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Fair value measurements (Tables) | 9 Months Ended
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Sep. 30, 2018
Fair Value Disclosures [Abstract] |
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 ARS Level 3 Fair Value Measurements as of September 30, 2018
Product |  | Principal |  | Valuation Adjustment |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
Auction Rate Securities Owned (1)
Auction Rate Preferred Securities |  | $ | 21,500 |  |  | $ | 406 |  |  | $ | 21,094 |  |  | Discounted Cash Flow |  | Discount Rate (2) |  | 3.14% to 4.28% |  | 4.26%
|  |  |  |  |  |  |  |  |  | Duration |  | 2.5 Years |  | 2.5 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 2.38% to 3.46% |  | 3.45%
Auction Rate Preferred Securities |  | 18,950 |  |  | 2,697 |  |  | 16,253 |  |  | Tender Offer (4) |  | N/A |  | N/A |  | N/A
Municipal Auction Rate Securities |  | 75 |  |  | — |  |  | 75 |  |  | Par |  | N/A |  | N/A |  | N/A
Student Loan Auction Rate Securities |  | 275 |  |  | 14 |  |  | 261 |  |  | Discounted Cash Flow |  | Discount Rate (5) |  | 4.17% |  | 4.17%
|  |  |  |  |  |  |  |  |  | Duration |  | 5.5 Years |  | 5.5 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 3.09% |  | 3.09%
|  | $ | 40,800 |  |  | $ | 3,117 |  |  | $ | 37,683 |  |  |  |  |  |  |  |  |
Auction Rate Securities Commitments to Purchase (6) |  |  |  |  |  |  |  |
Auction Rate Preferred Securities |  | $ | 49 |  |  | $ | 1 |  |  | $ | 48 |  |  | Discounted Cash Flow |  | Discount Rate (2) |  | 3.14% to 4.28% |  | 4.26%
|  |  |  |  |  |  |  |  |  | Duration |  | 2.5 Years |  | 2.5 Years
|  |  |  |  |  |  |  |  |  | Current Yield (3) |  | 2.38% to 3.46% |  | 3.45%
Auction Rate Preferred Securities |  | 7,184 |  |  | 1,078 |  |  | 6,106 |  |  | Tender Offer (4) |  | N/A |  | N/A |  | N/A
|  | $ | 7,233 |  |  | $ | 1,079 |  |  | $ | 6,154 |  |  |  |  |  |  |  |  |
Total |  | $ | 48,033 |  |  | $ | 4,196 |  |  | $ | 43,837 |  |  |  |  |  |  |  |  |
(1) | Principal amount represents the par value of the ARS and is included in securities owned on the condensed consolidated balance sheet as of September 30, 2018. The valuation adjustment amount is included as a reduction to securities owned on the condensed consolidated balance sheet as of September 30, 2018.
(2) | Derived by applying a multiple to a spread between 110% to 150% to the U.S. Treasury rate of 2.85%.
(3) | Based on current yields for ARS positions owned.
(4) | Residual ARS amounts owned and ARS commitments to purchase that were subject to tender offers were priced at the tender offer price. Included in Level 2 of the fair value hierarchy.
(5) | Derived by applying the sum of the spread of 1.20% to the U.S. Treasury rate of 2.97%.
(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 condensed consolidated balance sheet as of September 30, 2018.
