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Fair value measurements (Tables) | 12 Months Ended
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Dec. 31, 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) |  |  |  |  |  |  |  |  |  |  |  |
|  | As of December 31, |
|  | 2013 |  |  | 2012 |
|  | Owned |  |  | Sold |  |  | Owned |  |  | Sold |
U.S. Government, agency and sovereign obligations |  | $ | 596,114 |  |  | $ | 11,889 |  |  | $ | 525,255 |  |  | $ | 131,930 |
Corporate debt and other obligations |  |  | 14,673 |  |  |  | 4,847 |  |  |  | 14,428 |  |  |  | 1,858 |
Mortgage and other asset-backed securities |  |  | 3,395 |  |  |  | 7 |  |  |  | 2,920 |  |  |  | 18 |
Municipal obligations |  |  | 40,166 |  |  |  | 72 |  |  |  | 49,855 |  |  |  | 467 |
Convertible bonds |  |  | 53,719 |  |  |  | 13,922 |  |  |  | 49,130 |  |  |  | 8,868 |
Corporate equities |  |  | 61,634 |  |  |  | 45,336 |  |  |  | 43,708 |  |  |  | 29,884 |
Money markets |  |  | 1,263 |  |  |  | 241 |  |  |  | 2,328 |  |  |  | 325 |
Auction rate securities |  |  | 85,124 |  |  |  | — |  |  |  | 72,118 |  |  |  | 100 |
Total |  | $ | 856,088 |  |  | $ | 76,314 |  |  | $ | 759,742 |  |  | $ | 173,450 |
Quantitative Information about Level 3 Fair Value Measurements | Additional information regarding the valuation technique and inputs for level 3 financial instruments used is as follows:
(Expressed in thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2013
Product |  | Principal |  |  | Valuation Adjustment |  |  | Fair Value |  |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Auction Rate Securities Owned (1)
Auction Rate Preferred Securities |  | $ | 74,075 |  |  | $ | 3,752 |  |  | $ | 70,323 |  |  | Discounted Cash Flow |  | Discount Rate (2) |  | 1.38% to 1.88% |  | 1.65%
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Duration |  | 4.0 Years |  | 4.0 Years
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 0.10% to 0.53% |  | 0.33%
Municipal Auction Rate Securities |  |  | 8,230 |  |  |  | 813 |  |  |  | 7,417 |  |  | Discounted Cash Flow |  | Discount Rate (4) |  | 2.62% |  | 2.62%
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Duration |  | 4.5 Years |  | 4.5 Years
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 0.27% |  | 0.27%
|  |  | 5,975 |  |  |  | 866 |  |  |  | 5,109 |  |  | Secondary Market Trading Activity |  | Observable trades in inactive market for in-portfolio securities |  | 85.50% of par |  | 85.50% of par
Student Loan Auction Rate Securities |  |  | 525 |  |  |  | 75 |  |  |  | 450 |  |  | Discounted Cash Flow |  | Discount Rate (5) |  | 3.65% |  | 3.65%
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Duration |  | 7.0 Years |  | 7.0 Years
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 1.31% |  | 1.31%
Other(4) |  |  | 2,825 |  |  |  | 1,000 |  |  |  | 1,825 |  |  | Secondary Market Trading Activity |  | Observable trades in inactive market for in portfolio securities |  | 64.60% of par |  | 64.60% of par
|  | $ | 91,630 |  |  | $ | 6,506 |  |  | $ | 85,124 |  |  |  |  |  |  |  |  |
Auction Rate Securities Commitments to Purchase (6) |  |  |  |  |  |  |  |  |
Auction Rate Preferred Securities |  | $ | 10,746 |  |  | $ | 535 |  |  | $ | 10,211 |  |  | Discounted Cash Flow |  | Discount Rate (2) |  | 1.38% to 1.88% |  | 1.65%
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Duration |  | 4.0 Years |  | 4.0 Years
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 0.10% to 0.53% |  | 0.33%
Municipal Auction Rate Securities |  |  | 16,221 |  |  |  | 1,603 |  |  |  | 14,619 |  |  | Discounted Cash Flow |  | Discount Rate (4) |  | 2.62% |  | 2.62%
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Duration |  | 4.5 Years |  | 4.5 Years
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 0.27% |  | 0.27%
Student Loan Auction Rate Securities |  |  | 1,304 |  |  |  | 185 |  |  |  | 1,119 |  |  | Discounted Cash Flow |  | Discount Rate (5) |  | 3.65% |  | 3.65%
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Duration |  | 7.0 Years |  | 7.0 Years
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 1.31% |  | 1.31%
Other (7) |  |  | 783 |  |  |  | 277 |  |  |  | 506 |  |  | Secondary Market Trading Activity |  | Observable trades in inactive market for in-portfolio securities |  | 64.60% of par |  | 64.60% of par
|  | $ | 29,054 |  |  | $ | 2,600 |  |  | $ | 26,455 |  |  |  |  |  |  |  |  |
Total |  | $ | 120,684 |  |  | $ | 9,106 |  |  | $ | 111,579 |  |  |  |  |  |  |  |  |
(1) | Principal amount represents the par value of the ARS and is included in securities owned in the consolidated balance sheet at December 31, 2013. The valuation adjustment amount is included as a reduction to securities owned in the consolidated balance sheet at December 31, 2013.
