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Fair value measurements (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2019 | Dec. 31, 2018
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Investments in Company-Sponsored Funds | . The following table provides information about the Company's investments in Company-sponsored funds as of December 31, 2019:
(Expressed in thousands) |  |  |  |  |  |  |
| Fair Value |  | Unfunded Commitments |  | Redemption Frequency |  | Redemption Notice Period
Hedge funds (1) | $ | 1,589 |  |  | $ | — |  |  | Quarterly - Annually |  | 30 - 120 Days
Private equity funds (2) | 4,227 |  |  | 1,399 |  |  | N/A |  | N/A
| $ | 5,816 |  |  | $ | 1,399 |  |  |  |  |
(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. |
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, 2019 and 2018, 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, 2019
(Expressed in thousands) |  |  |  |  |  |  |
| Fair Value Measurements as of December 31, 2019
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |
Deposits with clearing organizations | 25,118 |  |  | — |  |  | — |  |  | 25,118 |
Securities owned: |  |  |  |  |  |  |
U.S. Treasury securities | 613,030 |  |  | — |  |  | — |  |  | 613,030 |
U.S. Agency securities | 19,917 |  |  | 15,974 |  |  | — |  |  | 35,891 |
Sovereign obligations | — |  |  | 11,405 |  |  | — |  |  | 11,405 |
Corporate debt and other obligations | — |  |  | 8,310 |  |  | — |  |  | 8,310 |
Mortgage and other asset-backed securities | — |  |  | 2,697 |  |  | — |  |  | 2,697 |
Municipal obligations | — |  |  | 40,260 |  |  | — |  |  | 40,260 |
Convertible bonds | — |  |  | 29,816 |  |  | — |  |  | 29,816 |
Corporate equities | 32,215 |  |  | — |  |  | — |  |  | 32,215 |
Money markets | 781 |  |  | — |  |  | — |  |  | 781 |
Auction rate securities | — |  |  | 25,314 |  |  | — |  |  | 25,314 |
Securities owned, at fair value | 665,943 |  |  | 133,776 |  |  | — |  |  | 799,719 |
Total | $ | 691,061 |  |  | $ | 133,776 |  |  | $ | — |  |  | $ | 824,837 |
Liabilities |  |  |  |  |  |  |
Securities sold but not yet purchased: |  |  |  |  |  |  |
U.S. Treasury securities | $ | 52,882 |  |  | $ | — |  |  | $ | — |  |  | $ | 52,882 |
U.S. Agency securities | — |  |  | 18 |  |  | — |  |  | 18 |
Sovereign obligations | — |  |  | 6,405 |  |  | — |  |  | 6,405 |
Corporate debt and other obligations | — |  |  | 664 |  |  | — |  |  | 664 |
Convertible bonds | — |  |  | 18,624 |  |  | — |  |  | 18,624 |
Corporate equities | 21,978 |  |  | — |  |  | — |  |  | 21,978 |
Securities sold but not yet purchased, at fair value | 74,860 |  |  | 25,711 |  |  | — |  |  | 100,571 |
Investments | — |  |  | — |  |  | — |  |  | — |
Derivative contracts: |  |  |  |  |  |  |
Futures | 267 |  |  | — |  |  | — |  |  | 267 |
TBAs | — |  |  | 124 |  |  | — |  |  | 124 |
ARS purchase commitments | — |  |  | 1,023 |  |  | — |  |  | 1,023 |
Derivative contracts, total | 267 |  |  | 1,147 |  |  | — |  |  | 1,414 |
Total | $ | 75,127 |  |  | $ | 26,858 |  |  | $ | — |  |  | $ | 101,985 |
| Assets and liabilities measured at fair value on a recurring basis as of December 31, 2018
(Expressed in thousands) |  |  |  |  |  |  |
| Fair Value Measurements as of December 31, 2018
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |
Cash equivalents | $ | 10,500 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,500 |