Investments in Company-Sponsored Funds | The following table provides information about the Company's investments in Company-sponsored funds as of September 30, 2018:
(Expressed in thousands) |  |  |  |  |  |  |
| Fair Value |  | Unfunded Commitments |  | Redemption Frequency |  | Redemption Notice Period
Hedge funds (1) | $ | 1,631 |  |  | $ | — |  |  | Annually |  | 30 - 120 Days
Private equity funds (2) | 4,974 |  |  | 1,400 |  |  | N/A |  | N/A
| $ | 6,605 |  |  | $ | 1,400 |  |  |  |  |
(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 September 30, 2018 and December 31, 2017, 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, 2018
(Expressed in thousands) |  |  |  |  |  |  |
| Fair Value Measurements as of September 30, 2018
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |
Cash equivalents | $ | 10,500 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,500 |
Deposits with clearing organizations | 31,291 |  |  | — |  |  | — |  |  | 31,291 |
Securities owned: |  |  |  |  |  |  |
U.S. Treasury securities | 701,261 |  |  | — |  |  | — |  |  | 701,261 |
U.S. Agency securities | 14,688 |  |  | 7,425 |  |  | — |  |  | 22,113 |
Sovereign obligations | — |  |  | 2,964 |  |  | — |  |  | 2,964 |
Corporate debt and other obligations | — |  |  | 14,400 |  |  | — |  |  | 14,400 |
Mortgage and other asset-backed securities | — |  |  | 2,777 |  |  | — |  |  | 2,777 |
Municipal obligations | — |  |  | 45,427 |  |  | — |  |  | 45,427 |
Convertible bonds | — |  |  | 34,013 |  |  | — |  |  | 34,013 |
Corporate equities | 34,613 |  |  | — |  |  | — |  |  | 34,613 |
Auction rate securities | — |  |  | 16,253 |  |  | 21,430 |  |  | 37,683 |
Securities owned, at fair value | 750,562 |  |  | 123,259 |  |  | 21,430 |  |  | 895,251 |
Investments (1) | — |  |  | — |  |  | 104 |  |  | 104 |
Derivative contracts: |  |  |  |  |  |  |
TBAs | — |  |  | 12,309 |  |  | — |  |  | 12,309 |
Total | $ | 792,353 |  |  | $ | 135,568 |  |  | $ | 21,534 |  |  | $ | 949,455 |
Liabilities |  |  |  |  |  |  |
Securities sold but not yet purchased: |  |  |  |  |  |  |
U.S. Treasury securities | $ | 107,031 |  |  | $ | — |  |  | $ | — |  |  | $ | 107,031 |
U.S. Agency securities | — |  |  | 2 |  |  | — |  |  | 2 |
Corporate debt and other obligations | — |  |  | 4,061 |  |  | — |  |  | 4,061 |
Mortgage and other asset-backed securities | — |  |  | 2,349 |  |  | — |  |  | 2,349 |
Convertible bonds | — |  |  | 7,356 |  |  | — |  |  | 7,356 |
Corporate equities | 22,947 |  |  | — |  |  | — |  |  | 22,947 |
Securities sold but not yet purchased, at fair value | 129,978 |  |  | 13,768 |  |  | — |  |  | 143,746 |
Derivative contracts: |  |  |  |  |  |  |
Futures | 709 |  |  | — |  |  | — |  |  | 709 |
Foreign exchange forward contracts | 2 |  |  | — |  |  | — |  |  | 2 |
TBAs | — |  |  | 12,258 |  |  | — |  |  | 12,258 |
ARS purchase commitments | — |  |  | 1,078 |  |  | 1 |  |  | 1,079 |
Derivative contracts, total | 711 |  |  | 13,336 |  |  | 1 |  |  | 14,048 |
Total | $ | 130,689 |  |  | $ | 27,104 |  |  | $ | 1 |  |  | $ | 157,794 |
(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, 2017
(Expressed in thousands) |  |  |  |  |  |  |
| Fair Value Measurements as of December 31, 2017
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |
Cash equivalents | $ | 10,490 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,490 |