(2) | Derived by applying a multiple to the spread between 110% to 150% to the U.S. Treasury rate of 1.25%.
(3) | Based on current auctions in comparable securities that have not failed.
(4) | Derived by applying a multiple to the spread of 175% to the U.S. Treasury rate of 1.50%.
(5) | Derived by applying the sum of the spread of 1.20% to the U.S. Treasury rate of 2.45%.
(6) | Principal amount represents the present value of the ARS par value that the Company is committed to purchase at a future date. This principal amount is presented as an off-balance sheet item. The valuation adjustment amount is included in accounts payable and other liabilities on the consolidated balance sheet at December 31, 2013.
(7) | Represents ARS issued by credit default obligation structure that the Company has purchased and is committed to purchase as a result of a legal settlement.
Investments in Company-Sponsored Funds | The following table provides information about the Company’s investments in Company-sponsored funds at December 31, 2013:
(Expressed in thousands) |  |  |  |  |  |  |  |  |  |
|  | Fair Value |  |  | Unfunded Commitments |  |  | Redemption Frequency |  | Redemption Notice Period
Hedge funds(1) |  | $ | 1,796 |  |  | $ | — |  |  | Quarterly - Annually |  | 30 - 120 Days
Private equity funds(2) |  |  | 3,451 |  |  |  | 800 |  |  | N/A |  | N/A
|  | $ | 5,247 |  |  | $ | 800 |  |  |  |  |
(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 of 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 December 31, 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 December 31, 2013
(Expressed in thousands) |  |  |  |  |  |  |  |  |  |  |  |
|  | Fair Value Measurements at December 31, 2013 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 60,268 |  |  | $ | — |  |  | $ | — |  |  | $ | 60,268 |
Securities segregated for regulatory and other purposes |  |  | 11,495 |  |  |  | — |  |  |  | — |  |  |  | 11,495 |
Deposits with clearing organizations |  |  | 10,492 |  |  |  | — |  |  |  | — |  |  |  | 10,492 |
Securities owned: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S Treasury securities |  |  | 566,346 |  |  |  | — |  |  |  | — |  |  |  | 566,346 |
U.S. Agency securities |  |  | — |  |  |  | 29,448 |  |  |  | — |  |  |  | 29,448 |
Sovereign obligations |  |  | — |  |  |  | 320 |  |  |  | — |  |  |  | 320 |
Corporate debt and other obligations |  |  | — |  |  |  | 14,673 |  |  |  | — |  |  |  | 14,673 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 3,395 |  |  |  | — |  |  |  | 3,395 |
Municipal obligations |  |  | — |  |  |  | 39,930 |  |  |  | 236 |  |  |  | 40,166 |
Convertible bonds |  |  | — |  |  |  | 53,719 |  |  |  | — |  |  |  | 53,719 |
Corporate equities |  |  | 61,634 |  |  |  | — |  |  |  | — |  |  |  | 61,634 |
