Fair value measurements (Tables)

12 Months Ended

Dec. 31, 2019

Dec. 31, 2018

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

The following table provides information about the Company's investments in Company-sponsored funds as of December 31, 2019:



(Expressed in thousands)
	Fair Value		Unfunded Commitments		Redemption Frequency	Redemption Notice Period
Hedge funds ⁽¹⁾	$	1,589	$	—	Quarterly - Annually	30 - 120 Days
Private equity funds ⁽²⁾	4,227		1,399		N/A	N/A
	$	5,816	$	1,399

(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.

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 December 31, 2019 and 2018, 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 December 31, 2019



(Expressed in thousands)
	Fair Value Measurements as of December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets
Deposits with clearing organizations	25,118		—		—		25,118
Securities owned:
U.S. Treasury securities	613,030		—		—		613,030
U.S. Agency securities	19,917		15,974		—		35,891
Sovereign obligations	—		11,405		—		11,405
Corporate debt and other obligations	—		8,310		—		8,310
Mortgage and other asset-backed securities	—		2,697		—		2,697
Municipal obligations	—		40,260		—		40,260
Convertible bonds	—		29,816		—		29,816
Corporate equities	32,215		—		—		32,215
Money markets	781		—		—		781
Auction rate securities	—		25,314		—		25,314
Securities owned, at fair value	665,943		133,776		—		799,719
Total	$	691,061	$	133,776	$	—	$	824,837
Liabilities
Securities sold but not yet purchased:
U.S. Treasury securities	$	52,882	$	—	$	—	$	52,882
U.S. Agency securities	—		18		—		18
Sovereign obligations	—		6,405		—		6,405
Corporate debt and other obligations	—		664		—		664
Convertible bonds	—		18,624		—		18,624
Corporate equities	21,978		—		—		21,978
Securities sold but not yet purchased, at fair value	74,860		25,711		—		100,571
Investments	—		—		—		—
Derivative contracts:
Futures	267		—		—		267
TBAs	—		124		—		124
ARS purchase commitments	—		1,023		—		1,023
Derivative contracts, total	267		1,147		—		1,414
Total	$	75,127	$	26,858	$	—	$	101,985

Assets and liabilities measured at fair value on a recurring basis as of December 31, 2018



(Expressed in thousands)
	Fair Value Measurements as of December 31, 2018
	Level 1		Level 2		Level 3		Total
Assets
Cash equivalents	$	10,500	$	—	$	—	$	10,500
Deposits with clearing organizations	34,599		—		—		34,599
Securities owned:
U.S. Treasury securities	657,208		—		—		657,208
U.S. Agency securities	812		6,494		—		7,306
Sovereign obligations	—		214		—		214
Corporate debt and other obligations	—		20,665		—		20,665
Mortgage and other asset-backed securities	—		2,486		—		2,486
Municipal obligations	—		52,261		—		52,261
Convertible bonds	—		31,270		—		31,270
Corporate equities	28,215		—		—		28,215
Money markets	7		—		—		7
Auction rate securities	—		16,253		21,699		37,952
Securities owned, at fair value	686,242		129,643		21,699		837,584
Investments ⁽¹⁾	—		—		101		101
Derivative contracts:
TBAs	—		4,873		—		4,873
Total	$	731,341	$	134,516	$	21,800	$	887,657
Liabilities
Securities sold but not yet purchased:
U.S. Treasury securities	$	53,646	$	—	$	—	$	53,646
U.S. Agency securities	—		3		—		3
Sovereign obligations	—		78		—		78
Corporate debt and other obligations	—		7,236		—		7,236
Convertible bonds	—		9,709		—		9,709
Corporate equities	14,774		—		—		14,774
Money markets	—		—		—		—
Securities sold but not yet purchased, at fair value	68,420		17,026		—		85,446
Investments	—		—		—		—
Derivative contracts:
Futures	807		—		—		807
Foreign exchange forward contracts	4		—		—		4
TBAs	—		4,873		—		4,873
ARS purchase commitments	—		1,096		—		1,096
Derivative contracts, total	811		5,969		—		6,780
Total	$	69,231	$	22,995	$	—	$	92,226

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

Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the years ended December 31, 2019 and 2018:



(Expressed in thousands)
	Level 3 Assets and Liabilities
	For the Year Ended December 31, 2019
	Beginning Balance		Total Realized and Unrealized Gains ⁽³⁾⁽⁴⁾		Purchases and Issuances		Sales and Settlements			Transfers In / Out			Ending Balance


Assets
Auction rate securities ^{(1) (2)}	$	21,699	$	1	$	—	$	(350	)	$	(21,350	)	$	—
Investments	101		5		—		—			(106		)	—

(1) Represents auction rate preferred securities, municipal auction rate securities and student loan

auction rate securities that failed in the auction rate market.

(2) Represents transfers from Level 3 to Level 2 of the fair value hierarchy. Transfers were due to tender

offers by issuers of ARS.

