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Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2013
Fair Value Disclosures [Abstract] |
Securities Owned and Securities Sold, But Not Yet Purchased at Fair Value | Securities Owned and Securities Sold, But Not Yet Purchased at Fair Value (Expressed in thousands)
|  | September 30, 2013 |  |  | December 31, 2012 |
|  | Owned |  |  | Sold |  |  | Owned |  |  | Sold |
U.S. Government, agency & sovereign obligations |  | $ | 805,586 |  |  | $ | 169,795 |  |  | $ | 525,255 |  |  | $ | 131,930 |
Corporate debt and other obligations |  |  | 29,622 |  |  |  | 12,115 |  |  |  | 14,428 |  |  |  | 1,858 |
Mortgage and other asset-backed securities |  |  | 3,626 |  |  |  | 4 |  |  |  | 2,920 |  |  |  | 18 |
Municipal obligations |  |  | 77,421 |  |  |  | 629 |  |  |  | 59,010 |  |  |  | 467 |
Convertible bonds |  |  | 46,870 |  |  |  | 19,618 |  |  |  | 49,130 |  |  |  | 8,868 |
Corporate equities |  |  | 50,740 |  |  |  | 40,663 |  |  |  | 43,708 |  |  |  | 29,884 |
Other |  |  | 68,604 |  |  |  | 241 |  |  |  | 65,291 |  |  |  | 425 |
Total |  | $ | 1,082,469 |  |  | $ | 243,065 |  |  | $ | 759,742 |  |  | $ | 173,450 |
Quantitative Information about Level 3 Fair Value Measurements | Additional information regarding the valuation technique and inputs used is as follows: (Expressed in thousands)
Quantitative Information about Level 3 Fair Value Measurements at September 30, 2013 |
Product |  | Principal |  |  | Valuation Adjustment |  |  | Fair Value |  |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average |
Auction Rate Securities(1) |  | $ | 122,132 |  |  | $ | 7,917 |  |  | $ | 114,215 |  |  | Discounted Cash Flow |  | Discount Rate |  | 1.10% to 3.21% |  |  | 1.59 | %
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Duration |  | 4 to 7 Years |  |  | 4.4 Years |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Yield(2) |  | 0.12% to 1.29% |  |  | 0.27 | %
(1) | Includes ARS owned by the Company of $85.9 million included in the condensed consolidated balance sheet at September 30, 2013 as well as additional commitments to purchase ARS from clients of $36.2 million which is disclosed in these notes to the condensed consolidated financial statements.
(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 September 30, 2013: (Expressed in thousands)
|  | Fair Value |  |  | Unfunded Commitments |  |  | Redemption Frequency |  | Redemption Notice Period
Hedge funds (1) |  | $ | 1,777 |  |  | $ | — |  |  | Quarterly - Annually |  | 30 - 120 Days
Private equity funds (2) |  |  | 3,662 |  |  |  | 802 |  |  | N/A |  | N/A
|  | $ | 5,439 |  |  | $ | 802 |  |  |  |  |
(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. Due to the illiquid nature these funds, investors are not permitted to make withdrawals without consent of the general partner.
Assets and Liabilities Measured at Fair Value on Recurring Basis | The Company’s assets and liabilities, recorded at fair value on a recurring basis as of September 30, 2013 and December 31, 2012, 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 September 30, 2013 (Expressed in thousands)
|  | Fair Value Measurements at September 30, 2013 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 48,476 |  |  | $ | — |  |  | $ | — |  |  | $ | 48,476 |
Securities segregated for regulatory and other purposes |  |  | 11,500 |  |  |  | — |  |  |  | — |  |  |  | 11,500 |
Deposits with clearing organizations |  |  | 9,094 |  |  |  | — |  |  |  | — |  |  |  | 9,094 |
Securities owned |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S Treasury securities |  |  | 774,540 |  |  |  | — |  |  |  | — |  |  |  | 774,540 |
U.S. Agency securities |  |  | 11,675 |  |  |  | 17,558 |  |  |  | — |  |  |  | 29,233 |
Sovereign obligations |  |  | — |  |  |  | 1,813 |  |  |  | — |  |  |  | 1,813 |
Corporate debt and other obligations |  |  | — |  |  |  | 29,622 |  |  |  | — |  |  |  | 29,622 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 3,626 |  |  |  | — |  |  |  | 3,626 |
Municipal obligations |  |  | — |  |  |  | 63,919 |  |  |  | 13,502 |  |  |  | 77,421 |
Convertible bonds |  |  | — |  |  |  | 46,870 |  |  |  | — |  |  |  | 46,870 |
Corporate equities |  |  | 50,740 |  |  |  | — |  |  |  | — |  |  |  | 50,740 |
Other |  |  | 1,439 |  |  |  | — |  |  |  | 67,165 |  |  |  | 68,604 |
Securities owned, at fair value |  |  | 838,394 |  |  |  | 163,408 |  |  |  | 80,667 |  |  |  | 1,082,469 |