Money markets |  |  | 1,263 |  |  |  | — |  |  |  | — |  |  |  | 1,263 |
Auction rate securities |  |  | — |  |  |  | — |  |  |  | 85,124 |  |  |  | 85,124 |
Securities owned, at fair value |  |  | 629,243 |  |  |  | 141,485 |  |  |  | 85,360 |  |  |  | 856,088 |
Investments (1) |  |  | 10,775 |  |  |  | 47,726 |  |  |  | 5,946 |  |  |  | 64,447 |
Loans held for sale |  |  | — |  |  |  | 75,989 |  |  |  | — |  |  |  | 75,989 |
Securities purchased under agreements to resell (2) |  |  |  |  |  |  | 184,000 |  |  |  |  |  |  |  | 184,000 |
Derivative contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
TBAs |  |  | — |  |  |  | 2,155 |  |  |  | — |  |  |  | 2,155 |
Interest rate lock commitments |  |  | — |  |  |  | — |  |  |  | 2,375 |  |  |  | 2,375 |
Derivative contracts, total |  |  | — |  |  |  | 2,155 |  |  |  | 2,375 |  |  |  | 4,530 |
Total |  | $ | 722,273 |  |  | $ | 451,355 |  |  | $ | 93,681 |  |  | $ | 1,267,309 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities sold, but not yet purchased: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S Treasury securities |  | $ | 11,837 |  |  | $ | — |  |  | $ | — |  |  | $ | 11,837 |
U.S. Agency securities |  |  | — |  |  |  | 52 |  |  |  | — |  |  |  | 52 |
Corporate debt and other obligations |  |  | — |  |  |  | 4,847 |  |  |  | — |  |  |  | 4,847 |
Mortgage and other asset-backed securities |  |  | — |  |  |  | 7 |  |  |  | — |  |  |  | 7 |
Municipal obligations |  |  | — |  |  |  | 72 |  |  |  | — |  |  |  | 72 |
Convertible bonds |  |  | — |  |  |  | 13,922 |  |  |  | — |  |  |  | 13,922 |
Corporate equities |  |  | 45,336 |  |  |  | — |  |  |  | — |  |  |  | 45,336 |
Money markets |  |  | 241 |  |  |  | — |  |  |  | — |  |  |  | 241 |
Securities sold, but not yet purchased at fair value |  |  | 57,414 |  |  |  | 18,900 |  |  |  | — |  |  |  | 76,314 |
Investments |  |  | 648 |  |  |  | — |  |  |  | — |  |  |  | 648 |
Derivative contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. treasury futures |  |  | 186 |  |  |  | — |  |  |  | — |  |  |  | 186 |
Federal funds futures |  |  | — |  |  |  | 18 |  |  |  | — |  |  |  | 18 |
Euro dollars futures |  |  | — |  |  |  | 44 |  |  |  | — |  |  |  | 44 |
TBAs |  |  | — |  |  |  | 73 |  |  |  | — |  |  |  | 73 |
Interest rate lock commitments |  |  | — |  |  |  | — |  |  |  | 3,653 |  |  |  | 3,653 |
ARS purchase commitments |  |  | — |  |  |  | — |  |  |  | 2,600 |  |  |  | 2,600 |
Derivative contracts, total |  |  | 186 |  |  |  | 135 |  |  |  | 6,253 |  |  |  | 6,574 |
Total |  | $ | 58,248 |  |  | $ | 19,035 |  |  | $ | 6,253 |  |  | $ | 83,536 |
(1) | Included in other assets on the consolidated balance sheet.
(2) | Included in securities purchased under agreements to resell where the Company has elected fair value option treatment.
