Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2013

Financial Instruments

Schedule of Disclosure About Significant Unobservable Inputs

Valuation Technique	Unobservable Input	Range (Weighted Average)
Market comparable companies	Enterprise value/Revenue multiple	2.7x — 6.7x (5.4x)
	Discount applied to multiples	30.0% - 35.0% (31.0%)

Schedule of categorization of the financial instruments within the fair value hierarchy

	Assets at Fair Value
(In thousands of dollars)	Level 1		Level 2		Level 3		Total
Financial instruments owned
Agency mortgage-backed securities	$	—	$	903,928	$	1,110	$	905,038
Loans	—		77,573		—		77,573
Federal agency obligations	—		46,021		—		46,021
Corporate debt securities	—		30,246		—		30,246
Residential mortgage-backed securities	—		23,077		149		23,226
Commercial mortgage-backed securities	—		4,880		18		4,898
Preferred stock	2,439		—		—		2,439
U.S. government obligations	1,996		100		—		2,096
Other debt obligations	—		2,074		—		2,074
Equity securities	675		—		28		703
Collateralized debt obligations	—		—		671		671
Derivatives	232		—		964		1,196
Total financial instruments owned, at fair value	5,342		1,087,899		2,940		1,096,181
Investments	—		—		20,478		20,478
Total	$	5,342	$	1,087,899	$	23,418	$	1,116,659

	Liabilities at Fair Value
(In thousands of dollars)	Level 1		Level 2		Level 3		Total
Securities sold, but not yet purchased
U.S. Government obligations	$	128,504	$	—	$	—	$	128,504
Corporate debt securities	—		2,520		—		2,520
Equity securities	2		—		—		2
Derivatives	1,704		—		—		1,704
Total financial liabilities, at fair value	$	130,210	$	2,520	$	—	$	132,730

Schedule of changes in the company's Level 3 financial instruments

The following table summarizes the changes in the Company’s Level 3 financial instruments for the three months ended September 30, 2013:

(In thousands of dollars)	Balance at June 30, 2013		Total gains or (losses) (realized and unrealized)		Purchases		Sales		Settlements			Transfers in and/or out of Level 3		Balance at September 30, 2013		Changes in unrealized gains/(losses) on Level 3 assets still held at the reporting date
Investments	$	20,995	$	92	$	—	$	—	$	(3,203	)	$	—	$	17,884	$	(1,326	)

The following table summarizes the changes in the Company’s Level 3 financial instruments for the three months ended September 30, 2012:

(In thousands of dollars)	Balance at June 30, 2012		Total gains or (losses) (realized and unrealized)			Purchases		Sales			Settlements			Transfers in and/or out of Level 3		Balance at September 30, 2012		Changes in unrealized gains/(losses) on Level 3 assets still held at the reporting date
Commercial mortgage-backed securities	$	5,682	$	(424	)	$	133	$	(1,568	)	$	(4	)	$	—	$	3,819	$	(380	)
Residential mortgage-backed securities	10,355		331			12,700		(11,482		)	(623		)	—		11,281		37
Other debt obligations	2,553		20			11,362		(3,420		)	(28		)	—		10,487		3
Agency mortgage-backed securities	1,486		(80		)	3		(1,401		)	—			—		8		35
Collateralized debt obligations	554		(3		)	—		—			—			—		551		234
Equities	112		(14		)	—		—			—			—		98		(14		)
Investments	19,090		163			—		—			—			—		19,253		32
Derivatives	1,737		2,953			—		—			(1,737		)	—		2,953		2,953
Total	$	41,569	$	2,946		$	24,198	$	(17,871	)	$	(2,392	)	$	—	$	48,450	$	2,900

The following table summarizes the changes in the Company’s Level 3 financial instruments for the nine months ended September 30, 2013:

(In thousands of dollars)	Balance at December 31, 2012		Total gains or (losses) (realized and unrealized)			Purchases		Sales			Settlements			Transfers in and/or out of Level 3		Balance at September 30, 2013		Changes in unrealized gains/(losses) on Level 3 assets still held at the reporting date
Agency mortgage-backed securities	$	1,110	$	(50	)	$	—	$	(1,060	)	$	—		$	—	$	—	$	—
Collateralized debt obligations	671		(567		)	—		(104		)	—			—		—		—
Residential mortgage-backed securities	149		(86		)	—		(51		)	(12		)	—		—		—
Equities	28		(28		)	—		—			—			—		—		—
Commercial mortgage-backed securities	18		(15		)	—		(3		)	—			—		—		—
Investments	20,478		(338		)	947		—			(3,203		)	—		17,884		(1,670		)
Derivatives	964		—			—		—			(964		)	—		—		—
Total	$	23,418	$	(1,084	)	$	947	$	(1,218	)	$	(4,179	)	$	—	$	17,884	$	(1,670	)

The following table summarizes the changes in the Company’s Level 3 financial instruments for the nine months ended September 30, 2012:

(In thousands of dollars)	Balance at December 31, 2011		Total gains or (losses) (realized and unrealized)			Purchases		Sales			Settlements			Transfers in and/or out of Level 3(1)			Balance at September 30, 2012		Changes in unrealized gains/(losses) on Level 3 assets still held at the reporting date
Commercial mortgage-backed securities	$	38,154	$	(6,497	)	$	7,383	$	(33,058	)	$	(62	)	$	(2,101	)	$	3,819	$	(1,322	)
Residential mortgage-backed securities	18,419		(555		)	11,680		(17,329		)	(934		)	—			11,281		12
Other debt obligations	192		10			16,153		(5,848		)	(20		)	—			10,487		(1		)
Agency mortgage-backed securities	1,367		(140		)	15		(1,232		)	(2		)	—			8		4
Collateralized debt obligations	647		(96		)	60		(60		)	—			—			551		(93		)
Equities	112		(14		)	—		—			—			—			98		(14		)
Preferred stock	571		188			5,624		(6,383		)	—			—			—		—
Investments	18,310		156			800		—			(13		)	—			19,253		210
Derivatives	1,696		5,575			—		—			(4,318		)	—			2,953		2,953
Total	$	79,468	$	(1,373	)	$	41,715	$	(63,910	)	$	(5,349	)	$	(2,101	)	$	48,450	$	1,749

(1) During the nine months ended September 30, 2012, the Company transferred approximately $2.1 million of commercial mortgage backed securities from Level 3 to Level 2 due to price discovery resulting from Company trading activity occurring in close proximity to the respective quarter-end.