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Fair value measurements (Tables) | 12 Months Ended
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Dec. 31, 2016
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, |
| 2016 |  | 2015 |
| Owned (1) |  | Sold |  | Owned (1) |  | Sold |
U.S. treasury, agency and sovereign obligations | $ | 459,051 |  |  | $ | 28,674 |  |  | $ | 509,614 |  |  | $ | 77,485 |  |
Corporate debt and other obligations | 17,074 |  |  | 2,536 |  |  | 16,138 |  |  | 1,652 |  |
Mortgage and other asset-backed securities | 5,024 |  |  | 31 |  |  | 3,504 |  |  | 27 |  |
Municipal obligations | 56,750 |  |  | 516 |  |  | 30,132 |  |  | — |  |
Convertible bonds | 56,480 |  |  | 11,604 |  |  | 54,693 |  |  | 5,951 |  |
Corporate equities | 31,174 |  |  | 41,689 |  |  | 34,475 |  |  | 41,378 |  |
Money markets | 189 |  |  | — |  |  | 35 |  |  | — |  |
Auction rate securities | 84,926 |  |  | — |  |  | 86,802 |  |  | — |  |
Total | $ | 710,668 |  |  | $ | 85,050 |  |  | $ | 735,393 |  |  | $ | 126,493 |  |
Quantitative Information about Level 3 Fair Value Measurements | Additional information regarding the valuation technique and inputs for ARS used is as follows:
(Expressed in thousands)
Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2016
Product |  | Principal |  | Valuation Adjustment |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Auction Rate Securities Owned (1)
Auction Rate Preferred Securities |  | $ | 87,800 |  |  | $ | 3,171 |  |  | $ | 84,629 |  |  | Discounted Cash Flow |  | Discount Rate (2) |  | 1.86% to 2.53% |  | 2.18%
|  |  |  |  |  |  |  |  |  | Duration |  | 4.0 Years |  | 4.0 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 1.18% to 1.27% |  | 1.23%
Municipal Auction Rate Securities |  | 25 |  |  | 1 |  |  | 24 |  |  | Discounted Cash Flow |  | Discount Rate (4) |  | 3.16% |  | 3.16%
|  |  |  |  |  |  |  |  |  | Duration |  | 4.5 Years |  | 4.5 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 2.05% |  | 2.05%
Student Loan Auction Rate Securities |  | 300 |  |  | 27 |  |  | 273 |  |  | Discounted Cash Flow |  | Discount Rate (5) |  | 3.45% |  | 3.45%
|  |  |  |  |  |  |  |  |  | Duration |  | 7.0 Years |  | 7.0 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 1.98% |  | 1.98%
|  | $ | 88,125 |  |  | $ | 3,199 |  |  | $ | 84,926 |  |  |  |  |  |  |  |  |
Auction Rate Securities Commitments to Purchase (6) |  |  |  |  |  |  |  |
Auction Rate Preferred Securities |  | $ | 6,654 |  |  | $ | (849 | ) |  | $ | 7,503 |  |  | Discounted Cash Flow |  | Discount Rate (2) |  | 1.86% to 2.53% |  | 2.18%
|  |  |  |  |  |  |  |  |  | Duration |  | 4.0 Years |  | 4.0 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 1.18% to 1.27% |  | 1.23%
Auction Rate Preferred Securities |  | 24,329 |  |  | 643 |  |  | 23,686 |  |  | Discounted Cash Flow |  | Discount Rate (2) |  | 1.86% to 2.53% |  | 2.18%
|  |  |  |  |  |  |  |  |  | Duration |  | 4.0 Years |  | 4.0 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 1.18% to 1.27% |  | 1.23%
Municipal Auction Rate Securities |  | 2 |  |  | — |  |  | 2 |  |  | Discounted Cash Flow |  | Discount Rate (4) |  | 3.16% |  | 3.16%
|  |  |  |  |  |  |  |  |  | Duration |  | 4.5 Years |  | 4.5 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 2.05% |  | 2.05%
Student Loan Auction Rate Securities |  | 27 |  |  | 2 |  |  | 25 |  |  | Discounted Cash Flow |  | Discount Rate (5) |  | 3.45% |  | 3.45%
|  |  |  |  |  |  |  |  |  | Duration |  | 7.0 Years |  | 7.0 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 1.98% |  | 1.98%
|  | $ | 31,012 |  |  | $ | (204 | ) |  | $ | 31,216 |  |  |  |  |  |  |  |  |
Total |  | $ | 119,137 |  |  | $ | 2,995 |  |  | $ | 116,142 |  |  |  |  |  |  |  |  |
(1) | Principal amount represents the par value of the ARS and is included in securities owned on the consolidated balance sheet as of December 31, 2016. The valuation adjustment amount is included as a reduction to securities owned on the consolidated balance sheet as of December 31, 2016.