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 |  |  |  | 239 |  |  |  | 49,855 |
Convertible bonds |  |  | — |  |  |  | 49,130 |  |  |  | — |  |  |  | 49,130 |
Corporate equities |  |  | 31,958 |  |  |  | 11,750 |  |  |  | — |  |  |  | 43,708 |
Money markets |  |  | 2,328 |  |  |  | — |  |  |  | — |  |  |  | 2,328 |
Auction rate securities |  |  | — |  |  |  | — |  |  |  | 72,118 |  |  |  | 72,118 |
Securities owned, at fair value |  |  | 534,291 |  |  |  | 153,054 |  |  |  | 72,397 |  |  |  | 759,742 |
Investments (1) |  |  | 10,477 |  |  |  | 37,088 |  |  |  | 12,954 |  |  |  | 60,519 |
Derivative contracts - 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 |
Money markets |  |  | 325 |  |  |  | — |  |  |  | — |  |  |  | 325 |
Auction rate securities |  |  | — |  |  |  | — |  |  |  | 100 |  |  |  | 100 |
Securities sold, but not yet purchased at fair value |  |  | 153,170 |  |  |  | 20,180 |  |  |  | 100 |  |  |  | 173,450 |
Investments |  |  | 258 |  |  |  | — |  |  |  | — |  |  |  | 258 |
Derivative contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
TBAs |  |  | — |  |  |  | 175 |  |  |  | — |  |  |  | 175 |
U.S. treasury futures |  |  | 286 |  |  |  | — |  |  |  | — |  |  |  | 286 |
Federal funds futures |  |  | — |  |  |  | 120 |  |  |  | — |  |  |  | 120 |
Euro dollars futures |  |  | — |  |  |  | 4 |  |  |  | — |  |  |  | 4 |
ARS purchase commitments |  |  | — |  |  |  | — |  |  |  | 2,647 |  |  |  | 2,647 |
Derivative contracts, total |  |  | 286 |  |  |  | 299 |  |  |  | 2,647 |  |  |  | 3,232 |
|  | $ | 153,714 |  |  | $ | 20,479 |  |  | $ | 2,747 |  |  | $ | 176,940 |
(1) | Included in other assets on the 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 years ended December 31, 2013 and 2012:
(Expressed in thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Level 3 Assets and Liabilities |
|  | For the Year Ended December 31, 2013 |
|  |  |  |  | Total Realized |  |  |  |  |  |  |  |  |  |  |  |  |
|  |  |  |  | and Unrealized |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Beginning |  |  | Gains |  |  | Purchases |  |  | Sales and |  |  | Transfers |  |  | Ending |
|  | Balance |  |  | (Losses) (5)(6) |  |  | and Issuances (7) |  |  | Settlements (8) |  |  | In (Out) |  |  | Balance |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | 40 |  |  | $ | — |  |  | $ | — |  |  | $ | (8 | ) |  | $ | (32 | ) |  | $ | — |
Municipals |  |  | 239 |  |  |  | (3 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 236 |
Auction rate securities (2) |  |  | 72,118 |  |  |  | (1,409 | ) |  |  | 21,875 |  |  |  | (7,460 | ) |  |  | — |  |  |  | 85,124 |
Interest rate lock commitments |  |  | — |  |  |  | 2,375 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,375 |
Investments (3) |  |  | 12,954 |  |  |  | 929 |  |  |  | 1,414 |  |  |  | (8,898 | ) |  |  | (453 | ) |  |  | 5,946 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Auction rate securities (2) |  |  | 100 |  |  |  | — |  |  |  | 100 |  |  |  | — |  |  |  | — |  |  |  | — |
Interest rate lock commitments |  |  | — |  |  |  | (3,653 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,653 |
ARS purchase commitments (4) |  |  | 2,647 |  |  |  | 47 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,600 |
(1) | Represents private placements of non-agency collateralized mortgage obligations.
(2) | Represents auction rate preferred securities, municipal auction rate securities and student loan 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) | Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.
(5) | 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.
(6) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
(7) | Purchases and issuances in connection with ARS purchase commitments represent instances in which the Company purchased ARS securities from clients during the period pursuant to regulatory and legal settlements and awards that satisfy the outstanding commitment to purchase obligation. This also includes instances where the ARS issuer has redeemed ARS where the Company had an outstanding purchase commitment prior to the Company purchasing those ARS.
(8) | Sales and settlements for the ARS purchase commitments represent additional purchase commitments made during the period for regulatory and legal ARS settlements and awards.