Deposits with clearing organizations | 34,293 |  |  | — |  |  | — |  |  | 34,293 |
Securities owned: |  |  |  |  |  |  |
U.S. Treasury securities | 640,337 |  |  | — |  |  | — |  |  | 640,337 |
U.S. Agency securities | 3,011 |  |  | 6,894 |  |  | — |  |  | 9,905 |
Sovereign obligations | — |  |  | 608 |  |  | — |  |  | 608 |
Corporate debt and other obligations | — |  |  | 12,538 |  |  | — |  |  | 12,538 |
Mortgage and other asset-backed securities | — |  |  | 4,037 |  |  | — |  |  | 4,037 |
Municipal obligations | — |  |  | 89,618 |  |  | 35 |  |  | 89,653 |
Convertible bonds | — |  |  | 23,216 |  |  | — |  |  | 23,216 |
Corporate equities | 34,067 |  |  | — |  |  | — |  |  | 34,067 |
Money markets | 383 |  |  | — |  |  | — |  |  | 383 |
Auction rate securities | — |  |  | 24,455 |  |  | 87,398 |  |  | 111,853 |
Securities owned, at fair value | 677,798 |  |  | 161,366 |  |  | 87,433 |  |  | 926,597 |
Investments (1) | — |  |  | — |  |  | 169 |  |  | 169 |
Derivative contracts: |  |  |  |  |  |  |  |  |  |  |
TBAs | — |  |  | 716 |  |  | — |  |  | 716 |
Total | $ | 722,581 |  |  | $ | 162,082 |  |  | $ | 87,602 |  |  | $ | 972,265 |
Liabilities |  |  |  |  |  |  |
Securities sold but not yet purchased: |  |  |  |  |  |  |
U.S. Treasury securities | $ | 53,425 |  |  | $ | — |  |  | $ | — |  |  | $ | 53,425 |
U.S. Agency securities | — |  |  | 13 |  |  | — |  |  | 13 |
Sovereign obligations | — |  |  | 1,179 |  |  | — |  |  | 1,179 |
Corporate debt and other obligations | — |  |  | 4,357 |  |  | — |  |  | 4,357 |
Mortgage and other asset-backed securities | — |  |  | 10 |  |  | — |  |  | 10 |
Convertible bonds | — |  |  | 10,109 |  |  | — |  |  | 10,109 |
Corporate equities | 25,393 |  |  | — |  |  | — |  |  | 25,393 |
Securities sold but not yet purchased, at fair value | 78,818 |  |  | 15,668 |  |  | — |  |  | 94,486 |
Derivative contracts: |  |  |  |  |  |  |
Futures | 766 |  |  | — |  |  | — |  |  | 766 |
TBAs | — |  |  | 614 |  |  | — |  |  | 614 |
ARS purchase commitments | — |  |  | — |  |  | 8 |  |  | 8 |
Derivative contracts, total | 766 |  |  | 614 |  |  | 8 |  |  | 1,388 |
Total | $ | 79,584 |  |  | $ | 16,282 |  |  | $ | 8 |  |  | $ | 95,874 |
(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, 2018 and 2017:
(Expressed in thousands)
| Level 3 Assets and Liabilities
| For the Three Months Ended September 30, 2018
| Beginning Balance |  | Total Realized and Unrealized Gains (Losses) (3)(4) |  | Purchases and Issuances |  | Sales and Settlements |  | Transfers In (Out) |  | Ending Balance
Assets |  |  |  |  |  |  |  |  |  |  |
Auction rate securities (1)(5) | $ | 72,621 |  |  | $ | (2,163 | ) |  | $ | 2,150 |  |  | $ | (34,925 | ) |  | $ | (16,253 | ) |  | $ | 21,430 |
Investments | 164 |  |  | — |  |  | — |  |  | — |  |  | (60 | ) |  | 104 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
ARS purchase commitments (2)(5) | 131 |  |  | (948 | ) |  | — |  |  | — |  |  | 1,078 |  |  | 1 |
(1) | Represents auction rate preferred securities, municipal auction rate securities and student loan auction rate securities that failed in the auction rate market.
(2) | Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.
(3) | Included in principal transactions in the condensed consolidated statement of income, except for gains (losses) from investments which are included in other income in the condensed consolidated statement of income.
