Fair Value (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value [Abstract]

Fair value of assets and liabilities measured on a recurring basis

The following tables summarize the valuation of our financial instruments by pricing observability levels as of September 30, 2012 and December 31, 2011:

	September 30, 2012
	Level 1		Level 2		Level 3		Total
	(in thousands)
Money markets	$	311,174	$	—	$	—	$	311,174
U.S. Treasury bills		—		942,338		—		942,338
U.K. Treasury bills		—		124		—		124
Equity securities
Growth		114,538		—		—		114,538
Value		42,672		91		—		42,763
Blend		65,238		—		—		65,238
Other(1)		23,765		11		—		23,776
Fixed Income securities
Taxable(2)		177,744		519		—		178,263
Tax-exempt(3)		5,602		783		—		6,385
Derivatives		2,097		3,349		—		5,446
Long exchange-traded options		9,508		—		—		9,508
Private equity		10,699		—		61,662		72,361
Total assets measured at fair value	$	763,037	$	947,215	$	61,662	$	1,771,914
Securities sold not yet purchased
Short equities – corporate	$	18,830	$	—	$	—	$	18,830
Short exchange-traded options		4,860		—		—		4,860
Other		1,681		—		—		1,681
Derivatives		32		6,659		—		6,691
Total liabilities measured at fair value	$	25,403	$	6,659	$	—	$	32,062

	December 31, 2011
	Level 1		Level 2		Level 3		Total
	(in thousands)
Money markets	$	340,548	$	—	$	—	$	340,548
U.S. Treasury bills		—		1,277,944		—		1,277,944
U.K. Treasury bills		—		119		—		119
Equity securities
Growth		107,802		189		—		107,991
Value		60,096		9		—		60,105
Blend		118,208		—		—		118,208
Other(1)		45,583		—		—		45,583
Fixed Income securities
Taxable(2)		110,062		14,488		—		124,550
Tax-exempt(3)		15,366		743		—		16,109
Other		17		—		—		17
Derivatives		127		3,494		—		3,621
Long exchange-traded options		14,322		—		—		14,322
Private equity		11,592		—		64,466		76,058
Total assets measured at fair value	$	823,723	$	1,296,986	$	64,466	$	2,185,175
Securities sold not yet purchased
Short equities – corporate	$	34,469	$	—	$	—	$	34,469
Short exchange-traded options		3,567		—		—		3,567
Other		1,271		—		—		1,271
Derivatives		2,054		5,205		—		7,259
Total liabilities measured at fair value	$	41,361	$	5,205	$	—	$	46,566

________________

(1) Primarily long positions in corporate equities traded through our options desk.

(2) Primarily corporate and government securities.

(3) Primarily municipal bonds.

Fair value measurement Level 3 reconciliation

The following table summarizes the change in carrying value associated with Level 3 financial instruments carried at fair value:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
	(in thousands)
Balance as of beginning of period	$	57,908		$	59,524		$	64,466		$	59,414
Transfer (out) in, net		—			—			(13,548	)		(3,588	)
Purchases		3,467			577			7,300			7,993
Sales		—			(1	)		(1,823	)		(214	)
Realized gains (losses), net		(8,379	)		(246	)		(7,524	)		(3,106	)
Unrealized gains (losses), net		8,666			(1,371	)		12,791			(2,016	)
Balance as of end of period	$	61,662		$	58,483		$	61,662		$	58,483

Information about Level 3 fair value measurements

The following table provides quantitative information about Level 3 fair value measurements:

	Fair Value as of September 30, 2012		Valuation Technique	Unobservable Input	Range
	(in thousands)
Private Equity:
Technology, Media and Telecommunications	$	23,256	Market comparable companies	Revenue multiple		2.5 – 6
				Discount rate		18	%
				Discount years		1 – 2
Healthcare and Cleantech	$	14,871	Market comparable companies	Revenue multiple		0.7 – 45.9
				R&D multiple		1.3 – 37.4
				Discount for lack of marketability and risk factors		50-60	%