Deposits with clearing organizations | 34,599 |  |  | — |  |  | — |  |  | 34,599 |
Securities owned: |  |  |  |  |  |  |
U.S. Treasury securities | 657,208 |  |  | — |  |  | — |  |  | 657,208 |
U.S. Agency securities | 812 |  |  | 6,494 |  |  | — |  |  | 7,306 |
Sovereign obligations | — |  |  | 214 |  |  | — |  |  | 214 |
Corporate debt and other obligations | — |  |  | 20,665 |  |  | — |  |  | 20,665 |
Mortgage and other asset-backed securities | — |  |  | 2,486 |  |  | — |  |  | 2,486 |
Municipal obligations | — |  |  | 52,261 |  |  | — |  |  | 52,261 |
Convertible bonds | — |  |  | 31,270 |  |  | — |  |  | 31,270 |
Corporate equities | 28,215 |  |  | — |  |  | — |  |  | 28,215 |
Money markets | 7 |  |  | — |  |  | — |  |  | 7 |
Auction rate securities | — |  |  | 16,253 |  |  | 21,699 |  |  | 37,952 |
Securities owned, at fair value | 686,242 |  |  | 129,643 |  |  | 21,699 |  |  | 837,584 |
Investments (1) | — |  |  | — |  |  | 101 |  |  | 101 |
Derivative contracts: |  |  |  |  |  |  |  |  |  |  |
TBAs | — |  |  | 4,873 |  |  | — |  |  | 4,873 |
Total | $ | 731,341 |  |  | $ | 134,516 |  |  | $ | 21,800 |  |  | $ | 887,657 |
Liabilities |  |  |  |  |  |  |
Securities sold but not yet purchased: |  |  |  |  |  |  |
U.S. Treasury securities | $ | 53,646 |  |  | $ | — |  |  | $ | — |  |  | $ | 53,646 |
U.S. Agency securities | — |  |  | 3 |  |  | — |  |  | 3 |
Sovereign obligations | — |  |  | 78 |  |  | — |  |  | 78 |
Corporate debt and other obligations | — |  |  | 7,236 |  |  | — |  |  | 7,236 |
Convertible bonds | — |  |  | 9,709 |  |  | — |  |  | 9,709 |
Corporate equities | 14,774 |  |  | — |  |  | — |  |  | 14,774 |
Money markets | — |  |  | — |  |  | — |  |  | — |
Securities sold but not yet purchased, at fair value | 68,420 |  |  | 17,026 |  |  | — |  |  | 85,446 |
Investments | — |  |  | — |  |  | — |  |  | — |
Derivative contracts: |  |  |  |  |  |  |
Futures | 807 |  |  | — |  |  | — |  |  | 807 |
Foreign exchange forward contracts | 4 |  |  | — |  |  | — |  |  | 4 |
TBAs | — |  |  | 4,873 |  |  | — |  |  | 4,873 |
ARS purchase commitments | — |  |  | 1,096 |  |  | — |  |  | 1,096 |
Derivative contracts, total | 811 |  |  | 5,969 |  |  | — |  |  | 6,780 |
Total | $ | 69,231 |  |  | $ | 22,995 |  |  | $ | — |  |  | $ | 92,226 |
(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, 2019 and 2018:
(Expressed in thousands)
| Level 3 Assets and Liabilities
| For the Year Ended December 31, 2019
| Beginning Balance |  | Total Realized and Unrealized Gains (3)(4) |  | Purchases and Issuances |  | Sales and Settlements |  | Transfers In / Out |  | Ending Balance
Assets |  |  |  |  |  |  |  |  |  |  |
Auction rate securities (1) (2) | $ | 21,699 |  |  | $ | 1 |  |  | $ | — |  |  | $ | (350 | ) |  | $ | (21,350 | ) |  | $ | — |
Investments | 101 |  |  | 5 |  |  | — |  |  | — |  |  | (106 | ) |  | — |
(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 transfers from Level 3 to Level 2 of the fair value hierarchy. Transfers were due to tender offers by issuers of ARS. (3) Included in principal transactions in the consolidated statement of income, except for gains from investments which are included in other income in the consolidated statement of income. (4) Unrealized gains are attributable to assets or liabilities that are still held at the reporting date.