(Expressed in thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Level 3 Assets and Liabilities |
|  | For the Year Ended December 31, 2012 |
|  |  |  |  | Total Realized |  |  |  |  |  |  |  |  |  |  |  |  |
|  |  |  |  | and Unrealized |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Beginning |  |  | Gains |  |  | Purchases |  |  | Sales and |  |  | Transfers |  |  | Ending |
|  | Balance |  |  | (Losses) (5)(6) |  |  | and Issuances (7) |  |  | Settlements (8) |  |  | In (Out) |  |  | Balance |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage and other asset-backed securities (1) |  | $ | 16 |  |  | $ | (1 | ) |  | $ | 116 |  |  | $ | (89 | ) |  | $ | (2 | ) |  | $ | 40 |
Municipals |  |  | 402 |  |  |  | 21 |  |  |  | 8 |  |  |  | (192 | ) |  |  | — |  |  |  | 239 |
Auction rate securities (2) |  |  | 68,161 |  |  |  | (2,974 | ) |  |  | 34,902 |  |  |  | (27,971 | ) |  |  | — |  |  |  | 72,118 |
Investments (3) |  |  | 12,482 |  |  |  | 415 |  |  |  | 488 |  |  |  | (442 | ) |  |  | 11 |  |  |  | 12,954 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Auction rate securities (2) |  |  | 50 |  |  |  | — |  |  |  | 50 |  |  |  | (100 | ) |  |  | — |  |  |  | 100 |
ARS purchase commitments (4) |  |  | 2,347 |  |  |  | (300 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,647 |
(1) | Represents private placements of non-agency collateralized mortgage obligations.
(2) | Represents auction rate preferred securities, municipal auction rate securities and student loan 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) | Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.
(5) | 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.
(6) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
(7) | Purchases and issuances in connection with ARS purchase commitments represent instances in which the Company purchased ARS securities from clients during the period pursuant to regulatory and legal settlements and awards that satisfy the outstanding commitment to purchase obligation. This also includes instances where the ARS issuer has redeemed ARS where the Company had an outstanding purchase commitment prior to the Company purchasing those ARS.
(8) | Sales and settlements for the ARS purchase commitments represent additional purchase commitments made during the period for regulatory and legal ARS settlements and awards.
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 December 31, 2013
(Expressed in thousands) |  |  |  |  |  |  |  | Fair Value Measurement: Assets |
|  | As of December 31, 2013 |  |  | As of December 31, 2013 |
|  | Carrying Value |  |  | Fair Value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Cash |  | $ | 38,026 |  |  | $ | 38,026 |  |  | $ | 38,026 |  |  | $ | — |  |  | $ | — |  |  | $ | 38,026 |
Cash segregated for regulatory and other purposes |  |  | 24,828 |  |  |  | 24,828 |  |  |  | 24,828 |  |  |  | — |  |  |  | — |  |  |  | 24,828 |
Deposits with clearing organization |  |  | 13,187 |  |  |  | 13,187 |  |  |  | 13,187 |  |  |  | — |  |  |  | — |  |  |  | 13,187 |
Receivable from brokers, dealers and clearing organizations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deposits paid for securities borrowed |  |  | 274,127 |  |  |  | 274,127 |  |  |  | — |  |  |  | 274,127 |  |  |  | — |  |  |  | 274,127 |
Receivables from brokers |  |  | 49,803 |  |  |  | 49,803 |  |  |  | — |  |  |  | 49,803 |  |  |  | — |  |  |  | 49,803 |
Securities failed to deliver |  |  | 9,628 |  |  |  | 9,628 |  |  |  | — |  |  |  | 9,628 |  |  |  | — |  |  |  | 9,628 |
Clearing organizations |  |  | 27 |  |  |  | 27 |  |  |  | — |  |  |  | 27 |  |  |  | — |  |  |  | 27 |
Omnibus accounts |  |  | 18,086 |  |  |  | 18,086 |  |  |  | — |  |  |  | 18,086 |  |  |  | — |  |  |  | 18,086 |
Other |  |  | 13,202 |  |  |  | 13,202 |  |  |  | — |  |  |  | 13,202 |  |  |  | — |  |  |  | 13,202 |
|  |  | 364,873 |  |  |  | 364,873 |  |  |  | — |  |  |  | 364,873 |  |  |  | — |  |  |  | 364,873 |
Receivable from customers |  |  | 868,869 |  |  |  | 868,869 |  |  |  | — |  |  |  | 868,869 |  |  |  | — |  |  |  | 868,869 |
Securities purchased under agreements to resell |  |  | 825 |  |  |  | 825 |  |  |  | 825 |  |  |  |  |  |  |  |  |  |  |  | 825 |
Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage servicing rights (MSRs) |  |  | 28,879 |  |  |  | 40,084 |  |  |  | — |  |  |  | — |  |  |  | 40,084 |  |  |  | 40,084 |
Escrow deposit (1) |  |  | 25,006 |  |  |  | 25,006 |  |  |  | 25,006 |  |  |  | — |  |  |  | — |  |  |  | 25,006 |
(1) | Represents escrow monies deposited with a commercial bank. Corresponds with payable to third party in accounts payable and other liabilities on the consolidated balance sheet (see note 3 below).