(2) | Derived by applying a multiple to the spread between 110% to 150% to the U.S. Treasury rate of 1.69%.
(3) | Based on current yields for ARS positions owned.
(4) | Derived by applying a multiple to the spread of 175% to the U.S. Treasury rate of 1.81%.
(5) | Derived by applying the sum of the spread of 1.20% to the U.S. Treasury rate of 2.25%.
(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 amounts, unrealized gains and losses, are included in other assets and accounts payable and other liabilities, respectively, on the consolidated balance sheet as of December 31, 2016.
Investments in Company-Sponsored Funds | The following table provides information about the Company's investments in Company-sponsored funds as of December 31, 2016:
(Expressed in thousands) |  |  |  |  |  |  |
| Fair Value |  | Unfunded Commitments |  | Redemption Frequency |  | Redemption Notice Period
Hedge funds (1) | $ | 2,423 |  |  | $ | — |  |  | Quarterly - Annually |  | 30 - 120 Days
Private equity funds (2) | 4,425 |  |  | 1,251 |  |  | N/A |  | N/A
| $ | 6,848 |  |  | $ | 1,251 |  |  |  |  |
(1) | Includes investments in hedge funds and hedge fund of funds that pursue long/short, event-driven, and activist strategies. Each hedge fund has various restrictions regarding redemption; no investment is locked-up for a period greater than one year.
(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 the consent of the general partner. The lock-up period of the private equity funds can extend to 10 years.
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, 2016 and 2015, 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, 2016
(Expressed in thousands) |  |  |  |  |  |  |
| Fair Value Measurements as of December 31, 2016
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |
Cash equivalents | $ | 16,242 |  |  | $ | — |  |  | $ | — |  |  | $ | 16,242 |
Deposits with clearing organizations | 26,437 |  |  | — |  |  | — |  |  | 26,437 |
Securities owned: |  |  |  |  |  |  |
U.S. Treasury securities (1) | 418,888 |  |  | — |  |  | — |  |  | 418,888 |
U.S. Agency securities | 5,878 |  |  | 32,391 |  |  | — |  |  | 38,269 |
Sovereign obligations | — |  |  | 1,894 |  |  | — |  |  | 1,894 |
Corporate debt and other obligations | — |  |  | 17,074 |  |  | — |  |  | 17,074 |
Mortgage and other asset-backed securities | — |  |  | 5,024 |  |  | — |  |  | 5,024 |
Municipal obligations | — |  |  | 56,706 |  |  | 44 |  |  | 56,750 |
Convertible bonds | — |  |  | 56,480 |  |  | — |  |  | 56,480 |
Corporate equities | 31,174 |  |  | — |  |  | — |  |  | 31,174 |
Money markets | 189 |  |  | — |  |  | — |  |  | 189 |
Auction rate securities | — |  |  | — |  |  | 84,926 |  |  | 84,926 |
Securities owned, at fair value | 456,129 |  |  | 169,569 |  |  | 84,970 |  |  | 710,668 |
Investments (2) | — |  |  | — |  |  | 158 |  |  | 158 |
Securities purchased under agreements to resell (3) | — |  |  | 24,006 |  |  | — |  |  | 24,006 |
Derivative contracts: |  |  |  |  |  |  |
TBAs | — |  |  | 814 |  |  | — |  |  | 814 |
ARS purchase commitments | — |  |  | — |  |  | 849 |  |  | 849 |
Derivative contracts, total | — |  |  | 814 |  |  | 849 |  |  | 1,663 |
Total | $ | 498,808 |  |  | $ | 194,389 |  |  | $ | 85,977 |  |  | $ | 779,174 |