Investments (1) |  |  | 10,636 |  |  |  | 44,732 |  |  |  | 6,126 |  |  |  | 61,494 |
TBAs |  |  | — |  |  |  | 3,403 |  |  |  | — |  |  |  | 3,403 |
Total |  | $ | 918,100 |  |  | $ | 211,543 |  |  | $ | 86,793 |  |  | $ | 1,216,436 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities sold, but not yet purchased |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S Treasury securities |  | $ | 164,770 |  |  | $ | — |  |  | $ | — |  |  | $ | 164,770 |
U.S. Agency securities |  |  | 4,999 |  |  |  | 26 |  |  |  | — |  |  |  | 5,025 |
Sovereign obligations |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Corporate debt and other obligations |  |  | — |  |  |  | 12,115 |  |  |  | — |  |  |  | 12,115 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 4 |  |  |  | — |  |  |  | 4 |
Municipal obligations |  |  | — |  |  |  | 629 |  |  |  | — |  |  |  | 629 |
Convertible bonds |  |  | — |  |  |  | 19,618 |  |  |  | — |  |  |  | 19,618 |
Corporate equities |  |  | 40,663 |  |  |  | — |  |  |  | — |  |  |  | 40,663 |
Other |  |  | 241 |  |  |  | — |  |  |  | — |  |  |  | 241 |
Securities sold, but not yet purchased at fair value |  |  | 210,673 |  |  |  | 32,392 |  |  |  | — |  |  |  | 243,065 |
Investments |  |  | 408 |  |  |  | — |  |  |  | — |  |  |  | 408 |
Derivative contracts |  |  | 771 |  |  |  | 204 |  |  |  | 2,412 |  |  |  | 3,387 |
TBAs |  |  | — |  |  |  | 536 |  |  |  | — |  |  |  | 536 |
Total |  | $ | 211,852 |  |  | $ | 33,132 |  |  | $ | 2,412 |  |  | $ | 247,396 |
(1) | Included in other assets on the condensed consolidated balance sheet.
Assets and liabilities measured at fair value on a recurring basis as of December 31, 2012 (Expressed in thousands)
|  | Fair Value Measurements at December 31, 2012 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 58,945 |  |  | $ | — |  |  | $ | — |  |  | $ | 58,945 |
Securities segregated for regulatory and other purposes |  |  | 11,499 |  |  |  | — |  |  |  | — |  |  |  | 11,499 |
Deposits with clearing organizations |  |  | 9,095 |  |  |  | — |  |  |  | — |  |  |  | 9,095 |
Securities owned |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S Treasury securities |  |  | 497,546 |  |  |  | — |  |  |  | — |  |  |  | 497,546 |
U.S. Agency securities |  |  | — |  |  |  | 27,690 |  |  |  | — |  |  |  | 27,690 |
Sovereign obligations |  |  | — |  |  |  | 19 |  |  |  | — |  |  |  | 19 |
Corporate debt and other obligations |  |  | 2,459 |  |  |  | 11,969 |  |  |  | — |  |  |  | 14,428 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 2,880 |  |  |  | 40 |  |  |  | 2,920 |
Municipal obligations |  |  | — |  |  |  | 49,616 |  |  |  | 9,394 |  |  |  | 59,010 |
Convertible bonds |  |  | — |  |  |  | 49,130 |  |  |  | — |  |  |  | 49,130 |
Corporate equities |  |  | 31,958 |  |  |  | 11,750 |  |  |  | — |  |  |  | 43,708 |
Other |  |  | 2,328 |  |  |  | — |  |  |  | 62,963 |  |  |  | 65,291 |
Securities owned, at fair value |  |  | 534,291 |  |  |  | 153,054 |  |  |  | 72,397 |  |  |  | 759,742 |
Investments (1) |  |  | 10,477 |  |  |  | 37,088 |  |  |  | 12,954 |  |  |  | 60,519 |
TBAs |  |  | — |  |  |  | 3,188 |  |  |  | — |  |  |  | 3,188 |
|  | $ | 624,307 |  |  | $ | 193,330 |  |  | $ | 85,351 |  |  | $ | 902,988 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities sold, but not yet purchased |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S Treasury securities |  | $ | 131,899 |  |  | $ | — |  |  | $ | — |  |  | $ | 131,899 |
U.S. Agency securities |  |  | — |  |  |  | 31 |  |  |  | — |  |  |  | 31 |
Corporate debt and other obligations |  |  | — |  |  |  | 1,858 |  |  |  | — |  |  |  | 1,858 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 18 |  |  |  | — |  |  |  | 18 |
Municipal obligations |  |  | — |  |  |  | 467 |  |  |  | — |  |  |  | 467 |
Convertible bonds |  |  | — |  |  |  | 8,868 |  |  |  | — |  |  |  | 8,868 |
Corporate equities |  |  | 20,946 |  |  |  | 8,938 |  |  |  | — |  |  |  | 29,884 |
Other |  |  | 325 |  |  |  | — |  |  |  | 100 |  |  |  | 425 |
Securities sold, but not yet purchased at fair value |  |  | 153,170 |  |  |  | 20,180 |  |  |  | 100 |  |  |  | 173,450 |
Investments |  |  | 258 |  |  |  | — |  |  |  | — |  |  |  | 258 |
Derivative contracts |  |  | 286 |  |  |  | 124 |  |  |  | 2,647 |  |  |  | 3,057 |
TBAs |  |  | — |  |  |  | 175 |  |  |  | — |  |  |  | 175 |
|  | $ | 153,714 |  |  | $ | 20,479 |  |  | $ | 2,747 |  |  | $ | 176,940 |
(1) | Included in other assets on the condensed consolidated balance sheet.
Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | The following tables present changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended September 30, 2013 and 2012: (Expressed in thousands)
|  | Level 3 Assets and Liabilities |
|  | For the Three Months Ended September 30, 2013 |
|  | Beginning Balance |  |  | Total Realized and Unrealized Gains (Losses)(5)(6) |  |  | Purchases and Issuances |  |  | Sales and Settlements |  |  | Transfers In (Out) |  |  | Ending Balance |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | 67 |  |  | $ | — |  |  | $ | — |  |  | $ | (8 | ) |  | $ | (59 | ) |  | $ | — |
Municipals (2) |  |  | 11,569 |  |  |  | (192 | ) |  |  | 2,275 |  |  |  | (150 | ) |  |  | — |  |  |  | 13,502 |
Other (3) |  |  | 66,743 |  |  |  | (53 | ) |  |  | 475 |  |  |  | — |  |  |  | — |  |  |  | 67,165 |
Investments (4) |  |  | 12,974 |  |  |  | (413 | ) |  |  | 1,000 |  |  |  | (7,435 | ) |  |  | — |  |  |  | 6,126 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other (3) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Derivative contracts |  |  | 2,329 |  |  |  | (83 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,412 |
(1) | Represents private placements of non-agency collateralized mortgage obligations.
(2) | Includes municipal auction rate securities.
(3) | Represents auction rate preferred securities and student loan auction rate securities that failed in the auction rate market.
(4) | Primarily represents general partner ownership interests in hedge funds and private equity funds sponsored by the Company.
(5) | Included in principal transactions on the condensed consolidated statement of operations, except for investments which are included in other income on the condensed consolidated statement of operations.
(6) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
(Expressed in thousands)
|  | Level 3 Assets and Liabilities |
|  | For the Three Months Ended September 30, 2012 |
|  | Beginning Balance |  |  | Total Realized and Unrealized Gains (Losses)(5)(6) |  |  | Purchases and Issuances |  |  | Sales and Settlements |  |  | Transfers In (Out) |  |  | Ending Balance |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | 12 |  |  | $ | 3 |  |  | $ | 11 |  |  | $ | — |  |  | $ | — |  |  | $ | 26 |
Municipals (2) |  |  | 10,120 |  |  |  | (13 | ) |  |  | 655 |  |  |  | (90 | ) |  |  | — |  |  |  | 10,672 |
Other (3) |  |  | 64,644 |  |  |  | 410 |  |  |  | 5,950 |  |  |  | (4,625 | ) |  |  | — |  |  |  | 66,379 |
Investments (4) |  |  | 12,760 |  |  |  | (41 | ) |  |  | 231 |  |  |  | (145 | ) |  |  | — |  |  |  | 12,805 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative contracts |  |  | 2,334 |  |  |  | 81 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,253 |
(1) | Represents private placements of non-agency collateralized mortgage obligations.
(2) | Includes municipal auction rate securities.
(3) | Represents auction rate preferred securities and student loan auction rate securities that failed in the auction rate market.
(4) | Primarily represents general partner ownership interests in hedge funds and private equity funds sponsored by the Company.
(5) | Included in principal transactions on the condensed consolidated statement of operations, except for investments which are included in other income on the condensed consolidated statement of operations.