(4) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
(5) | Represents transfers from Level 3 to Level 2 of the fair value hierarchy. Transfers were due to tender offers by issuers of ARS.
(Expressed in thousands)
| Level 3 Assets and Liabilities
| For the Three Months Ended September 30, 2017
| Beginning Balance |  | Total Realized and Unrealized Gains (Losses) (3)(4) |  | Purchases and Issuances |  | Sales and Settlements |  | Transfers In (Out) |  | Ending Balance
Assets |  |  |  |  |  |  |  |  |  |  |
Municipal obligations | $ | 36 |  |  | $ | (1 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 35 |
Auction rate securities (1) | 107,170 |  |  | (161 | ) |  | 25 |  |  | (250 | ) |  | — |  |  | 106,784 |
Investments | 168 |  |  | (1 | ) |  | — |  |  | — |  |  | — |  |  | 167 |
ARS purchase commitments (2) | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |
ARS purchase commitments (2) | 254 |  |  | (22 | ) |  | — |  |  | — |  |  | — |  |  | 276 |
(1) | Represents auction rate preferred securities, municipal auction rate securities and student loan auction rate securities that failed in the auction rate market.
(2) | Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.
(3) | Included in principal transactions in the condensed consolidated statement of income, except for gains (losses) from investments which are included in other income in the condensed consolidated statement of income.
(4) | 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, 2018 and 2017:
(Expressed in thousands)
| Level 3 Assets and Liabilities
| For the Nine Months Ended September 30, 2018
| Beginning Balance |  | Total Realized and Unrealized Gains (Losses) (3)(4) |  | Purchases and Issuances |  | Sales and Settlements |  | Transfers In (Out) |  | Ending Balance
Assets |  |  |  |  |  |  |  |  |  |  |
Municipal obligations | $ | 35 |  |  | $ | 14 |  |  | $ | 76 |  |  | $ | (125 | ) |  | $ | — |  |  | $ | — |
Auction rate securities (1)(5) | 87,398 |  |  | (2,218 | ) |  | 6,250 |  |  | (36,145 | ) |  | (33,855 | ) |  | 21,430 |
Investments | 169 |  |  | (5 | ) |  | — |  |  | — |  |  | (60 | ) |  | 104 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
ARS purchase commitments (2)(5) | 8 |  |  | (1,162 | ) |  | — |  |  | — |  |  | 1,169 |  |  | 1 |
(1) | Represents auction rate preferred securities, municipal auction rate securities and student loan auction rate securities that failed in the auction rate market.
(2) | Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.
(3) | Included in principal transactions in the condensed consolidated statement of income, except for gains (losses) from investments which are included in other income in the condensed consolidated statement of income.
(4) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
(5) | Represents transfers from Level 3 to Level 2 of the fair value hierarchy. Transfers were due to tender offers by issuers of ARS.
(Expressed in thousands)
| Level 3 Assets and Liabilities
| For the Nine Months Ended September 30, 2017
| Beginning Balance |  | Total Realized and Unrealized Gains (Losses) (3)(4) |  | Purchases and Issuances |  | Sales and Settlements |  | Transfers In (Out) |  | Ending Balance
Assets |  |  |  |  |  |  |  |  |  |  |
Municipal obligations | $ | 44 |  |  | $ | (9 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 35 |
Auction rate securities (1) | 84,926 |  |  | 983 |  |  | 22,075 |  |  | (1,200 | ) |  | — |  |  | 106,784 |
Investments | 158 |  |  | 9 |  |  | — |  |  | — |  |  | — |  |  | 167 |
ARS purchase commitments (2) | 849 |  |  | (849 | ) |  | — |  |  | — |  |  | — |  |  | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |
ARS purchase commitments (2) | 645 |  |  | 369 |  |  | — |  |  | — |  |  | — |  |  | 276 |
(1) | Represents auction rate preferred securities, municipal auction rate securities and student loan auction rate securities that failed in the auction rate market.
