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Financial Instruments (Tables) | 6 Months Ended
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Jun. 30, 2012
Financial Instruments [Abstract] |
Securities Owned and Securities Sold, But Not Yet Purchased at Fair Value | Expressed in thousands of dollars.
|  | June 30, 2012 |  |  | December 31, 2011 |
|  | Owned |  |  | Sold |  |  | Owned |  |  | Sold |
U.S. Treasury, agency and sovereign obligations |  | $ | 796,655 |  |  | $ | 45,797 |  |  | $ | 682,805 |  |  | $ | 27,509 |
Corporate debt and other obligations |  |  | 26,233 |  |  |  | 4,636 |  |  |  | 27,188 |  |  |  | 3,696 |
Mortgage and other asset-backed securities |  |  | 3,416 |  |  |  | 7 |  |  |  | 4,609 |  |  |  | 14 |
Municipal obligations |  |  | 111,104 |  |  |  | 461 |  |  |  | 54,963 |  |  |  | 485 |
Convertible bonds |  |  | 50,923 |  |  |  | 10,953 |  |  |  | 50,157 |  |  |  | 8,533 |
Corporate equities |  |  | 44,630 |  |  |  | 32,284 |  |  |  | 38,634 |  |  |  | 29,056 |
Other |  |  | 67,683 |  |  |  | 15 |  |  |  | 66,185 |  |  |  | 122 |
Total |  | $ | 1,100,644 |  |  | $ | 94,153 |  |  | $ | 924,541 |  |  | $ | 69,415 |
Quantitative Information about Level 3 Fair Value Measurements | Expressed in thousands of dollars.
Quantitative Information about Level 3 Fair Value Measurements at June 30, 2012
Product |  | Principal |  |  | Valuation Adjustment |  |  | Fair Value |  |  | Valuation Technique |  | Unobservable Input |  | Range
Auction Rate Securities (1) |  | $ | 118,264 |  |  | $ | 5,731 |  |  | $ | 112,533 |  |  | Discounted Cash Flow |  | Discount Rate |  | 1.14% to 3.01%
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Duration |  | 5 to 8 Years
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Yield(2) |  | 0.27% to 1.37%
Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
(1) | Includes ARS owned by the Company of $77.9 million and included in the condensed consolidated balance sheet at June 30, 2012 as well as additional commitments to purchase ARS from clients of $40.4 million which is disclosed in the notes to the condensed consolidated balance sheet.
(2) | Based on current auctions in comparable securities that have not failed.
Investments in Company-sponsored funds | The following table provides information about the Company’s investments in Company-sponsored funds at June 30, 2012. Expressed in thousands of dollars.
|  | Fair Value |  |  | Unfunded Commitments |  |  | Redemption Frequency |  | Redemption Notice Period
Hedge Funds (1) |  | $ | 905 |  |  | $ | — |  |  | Quarterly - Annually |  | 30 - 120 Days
Private Equity Funds (2) |  |  | 3,108 |  |  |  | 1,307 |  |  | N/A |  | N/A
Distressed Opportunities Investment Trust (3) |  |  | 7,662 |  |  |  | — |  |  | N/A |  | N/A
Total |  | $ | 11,675 |  |  | $ | 1,307 |  |  |  |  |
(1) | Includes investments in hedge funds and hedge fund of funds that pursue long/short, event-driven, and activist strategies.
(2) | Includes private equity funds and private equity fund of funds with a focus on diversified portfolios, real estate and global natural resources.
(3) | Special purpose vehicle that invests in distressed debt of U.S. companies.
Assets and liabilities measured at fair value on a recurring basis | The Company’s assets and liabilities, recorded at fair value on a recurring basis as of June 30, 2012 and December 31, 2011, have been categorized based upon the above fair value hierarchy as follows: Assets and liabilities measured at fair value on a recurring basis as of June 30, 2012 Expressed in thousands of dollars.