Liabilities |  |  |  |  |  |  |
Securities sold but not yet purchased: |  |  |  |  |  |  |
U.S. Treasury securities | $ | 28,662 |  |  | $ | — |  |  | $ | — |  |  | $ | 28,662 |
U.S. Agency securities | — |  |  | 12 |  |  | — |  |  | 12 |
Corporate debt and other obligations | — |  |  | 2,536 |  |  | — |  |  | 2,536 |
Mortgage and other asset-backed securities | — |  |  | 31 |  |  | — |  |  | 31 |
Municipal obligations | — |  |  | 516 |  |  | — |  |  | 516 |
Convertible bonds | — |  |  | 11,604 |  |  | — |  |  | 11,604 |
Corporate equities | 41,689 |  |  | — |  |  | — |  |  | 41,689 |
Securities sold but not yet purchased, at fair value | 70,351 |  |  | 14,699 |  |  | — |  |  | 85,050 |
Derivative contracts: |  |  |  |  |  |  |
Futures | 166 |  |  | — |  |  | — |  |  | 166 |
Foreign exchange forward contracts | 1 |  |  | — |  |  | — |  |  | 1 |
TBAs | — |  |  | 1,212 |  |  | — |  |  | 1,212 |
ARS purchase commitments | — |  |  | — |  |  | 645 |  |  | 645 |
Derivative contracts, total | 167 |  |  | 1,212 |  |  | 645 |  |  | 2,024 |
Total | $ | 70,518 |  |  | $ | 15,911 |  |  | $ | 645 |  |  | $ | 87,074 |
(1) | $3.6 million is included in assets held for sale on the consolidated balance sheet. See Note 3 for details.
(2)Included in other assets on the consolidated balance sheet.
(3) | 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, 2015
(Expressed in thousands) |  |  |  |  |  |  |
| Fair Value Measurements as of December 31, 2015
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |
Cash equivalents | $ | 13,000 |  |  | $ | — |  |  | $ | — |  |  | $ | 13,000 |
Deposits with clearing organizations | 31,456 |  |  | — |  |  | — |  |  | 31,456 |
Securities owned: |  |  |  |  |  |  |
U.S. Treasury securities (1) | 436,533 |  |  | — |  |  | — |  |  | 436,533 |
U.S. Agency securities | 25,240 |  |  | 46,176 |  |  | — |  |  | 71,416 |
Sovereign obligations | — |  |  | 1,665 |  |  | — |  |  | 1,665 |
Corporate debt and other obligations | — |  |  | 16,138 |  |  | — |  |  | 16,138 |
Mortgage and other asset-backed securities | — |  |  | 3,504 |  |  | — |  |  | 3,504 |
Municipal obligations | — |  |  | 30,051 |  |  | 81 |  |  | 30,132 |
Convertible bonds | — |  |  | 54,693 |  |  | — |  |  | 54,693 |
Corporate equities | 34,475 |  |  | — |  |  | — |  |  | 34,475 |
Money markets | 35 |  |  | — |  |  | — |  |  | 35 |
Auction rate securities | — |  |  | — |  |  | 86,802 |  |  | 86,802 |
Securities owned, at fair value | 496,283 |  |  | 152,227 |  |  | 86,883 |  |  | 735,393 |
Investments (2) | — |  |  | — |  |  | 157 |  |  | 157 |
Loans held for sale (3) | — |  |  | 60,234 |  |  | — |  |  | 60,234 |
Securities purchased under agreements to resell (4) | — |  |  | 206,499 |  |  | — |  |  | 206,499 |
Derivative contracts: |  |  |  |  |  |  |  |  |  |  |
TBAs | — |  |  | 6,448 |  |  | — |  |  | 6,448 |
Interest rate lock commitments | — |  |  | — |  |  | 9,161 |  |  | 9,161 |
Derivative contracts, total | — |  |  | 6,448 |  |  | 9,161 |  |  | 15,609 |
Total | $ | 540,739 |  |  | $ | 425,408 |  |  | $ | 96,201 |  |  | $ | 1,062,348 |
Liabilities |  |  |  |  |  |  |
Securities sold but not yet purchased: |  |  |  |  |  |  |
