1,801,394
Options		2,464,976			-			-			2,464,976
Warrants and discount certificates		3,243			-			-			3,243
U.S. and foreign government obligations		-			1,099			-			1,099
Corporate bonds		80,085			12,160			-			92,245
Currency forward contracts		-			4,430			-			4,430
Total financial instruments sold, not yet purchased	$	4,349,698		$	17,689		$	-		$	4,367,387

		Financial Assets At Fair Value as of December 31, 2012
		Level 1			Level 2			Level 3			Total
Securities segregated for regulatory purposes	$	2,297,024		$	-		$	-		$	2,297,024
Financial instruments owned:
Stocks		887,031			-			-			887,031
Options		2,388,173			-			-			2,388,173
Warrants and discount certificates		147,317			-			-			147,317
U.S. and foreign government obligations		30,087			-			-			30,087
Corporate and municipal bonds		104,387			59,533			-			163,920
Currency forward contracts		-			1,351			-			1,351
Total financial instruments owned		3,556,995			60,884			-			3,617,879
Financial instruments owned and pledged as collateral:
Stocks		775,222			-			-			775,222
Warrants		350			-			-			350
U.S. and foreign government obligations		146,953			-			-			146,953
Corporate and municipal bonds		4,332			-			-			4,332
Total financial instruments owned and pledged as collateral		926,857			-			-			926,857
Subtotal		4,483,852			60,884			-			4,544,736
Other fair value investments
Investments in common stock		17,707			3,549			-			21,256
Other investments		2,249			92,727			-			94,976
Total Financial Assets at Fair Value	$	6,800,832		$	157,160		$	-		$	6,957,992
		Financial Liabilities At Fair Value as of December 31, 2012
		Level 1			Level 2			Level 3			Total
Financial instruments sold, not yet purchased:
Stocks	$	1,787,741		$	-		$	-		$	1,787,741
Options		2,389,871			-			-			2,389,871
Warrants and discount certificates		2,104			-			-			2,104
U.S. and foreign government obligations		451			-			-			451
Corporate bonds		90,710			11,833			-			102,543
Currency forward contracts		-			3,550			-			3,550
Total financial instruments sold, not yet purchased	$	4,270,877		$	15,383		$	-		$	4,286,260

Transfers Between Level 1 and Level 2 During the Three Months ended March 31, 2013

Transfers of financial instruments owned and sold, not yet purchased to or from Levels 1 and 2 arise where the market for a specific security has become active or inactive during the period.  The fair values transferred are ascribed as if the financial assets or financial liabilities had been transferred as of the end of the period.

During the three months ended March 31, 2013, the Company reclassified approximately $1.1 million of financial instruments owned from Level 1 to Level 2 and reclassified approximately $3.4 million from Level 2 to Level 1.  Financial instruments sold, but not yet purchased of approximately $2.0 million were reclassified from Level 1 to Level 2 and approximately $3.1 million were reclassified from Level 2 to Level 1.

The Company has no Level 3 financial assets or financial liabilities.

Netting of Financial Assets and Financial Liabilities

The following table sets forth the netting of financial assets and of financial liabilities as of March 31, 2013 and December 31, 2012, pursuant to the requirements of ASU 2011-11 and ASU 2013-01.  These ASUs became effective, including retrospective disclosure requirements, for the Company as of January 1, 2013 (millions).

 

			March 31, 2013
												Gross Amounts Not Offset in the Condensed Consolidated Statement of Financial Position
			Gross Amounts of Recognized Assets			Gross Amounts Offset in the Condensed Consolidated Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition			Financial Instruments			Cash Collateral Received			Net Amount
Offsetting of Financial Assets:
Securities borrowed		$	3,740.4		$	-		$	3,740.4		$	-		$	(3,740.4)		$	-
Securities purchased under agreements to resell			461.9			-			461.9			(461.9)			-			-
Financial Instruments owned
Options			2,477.1			-			2,477.1			(2,477.1)			-			-
Warrants and discount certificates			153.4			-			153.4			(153.4)			-			-
Currency forward contracts			-			-			-			-			-			-
Total		$	6,832.8		$	-		$	6,832.8		$	(3,092.4)		$	(3,740.4)		$	-
												Gross Amounts Not Offset in the Condensed Consolidated Statement of Financial Position
			Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Condensed Consolidated Statement of Financial Condition			Net Amounts of Liabilities Presented in the Statement of Financial Condition			Financial Instruments			Cash Collateral Pledged			Net Amount
Offsetting of Financial Liabilities:
Securities loaned		$	2,198.8		$	-		$	2,198.8		$	-		$	(2,198.8)		$	-
Financial instruments sold, not yet purchased:
Options			2,465.0			-			2,465.0			(2,465.0)			-			-
Warrants and discount certificates			3.2			-			3.2			(3.2)			-			-
Currency forward contracts			4.4			-			4.4			(4.4)			-			-
Total		$	4,671.4		$	-		$	4,671.4		$	(2,472.6)		$	(2,198.8)		$	-

			December 31, 2012
												Gross Amounts Not Offset in the Condensed Consolidated Statement of Financial Position
			Gross Amounts of Recognized Assets			Gross Amounts Offset in the Condensed Consolidated Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition			Financial Instruments			Cash Collateral Received			Net Amount
Offsetting of Financial Assets:
Securities borrowed		$	2,833.1		$	-		$	2,833.1		$	-		$	(2,833.1)		$	-
Securities purchased under agreements to resell			428.9			-			428.9			(428.9)			-			-
Financial Instruments owned
Options			2,388.2			-			2,388.2			(2,388.2)			-			-
Warrants and discount certificates			147.3			-			147.3			(147.3)			-			-
Currency forward contracts			1.4			-			1.4			(1.4)			-			-
Total		$	5,798.9		$	-		$	5,798.9		$	(2,965.8)		$	(2,833.1)		$	-
												Gross Amounts Not Offset in the Condensed Consolidated Statement of Financial Position
			Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Condensed Consolidated Statement of Financial Condition			Net Amounts of Liabilities Presented in the Statement of Financial Condition			Financial Instruments			Cash Collateral Pledged			Net Amount
Offsetting of Financial Liabilities:
Securities loaned		$	1,839.3		$	-		$	1,839.3		$	-		$	(1,839.3)		$	-
Financial instruments sold, not yet purchased:
Options			2,389.9			-			2,389.9			(2,389.9)			-			-
Warrants and discount certificates			2.1			-			2.1			(2.1)			-			-
Currency forward contracts			3.6			-			3.6			(3.6)			-			-
Total		$	4,234.9		$	-		$	4,234.9		$	(2,395.6)		$	(1,839.3)		$	-

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- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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