|  | Fair Value Measurement: Assets As of June 30, 2012 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Cash equivalents |  | $ | 44,035 |  |  | $ | — |  |  | $ | — |  |  | $ | 44,035 |
Cash and securities segregated for regulatory and other purposes |  |  | 11,498 |  |  |  | — |  |  |  | — |  |  |  | 11,498 |
Deposits with clearing organization |  |  | 9,094 |  |  |  | — |  |  |  | — |  |  |  | 9,094 |
Securities owned: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  |  | 708,063 |  |  |  | — |  |  |  | — |  |  |  | 708,063 |
U.S. Agency securities |  |  | 44,923 |  |  |  | 43,640 |  |  |  | — |  |  |  | 88,563 |
Sovereign obligations |  |  | — |  |  |  | 29 |  |  |  | — |  |  |  | 29 |
Corporate debt and other obligations |  |  | 13,369 |  |  |  | 12,864 |  |  |  | — |  |  |  | 26,233 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 3,404 |  |  |  | 12 |  |  |  | 3,416 |
Municipal obligations |  |  | — |  |  |  | 100,984 |  |  |  | 10,120 |  |  |  | 111,104 |
Convertible bonds |  |  | — |  |  |  | 50,923 |  |  |  | — |  |  |  | 50,923 |
Corporate equities |  |  | 33,153 |  |  |  | 11,477 |  |  |  | — |  |  |  | 44,630 |
Other |  |  | 3,039 |  |  |  | — |  |  |  | 64,644 |  |  |  | 67,683 |
Securities owned, at fair value |  |  | 802,547 |  |  |  | 223,321 |  |  |  | 74,776 |  |  |  | 1,100,644 |
Investments (1) |  |  | 368 |  |  |  | 35,619 |  |  |  | 12,760 |  |  |  | 48,747 |
Derivative contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
TBAs |  |  | — |  |  |  | 5,846 |  |  |  | — |  |  |  | 5,846 |
Securities purchased under agreements to resell |  |  | — |  |  |  | 5,225 |  |  |  | — |  |  |  | 5,225 |
Total |  | $ | 867,542 |  |  | $ | 270,011 |  |  | $ | 87,536 |  |  | $ | 1,225,089 |
|  | Fair Value Measurement: Liabilities As of June 30, 2012 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Securities sold, not yet purchased: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 35,563 |  |  | $ | — |  |  | $ | — |  |  | $ | 35,563 |
U.S. Agency securities |  |  | 10,197 |  |  |  | 37 |  |  |  | — |  |  |  | 10,234 |
Corporate debt and other obligations |  |  | — |  |  |  | 4,636 |  |  |  | — |  |  |  | 4,636 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 7 |  |  |  | — |  |  |  | 7 |
Municipal obligations |  |  | — |  |  |  | 461 |  |  |  | — |  |  |  | 461 |
Convertible bonds |  |  | — |  |  |  | 10,953 |  |  |  | — |  |  |  | 10,953 |
Corporate equities |  |  | 19,087 |  |  |  | 13,197 |  |  |  | — |  |  |  | 32,284 |
Other |  |  | 15 |  |  |  | — |  |  |  | — |  |  |  | 15 |
Securities sold, not yet purchased at fair value |  |  | 64,862 |  |  |  | 29,291 |  |  |  | — |  |  |  | 94,153 |
Investments |  |  | 67 |  |  |  | — |  |  |  | — |  |  |  | 67 |
Derivative contracts |  |  | 69 |  |  |  | 146 |  |  |  | 2,334 |  |  |  | 2,549 |
TBAs |  |  | — |  |  |  | 168 |  |  |  | — |  |  |  | 168 |
Securities sold under agreements to repurchase (2) |  |  | — |  |  |  | 52,584 |  |  |  | — |  |  |  | 52,584 |
Total |  | $ | 64,998 |  |  | $ | 82,189 |  |  | $ | 2,334 |  |  | $ | 149,521 |
(1) | Included in other assets on the condensed consolidated balance sheet.
(2) | Includes securities sold under agreements to repurchase agreements where the Company has elected fair value option treatment.