(6) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
The following tables present changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2013 and 2012: (Expressed in thousands)
|  | Level 3 Assets and Liabilities |
|  | For the Nine Months Ended September 30, 2013 |
|  | Beginning Balance |  |  | Total Realized and Unrealized Gains (Losses)(5)(6) |  |  | Purchases and Issuances |  |  | Sales and Settlements |  |  | Transfers In (Out) |  |  | Ending Balance |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | 40 |  |  | $ | — |  |  | $ | — |  |  | $ | (8 | ) |  | $ | (32 | ) |  | $ | — |
Municipals (2) |  |  | 9,394 |  |  |  | 733 |  |  |  | 3,725 |  |  |  | (350 | ) |  |  | — |  |  |  | 13,502 |
Other (3) |  |  | 62,963 |  |  |  | (1,173 | ) |  |  | 9,450 |  |  |  | (4,075 | ) |  |  | — |  |  |  | 67,165 |
Investments (4) |  |  | 12,954 |  |  |  | 210 |  |  |  | 1,000 |  |  |  | (8,038 | ) |  |  | — |  |  |  | 6,126 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other (3) |  |  | 100 |  |  |  | — |  |  |  | 100 |  |  |  | — |  |  |  | — |  |  |  | — |
Derivative contracts |  |  | 2,647 |  |  |  | 235 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,412 |
(1) | Represents private placements of non-agency collateralized mortgage obligations.
(2) | Includes municipal auction rate securities.
(3) | Represents auction rate preferred securities and student loan auction rate securities that failed in the auction rate market.
(4) | Primarily represents general partner ownership interests in hedge funds and private equity funds sponsored by the Company.
(5) | Included in principal transactions on the condensed consolidated statement of operations, except for investments which are included in other income on the condensed consolidated statement of operations.
(6) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
(Expressed in thousands)
|  | Level 3 Assets and Liabilities |
|  | For the Nine Months Ended September 30, 2012 |
|  | Beginning Balance |  |  | Total Realized and Unrealized Gains (Losses)(5)(6) |  |  | Purchases and Issuances |  |  | Sales and Settlements |  |  | Transfers In (Out) |  |  | Ending Balance |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | 16 |  |  | $ | (3 | ) |  | $ | 95 |  |  | $ | (80 | ) |  | $ | (2 | ) |  | $ | 26 |
Municipals (2) |  |  | 3,562 |  |  |  | (510 | ) |  |  | 9,960 |  |  |  | (2,340 | ) |  |  | — |  |  |  | 10,672 |
Other (3) |  |  | 65,001 |  |  |  | (351 | ) |  |  | 20,675 |  |  |  | (18,946 | ) |  |  | — |  |  |  | 66,379 |
Investments (4) |  |  | 12,482 |  |  |  | 396 |  |  |  | 358 |  |  |  | (442 | ) |  |  | 11 |  |  |  | 12,805 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other (3) |  |  | 50 |  |  |  | — |  |  |  | 50 |  |  |  | — |  |  |  | — |  |  |  | — |
Derivative contracts |  |  | 2,347 |  |  |  | 94 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,253 |
(1) | Represents private placements of non-agency collateralized mortgage obligations.
(2) | Includes municipal auction rate securities.
(3) | Represents auction rate preferred securities and student loan auction rate securities that failed in the auction rate market.
(4) | Primarily represents general partner ownership interests in hedge funds and private equity funds sponsored by the Company.
(5) | Included in principal transactions on the condensed consolidated statement of operations, except for investments which are included in other income on the condensed consolidated statement of operations.
