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Fair value measurements (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2021:

(Expressed in thousands)
			Fair Value						Unfunded Commitments						Redemption Frequency						Redemption Notice Period
Hedge funds (1)			$	1,116					$	—					Quarterly - Annually						30 - 120 Days
Private equity funds (2)			3,844						4,749						N/A						N/A
			$	4,960					$	4,749

(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 diversified portfolios focusing on but not limited to

technology companies, venture capital 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 June 30, 2021, the fair value of the investment was $4.7 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 June 30, 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 June 30, 2021:

(Expressed in thousands)
			Fair Value Measurements as of June 30, 2021
			Level 1						Level 2						Level 3						Total
Assets
Deposits with clearing organizations			$	29,994					$	—					$	—					$	29,994
Securities owned:
U.S. Treasury securities			369,604						—						—						369,604
U.S. Agency securities			—						15,060						—						15,060
Sovereign obligations			—						8,713						—						8,713
Corporate debt and other obligations			—						20,621						—						20,621
Mortgage and other asset-backed securities			—						3,112						—						3,112
Municipal obligations			—						23,270						—						23,270
Convertible bonds			—						23,312						—						23,312
Corporate equities			48,540						—						—						48,540
Money markets			408						—						—						408
Auction rate securities			—						—						31,422						31,422
Securities owned, at fair value			418,552						94,088						31,422						544,062
Investment (1)			—						4,709						—						4,709
Derivative contracts:
TBAs			—						36						—						36
Purchase commitment			144						—						—						144
Derivative contracts, total			144						36						—						180
Total			$	448,690					$	98,833					$	31,422					$	578,945
Liabilities
Securities sold but not yet purchased:
U.S. Treasury securities			$	60,021					$	—					$	—					$	60,021
U.S. Agency securities			—						7						—						7
Sovereign obligations			—						7,187						—						7,187
Corporate debt and other obligations			—						7,398						—						7,398
Mortgage and other asset-backed securities			—						1						—						1
Convertible bonds			—						6,739						—						6,739
Corporate equities			31,485						—						—						31,485
Securities sold but not yet purchased, at fair value			91,506						21,332						—						112,838
Derivative contracts:
Futures			11						—						—						11
TBAs			—						35						—						35
Purchase commitment			635						—						—						635
ARS purchase commitments			—						—						66						66
Derivative contracts, total			646						35						66						747
Total			$	92,152					$	21,367					$	66					$	113,585

(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
Investment (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
Convertible bonds			—						9,103						—						9,103
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 and six months ended June 30, 2021 and 2020:

(Expressed in thousands)
						Level 3 Assets and Liabilities
						For the Three Months Ended June 30, 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)						$	31,470					$	2					$	—					$	(50)					$	—					$	31,422
Liabilities
ARS Purchase Commitments (2)						65						(1)						—						—						—						66

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

(Expressed in thousands)
						Level 3 Assets and Liabilities
						For the Three Months Ended June 30, 2020
												Total Realized
						Beginning						and Unrealized						Purchases						Sales and						Transfers						Ending
						Balance						Gains (Losses)						and Issuances						Settlements						In (Out)						Balance
Assets
Auction rate securities (1)(2)						$	—					$	—					$	—											$	29,566					$	29,566
Liabilities
ARS Purchase Commitments (1)(3)						—						—						—						—						332						332

(1) Transferred to Level 3 of the fair value hierarchy due to the illiquid nature of the securities as result of the length of time since the last tender offer.

(2) Represents auction rate securities that failed in the auction rate market.

(3) Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.

(Expressed in thousands)
						Level 3 Assets and Liabilities
						For the Six Months Ended June 30, 2021
												Total Realized
						Beginning						and Unrealized						Purchases						Sales and						Transfers						Ending
						Balance						Losses(3)(4)						and Issuances						Settlements						In (Out)						Balance
Assets
Auction rate securities (1)						$	30,701					$	(129)					$	1,875					$	(1,025)					$	—					$	31,422
Liabilities
ARS Purchase Commitments (2)						195						(1)						—						(130)						—						66

(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 losses are attributable to assets or liabilities that are still held at the reporting date.

(Expressed in thousands)
						Level 3 Assets and Liabilities
						For the Six Months Ended June 30, 2020
												Total Realized
						Beginning						and Unrealized						Purchases						Sales and						Transfers						Ending
						Balance						Gains (Losses)						and Issuances						Settlements						In (Out)						Balance
Assets
Auction rate securities (1)(2)						$	—					$	—					$	—					$	—					$	29,566					$	29,566
Liabilities
ARS Purchase Commitments (1)(3)						—						—						—						—						332						332

(1) Transferred to Level 3 of the fair value hierarchy due to the illiquid nature of the securities as result of the length of time since the last tender offer.

(2) Represents auction rate securities that failed in the auction rate market.

(3) Represents the difference in principal and fair value for auction rate securities purchase commitments outstanding at the end of the period.

Financial Instruments, Estimate Not Practicable, Fair Value

d at fair value as of June 30, 2021:

(Expressed in thousands)									Fair Value Measurement: Assets
			Carrying Value						Level 1						Level 2						Level 3						Total
Cash			$	39,798					$	39,798					$	—					$	—					$	39,798
Deposits with clearing organization			51,770						51,770						—						—						51,770
Receivable from brokers, dealers and clearing organizations:
Securities borrowed			119,146						—						119,146						—						119,146
Receivables from brokers			35,210						—						35,210						—						35,210
Securities failed to deliver			48,272						—						48,272						—						48,272
Clearing organizations			31,525						—						31,525						—						31,525
Other			1,290						—						1,290						—						1,290
			235,443						—						235,443						—						235,443
Receivable from customers			1,225,140						—						1,225,140						—						1,225,140
Notes receivable, net			52,119						—						52,119						—						52,119
Investments (1)			93,384						—						93,384						—						93,384

(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			$	17,133					$	17,133					$	—					$	—					$	17,133
Bank call loans			79,600						—						79,600						—						79,600
Payables to brokers, dealers and clearing organizations:
Securities loaned			267,521						—						267,521						—						267,521
Payable to brokers			2,599						—						2,599						—						2,599
Securities failed to receive			13,599						—						13,599						—						13,599
Other			65,416						—						65,416						—						65,416
			349,135						—						349,135						—						349,135
Payables to customers			462,178						—						462,178						—						462,178
Securities sold under agreements to repurchase			231,601						—						231,601						—						231,601
Senior secured notes			125,000						—						130,920						—						130,920

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 June 30, 2021 and December 31, 2020 by product were as follows:

(Expressed in thousands)
			Fair Value of Derivative Instruments as of June 30, 2021
			Description						Notional						Fair Value
Assets:
Derivatives not designated as hedging instruments (1)
Other contracts			TBAs						$	13,139					$	36
			Purchase commitment						7,266						144
									$	20,405					$	180
Liabilities:
Derivatives not designated as hedging instruments (1)
Commodity contracts			Futures						$	2,490,000					$	11
Other contracts			TBAs						13,139						35
			Purchase commitment						2,000						635
			ARS purchase commitments						443						66
									$	2,505,582					$	747

(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 and six months ended June 30, 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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