(2) | Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.
(3) | Included in principal transactions in the condensed consolidated statement of income, except for gains (losses) from investments which are included in other income in the condensed consolidated statement of income.
(4) | Unrealized gains (losses) are attributable to assets or liabilities that are still held at the reporting date.
Financial Instruments, Estimate Not Practicable, Fair Value | Assets and liabilities not measured at fair value as of September 30, 2018
(Expressed in thousands) |  |  | Fair Value Measurement: Assets
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash | $ | 27,031 |  |  | $ | 27,031 |  |  | $ | — |  |  | $ | — |  |  | $ | 27,031 |
Deposits with clearing organization | 22,665 |  |  | 22,665 |  |  | — |  |  | — |  |  | 22,665 |
Receivable from brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |
Securities borrowed | 114,795 |  |  | — |  |  | 114,795 |  |  | — |  |  | 114,795 |
Receivables from brokers | 31,396 |  |  | — |  |  | 31,396 |  |  | — |  |  | 31,396 |
Securities failed to deliver | 23,390 |  |  | — |  |  | 23,390 |  |  | — |  |  | 23,390 |
Clearing organizations | 29,026 |  |  | — |  |  | 29,026 |  |  | — |  |  | 29,026 |
Other | 5,183 |  |  | — |  |  | 5,183 |  |  | — |  |  | 5,183 |
| 203,790 |  |  | — |  |  | 203,790 |  |  | — |  |  | 203,790 |
Receivable from customers | 797,751 |  |  | — |  |  | 797,751 |  |  | — |  |  | 797,751 |
Securities purchased under agreements to resell | 1,502 |  |  | — |  |  | 1,502 |  |  | — |  |  | 1,502 |
Notes receivable, net | 43,278 |  |  | — |  |  | 43,278 |  |  | — |  |  | 43,278 |
Investments (1) | 68,585 |  |  | — |  |  | 68,585 |  |  | — |  |  | 68,585 |
(1) | Included in other assets on the condensed consolidated balance sheet.
(Expressed in thousands) |  |  | Fair Value Measurement: Liabilities
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Drafts payable | $ | 29,242 |  |  | $ | 29,242 |  |  | $ | — |  |  | $ | — |  |  | $ | 29,242 |
Bank call loans | 3,000 |  |  | — |  |  | 3,000 |  |  | — |  |  | 3,000 |
Payables to brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |
Securities loaned | 197,332 |  |  | — |  |  | 197,332 |  |  | — |  |  | 197,332 |
Payable to brokers | 2,004 |  |  | — |  |  | 2,004 |  |  | — |  |  | 2,004 |
Securities failed to receive | 18,102 |  |  | — |  |  | 18,102 |  |  | — |  |  | 18,102 |
Other | 106 |  |  | — |  |  | 106 |  |  | — |  |  | 106 |
| 217,544 |  |  | — |  |  | 217,544 |  |  | — |  |  | 217,544 |
Payables to customers | 351,750 |  |  | — |  |  | 351,750 |  |  | — |  |  | 351,750 |
Securities sold under agreements to repurchase | 606,010 |  |  | — |  |  | 606,010 |  |  | — |  |  | 606,010 |
Senior secured notes | 200,000 |  |  | — |  |  | 202,938 |  |  | — |  |  | 202,938 |
Assets and liabilities not measured at fair value as of December 31, 2017
(Expressed in thousands) |  |  | Fair Value Measurement: Assets
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash | $ | 37,664 |  |  | $ | 37,664 |  |  | $ | — |  |  | $ | — |  |  | $ | 37,664 |
Deposits with clearing organization | 7,929 |  |  | 7,929 |  |  | — |  |  | — |  |  | 7,929 |
Receivable from brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |
Securities borrowed | 132,368 |  |  | — |  |  | 132,368 |  |  | — |  |  | 132,368 |
Receivables from brokers | 19,298 |  |  | — |  |  | 19,298 |  |  | — |  |  | 19,298 |
Securities failed to deliver | 9,442 |  |  | — |  |  | 9,442 |  |  | — |  |  | 9,442 |
Clearing organizations | 24,361 |  |  | — |  |  | 24,361 |  |  | — |  |  | 24,361 |
Other | 930 |  |  | — |  |  | 930 |  |  | — |  |  | 930 |
| 186,399 |  |  | — |  |  | 186,399 |  |  | — |  |  | 186,399 |
Receivable from customers | 848,226 |  |  | — |  |  | 848,226 |  |  | — |  |  | 848,226 |
Securities purchased under agreements to resell | 658 |  |  | — |  |  | 658 |  |  | — |  |  | 658 |
Notes receivable, net | 40,520 |  |  | — |  |  | 40,520 |  |  | — |  |  | 40,520 |
Investments (1) | 65,404 |  |  | — |  |  | 65,404 |  |  | — |  |  | 65,404 |
(1) | Included in other assets on the condensed consolidated balance sheet.