(6) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
Assets and Liabilities Not Measured at Fair Value on Recurring Basis | Assets and liabilities not measured at fair value on a recurring basis as of September 30, 2013 (Expressed in thousands)
|  |  |  |  |  |  |  | Fair Value Measurement: Assets |
|  | As of September 30, 2013 |  |  | As of September 30, 2013 |
|  | Carrying Value |  |  | Fair Value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Cash |  | $ | 56,881 |  |  | $ | 56,881 |  |  | $ | 56,881 |  |  | $ | — |  |  | $ | — |  |  | $ | 56,881 |
Cash segregated for regulatory and other purposes |  |  | 25,069 |  |  |  | 25,069 |  |  |  | 25,069 |  |  |  | — |  |  |  | — |  |  |  | 25,069 |
Deposits with clearing organization |  |  | 15,960 |  |  |  | 15,960 |  |  |  | 15,960 |  |  |  | — |  |  |  | — |  |  |  | 15,960 |
Receivable from brokers and clearing organizations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deposits paid for securities borrowed |  |  | 299,037 |  |  |  | 299,037 |  |  |  | — |  |  |  | 299,037 |  |  |  | — |  |  |  | 299,037 |
Receivables from brokers |  |  | 44,222 |  |  |  | 44,222 |  |  |  | — |  |  |  | 44,222 |  |  |  | — |  |  |  | 44,222 |
Securities failed to deliver |  |  | 33,649 |  |  |  | 33,649 |  |  |  | — |  |  |  | 33,649 |  |  |  | — |  |  |  | 33,649 |
Clearing organizations |  |  | 100 |  |  |  | 100 |  |  |  | — |  |  |  | 100 |  |  |  | — |  |  |  | 100 |
Omnibus accounts |  |  | 17,524 |  |  |  | 17,524 |  |  |  | — |  |  |  | 17,524 |  |  |  | — |  |  |  | 17,524 |
Other |  |  | 975 |  |  |  | 975 |  |  |  | — |  |  |  | 975 |  |  |  | — |  |  |  | 975 |
|  |  | 395,507 |  |  |  | 395,507 |  |  |  | — |  |  |  | 395,507 |  |  |  | — |  |  |  | 395,507 |
Receivable from customers |  |  | 873,433 |  |  |  | 873,433 |  |  |  | — |  |  |  | 873,433 |  |  |  | — |  |  |  | 873,433 |
Notes receivable |  |  | 43,113 |  |  |  | 43,113 |  |  |  | — |  |  |  | — |  |  |  | 43,113 |  |  |  | 43,113 |
Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage servicing rights (MSRs) |  |  | 28,121 |  |  |  | 38,453 |  |  |  | — |  |  |  | — |  |  |  | 38,453 |  |  |  | 38,453 |
Mortgage receivable (1) |  |  | 65,757 |  |  |  | 65,757 |  |  |  | — |  |  |  | 65,757 |  |  |  | — |  |  |  | 65,757 |
Escrow deposit (2) |  |  | 25,000 |  |  |  | 25,000 |  |  |  | 25,000 |  |  |  | — |  |  |  | — |  |  |  | 25,000 |
(1) | Mortgage receivable balance represents loan amounts outstanding after funding but prior to Government National Mortgage Association (“GNMA”) securitization. Amount funded by warehouse facility (warehouse payable) is included in accounts payable and other liabilities on condensed consolidated balance sheet (see note 4 below). Residual amount between asset and liability is funded with internally generated funds.
(2) | Represent escrow monies deposited with commercial bank. Corresponds with payable to third party in accounts payable and other liabilities on condensed consolidated balance sheet (see note 4 below).
(Expressed in thousands)
|  |  |  |  |  |  |  | Fair Value Measurement: Liabilities |
|  | As of September 30, 2013 |  |  | As of September 30, 2013 |
|  | Carrying Value |  |  | Fair Value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Drafts payable |  | $ | 36,165 |  |  | $ | 36,165 |  |  | $ | 36,165 |  |  | $ | — |  |  | $ | — |  |  | $ | 36,165 |
Bank call loans |  |  | 94,800 |  |  |  | 94,800 |  |  |  | 94,800 |  |  |  | — |  |  |  | — |  |  |  | 94,800 |
Payables to brokers and clearing organizations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deposits received for securities loaned |  |  | 251,751 |  |  |  | 251,751 |  |  |  | — |  |  |  | 251,751 |  |  |  | — |  |  |  | 251,751 |
Securities failed to receive |  |  | 12,774 |  |  |  | 12,774 |  |  |  | — |  |  |  | 12,774 |  |  |  | — |  |  |  | 12,774 |
Clearing organizations and other |  |  | 1,418 |  |  |  | 1,418 |  |  |  | — |  |  |  | 1,418 |  |  |  | — |  |  |  | 1,418 |
|  |  | 265,943 |  |  |  | 265,943 |  |  |  | — |  |  |  | 265,943 |  |  |  | — |  |  |  | 265,943 |
Payables to customers |  |  | 690,911 |  |  |  | 690,911 |  |  |  | — |  |  |  | 690,911 |  |  |  | — |  |  |  | 690,911 |
Securities sold under agreements to repurchase |  |  | 630,853 |  |  |  | 630,853 |  |  |  | — |  |  |  | 630,853 |  |  |  | — |  |  |  | 630,853 |
Accounts payable and other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warehouse payable (3) |  |  | 49,137 |  |  |  | 49,137 |  |  |  | — |  |  |  | 49,137 |  |  |  | — |  |  |  | 49,137 |
Payable to third party (4) |  |  | 25,000 |  |  |  | 25,000 |  |  |  | 25,000 |  |  |  | — |  |  |  | — |  |  |  | 25,000 |
Senior secured notes |  |  | 195,000 |  |  |  | 208,529 |  |  |  | — |  |  |  | 208,529 |  |  |  | — |  |  |  | 208,529 |
(3) | Warehouse payable represents loans outstanding under warehouse facility provided by commercial bank but prior to GNMA securitization. Used to fund mortgage receivable in other assets on condensed consolidated balance sheet (see note 1 above).