Assets and liabilities measured at fair value on a recurring basis as of December 31, 2011 Expressed in thousands of dollars.
|  | Fair Value Measurement: Assets As of December 31, 2011 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Cash equivalents |  | $ | 30,924 |  |  | $ | — |  |  | $ | — |  |  | $ | 30,924 |
Cash and securities segregated for regulatory and other purposes |  |  | 11,500 |  |  |  | — |  |  |  | — |  |  |  | 11,500 |
Deposits with clearing organizations |  |  | 9,095 |  |  |  | — |  |  |  | — |  |  |  | 9,095 |
Securities owned: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  |  | 627,870 |  |  |  | — |  |  |  | — |  |  |  | 627,870 |
U.S. Agency securities |  |  | 32,663 |  |  |  | 21,695 |  |  |  | — |  |  |  | 54,358 |
Sovereign obligations |  |  | — |  |  |  | 577 |  |  |  | — |  |  |  | 577 |
Corporate debt and other obligations |  |  | 12,538 |  |  |  | 14,650 |  |  |  | — |  |  |  | 27,188 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 4,593 |  |  |  | 16 |  |  |  | 4,609 |
Municipal obligations |  |  | — |  |  |  | 51,401 |  |  |  | 3,562 |  |  |  | 54,963 |
Convertible bonds |  |  | — |  |  |  | 50,157 |  |  |  | — |  |  |  | 50,157 |
Corporate equities |  |  | 29,150 |  |  |  | 9,484 |  |  |  | — |  |  |  | 38,634 |
Other |  |  | 1,184 |  |  |  | — |  |  |  | 65,001 |  |  |  | 66,185 |
Securities owned, at fair value |  |  | 703,405 |  |  |  | 152,557 |  |  |  | 68,579 |  |  |  | 924,541 |
Investments (1) |  |  | 1,512 |  |  |  | 32,964 |  |  |  | 12,482 |  |  |  | 46,958 |
Derivative contracts |  |  | — |  |  |  | 20 |  |  |  | — |  |  |  | 20 |
TBAs |  |  | — |  |  |  | 5,791 |  |  |  | — |  |  |  | 5,791 |
Securities purchased under agreements to resell |  |  | — |  |  |  | 847,610 |  |  |  | — |  |  |  | 847,610 |
Total |  | $ | 756,436 |  |  | $ | 1,038,942 |  |  | $ | 81,061 |  |  | $ | 1,876,439 |
|  | Fair Value Measurement: Liabilities As of December 31, 2011 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Securities sold, not yet purchased: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 27,462 |  |  | $ | — |  |  | $ | — |  |  | $ | 27,462 |
U.S. Agency securities |  |  | — |  |  |  | 47 |  |  |  | — |  |  |  | 47 |
Sovereign obligations |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Corporate debt and other obligations |  |  | — |  |  |  | 3,696 |  |  |  | — |  |  |  | 3,696 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 14 |  |  |  | — |  |  |  | 14 |
Municipal obligations |  |  | — |  |  |  | 485 |  |  |  | — |  |  |  | 485 |
Convertible bonds |  |  | — |  |  |  | 8,533 |  |  |  | — |  |  |  | 8,533 |
Corporate equities |  |  | 16,467 |  |  |  | 12,589 |  |  |  | — |  |  |  | 29,056 |
Other |  |  | 72 |  |  |  | — |  |  |  | 50 |  |  |  | 122 |
Securities sold, not yet purchased at fair value |  |  | 44,001 |  |  |  | 25,364 |  |  |  | 50 |  |  |  | 69,415 |
Investments |  |  | 26 |  |  |  | — |  |  |  | — |  |  |  | 26 |
Derivative contracts |  |  | 66 |  |  |  | 8 |  |  |  | 2,347 |  |  |  | 2,421 |
TBAs |  |  | — |  |  |  | 2,254 |  |  |  | — |  |  |  | 2,254 |
Total |  | $ | 44,093 |  |  | $ | 27,626 |  |  | $ | 2,397 |  |  | $ | 74,116 |
(1) | Included in other assets on the condensed consolidated balance sheet.
(2) | Includes securities purchased under agreements to resell where the Company has elected fair value option treatment.
