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Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Investments in Company-Sponsored Funds

The following table provides information about the Company's investments in Company-sponsored funds as of March 31, 2021:

(Expressed in thousands)
			Fair Value						Unfunded Commitments						Redemption Frequency						Redemption Notice Period
Hedge funds (1)			$	1,112					$	—					Quarterly - Annually						30 - 120 Days
Private equity funds (2)			3,709						3,011						N/A						N/A
			$	4,821					$	3,011

(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

The following table provides information about the Company's investments in Company-sponsored funds as of December 31, 2020:

(Expressed in thousands)
			Fair Value						Unfunded Commitments						Redemption Frequency						Redemption Notice Period
Hedge funds (1)			$	1,126					$	—					Quarterly - Annually						30 - 120 Days
Private equity funds (2)			3,710						1,238						N/A						N/A
			$	4,836					$	1,238

(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.

During 2020, the Company made an investment in a financial technologies firm. The Company elected the fair value option for this investment and it is included in other assets on the condensed consolidated balance sheet. The Company determined the fair value of the investment based on an implied market-multiple approach and observable market data, including comparable company transactions. As of March 31, 2021, the fair value of the investment was $4.4 million and was categorized in Level 2 of the fair value hierarchy.

Assets and Liabilities Measured at Fair Value on Recurring Basis

bilities, recorded at fair value on a recurring basis as of March 31, 2021 and December 31, 2020, 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 March 31, 2021:

(Expressed in thousands)
			Fair Value Measurements as of March 31, 2021
			Level 1						Level 2						Level 3						Total
Assets
Deposits with clearing organizations			$	25,899					$	—					$	—					$	25,899
Securities owned:
U.S. Treasury securities			427,489						—						—						427,489
U.S. Agency securities			—						18,339						—						18,339
Sovereign obligations			—						409						—						409
Corporate debt and other obligations			—						21,227						—						21,227
Mortgage and other asset-backed securities			—						5,541						—						5,541
Municipal obligations			—						40,296						—						40,296
Convertible bonds			—						18,782						—						18,782
Corporate equities			41,364						—						—						41,364
Money markets			413						—						—						413
Auction rate securities			—						—						31,470						31,470
Securities owned, at fair value			469,266						104,594						31,470						605,330
Investments (1)			—						4,440						—						4,440
Derivative contracts:
TBAs			—						83						—						83
Total			$	495,165					$	109,117					$	31,470					$	635,752
Liabilities
Securities sold but not yet purchased:
U.S. Treasury securities			$	324,612					$	—					$	—					$	324,612
U.S. Agency securities			—						5						—						5
Sovereign obligations			—						1,609						—						1,609
Corporate debt and other obligations			—						6,199						—						6,199
Mortgage and other asset-backed securities			—						1						—						1
Convertible bonds			—						5,873						—						5,873
Corporate equities			22,187						—						—						22,187
Securities sold but not yet purchased, at fair value			346,799						13,687						—						360,486
Derivative contracts:
Futures			296						—						—						296
TBAs			—						56						—						56
ARS purchase commitments			—						—						65						65
Derivative contracts, total			296						56						65						417
Total			$	347,095					$	13,743					$	65					$	360,903

(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, 2020:

(Expressed in thousands)
			Fair Value Measurements as of December 31, 2020
			Level 1						Level 2						Level 3						Total
Assets
Deposits with clearing organizations			$	23,991					$	—					$	—					$	23,991
Securities owned:
U.S. Treasury securities			448,312						—						—						448,312
U.S. Agency securities			—						24,616						—						24,616
Sovereign obligations			—						367						—						367
Corporate debt and other obligations			—						23,977						—						23,977
Mortgage and other asset-backed securities			—						3,103						—						3,103
Municipal obligations			—						25,190						—						25,190
Convertible bonds			—						17,497						—						17,497
Corporate equities			36,554						—						—						36,554
Money markets			200						—						—						200
Auction rate securities			—						—						30,701						30,701
Securities owned, at fair value			485,066						94,750						30,701						610,517
Investments (1)			—						4,181						—						4,181
Derivative contracts:
TBAs			—						15						—						15
Total			$	509,057					$	98,946					$	30,701					$	638,704
Liabilities
Securities sold but not yet purchased:
U.S. Treasury securities			$	93,261					$	—					$	—					$	93,261
U.S. Agency securities			—						9						—						9
Sovereign obligations			—						623						—						623
Corporate debt and other obligations			—						5,283						—						5,283
Corporate equities			17,892						—						—						17,892
Securities sold but not yet purchased, at fair value			111,153						15,018						—						126,171
Derivative contracts:
Futures			22						—						—						22
TBAs			—						3						—						3
ARS purchase commitments			—						—						195						195
Derivative contracts, total			22						3						195						220
Total			$	111,175					$	15,021					$	195					$	126,391

(1) Included in other assets on the condensed consolidated balance sheet.    

The following tables present changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2021:

(Expressed in thousands)
						Level 3 Assets and Liabilities
						For the Three Months Ended March 31, 2021
												Total Realized
						Beginning						and Unrealized						Purchases						Sales and						Transfers						Ending
						Balance						Gains (Losses)(3)(4)						and Issuances						Settlements						In (Out)						Balance
Assets
Auction rate securities (1)						$	30,701					$	(131)					$	1,875					$	(975)					$	—					$	31,470
Liabilities
ARS Purchase Commitments (2)						195						—						—						(130)						—						65

(1) Represents 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 income statement.

