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Financial Instruments (Tables)

6 Months Ended

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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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

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-URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258

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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 133

-Paragraph 205G

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.



Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 815

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-URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624163-113959



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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 133

-Paragraph 44C

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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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

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Tabular disclosure of financial instruments held by a broker-dealer for its own account (proprietary securities) for trading or investment purposes that are carried at fair value including securities sold, not yet purchased.

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-Publisher AICPA

-Name Audit and Accounting Guide (AAG)

-Number AAG-BRD

-Paragraph 80

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-Chapter 4

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-Chapter 7

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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

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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.

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-Publisher FASB

-Name FASB Interpretation (FIN)

-Number 46R

-Paragraph 4

-Subparagraph g

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-Publisher FASB

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-Number 140

-Paragraph 35

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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 167

-Paragraph 22B

-Appendix D



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-Paragraph 2, 14, 15, 16, 23, 24, 25, 26

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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

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-Paragraph 23A

-Appendix D



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-Publisher FASB

-Name Accounting Standards Codification

-Glossary Variable Interest Entity

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