(4) | Corresponds with escrow deposit in other assets on condensed consolidated balance sheet (see note 2 above).
Notional Amounts and Fair Values of Derivatives by Product | The notional amounts and fair values of the Company’s derivatives at September 30, 2013 and December 31, 2012 by product were as follows: (Expressed in thousands)
|  | Fair Value of Derivative Instruments at September 30, 2013 |
|  | Description |  | Notional |  |  | Fair Value |
Liabilities |  |  |  |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |  |  |  |  |  |
Commodity contracts |  | U.S. Treasury Futures (2) |  | $ | 73,600 |  |  | $ | 771 |
|  | Federal Funds Futures (2) |  |  | 5,920,000 |  |  |  | 180 |
|  | Euro Dollars Futures (2) |  |  | 105,000 |  |  |  | 24 |
Other contracts |  | ARS purchase commitments (3) |  |  | 36,197 |  |  |  | 2,412 |
|  |  |  | $ | 6,134,797 |  |  | $ | 3,387 |
(1) | See “Fair Value of Derivative Instruments” above for description of derivative financial instruments.
(2) | Included in payable to brokers and clearing organizations on the condensed consolidated balance sheet.
(3) | Included in other liabilities on the condensed consolidated balance sheet.
(Expressed in thousands)
|  | Fair Value of Derivative Instruments at December 31, 2012 |
|  | Description |  | Notional |  |  | Fair Value |
Liabilities |  |  |  |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |  |  |  |  |  |
Commodity contracts |  | U.S. Treasury Futures (2) |  | $ | 56,000 |  |  | $ | 286 |
|  | Federal Funds Futures (2) |  |  | 6,070,000 |  |  |  | 120 |
|  | Euro Dollars Futures (2) |  |  | 15,000 |  |  |  | 4 |
Other contracts |  | ARS purchase commitments (3) |  |  | 38,343 |  |  |  | 2,647 |
|  |  |  | $ | 6,179,343 |  |  | $ | 3,057 |
(1) | See “Fair Value of Derivative Instruments” above for description of derivative financial instruments.
(2) | Included in payable to brokers and clearing organizations on the condensed consolidated balance sheet.
(3) | Included in other liabilities on the condensed consolidated balance sheet.
Fair Value Amounts of Derivative Instruments and their Effect on Statement of Operations | The following table presents the location and fair value amounts of the Company’s derivative instruments and their effect on the condensed consolidated statement of operations for the three months ended September 30, 2013 and 2012: (Expressed in thousands)
|  | The Effect of Derivative Instruments on the Statement of Operations |
|  | For the Three Months Ended September 30, 2013 |
|  |  |  | Recognized in Income on Derivatives (pre-tax) |
Types |  | Description |  | Location |  | Gain (Loss) |
Commodity contracts |  | U.S. Treasury Futures |  | Principal transaction revenue |  | $ | (356 | )
|  | Federal Funds Futures |  | Principal transaction revenue |  |  | (235 | )
|  | Euro Dollars Futures |  | Principal transaction revenue |  |  | (36 | )
Other contracts |  | ARS purchase commitment |  | Principal transaction revenue |  |  | 83 |
|  |  |  |  |  | $ | (544 | )
(Expressed in thousands)
|  | The Effect of Derivative Instruments on the Statement of Operations |
|  | For the Three Months Ended September 30, 2012 |
|  |  |  | Recognized in Income on Derivatives (pre-tax) |
Types |  | Description |  | Location |  | Gain (Loss) |
Interest rate contracts |  | Caps (1) |  | N/A |  | $ | — |
Commodity contracts |  | U.S. Treasury Futures |  | Principal transaction revenue |  |  | (395 | )
|  | Federal Funds Futures |  | Principal transaction revenue |  |  | (334 | )
|  | Euro Dollars Futures |  | Principal transaction revenue |  |  | 18 |
Other contracts |  | ARS purchase commitment |  | Principal transaction revenue |  |  | 81 |
|  |  |  |  |  | $ | (630 | )
(1) | 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 due 2014 ($100.0 million). 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 cap expired worthless on December 31, 2012.