(4) Unrealized gains are attributable to assets or liabilities that are still held at the reporting date.

There were no balances or changes in Level 3 assets and liabilities during the three months ended March 31, 2020.

Financial Instruments, Estimate Not Practicable, Fair Value

d at fair value as of March 31, 2021:

(Expressed in thousands)									Fair Value Measurement: Assets
			Carrying Value						Level 1						Level 2						Level 3						Total
Cash			$	28,545					$	28,545					$	—					$	—					$	28,545
Deposits with clearing organization			51,395						51,395						—						—						51,395
Receivable from brokers, dealers and clearing organizations:
Securities borrowed			109,763						—						109,763						—						109,763
Receivables from brokers			32,994						—						32,994						—						32,994
Securities failed to deliver			62,193						—						62,193						—						62,193
Clearing organizations			28,221						—						28,221						—						28,221
Other			717						—						717						—						717
			233,888						—						233,888						—						233,888
Receivable from customers			1,152,499						—						1,152,499						—						1,152,499
Securities purchased under agreements to resell			25,937						—						25,937						—						25,937
Notes receivable, net			48,847						—						48,847						—						48,847
Investments (1)			88,963						—						88,963						—						88,963

(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			$	12,392					$	12,392					$	—					$	—					$	12,392
Bank call loans			75,100						—						75,100						—						75,100
Payables to brokers, dealers and clearing organizations:
Securities loaned			257,342						—						257,342						—						257,342
Payable to brokers			1,336						—						1,336						—						1,336
Securities failed to receive			38,100						—						38,100						—						38,100
Other			124,339						—						124,339						—						124,339
			421,117						—						421,117						—						421,117
Payables to customers			462,450						—						462,450						—						462,450
Securities sold under agreements to repurchase			7,150						—						7,150						—						7,150
Senior secured notes			125,000						—						129,375						—						129,375

Assets and liabilities not measured at fair value as of December 31, 2020:

(Expressed in thousands)									Fair Value Measurement: Assets
			Carrying Value						Level 1						Level 2						Level 3						Total
Cash			$	35,424					$	35,424					$	—					$	—					$	35,424
Deposits with clearing organization			59,352						59,352						—						—						59,352
Receivable from brokers, dealers and clearing organizations:
Securities borrowed			110,932						—						110,932						—						110,932
Receivables from brokers			30,133						—						30,133						—						30,133
Securities failed to deliver			17,840						—						17,840						—						17,840
Clearing organizations			28,955						—						28,955						—						28,955
Other			15,622						—						15,622						—						15,622
			203,482						—						203,482						—						203,482
Receivable from customers			1,110,835						—						1,110,835						—						1,110,835
Notes receivable, net			46,161						—						46,161						—						46,161
Investments (1)			85,552						—						85,552						—						85,552

(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
Bank call loans			$	82,000					$	—					$	82,000					$	—					$	82,000
Payables to brokers, dealers and clearing organizations:
Securities loaned			249,499						—						249,499						—						249,499
Payable to brokers			4,102						—						4,102						—						4,102
Securities failed to receive			6,218						—						6,218						—						6,218
Other			70						—						70						—						70
			259,889						—						259,889						—						259,889
Payables to customers			502,807						—						502,807						—						502,807
Securities sold under agreements to repurchase			342,438						—						342,438						—						342,438
Senior secured notes			125,000						—						127,033						—						127,033

Fair Value Option

The Compa

Notional Amounts and Fair Values of Derivatives by Product

es of the Company's derivatives as of March 31, 2021 and December 31, 2020 by product were as follows:

(Expressed in thousands)
			Fair Value of Derivative Instruments as of March 31, 2021
			Description						Notional						Fair Value
Assets:
Derivatives not designated as hedging instruments (1)
Other contracts			TBAs						$	40,550					$	83
									$	40,550					$	83
Liabilities:
Derivatives not designated as hedging instruments (1)
Commodity contracts			Futures						$	2,860,000					$	296
Other contracts			TBAs						34,884						56
			ARS purchase commitments						435						65
									$	2,895,319					$	417

(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, 2020
			Description						Notional						Fair Value
Assets:
Derivatives not designated as hedging instruments (1)
Other contracts			TBAs						$	7,970					$	15
									$	7,970					$	15
Liabilities:
Derivatives not designated as hedging instruments (1)
Commodity contracts			Futures						$	3,440,000					$	22
Other contracts			TBAs						7,936						3
			ARS purchase commitments						1,313						195
									$	3,449,249					$	220

(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.

The following table presents the

Fair Value Amounts of Derivative Instruments and their Effect on Statement of Operations

the location and fair value amounts of the Company's derivative instruments and their effect in the condensed consolidated income statements for the three months ended March 31, 2021 and 2020:

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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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Tabular disclosure of derivative instruments (including nonderivative instruments that are designated and qualify as hedging instruments) of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

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-Publisher FASB
-Name Accounting Standards Codification
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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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