U.S. Treasury securities | $ | 75,653 |  |  | $ | — |  |  | $ | — |  |  | $ | 75,653 |
U.S. Agency securities | — |  |  | 15 |  |  | — |  |  | 15 |
Sovereign Obligations | — |  |  | 1,817 |  |  | — |  |  | 1,817 |
Corporate debt and other obligations | — |  |  | 1,652 |  |  | — |  |  | 1,652 |
Mortgage and other asset-backed securities | — |  |  | 27 |  |  | — |  |  | 27 |
Convertible bonds | — |  |  | 5,951 |  |  | — |  |  | 5,951 |
Corporate equities | 41,378 |  |  | — |  |  | — |  |  | 41,378 |
Securities sold but not yet purchased, at fair value | 117,031 |  |  | 9,462 |  |  | — |  |  | 126,493 |
Derivative contracts: |  |  |  |  |  |  |
Futures | 249 |  |  | — |  |  | — |  |  | 249 |
Foreign exchange forward contracts | 2 |  |  | — |  |  | — |  |  | 2 |
TBAs | — |  |  | 11,619 |  |  | — |  |  | 11,619 |
Interest rate lock commitments | — |  |  | — |  |  | 923 |  |  | 923 |
ARS purchase commitments | — |  |  | — |  |  | 1,369 |  |  | 1,369 |
Derivative contracts, total | 251 |  |  | 11,619 |  |  | 2,292 |  |  | 14,162 |
Total | $ | 117,282 |  |  | $ | 21,081 |  |  | $ | 2,292 |  |  | $ | 140,655 |
(1) | $562,000 is included in assets held for sale on the consolidated balance sheet. See Note 3 for details.
(2)Included in other assets on the consolidated balance sheet. (3)Included in assets held for sale on the consolidated balance sheet. See Note 3 for details.
(4) | Included in securities purchased under agreements to resell where the Company has elected fair value option treatmen
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, 2016 and 2015:
(Expressed in thousands)
| Level 3 Assets and Liabilities
| For the Year Ended December 31, 2016
| Beginning Balance |  | Total Realized and Unrealized Gains (Losses) (4)(5) |  | Purchases and Issuances |  | Sales and Settlements |  | Transfers In (Out) |  | Ending Balance
Assets |  |  |  |  |  |  |  |  |  |  |
Municipal obligations | $ | 81 |  |  | $ | 25 |  |  | $ | — |  |  | $ | (62 | ) |  | $ | — |  |  | $ | 44 |
Auction rate securities (1)(6)(7) | 86,802 |  |  | 1,974 |  |  | 13,775 |  |  | (17,625 | ) |  | — |  |  | 84,926 |
Interest rate lock commitments (2) | 9,161 |  |  | 4,345 |  |  | — |  |  | (13,506 | ) |  | — |  |  | — |
Investments | 157 |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | 158 |
ARS purchase commitments (3) | — |  |  | 849 |  |  | — |  |  | — |  |  | — |  |  | 849 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
Interest rate lock commitments (2) | 923 |  |  | 923 |  |  | — |  |  | — |  |  | — |  |  | — |
ARS purchase commitments (3) | 1,369 |  |  | 724 |  |  | — |  |  | — |  |  | — |  |  | 645 |
(1) | Represents auction rate preferred securities, municipal auction rate securities and student loan auction rate securities that failed in the auction rate market.
(2) | Interest rate lock commitment assets and liabilities are recorded upon the commitment to originate a loan with a borrower and sell the loan to an investor. The commitment assets and liabilities are recognized at fair value, which reflects the fair value of the contractual loan origination-related fees and sale premiums, net of co-broker fees, and the estimated fair value of the expected net future cash flows associated with the servicing of the loan.