(Expressed in thousands) |  |  |  |  |  |  |  | Fair Value Measurement: Liabilities |
|  | As of December 31, 2013 |  |  | As of December, 2013 |
|  | Carrying Value |  |  | Fair Value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Drafts payable |  | $ | 48,198 |  |  | $ | 48,198 |  |  | $ | 48,198 |  |  | $ | — |  |  | $ | — |  |  | $ | 48,198 |
Bank call loans |  |  | 118,200 |  |  |  | 118,200 |  |  |  | 118,200 |  |  |  | — |  |  |  | — |  |  |  | 118,200 |
Payables to brokers, dealers and clearing organizations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deposits received for securities loaned |  |  | 211,621 |  |  |  | 211,621 |  |  |  | — |  |  |  | 211,621 |  |  |  | — |  |  |  | 211,621 |
Securities failed to receive |  |  | 5,346 |  |  |  | 5,346 |  |  |  | — |  |  |  | 5,346 |  |  |  | — |  |  |  | 5,346 |
Clearing organizations and other |  |  | 6,348 |  |  |  | 6,348 |  |  |  | — |  |  |  | 6,348 |  |  |  | — |  |  |  | 6,348 |
|  |  | 223,315 |  |  |  | 223,315 |  |  |  | — |  |  |  | 223,315 |  |  |  | — |  |  |  | 223,315 |
Payables to customers |  |  | 626,564 |  |  |  | 626,564 |  |  |  | — |  |  |  | 626,564 |  |  |  | — |  |  |  | 626,564 |
Securities sold under agreements to repurchase |  |  | 757,491 |  |  |  | 757,491 |  |  |  | — |  |  |  | 757,491 |  |  |  | — |  |  |  | 757,491 |
Accounts payable and other liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warehouse payable (2) |  |  | 54,614 |  |  |  | 54,614 |  |  |  | — |  |  |  | 54,614 |  |  |  | — |  |  |  | 54,614 |
Payable to third party (3) |  |  | 25,006 |  |  |  | 25,006 |  |  |  | 25,006 |  |  |  | — |  |  |  | — |  |  |  | 25,006 |
Senior secured notes |  |  | 195,000 |  |  |  | 208,529 |  |  |  | — |  |  |  | 208,529 |  |  |  | — |  |  |  | 208,529 |
(2) | Warehouse payable represents loans outstanding under a warehouse facility provided by a commercial bank but prior to GNMA securitization. The borrowing rates on the warehouse facility is based upon a variable interest rate of 1 month LIBOR plus a spread. The carrying amounts approximate fair value because of the short maturity of these intruments. Used to fund loans held for sale in other assets on the consolidated balance sheet.
(3) | Corresponds with escrow deposit in other assets on the consolidated balance sheet (see note 1 above).
Notional Amounts and Fair Values of Derivatives by Product | The notional amounts and fair values of the Company’s derivatives at December 31, 2013 and 2012 by product were as follows:
(Expressed in thousands) |  |  |  |  |  |  |  |
|  | Fair Value of Derivative Instruments at December 31, 2013 |
|  | Description |  | Notional |  |  | Fair Value |
Assets: |  |  |  |  |  |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |  |  |  |  |  |
Other contracts |  | TBAs |  | $ | 25,262 |  |  | $ | 134 |
|  | TBA sale contracts |  |  | 266,415 |  |  |  | 2,021 |
|  | Interest rate lock commitments |  |  | 115,569 |  |  |  | 2,375 |
|  |  |  | $ | 407,246 |  |  | $ | 4,530 |
Liabilities: |  |  |  |  |  |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |  |  |  |  |  |
Commodity contracts (2) |  | U.S. treasury futures |  | $ | 60,000 |  |  | $ | 186 |
|  | Federal funds futures |  |  | 6,155,000 |  |  |  | 18 |
|  | Euro dollars futures |  |  | 347,000 |  |  |  | 44 |
Other contracts |  | TBAs |  |  | 14,547 |  |  |  | 73 |
|  | Interest rate lock commitments |  |  | 76,604 |  |  |  | 3,653 |
|  | Forward start repurchase agreements |  |  | 506,000 |  |  |  | — |
|  | ARS purchase commitments (3) |  |  | 29,056 |  |  |  | 2,600 |
|  |  |  | $ | 7,188,207 |  |  | $ | 6,574 |
(1) | See “Fair Value of Derivative Instruments” above for description of derivative financial instruments.
