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Fair value measurements (Tables)

9 Months Ended

Sep. 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 September 30, 2021:

(Expressed in thousands)
			Fair Value						Unfunded Commitments						Redemption Frequency						Redemption Notice Period
Hedge funds (1)			$	1,138					$	—					Quarterly - Annually						30 - 120 Days
Private equity funds (2)			4,432						4,379						N/A						N/A
			$	5,570					$	4,379

(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 September 30, 2021, the fair value of the investment was $4.8 million and was categorized in Level 2 of the fair value hierarchy.

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, 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 September 30, 2021:

(Expressed in thousands)
			Fair Value Measurements as of September 30, 2021
			Level 1						Level 2						Level 3						Total
Assets
Deposits with clearing organizations			$	27,899					$	—					$	—					$	27,899
Securities owned:
U.S. Treasury securities			402,698						—						—						402,698
U.S. Agency securities			—						7,849						—						7,849
Sovereign obligations			—						3,657						—						3,657
Corporate debt and other obligations			—						17,983						—						17,983
Mortgage and other asset-backed securities			—						2,609						—						2,609
Municipal obligations			—						28,393						—						28,393
Convertible bonds			—						17,152						—						17,152
Corporate equities			48,744						—						—						48,744
Money markets			794						—						—						794
Auction rate securities			—						—						31,804						31,804
Securities owned, at fair value			452,236						77,643						31,804						561,683
Investment (1)			—						4,771						—						4,771
Derivative contracts:
TBAs			—						526						—						526
Derivative contracts, total			—						526						—						526
Total			$	480,135					$	82,940					$	31,804					$	594,879
Liabilities
Securities sold but not yet purchased:
U.S. Treasury securities			$	43,972					$	—					$	—					$	43,972
U.S. Agency securities			—						4						—						4
Corporate debt and other obligations			—						10,286						—						10,286
Mortgage and other asset-backed securities			—						4						—						4
Convertible bonds			—						13,647						—						13,647
Corporate equities			16,232						—						—						16,232
Securities sold but not yet purchased, at fair value			60,204						23,941						—						84,145
Derivative contracts:
Futures			11						—						—						11
TBAs			—						520						—						520
Derivative contracts, total			11						520						—						531
Total			$	60,215					$	24,461					$	—					$	84,676

(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 nine months ended September 30, 2021 and 2020:

(Expressed in thousands)
						Level 3 Assets and Liabilities
						For the Three Months Ended September 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)						$	31,422					$	(68)					$	450					$	—					$	—					$	31,804
Liabilities
ARS Purchase Commitments (2)						66						—						—						(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 Three Months Ended September 30, 2020
												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)						$	29,566					$	(165)					$	1,300					$	—					$	—					$	30,701
Liabilities
ARS Purchase Commitments (2)						332						140						—						—						—						192

(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 Nine Months Ended September 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					$	(197)					$	2,325					$	(1,025)					$	—					$	31,804
Liabilities
ARS Purchase Commitments (2)						195						(1)						—						(196)						—						—

(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 Nine Months Ended September 30, 2020
												Total Realized
						Beginning						and Unrealized						Purchases						Sales and						Transfers						Ending
						Balance						Gains (Losses)(4)(5)						and Issuances						Settlements						In (Out)						Balance
Assets
Auction rate securities (1)(2)						$	—					$	(165)					$	1,300					$	—					$	29,566					$	30,701
Liabilities
ARS Purchase Commitments (1)(3)						—						140						—						—						332						192

(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.

(4) Included in principal transactions in the condensed consolidated income statement.

(5) 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, 2021:

(Expressed in thousands)									Fair Value Measurement: Assets
			Carrying Value						Level 1						Level 2						Level 3						Total
Cash			$	140,819					$	140,819					$	—					$	—					$	140,819
Deposits with clearing organization			57,196						57,196						—						—						57,196
Receivable from brokers, dealers and clearing organizations:
Securities borrowed			119,616						—						119,616						—						119,616
Receivables from brokers			34,143						—						34,143						—						34,143
Securities failed to deliver			52,402						—						52,402						—						52,402
Clearing organizations			32,914						—						32,914						—						32,914
Other			3,444						—						3,444						—						3,444
			242,519						—						242,519						—						242,519
Receivable from customers			1,273,445						—						1,273,445						—						1,273,445
Notes receivable, net			55,098						—						55,098						—						55,098
Investments (1)			93,175						—						93,175						—						93,175

(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			$	72,300					$	—					$	72,300					$	—					$	72,300
Payables to brokers, dealers and clearing organizations:
Securities loaned			286,180						—						286,180						—						286,180
Payable to brokers			15,379						—						15,379						—						15,379
Securities failed to receive			22,493						—						22,493						—						22,493
			324,052						—						324,052						—						324,052
Payables to customers			551,419						—						551,419						—						551,419
Securities sold under agreements to repurchase			343,925						—						343,925						—						343,925
Senior secured notes			125,000						—						131,263						—						131,263

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

Notional Amounts and Fair Values of Derivatives by Product

es of the Company's derivatives as of September 30, 2021 and December 31, 2020 by product were as follows:

(Expressed in thousands)
			Fair Value of Derivative Instruments as of September 30, 2021
			Description						Notional						Fair Value
Assets:
Derivatives not designated as hedging instruments (1)
Other contracts			TBAs						$	24,100					$	526
									$	24,100					$	526
Liabilities:
Derivatives not designated as hedging instruments (1)
Commodity contracts			Futures						$	2,585,000					$	10
Other contracts			TBAs						24,100						520
									$	2,609,100					$	530

(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.

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 income statements for the three and nine months ended September 30, 2021 and 2020:

(Expressed in thousands)

The Effect of Derivative Instruments in the Income Statement

For the Three Months Ended September 30, 2021

Recognized in Income on Derivatives (pre-tax)

Types

Description

Location

Net Gain (Loss)

Commodity contracts

Futures

Principal transactions revenue

$

(13)

Other contracts

TBAs

Principal transactions revenue

(15)

Purchase commitments

Principal transactions revenue

(497)

$

(525)

(Expressed in thousands)

The Effect of Derivative Instruments in the Income Statement

For the Three Months Ended September 30, 2020

Recognized in Income on Derivatives (pre-tax)

Types

Description

Location

Net Gain (Loss)

Commodity contracts

Futures

Principal transactions revenue

$

(15)

Other contracts

Foreign exchange forward contracts

Other revenue

67

TBAs

Principal transactions revenue

(17)

ARS purchase commitments

Principal transactions revenue

140

$

175

(Expressed in thousands)

The Effect of Derivative Instruments in the Income Statement

For the Nine Months Ended September 30, 2021

Recognized in Income on Derivatives (pre-tax)

Types

Description

Location

Net Gain (Loss)

Commodity contracts

Futures

Principal transactions revenue

$

482

Other contracts

Foreign exchange forward contracts

Other revenue

(8)

TBAs

Principal transactions revenue

146

Purchase commitments

Principal transactions revenue

(987)

ARS purchase commitments

Principal transactions revenue

(1)

$

(368)

(Expressed in thousands)

The Effect of Derivative Instruments in the Income Statement

For the Nine Months Ended September 30, 2020

Recognized in Income on Derivatives (pre-tax)

Types

Description

Location

Net Gain (Loss)

Commodity contracts

Futures

Principal transactions revenue

$

(8,362)

Other contracts

Foreign exchange forward contracts

Other revenue

89

TBAs

Principal transactions revenue

(31)

ARS purchase commitments

Principal transactions revenue

831

$

(7,473)

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Schedule of sponsored fund investments.

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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
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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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