(3) | Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.
(4) | Included in principal transactions in the consolidated statement of operations, except for investments which are included in other income in the consolidated statement of operations.
(5) | Unrealized gains are attributable to assets or liabilities that are still held at the reporting date.
(6) | 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.
(7) | 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, 2015
| Beginning Balance |  | Total Realized and Unrealized Gains (Losses) (4)(5) |  | Purchases and Issuances |  | Sales and Settlements |  | Transfers In (Out) |  | Ending Balance
Assets |  |  |  |  |  |  |  |  |  |  |
Municipal obligations | $ | 164 |  |  | $ | (63 | ) |  | $ | — |  |  | $ | (20 | ) |  | $ | — |  |  | $ | 81 |
Auction rate securities (1)(6)(7) | 91,422 |  |  | 1,955 |  |  | 17,950 |  |  | (24,525 | ) |  | — |  |  | 86,802 |
Interest rate lock commitments (2) | 7,576 |  |  | 1,585 |  |  | — |  |  | — |  |  | — |  |  | 9,161 |
Investments | 193 |  |  | (36 | ) |  | — |  |  | — |  |  | — |  |  | 157 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
Interest rate lock commitments (2) | 1,222 |  |  | 299 |  |  | — |  |  | — |  |  | — |  |  | 923 |
ARS purchase commitments (3) | 902 |  |  | (467 | ) |  | — |  |  | — |  |  | — |  |  | 1,369 |
(1) | Represents auction rate preferred securities, municipal auction rate securities and student loan auction rate securities that failed in the auction rate market.
(2) | Interest rate lock commitment assets and liabilities are recorded upon the commitment to originate a loan with a borrower and sell the loan to an investor. The commitment assets and liabilities are recognized at fair value, which reflects the fair value of the contractual loan origination-related fees and sale premiums, net of co-broker fees, and the estimated fair value of the expected net future cash flows associated with the servicing of the loan.
(3) | Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.
(4) | Included in principal transactions in the consolidated statement of operations, except for investments which are included in other income in the consolidated statement of operations.
(5) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
(6) | 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.
(7) | Sales and settlements for the ARS purchase commitments represent additional purchase commitments made during the period for regulatory and legal ARS settlements and award
Assets and Liabilities Not Measured at Fair Value on Recurring Basis | . Assets and liabilities not measured at fair value as of December 31, 2016
(Expressed in thousands) |  |  |  |  | Fair Value Measurement: Assets
| As of December 31, 2016 |  | As of December 31, 2016
| Carrying Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash | $ | 48,671 |  |  | $ | 48,671 |  |  | $ | 48,671 |  |  | $ | — |  |  | $ | — |  |  | $ | 48,671 |
Deposits with clearing organization | 11,748 |  |  | 11,748 |  |  | 11,748 |  |  | — |  |  | — |  |  | 11,748 |
Receivable from brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |  |  |
Securities borrowed | 154,090 |  |  | 154,090 |  |  | — |  |  | 154,090 |  |  | — |  |  | 154,090 |
Receivables from brokers | 25,768 |  |  | 25,768 |  |  | — |  |  | 25,768 |  |  | — |  |  | 25,768 |
Securities failed to deliver | 6,172 |  |  | 6,172 |  |  | — |  |  | 6,172 |  |  | — |  |  | 6,172 |
Clearing organizations | 26,081 |  |  | 26,081 |  |  | — |  |  | 26,081 |  |  | — |  |  | 26,081 |
Other | 2,823 |  |  | 2,823 |  |  | — |  |  | 2,823 |  |  | — |  |  | 2,823 |
| 214,934 |  |  | 214,934 |  |  | — |  |  | 214,934 |  |  | — |  |  | 214,934 |
Receivable from customers | 847,386 |  |  | 847,386 |  |  | — |  |  | 847,386 |  |  | — |  |  | 847,386 |
Investments (1) | 56,300 |  |  | 56,300 |  |  | — |  |  | 56,300 |  |  | — |  |  | 56,300 |
(1) | Included in other assets on the consolidated balance sheet.