(Expressed in thousands) |  |  | Fair Value Measurement: Liabilities
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Drafts payable | $ | 42,212 |  |  | $ | 42,212 |  |  | $ | — |  |  | $ | — |  |  | $ | 42,212 |
Bank call loans | 118,300 |  |  | — |  |  | 118,300 |  |  | — |  |  | 118,300 |
Payables to brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |
Securities loaned | 180,270 |  |  | — |  |  | 180,270 |  |  | — |  |  | 180,270 |
Payable to brokers | 1,567 |  |  | — |  |  | 1,567 |  |  | — |  |  | 1,567 |
Securities failed to receive | 17,559 |  |  | — |  |  | 17,559 |  |  | — |  |  | 17,559 |
Other | 10,707 |  |  | — |  |  | 10,707 |  |  | — |  |  | 10,707 |
| 210,103 |  |  | — |  |  | 210,103 |  |  | — |  |  | 210,103 |
Payables to customers | 385,907 |  |  | — |  |  | 385,907 |  |  | — |  |  | 385,907 |
Securities sold under agreements to repurchase | 586,478 |  |  | — |  |  | 586,478 |  |  | — |  |  | 586,478 |
Senior secured notes | 200,000 |  |  | — |  |  | 206,380 |  |  | — |  |  | 206,380 |
Notional Amounts and Fair Values of Derivatives by Product | The notional amounts and fair values of the Company's derivatives as of September 30, 2018 and December 31, 2017 by product were as follows:
(Expressed in thousands) |  |  |  |  |
| Fair Value of Derivative Instruments as of September 30, 2018
| Description |  | Notional |  | Fair Value
Assets: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Other contracts | TBAs |  | $ | 568,430 |  |  | $ | 11,057 |
| Other TBAs (2) |  | 28,501 |  |  | 1,252 |
|  |  | $ | 596,931 |  |  | $ | 12,309 |
Liabilities: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Commodity contracts | Futures |  | $ | 3,720,000 |  |  | $ | 709 |
Other contracts | Foreign exchange forward contracts |  | 200 |  |  | 2 |
| TBAs |  | 568,430 |  |  | 11,068 |
| Other TBAs (2) |  | 28,501 |  |  | 1,190 |
| ARS purchase commitments |  | 7,233 |  |  | 1,079 |
|  |  | $ | 4,324,364 |  |  | $ | 14,048 |
(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.
(2) | Represents TBA purchase and sale contracts related to the legacy OMHHF business.