(Expressed in thousands)
| Level 3 Assets and Liabilities
| For the Year Ended December 31, 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) | 87,398 |  |  | 1,351 |  |  | 6,300 |  |  | (35,675 | ) |  | (37,675 | ) |  | 21,699 |
Investments | 169 |  |  | (8 | ) |  | — |  |  | — |  |  | (60 | ) |  | 101 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
ARS purchase commitments (2)(5) | 8 |  |  | (1,088 | ) |  | — |  |  | — |  |  | 1,096 |  |  | — |
(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 consolidated statement of income, except for gains (losses) from investments which are included in other income in the 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 A |
Assets and Liabilities Not Measured at Fair Value on Recurring Basis | Assets and liabilities not measured at fair value as of December 31, 2019
(Expressed in thousands) |  |  | Fair Value Measurement: Assets
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash | $ | 79,550 |  |  | $ | 79,550 |  |  | $ | — |  |  | $ | — |  |  | $ | 79,550 |
Deposits with clearing organization | 23,297 |  |  | 23,297 |  |  | — |  |  | — |  |  | 23,297 |
Receivable from brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |
Securities borrowed | 99,635 |  |  | — |  |  | 99,635 |  |  | — |  |  | 99,635 |
Receivables from brokers | 19,024 |  |  | — |  |  | 19,024 |  |  | — |  |  | 19,024 |
Securities failed to deliver | 7,173 |  |  | — |  |  | 7,173 |  |  | — |  |  | 7,173 |
Clearing organizations | 36,269 |  |  | — |  |  | 36,269 |  |  | — |  |  | 36,269 |
Other | 1,316 |  |  | — |  |  | 1,316 |  |  | — |  |  | 1,316 |
| 163,417 |  |  | — |  |  | 163,417 |  |  | — |  |  | 163,417 |
Receivable from customers | 796,934 |  |  | — |  |  | 796,934 |  |  | — |  |  | 796,934 |
Notes receivable, net | 43,670 |  |  | — |  |  | 43,670 |  |  | — |  |  | 43,670 |
Investments (1) | 73,971 |  |  | — |  |  | 73,971 |  |  | — |  |  | 73,971 |
(1) Included in other assets on the consolidated balance sheet.
(Expressed in thousands) |  |  | Fair Value Measurement: Liabilities
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Payables to brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |
Securities loaned | 234,343 |  |  | — |  |  | 234,343 |  |  | — |  |  | 234,343 |
Payable to brokers | 4,548 |  |  | — |  |  | 4,548 |  |  | — |  |  | 4,548 |
Securities failed to receive | 14,603 |  |  | — |  |  | 14,603 |  |  | — |  |  | 14,603 |
Other | 267,214 |  |  | — |  |  | 267,214 |  |  | — |  |  | 267,214 |
| 520,708 |  |  | — |  |  | 520,708 |  |  | — |  |  | 520,708 |
Payables to customers | 334,735 |  |  | — |  |  | 334,735 |  |  | — |  |  | 334,735 |
Securities sold under agreements to repurchase | 287,265 |  |  | — |  |  | 287,265 |  |  | — |  |  | 287,265 |
Senior secured notes | 150,000 |  |  | — |  |  | 154,988 |  |  | — |  |  | 154,988 |
Assets and liabilities not measured at fair value as of December 31, 2018
(Expressed in thousands) |  |  | Fair Value Measurement: Assets
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash | $ | 80,175 |  |  | $ | 80,175 |  |  | $ | — |  |  | $ | — |  |  | $ | 80,175 |
Deposits with clearing organization | 33,079 |  |  | 33,079 |  |  | — |  |  | — |  |  | 33,079 |
Receivable from brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |
Securities borrowed | 108,144 |  |  | — |  |  | 108,144 |  |  | — |  |  | 108,144 |
Receivables from brokers | 20,140 |  |  | — |  |  | 20,140 |  |  | — |  |  | 20,140 |
Securities failed to deliver | 7,021 |  |  | — |  |  | 7,021 |  |  | — |  |  | 7,021 |
Clearing organizations | 28,777 |  |  | — |  |  | 28,777 |  |  | — |  |  | 28,777 |
Other | 2,411 |  |  | — |  |  | 2,411 |  |  | — |  |  | 2,411 |
| 166,493 |  |  | — |  |  | 166,493 |  |  | — |  |  | 166,493 |
Receivable from customers | 720,777 |  |  | — |  |  | 720,777 |  |  | — |  |  | 720,777 |
Securities purchased under agreements to resell | 290 |  |  | — |  |  | 290 |  |  | — |  |  | 290 |
Notes receivable, net | 44,058 |  |  | — |  |  | 44,058 |  |  | — |  |  | 44,058 |
Investments (1) | 59,765 |  |  | — |  |  | 59,765 |  |  | — |  |  | 59,765 |
(1) Included in other assets on the consolidated balance sheet.