(Expressed in thousands) |  |  |  |  | Fair Value Measurement: Liabilities
| As of December 31, 2016 |  | As of December 31, 2016
| Carrying Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Drafts payable | $ | 39,228 |  |  | $ | 39,228 |  |  | $ | 39,228 |  |  | $ | — |  |  | $ | — |  |  | $ | 39,228 |
Bank call loans | 145,800 |  |  | 145,800 |  |  | — |  |  | 145,800 |  |  | — |  |  | 145,800 |
Payables to brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |  |  |
Securities loaned | 179,875 |  |  | 179,875 |  |  | — |  |  | 179,875 |  |  | — |  |  | 179,875 |
Payable to brokers | 610 |  |  | 610 |  |  | — |  |  | 610 |  |  | — |  |  | 610 |
Securities failed to receive | 11,523 |  |  | 11,523 |  |  | — |  |  | 11,523 |  |  | — |  |  | 11,523 |
Other | 29,381 |  |  | 29,381 |  |  | — |  |  | 29,381 |  |  | — |  |  | 29,381 |
| 221,389 |  |  | 221,389 |  |  | — |  |  | 221,389 |  |  | — |  |  | 221,389 |
Payables to customers | 449,946 |  |  | 449,946 |  |  | — |  |  | 449,946 |  |  | — |  |  | 449,946 |
Securities sold under agreements to repurchase | 378,084 |  |  | 378,084 |  |  | — |  |  | 378,084 |  |  | — |  |  | 378,084 |
Senior secured notes | 150,000 |  |  | 151,782 |  |  | — |  |  | 151,782 |  |  | — |  |  | 151,782 |
Assets and liabilities not measured at fair value as of December 31, 2015
(Expressed in thousands) |  |  |  |  | Fair Value Measurement: Assets
| As of December 31, 2015 |  | As of December 31, 2015
| Carrying Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash | $ | 50,364 |  |  | $ | 50,364 |  |  | $ | 50,364 |  |  | $ | — |  |  | $ | — |  |  | $ | 50,364 |
Deposits with clearing organization | 18,034 |  |  | 18,034 |  |  | 18,034 |  |  | — |  |  | — |  |  | 18,034 |
Receivable from brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |  |  |
Securities borrowed | 224,672 |  |  | 224,672 |  |  | — |  |  | 224,672 |  |  | — |  |  | 224,672 |
Receivables from brokers | 49,458 |  |  | 49,458 |  |  | — |  |  | 49,458 |  |  | — |  |  | 49,458 |
Securities failed to deliver | 7,799 |  |  | 7,799 |  |  | — |  |  | 7,799 |  |  | — |  |  | 7,799 |
Clearing organizations | 25,030 |  |  | 25,030 |  |  | — |  |  | 25,030 |  |  | — |  |  | 25,030 |
Other | 58,832 |  |  | 58,832 |  |  | — |  |  | 58,832 |  |  | — |  |  | 58,832 |
| 365,791 |  |  | 365,791 |  |  | — |  |  | 365,791 |  |  | — |  |  | 365,791 |
Receivable from customers | 840,355 |  |  | 840,355 |  |  | — |  |  | 840,355 |  |  | — |  |  | 840,355 |
Mortgage servicing rights (1) | 28,168 |  |  | 41,838 |  |  | — |  |  | — |  |  | 41,838 |  |  | 41,838 |
Investments (2) | 53,286 |  |  | 53,286 |  |  | — |  |  | 53,286 |  |  | — |  |  | 53,286 |
(1) | Included in assets held for sale on the consolidated balance sheet. See Note 3 for details.
(2) | Included in other assets on the consolidated balance sheet.