The following table presents the location and fair value amounts of the Company’s derivative instruments and their effect on the condensed consolidated statement of operations for the nine months ended September 30, 2013 and 2012: (Expressed in thousands)
|  | The Effect of Derivative Instruments on the Statement of Operations |
|  | For the Nine Months Ended September 30, 2013 |
|  |  |  | Recognized in Income on Derivatives (pre-tax) |
Types |  | Description |  | Location |  | Gain (Loss) |
Commodity contracts |  | U.S. Treasury Futures |  | Principal transaction revenue |  | $ | 446 |
|  | Federal Funds Futures |  | Principal transaction revenue |  |  | (287 | )
|  | Euro Dollars Futures |  | Principal transaction revenue |  |  | 35 |
Other contracts |  | ARS purchase commitment |  | Principal transaction revenue |  |  | (235 | )
|  |  |  |  |  | $ | (41 | )
(Expressed in thousands)
|  | The Effect of Derivative Instruments on the Statement of Operations |
|  | For the Nine Months Ended September 30, 2012 |
|  |  |  | Recognized in Income on Derivatives (pre-tax) |
Types |  | Description |  | Location |  | Gain (Loss) |
Interest rate contracts |  | Caps (1) |  | N/A |  | $ | (12 | )
Commodity contracts |  | U.S. Treasury Futures |  | Principal transaction revenue |  |  | (1,032 | )
|  | Federal Funds Futures |  | Principal transaction revenue |  |  | (74 | )
|  | Euro Dollars Futures |  | Principal transaction revenue |  |  | (9 | )
Other contracts |  | ARS purchase commitment |  | Principal transaction revenue |  |  | 94 |
|  |  |  |  |  | $ | (1,033 | )
(1) | 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 due 2014 ($100.0 million). 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 cap expired worthless on December 31, 2012.
Notional and Fair Values of TBAs | The following table summarizes the notional and fair values of the TBAs as of September 30, 2013 and December 31, 2012: (Expressed in thousands)
|  | September 30, 2013 |  |  | December 31, 2012 |
|  | Notional Amount |  |  | Fair Value |  |  | Notional Amount |  |  | Fair Value |
Sale of TBAs (1) |  | $ | 381,124 |  |  | $ | 3,403 |  |  | $ | 449,065 |  |  | $ | 3,188 |
Purchase of TBAs |  | $ | 42,709 |  |  | $ | 536 |  |  | $ | 117,573 |  |  | $ | 175 |
Funding Commitments |  |  | 266,273 |  |  |  |  |  |  |  | 304,390 |  |  |  |  |
|  | $ | 308,982 |  |  |  |  |  |  | $ | 421,963 |  |  |  |  |
(1) | TBAs are used to offset exposures related to commitments to provide funding for Federal Housing Administration (“FHA”) loans at OMHHF. At September 30, 2013, the loan commitments balance was $266.3 million ($304.4 million at December 31, 2012). In addition, at September 30, 2013, OMHHF had a loan receivable balance (included in other assets in the condensed consolidated balance sheet) of $65.8 million ($22.9 million at December 31, 2012) 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 counterparties.
Schedule of Gross Amounts and Offsetting Amounts of Reverse Repurchase Agreements, Repurchase Agreements, Securities Borrowed and Securities Lending Transactions | The following tables present the gross amounts and the offsetting amounts of reverse repurchase agreements, repurchase agreements, securities borrowed and securities loaned transactions as of September 30, 2013 and December 31, 2012: As of September 30, 2013 (Expressed in thousands)
|  |  |  |  |  |  |  | Gross Amounts Not Offset on the Balance Sheet |  |  |  |
|  | Gross Amounts of Recognized Assets |  |  | Gross Amounts Offset in the Statement of Financial Position |  |  | Net Amounts of Assets Presented on the Balance Sheet |  |  | Financial Instruments |  |  | Cash Collateral Received |  |  | Net Amount |
Reverse repurchase agreements |  | $ | 2,568,939 |  |  | $ | 2,568,939 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Securities borrowed (1) |  |  | 299,037 |  |  |  | — |  |  |  | 299,037 |  |  |  | (299,037 | ) |  |  | — |  |  |  | — |
Total |  | $ | 2,867,976 |  |  | $ | 2,568,939 |  |  | $ | 299,037 |  |  | $ | (299,037 | ) |  | $ | — |  |  | $ | — |
(1) | Included in receivable from brokers, dealers and clearing organizations on the condensed consolidated balance sheet.
|  |  |  |  |  |  |  |  |  |  | Gross Amounts Not Offset on the Balance Sheet |  |  |  |
|  | Gross Amounts of Recognized Liabilities |  |  | Gross Amounts Offset in the Statement of Financial Position |  |  | Net Amounts of Liabilities Presented on the Balance Sheet |  |  | Financial Instruments |  |  | Cash Collateral Pledged |  |  | Net Amount |
Repurchase agreements |  | $ | 3,199,792 |  |  | $ | 2,568,939 |  |  | $ | 630,853 |  |  | $ | (630,853 | ) |  | $ | — |  |  | $ | — |
Securities loaned (2) |  |  | 251,751 |  |  |  | — |  |  |  | 251,751 |  |  |  | (251,751 | ) |  |  | — |  |  |  | — |
Total |  | $ | 3,451,543 |  |  | $ | 2,568,939 |  |  | $ | 882,604 |  |  | $ | (882,604 | ) |  | $ | — |  |  | $ | — |
(2) | Included in payable to brokers, dealers and clearing organizations on the condensed consolidated balance sheet.