(Expressed in thousands) |  |  |  |  |
| Fair Value of Derivative Instruments as of December 31, 2017
| Description |  | Notional |  | Fair Value
Assets: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Other contracts | TBAs |  | $ | 26,000 |  |  | $ | 22 |
| Other TBAs (2) |  | 39,576 |  |  | 694 |
|  |  | $ | 65,576 |  |  | $ | 716 |
Liabilities: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Commodity contracts | Futures |  | $ | 5,844,000 |  |  | $ | 766 |
Other contracts | TBAs |  | 26,000 |  |  | 22 |
| Other TBAs (2) |  | 39,576 |  |  | 592 |
| ARS purchase commitments |  | 10,992 |  |  | 8 |
|  |  | $ | 5,920,568 |  |  | $ | 1,388 |
(1) | See "Derivative Instruments and Hedging Activities" above for a description of derivative financial instruments.
(2) | Represents TBA purchase and sale contracts related to the legacy OMHHF business.
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 condensed consolidated statements of income for the three months ended September 30, 2018 and 2017:
(Expressed in thousands) |  |  |  |  |  |
|  | The Effect of Derivative Instruments in the Statement of Income
|  | For the Three Months Ended September 30, 2018
|  |  |  | Recognized in Income on Derivatives (pre-tax)
Types |  | Description |  | Location |  | Net Gain (Loss)
Commodity contracts |  | Futures |  | Principal transactions revenue |  | $ | 413 |
Other contracts |  | Foreign exchange forward contracts |  | Other revenue |  | 2 |
Other contracts |  | TBAs |  | Principal transactions revenue |  | 73 |
|  | Other TBAs |  | Other revenue |  | 62 |
|  | ARS purchase commitments |  | Principal transactions revenue |  | (857 | )
|  |  |  |  |  | $ | (307 | )
(Expressed in thousands) |  |  |  |  |  |
|  | The Effect of Derivative Instruments in the Statement of Income
|  | For the Three Months Ended September 30, 2017
|  |  |  | Recognized in Income on Derivatives (pre-tax)
Types |  | Description |  | Location |  | Net Gain (Loss)
Commodity contracts |  | Futures |  | Principal transactions revenue |  | $ | (20 | )
Other contracts |  | Foreign exchange forward contracts |  | Other revenue |  | — |
|  | TBAs |  | Principal transactions revenue |  | (26 | )
|  | Other TBAs |  | Other revenue |  | (70 | )
|  | ARS purchase commitments |  | Principal transactions revenue |  | (22 | )
|  |  |  |  |  | $ | (138 | )
The following table presents the location and fair value amounts of the Company's derivative instruments and their effect in the condensed consolidated statements of income for the nine months ended September 30, 2018 and 2017:
(Expressed in thousands) |  |  |  |  |  |
|  | The Effect of Derivative Instruments in the Statement of Income
|  | For the Nine Months Ended September 30, 2018
|  |  |  | Recognized in Income on Derivatives (pre-tax)
Types |  | Description |  | Location |  | Net Gain (Loss)
Commodity contracts |  | Futures |  | Principal transactions revenue |  | $ | 1,764 |
Other contracts |  | Foreign exchange forward contracts |  | Other revenue |  | (3 | )
Other contracts |  | TBAs |  | Principal transactions revenue |  | 269 |
|  | Other TBAs |  | Other revenue |  | 209 |
|  | ARS purchase commitments |  | Principal transactions revenue |  | (1,071 | )
|  |  |  |  |  | $ | 1,168 |
(Expressed in thousands) |  |  |  |  |  |
|  | The Effect of Derivative Instruments in the Statement of Income
|  | For the Nine Months Ended September 30, 2017
|  |  |  | Recognized in Income on Derivatives (pre-tax)
Types |  | Description |  | Location |  | Net Gain (Loss)
Commodity contracts |  | Futures |  | Principal transactions revenue |  | $ | 214 |
Other contracts |  | Foreign exchange forward contracts |  | Other revenue |  | 12 |
|  | TBAs |  | Principal transactions revenue |  | (184 | )
|  | Other TBAs |  | Other revenue |  | (320 | )
|  | ARS purchase commitments |  | Principal transactions revenue |  | (480 | )
|  |  |  |  |  | $ | (758 | )

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