(Expressed in thousands) |  |  | Fair Value Measurement: Liabilities
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Drafts payable | $ | 16,348 |  |  | $ | 16,348 |  |  | $ | — |  |  | $ | — |  |  | $ | 16,348 |
Bank call loans | 15,000 |  |  | — |  |  | 15,000 |  |  | — |  |  | 15,000 |
Payables to brokers, dealers and clearing organizations: |  |  |  |  |  |  |  |  |
Securities loaned | 146,815 |  |  | — |  |  | 146,815 |  |  | — |  |  | 146,815 |
Payable to brokers | 158 |  |  | — |  |  | 158 |  |  | — |  |  | 158 |
Securities failed to receive | 27,799 |  |  | — |  |  | 27,799 |  |  | — |  |  | 27,799 |
Other | 113,628 |  |  | — |  |  | 113,628 |  |  | — |  |  | 113,628 |
| 288,400 |  |  | — |  |  | 288,400 |  |  | — |  |  | 288,400 |
Payables to customers | 336,616 |  |  | — |  |  | 336,616 |  |  | — |  |  | 336,616 |
Securities sold under agreements to repurchase | 484,218 |  |  | — |  |  | 484,218 |  |  | — |  |  | 484,218 |
Senior secured notes | 200,000 |  |  | — |  |  | 199,722 |  |  | — |  |  | 199,722 |
F |
Notional Amounts and Fair Values of Derivatives by Product | The notional amounts and fair values of the Company's derivatives as of December 31, 2019 and 2018 by product were as follows:
(Expressed in thousands) |  |  |  |  |
| Fair Value of Derivative Instruments as of December 31, 2019
| Description |  | Notional |  | Fair Value
Liabilities: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Commodity contracts | Futures |  | $ | 5,209,000 |  |  | $ | 267 |
Other contracts | TBAs |  | 13,245 |  |  | 124 |
| ARS purchase commitments |  | 7,128 |  |  | 1,023 |
|  |  | $ | 5,229,373 |  |  | $ | 1,414 |
(1) See "Derivative Instruments and Hedging Activities" above for a 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, 2018
| Description |  | Notional |  | Fair Value
Assets: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Other contracts | TBAs |  | $ | 729,500 |  |  | $ | 4,873 |
Liabilities: |  |  |  |  |
Derivatives not designated as hedging instruments (1) |  |  |  |  |
Commodity contracts | Futures |  | $ | 4,580,800 |  |  | $ | 807 |
Other contracts | Foreign exchange forward contracts |  | 200 |  |  | 4 |
| TBAs |  | 729,500 |  |  | 4,873 |
| ARS purchase commitments |  | 7,305 |  |  | 1,096 |
|  |  | $ | 5,317,805 |  |  | $ | 6,780 |
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 income for the years ended December 31, 2019 and 2018:
(Expressed in thousands) |  |  |  |  |
| The Effect of Derivative Instruments in the Consolidated Statement of Income
| For the Year Ended December 31, 2019
|  |  | Recognized in Income on Derivatives (pre-tax)
Types | Description |  | Location |  | Net Gain (Loss)
Commodity contracts | Futures |  | Principal transactions revenue |  | $ | (2,362 | )
Other contracts | Foreign exchange forward contracts |  | Other revenue |  | 15 |
| TBAs |  | Principal transactions revenue |  | (53 | )
| ARS purchase commitments |  | Principal transactions revenue |  | 73 |
|  |  |  |  | $ | (2,327 | )
(Expressed in thousands) |  |  |  |  |
| The Effect of Derivative Instruments in the Consolidated Statement of Income
| For the Year Ended December 31, 2018
|  |  | Recognized in Income on Derivatives (pre-tax)
Types | Description |  | Location |  | Net Gain (Loss)
Commodity contracts | Futures |  | Principal transactions revenue |  | $ | 592 |
Other contracts | Foreign exchange forward contracts |  | Other revenue |  | (7 | )
| TBAs |  | Principal transactions revenue |  | 371 |
| ARS purchase commitments |  | Principal transactions revenue |  | (1,088 | )
|  |  |  |  | $ | (132 | )

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