As of December 31, 2012 (Expressed in thousands)
|  |  |  |  |  |  |  | Gross Amounts Not Offset on the Balance Sheet |  |  |  |
|  | Gross Amounts of Recognized Assets |  |  | Gross Amounts Offset in the Statement of Financial Position |  |  | Net Amounts of Assets Presented on the Balance Sheet |  |  | Financial Instruments |  |  | Cash Collateral Received |  |  | Net Amount |
Reverse repurchase agreements |  | $ | 1,160,239 |  |  | $ | 1,160,239 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Securities borrowed (1) |  |  | 365,642 |  |  |  | — |  |  |  | 365,642 |  |  |  | (365,642 | ) |  |  | — |  |  |  | — |
Total |  | $ | 1,525,881 |  |  | $ | 1,160,239 |  |  | $ | 365,642 |  |  | $ | (365,642 | ) |  | $ | — |  |  | $ | — |
(1) | Included in receivable from brokers, dealers and clearing organizations on the condensed consolidated balance sheet.
|  |  |  |  |  |  |  |  |  |  | Gross Amounts Not Offset on the Balance Sheet |  |  |  |
|  | Gross Amounts of Recognized Liabilities |  |  | Gross Amounts Offset in the Statement of Financial Position |  |  | Net Amounts of Liabilities Presented on the Balance Sheet |  |  | Financial Instruments |  |  | Cash Collateral Pledged |  |  | Net Amount |
Repurchase agreements |  | $ | 1,552,630 |  |  | $ | 1,160,239 |  |  | $ | 392,391 |  |  | $ | (392,391 | ) |  | $ | — |  |  | $ | — |
Securities loaned (2) |  |  | 190,387 |  |  |  | — |  |  |  | 190,387 |  |  |  | (190,387 | ) |  |  | — |  |  |  | — |
Total |  | $ | 1,743,017 |  |  | $ | 1,160,239 |  |  | $ | 582,778 |  |  | $ | (582,778 | ) |  | $ | — |  |  | $ | — |
(2) | Included in payable to brokers, dealers and clearing organizations on the condensed consolidated balance sheet.
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 September 30, 2013 and December 31, 2012: (Expressed in thousands)
|  | September 30, 2013 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | Maximum |
|  |  |  |  |  |  |  |  |  |  |  |  |  | Exposure |
|  |  |  |  | Carrying Value of the |  |  |  |  |  | to Loss in |
|  | Total |  |  | Company’s Variable Interest |  |  | Capital |  |  | Non-consolidated |
|  | VIE Assets (1) |  |  | Assets (2) |  |  | Liabilities |  |  | Commitments |  |  | VIEs |
Hedge funds |  | $ | 2,064,368 |  |  | $ | 284 |  |  | $ | — |  |  | $ | — |  |  | $ | 284 |
Private equity funds |  |  | 108,463 |  |  |  | 32 |  |  |  | — |  |  |  | 7 |  |  |  | 39 |
Total |  | $ | 2,172,831 |  |  | $ | 316 |  |  | $ | — |  |  | $ | 7 |  |  | $ | 323 |
(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.
(Expressed in thousands)
|  | December 31, 2012 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | Maximum |
|  |  |  |  |  |  |  |  |  |  |  |  |  | Exposure |
|  |  |  |  | Carrying Value of the |  |  |  |  |  | to Loss in |
|  | Total |  |  | Company’s Variable Interest |  |  | Capital |  |  | Non-consolidated |
|  | VIE Assets (1) |  |  | Assets (2) |  |  | Liabilities |  |  | Commitments |  |  | VIEs |
Hedge funds |  | $ | 1,868,178 |  |  | $ | 372 |  |  | $ | — |  |  | $ | — |  |  | $ | 372 |
Private equity funds |  |  | 171,169 |  |  |  | 32 |  |  |  | — |  |  |  | 8 |  |  |  | 40 |
Total |  | $ | 2,039,347 |  |  | $ | 404 |  |  | $ | — |  |  | $ | 8 |  |  | $ | 412 |
(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 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 Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=28200181&loc=d3e5710-111685 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI http://asc.fasb.org/extlink&oid=28200181&loc=SL6759159-111685 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=28200181&loc=d3e5747-111685 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=28200181&loc=d3e5728-111685 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=28200181&loc=SL6228884-111685 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Variable Interest Entity -URI http://asc.fasb.org/extlink&oid=6528138 + Details
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