There were no significant transfers between Level 1 and Level 2 assets and liabilities in the three months ended June 30, 2012. The following tables present changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended June 30, 2012 and 2011. Expressed in thousands of dollars.
|  | For the Three-Month Period Ended June 30, 2012 |
|  | Beginning Balance |  |  | Realized Gains (Losses)(4) |  |  | Unrealized Gains (Losses)(4) (5) |  |  | Purchases & Issuances |  |  | Sales & Settlements |  |  | Transfers In / Out |  |  | Ending Balance |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | 98 |  |  |  | (7 | ) |  |  | (16 | ) |  |  | 3 |  |  |  | (64 | ) |  |  | (2 | ) |  | $ | 12 |
Municipals |  |  | 11,789 |  |  |  | (5 | ) |  |  | 586 |  |  |  | — |  |  |  | (2,250 | ) |  |  | — |  |  |  | 10,120 |
Other(2) |  |  | 66,831 |  |  |  | — |  |  |  | 738 |  |  |  | 4,425 |  |  |  | (7,350 | ) |  |  | — |  |  |  | 64,644 |
Investments (3) |  |  | 13,132 |  |  |  | — |  |  |  | (78 | ) |  |  | 3 |  |  |  | (297 | ) |  |  | — |  |  |  | 12,760 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | — |
Other(2) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Derivative contracts |  |  | 3,907 |  |  |  | — |  |  |  | (1,573 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,334 |
(1) | Represents private placements of non-agency collateralized mortgage obligations.
(2) | Represents auction rate securities that failed in the auction rate market.
(3) | Primarily represents general partner ownership interests in hedge funds and private equity funds sponsored by the Company.
(4) | Included in principal transactions on the consolidated statement of operations, except for investments which are included in other income on the consolidated statement of operations.
(5) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
Expressed in thousands of dollars.
|  | For the Three-Month Period Ended June 30, 2011 |
|  | Beginning Balance |  |  | Realized Gains (Losses) |  |  | Unrealized Gains (Losses) |  |  | Purchases & Issuances |  |  | Sales & Settlements |  |  | Transfers In / Out |  |  | Ending Balance |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | — |  |  |  | — |  |  |  | 3 |  |  |  | 102 |  |  |  |  |  |  |  | — |  |  | $ | 105 |
Municipals |  |  | 2,165 |  |  |  | — |  |  |  | (43 | ) |  |  | 1,882 |  |  |  | (175 | ) |  |  | — |  |  |  | 3,829 |
Other(2) |  |  | 36,582 |  |  |  | — |  |  |  | 1,966 |  |  |  | 27,575 |  |  |  | (3,025 | ) |  |  | — |  |  |  | 63,098 |
Investments (3) |  |  | 17,308 |  |  |  | — |  |  |  | 1 |  |  |  | 426 |  |  |  | (1,607 | ) |  |  | 13 |  |  |  | 16,141 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 11 |  |  |  | — |  |  | $ | 11 |
(1) | Represents private placements of non-agency collateralized mortgage obligations.
(2) | Represents auction rate securities that failed in the auction rate market.
(3) | Primarily represents general partner ownership interests in hedge funds and private equity funds sponsored by the Company.
The following tables present changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2012 and 2011. Expressed in thousands of dollars.
|  | For the Six-Month Period Ended June 30, 2012 |
|  | Beginning Balance |  |  | Realized Gains (Losses)(4) |  |  | Unrealized Gains (Losses)(4) (5) |  |  | Purchases & Issuances |  |  | Sales & Settlements |  |  | Transfers In / Out |  |  | Ending Balance |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | 16 |  |  |  | (8 | ) |  |  | 1 |  |  |  | 83 |  |  |  | (79 | ) |  |  | (2 | ) |  | $ | 12 |
Municipals |  |  | 3,562 |  |  |  | (5 | ) |  |  | (491 | ) |  |  | 9,305 |  |  |  | (2,250 | ) |  |  | — |  |  |  | 10,120 |
Other(2) |  |  | 65,001 |  |  |  | — |  |  |  | (761 | ) |  |  | 14,725 |  |  |  | (14,321 | ) |  |  | — |  |  |  | 64,644 |
Investments (3) |  |  | 12,482 |  |  |  | — |  |  |  | 437 |  |  |  | 127 |  |  |  | (297 | ) |  |  | 11 |  |  |  | 12,760 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other(2) |  |  | 50 |  |  |  | — |  |  |  | — |  |  |  | (50 | ) |  |  | — |  |  |  | — |  |  |  | — |
Derivative contracts |  |  | 2,347 |  |  |  | — |  |  |  | (13 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,334 |
(1) | Represents private placements of non-agency collateralized mortgage obligations
(2) | Represents auction rate securities that failed in the auction rate market
(3) | Primarily represents general partner ownership interests in hedge funds and private equity funds sponsored by the Company
(4) | Included in principal transactions on the consolidated statement of operations, except for investments which are included in other income on the consolidated statement of operations
(5) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date
Expressed in thousands of dollars.