(Expressed in thousands) |  |  |  |  | Fair Value Measurement: Liabilities
| As of December 31, 2015 |  | As of December 31, 2015
| Carrying Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Drafts payable | $ | 48,011 |  |  | $ | 48,011 |  |  | $ | 48,011 |  |  | $ | — |  |  | $ | — |  |  | $ | 48,011 |
Bank call loans | 100,200 |  |  | 100,200 |  |  | — |  |  | 100,200 |  |  | — |  |  | 100,200 |
Payables to brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |  |  |
Securities loaned | 130,658 |  |  | 130,658 |  |  | — |  |  | 130,658 |  |  | — |  |  | 130,658 |
Payable to brokers | 3,316 |  |  | 3,316 |  |  | — |  |  | 3,316 |  |  | — |  |  | 3,316 |
Securities failed to receive | 21,513 |  |  | 21,513 |  |  | — |  |  | 21,513 |  |  | — |  |  | 21,513 |
Other | 9,059 |  |  | 9,059 |  |  | — |  |  | 9,059 |  |  | — |  |  | 9,059 |
| 164,546 |  |  | 164,546 |  |  | — |  |  | 164,546 |  |  | — |  |  | 164,546 |
Payables to customers | 594,833 |  |  | 594,833 |  |  | — |  |  | 594,833 |  |  | — |  |  | 594,833 |
Securities sold under agreements to repurchase | 651,445 |  |  | 651,445 |  |  | — |  |  | 651,445 |  |  | — |  |  | 651,445 |
Warehouse payable (1) | 54,341 |  |  | 54,341 |  |  | — |  |  | 54,341 |  |  | — |  |  | 54,341 |
Senior secured notes | 150,000 |  |  | 154,568 |  |  | — |  |  | 154,568 |  |  | — |  |  | 154,568 |
(1) | Included in liabilities held for sale on the consolidated balance sheet. See Note 3 for details.
Notional Amounts and Fair Values of Derivatives by Product | . The notional amounts and fair values of the Company's derivatives as of December 31, 2016 and 2015 by product were as follows:
(Expressed in thousands) |  |  |  |  |
| Fair Value of Derivative Instruments as of December 31, 2016
| Description |  | Notional |  | Fair Value
Assets: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Other contracts | TBAs |  | $ | 169,500 |  |  | $ | 332 |
| TBA sale contracts |  | 121,573 |  |  | 482 |
| ARS purchase commitments |  | 6,654 |  |  | 849 |
|  |  | $ | 297,727 |  |  | $ | 1,663 |
Liabilities: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Commodity contracts | Futures |  | $ | 4,059,000 |  |  | $ | 166 |
Other contracts | Foreign exchange forward contracts |  | 200 |  |  | 1 |
| TBAs |  | 169,500 |  |  | 289 |
| TBA purchase contracts |  | 121,573 |  |  | 923 |
| Forward start repurchase agreements |  | 382,000 |  |  | — |
| ARS purchase commitments |  | 24,358 |  |  | 645 |
|  |  | $ | 4,756,631 |  |  | $ | 2,024 |
(1) | See "Derivative Instruments and Hedging Activities" above for description of derivative financial instruments. Such derivative instruments are not subject to master netting agreements, thus the related amounts are not offset.
(Expressed in thousands) |  |  |  |  |
| Fair Value of Derivative Instruments as of December 31, 2015
| Description |  | Notional |  | Fair Value
Assets: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Other contracts | TBAs |  | $ | 35,650 |  |  | $ | 4 |
| TBA sale contracts |  | 83,810 |  |  | 6,444 |
| Interest rate lock commitments |  | 203,648 |  |  | 9,161 |
|  |  | $ | 323,108 |  |  | $ | 15,609 |
Liabilities: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Commodity contracts | Futures |  | $ | 2,943,000 |  |  | $ | 249 |
Other contracts | Foreign exchange forward contracts |  | 400 |  |  | 2 |
| TBAs |  | 24,350 |  |  | 5 |
| TBA sale contracts |  | 223,846 |  |  | 11,614 |
| Interest rate lock commitments |  | 48,638 |  |  | 923 |
| ARS purchase commitments |  | 27,813 |  |  | 1,369 |
|  |  | $ | 3,268,047 |  |  | $ | 14,162 |
(1) | See "Derivative Instruments and Hedging Activities" above for description of derivative financial instruments. Such derivative instruments are not subject to master netting agreements, thus the related amounts are not offse
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 in the consolidated statements of operations for the years ended December 31, 2016 and 2015:

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