(2) | Included in payable to brokers, dealers and clearing organizations on the consolidated balance sheet.
(3) | Included in other liabilities on the consolidated balance sheet.
(Expressed in thousands) |  |  |  |  |  |  |  |
|  | Fair Value of Derivative Instruments at December 31, 2012 |
|  | Description |  | Notional |  |  | Fair Value |
Assets: |  |  |  |  |  |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |  |  |  |  |  |
Other contracts |  | TBAs |  | $ | 121,823 |  |  | $ | 160 |
|  | TBA sale contracts |  |  | 327,242 |  |  |  | 3,028 |
|  |  |  | $ | 449,065 |  |  | $ | 3,188 |
Liabilities: |  |  |  |  |  |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |  |  |  |  |  |
Commodity contracts (2) |  | U.S. treasury futures |  | $ | 56,000 |  |  | $ | 286 |
|  | Federal funds futures |  |  | 6,070,000 |  |  |  | 120 |
|  | Euro dollars futures |  |  | 15,000 |  |  |  | 4 |
Other contracts |  | TBAs |  |  | 117,573 |  |  |  | 175 |
|  | ARS purchase commitments (3) |  |  | 38,343 |  |  |  | 2,647 |
|  |  |  | $ | 6,296,916 |  |  | $ | 3,232 |
(1) | See “Fair Value of Derivative Instruments” above for description of derivative financial instruments.
(2) | Included in payable to brokers, dealers and clearing organizations on the consolidated balance sheet.
(3) | Included in other liabilities on the 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 consolidated statement of operations for the years ended December 31, 2013 and 2012:
(Expressed in thousands) |  |  |  |  |  |  |
|  | The Effect of Derivative Instruments on the Statement of Operations |
|  | For the Year Ended December 31, 2013 |
|  |  |  | Recognized in Income on Derivatives (pre-tax) |
Types |  | Description |  | Location |  | Gain (Loss) |
Commodity contracts |  | U.S. treasury futures |  | Principal transaction revenue |  | $ | 906 |
|  | Federal funds futures |  | Principal transaction revenue |  |  | (289 | )
|  | Euro dollars futures |  | Principal transaction revenue |  |  | 5 |
Other contracts |  | TBAs |  | Principal transaction revenue |  |  | 61 |
|  | TBAs sale contracts |  | Other |  |  | 2,021 |
|  | Interest rate lock commitments |  | Other |  |  | (1,277 | )
|  | ARS purchase commitments |  | Principal transaction revenue |  |  | 46 |
|  |  |  |  |  | $ | 1,473 |
(Expressed in thousands) |  |  |  |  |  |  |
|  | The Effect of Derivative Instruments on the Statement of Operations |
|  | For the Year Ended December 31, 2012 |
|  |  |  | Recognized in Income on Derivatives (pre-tax) |
Types |  | Description |  | Location |  | Gain (Loss) |
Interest rate contracts |  | Caps |  | N/A |  | $ | (12 | )
Commodity contracts |  | U.S. treasury futures |  | Principal transaction revenue |  |  | (972 | )
|  | Federal funds futures |  | Principal transaction revenue |  |  | (17 | )
|  | Euro dollars futures |  | Principal transaction revenue |  |  | (10 | )
Foreign exchange contracts |  | Options |  | Other |  |  | 28 |
Other contracts |  | TBAs |  | Principal transaction revenue |  |  | (15 | )
|  | TBA sale contracts |  | Other |  |  | 3,028 |
|  | ARS purchase commitments |  | Principal transaction revenue |  |  | (300 | )
|  |  |  |  |  | $ | 1,730 |

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