|  | For the Six-Month Period Ended June 30, 2011 |
|  | Beginning Balance |  |  | Realized Gains (Losses) |  |  | Unrealized Gains (Losses) |  |  | Purchases & Issuances |  |  | Sales & Settlements |  |  | Transfers In / Out |  |  | Ending Balance |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | 14 |  |  |  | — |  |  |  | 3 |  |  |  | 102 |  |  |  | (14 | ) |  |  | — |  |  | $ | 105 |
Municipals |  |  | 1,787 |  |  |  | — |  |  |  | (190 | ) |  |  | 2,407 |  |  |  | (175 | ) |  |  | — |  |  |  | 3,829 |
Other(2) |  |  | 35,909 |  |  |  | — |  |  |  | (936 | ) |  |  | 34,150 |  |  |  | (6,025 | ) |  |  | — |  |  |  | 63,098 |
Investments (3) |  |  | 17,208 |  |  |  | — |  |  |  | (1 | ) |  |  | 552 |  |  |  | (1,607 | ) |  |  | (11 | ) |  |  | 16,141 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  |  |  |  |  | — |  |  | $ | (11 | )
(1) | Represents private placements of non-agency collateralized mortgage obligations
(2) | Represents auction rate securities that failed in the auction rate market
(3) | Primarily represents general partner ownership interests in hedge funds and private equity funds sponsored by the Company
Notional and fair values of the TBA's | The following table summarizes the notional and fair values of the TBAs as of June 30, 2012 and December 31, 2011. Expressed in thousands of dollars.
|  | June 30, 2012 |  |  | December 31, 2011 |
|  | Notional |  |  | Fair Value |  |  | Notional |  |  | Fair Value |
Sale of TBAs (1) |  | $ | 634,240 |  |  | $ | 5,846 |  |  | $ | 574,365 |  |  | $ | 5,791 |
Purchase of TBAs |  | $ | 131,857 |  |  | $ | 168 |  |  | $ | 137,572 |  |  | $ | 2,254 |
(1) | TBAs are used to offset exposures related to commitments to provide funding for FHA loans at OMHHF. At June 30, 2012, the loan commitments balance was $421.5 million ($326.7 million at December 31, 2011). In addition, at June 30, 2012, OMHHF had a loan receivable balance (included in other assets) of $80.9 million ($109.3 million at December 31, 2011) which relates to prior loan commitments that have been funded but have not yet been securitized. The “when issued” securitizations of these loans have been sold to market counter-parties.
Notional amounts and fair values of derivatives by product | The notional amounts and fair values of the Company’s derivatives at June 30, 2012 and December 31, 2011 by product were as follows: Expressed in thousands of dollars.
Fair Value of Derivative Instruments As of June 30, 2012 |  |  |  |  |  |  |  |
|  | Description |  | Notional |  |  | Fair Value |
Assets: |
Derivatives designated as hedging instruments (1) |
Interest rate contracts |  | Cap (2) |  | $ | 100,000 |  |  | $ | 0 |
Total Assets |  |  |  | $ | 100,000 |  |  | $ | 0 |
Liabilities: |
Derivatives not designated as hedging instruments (1) |
Commodity contracts |  | U.S Treasury Futures (3) |  | $ | 20,000 |  |  | $ | 69 |
|  | Federal Funds Futures (3) |  |  | 7,580,000 |  |  |  | 145 |
|  | Euro Dollars Futures |  |  | 37,000 |  |  |  | 1 |
Other contracts |  | Auction rate securities purchase commitment (4) |  |  | 40,389 |  |  |  | 2,334 |
Total Liabilities |  |  |  | $ | 7,677,389 |  |  | $ | 2,549 |
(1) | See “Fair Value of Derivative Instruments” below for description of derivative financial instruments.
(2) | Included in receivable from brokers and clearing organizations on the condensed consolidated balance sheet.
(3) | Included in payable from brokers and clearing organizations on the condensed consolidated balance sheet.
(4) | Included in securities owned on the condensed consolidated balance sheet.
Expressed in thousands of dollars.
Fair Value of Derivative Instruments As of December 31, 2011 |  |  |  |  |  |  |  |
|  | Description |  | Notional |  |  | Fair Value |
Assets: |
Derivatives designated as hedging instruments (1) |
Interest rate contracts |  | Cap (2) |  | $ | 100,000 |  |  | $ | 20 |
Total Assets |  |  |  | $ | 100,000 |  |  | $ | 20 |
Liabilities: |
Derivatives not designated as hedging instruments (1) |
Commodity contracts |  | U.S Treasury Futures (3) |  | $ | 20,000 |  |  | $ | 66 |
|  | Federal Funds Futures (3) |  |  | 5,985,000 |  |  |  | 8 |
Other contracts |  | Auction rate securities purchase commitment (4) |  |  | 57,292 |  |  |  | 2,347 |
Total Liabilities |  |  |  | $ | 6,062,292 |  |  | $ | 2,421 |
(1) | See “Fair Value of Derivative Instruments” below for description of derivative financial instruments.
(2) | Included in receivable from brokers and clearing organizations on the condensed consolidated balance sheet.
(3) | Included in payable from brokers and clearing organizations on the condensed consolidated balance sheet.
(4) | Included in securities owned on the condensed consolidated balance sheet.
The following table presents the location and fair value amounts of the Company’s derivative instruments and their effect on the statement of operations for the three months ended June 30, 2012. Expressed in thousands of dollars.
|  | Recognized in Income on Derivatives (pre-tax) |  |  | Recognized in Other Comprehensive Income on Derivatives -Effective Portion (after–tax) |  |  | Reclassified from Accumulated Other Comprehensive Income into Income -Effective Portion (2) (after–tax) |
Hedging Relationship |  | Description |  | Location |  | Gain/ (Loss) |  |  | Gain/ (Loss) |  |  | Location |  | Gain/ (Loss) |
Cash Flow Hedges used for asset and liability management: |
|  | Caps (3) |  | N/A |  | $ | — |  |  | $ | — |  |  | Interest expense |  | $ | — |
Derivatives used for trading and investment (1): |
Commodity contracts |  | U.S Treasury Futures |  | Principal transaction revenue |  |  | (894 | ) |  |  | — |  |  | None |  |  | — |
|  | Federal Funds Futures |  | Principal transaction revenue |  |  | 71 |  |  |  | — |  |  | None |  |  | — |
|  | Euro-Dollars Futures |  | Principal transaction revenue |  |  | (28 | ) |  |  | — |  |  |  |  |  | — |
Other contracts |  | Auction rate securities purchase commitment |  | Principal transaction revenue |  |  | 1,572 |  |  |  | — |  |  | None |  |  | — |
Total |  |  |  |  |  | $ | 721 |  |  | $ | — |  |  |  |  | $ | — |
(1) | See “Fair Value of Derivative Instruments” above for description of derivative financial instruments.
(2) | There is no ineffective portion included in income for the period ended June 30, 2012.
(3) | As noted above in “Cash flow hedges used for asset and liability management”, interest rate caps are used to hedge interest rate risk associated with the Subordinated Note. With the repayment of the Subordinated Note in the second quarter of 2011, this cap is no longer designated as a cash flow hedge.
The following table presents the location and fair value amounts of the Company’s derivative instruments and their effect on the statement of operations for the six months ended June 30, 2012. Expressed in thousands of dollars.
|  | Recognized in Income on Derivatives (pre-tax) |  |  | Recognized in Other Comprehensive Income on Derivatives -Effective Portion (after–tax) |  |  | Reclassified from Accumulated Other Comprehensive Income into Income -Effective Portion (2) (after–tax) |
Hedging Relationship |  | Description |  | Location |  | Gain/ (Loss) |  |  | Gain/ (Loss) |  |  | Location |  | Gain/ (Loss) |
Cash Flow Hedges used for asset and liability management: |
Interest rate contracts |  | Swaps |  | N/A |  | $ | — |  |  | $ | — |  |  | Interest expense |  | $ | — |
|  | Caps (3) |  | N/A |  |  | (12 | ) |  |  | — |  |  | Interest expense |  |  | — |
Derivatives used for trading and investment (1): |
Commodity contracts |  | U.S Treasury Futures |  | Principal transaction revenue |  |  | (638 | ) |  |  | — |  |  | None |  |  | — |
|  | Federal Funds Futures |  | Principal transaction revenue |  |  | 260 |  |  |  | — |  |  | None |  |  | — |
|  | Euro-dollar Futures |  | Principal transaction revenue |  |  | (28 | ) |  |  | — |  |  | None |  |  | — |
Other contracts |  | Auction rate securities purchase commitment |  | Principal transaction revenue |  |  | 13 |  |  |  | — |  |  | None |  |  | — |
Total |  |  |  |  |  | $ | (405 | ) |  | $ | — |  |  |  |  | $ | — |
(1) | See “Fair Value of Derivative Instruments” above for description of derivative financial instruments.
(2) | There is no ineffective portion included in income for the year ended December 31, 2011.
(3) | As noted above in “Cash flow hedges used for asset and liability management”, interest rate caps are used to hedge interest rate risk associated with the Subordinated Note. With the repayment of the Subordinated Note in the second quarter of 2011, this cap is no longer designated as a cash flow hedge and, as a result, a loss of $1.3 million, net of tax, has been reclassified from other comprehensive income (loss) to other expenses on the condensed consolidated statement of operations.
Variable Interest Entities | The following tables set forth the total VIE assets, the carrying value of the subsidiaries’ variable interests, and the Company’s maximum exposure to loss in Company-sponsored non-consolidated VIEs in which the Company holds variable interests and other non-consolidated VIEs in which the Company holds variable interests at June 30, 2012 and December 31, 2011: As of June 30, 2012 Expressed in thousands of dollars.
|  | Total VIE Assets (1) |  |  | Carrying Value of the Company’s Variable Interest |  |  | Capital Commitments |  |  | Maximum Exposure to Loss in Non- consolidated VIEs |
|  |  | Assets (2) |  |  | Liabilities |  |  |
Hedge Funds |  | $ | 1,831,365 |  |  | $ | 305 |  |  | $ | — |  |  | $ | — |  |  | $ | 305 |
Private Equity Funds |  |  | 171,681 |  |  |  | 30 |  |  |  | — |  |  |  | 10 |  |  |  | 40 |
Total |  | $ | 2,003,046 |  |  | $ | 335 |  |  | $ | — |  |  | $ | 10 |  |  | $ | 345 |
As of December 31, 2011 Expressed in thousands of dollars.
|  | Total VIE Assets (1) |  |  | Carrying Value of the Company’s Variable Interest |  |  | Capital Commitments |  |  | Maximum Exposure to Loss in Non- consolidated VIEs |
|  |  | Assets (2) |  |  | Liabilities |  |  |
Hedge Funds |  | $ | 1,668,508 |  |  | $ | 393 |  |  | $ | — |  |  | $ | — |  |  | $ | 393 |
Private Equity Funds |  |  | 142,275 |  |  |  | 27 |  |  |  | — |  |  |  | 13 |  |  |  | 40 |
Total |  | $ | 1,810,783 |  |  | $ | 420 |  |  | $ | — |  |  | $ | 13 |  |  | $ | 433 |
(1) | Represents the total assets of the VIEs and does not represent the Company’s interests in the VIEs.
(2) | Represents the Company’s interests in the VIEs and is included in other assets on the condensed consolidated balance sheet.

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- Definition Tabular disclosure of the inputs and valuation techniques used to measure fair value, and a discussion of changes in valuation techniques and related inputs, if any, applied during the period to each separate class of assets, liabilities, and financial instruments classified in shareholders' equity that are measured on a recurring and/or nonrecurring basis. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19190-110258 + Details
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- Definition Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name FASB Interpretation (FIN) -Number 46R -Paragraph 4 -Subparagraph g -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. 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