(3) Included in principal transactions in the consolidated statement of income, except for gains from

investments which are included in other income in the consolidated statement of income.

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



(Expressed in thousands)
	Level 3 Assets and Liabilities
	For the Year Ended December 31, 2018
	Beginning Balance		Total Realized and Unrealized Gains (Losses) ⁽³⁾⁽⁴⁾			Purchases and Issuances		Sales and Settlements			Transfers In / Out			Ending Balance


Assets
Municipal obligations	$	35	$	14		$	76	$	(125	)	$	—		$	—
Auction rate securities ⁽¹⁾	87,398		1,351			6,300		(35,675		)	(37,675		)	21,699
Investments	169		(8		)	—		—			(60		)	101
Liabilities
ARS purchase commitments ⁽²⁾⁽⁵⁾	8		(1,088		)	—		—			1,096			—

(1) Represents auction rate preferred securities, municipal auction rate securities and student loan

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 consolidated statement of income, except for gains (losses)

from investments which are included in other income in the consolidated statement of income.

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

(5) Represents transfers from Level 3 to Level 2 of the fair value hierarchy. Transfers were due to tender

offers by issuers of A

Assets and Liabilities Not Measured at Fair Value on Recurring Basis

Assets and liabilities not measured at fair value as of December 31, 2019



(Expressed in thousands)			Fair Value Measurement: Assets
	Carrying Value		Level 1		Level 2		Level 3		Total
Cash	$	79,550	$	79,550	$	—	$	—	$	79,550
Deposits with clearing organization	23,297		23,297		—		—		23,297
Receivable from brokers, dealers and clearing organizations:
Securities borrowed	99,635		—		99,635		—		99,635
Receivables from brokers	19,024		—		19,024		—		19,024
Securities failed to deliver	7,173		—		7,173		—		7,173
Clearing organizations	36,269		—		36,269		—		36,269
Other	1,316		—		1,316		—		1,316
	163,417		—		163,417		—		163,417
Receivable from customers	796,934		—		796,934		—		796,934
Notes receivable, net	43,670		—		43,670		—		43,670
Investments ⁽¹⁾	73,971		—		73,971		—		73,971

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



(Expressed in thousands)		Fair Value Measurement: Liabilities
	Carrying Value	Level 1	Level 2	Level 3	Total
Payables to brokers, dealers and clearing organizations:
Securities loaned	234,343	—	234,343	—	234,343
Payable to brokers	4,548	—	4,548	—	4,548
Securities failed to receive	14,603	—	14,603	—	14,603
Other	267,214	—	267,214	—	267,214
	520,708	—	520,708	—	520,708
Payables to customers	334,735	—	334,735	—	334,735
Securities sold under agreements to repurchase	287,265	—	287,265	—	287,265
Senior secured notes	150,000	—	154,988	—	154,988

Assets and liabilities not measured at fair value as of December 31, 2018



(Expressed in thousands)			Fair Value Measurement: Assets
	Carrying Value		Level 1		Level 2		Level 3		Total
Cash	$	80,175	$	80,175	$	—	$	—	$	80,175
Deposits with clearing organization	33,079		33,079		—		—		33,079
Receivable from brokers, dealers and clearing organizations:
Securities borrowed	108,144		—		108,144		—		108,144
Receivables from brokers	20,140		—		20,140		—		20,140
Securities failed to deliver	7,021		—		7,021		—		7,021
Clearing organizations	28,777		—		28,777		—		28,777
Other	2,411		—		2,411		—		2,411
	166,493		—		166,493		—		166,493
Receivable from customers	720,777		—		720,777		—		720,777
Securities purchased under agreements to resell	290		—		290		—		290
Notes receivable, net	44,058		—		44,058		—		44,058
Investments ⁽¹⁾	59,765		—		59,765		—		59,765

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



(Expressed in thousands)			Fair Value Measurement: Liabilities
	Carrying Value		Level 1		Level 2		Level 3		Total
Drafts payable	$	16,348	$	16,348	$	—	$	—	$	16,348
Bank call loans	15,000		—		15,000		—		15,000
Payables to brokers, dealers and clearing organizations:
Securities loaned	146,815		—		146,815		—		146,815
Payable to brokers	158		—		158		—		158
Securities failed to receive	27,799		—		27,799		—		27,799
Other	113,628		—		113,628		—		113,628
	288,400		—		288,400		—		288,400
Payables to customers	336,616		—		336,616		—		336,616
Securities sold under agreements to repurchase	484,218		—		484,218		—		484,218
Senior secured notes	200,000		—		199,722		—		199,722

Notional Amounts and Fair Values of Derivatives by Product

The notional amounts and fair values of the Company's derivatives as of December 31, 2019 and 2018 by product were as follows:



(Expressed in thousands)
	Fair Value of Derivative Instruments as of December 31, 2019
	Description	Notional		Fair Value
Liabilities:
Derivatives not designated as hedging instruments ⁽¹⁾
Commodity contracts	Futures	$	5,209,000	$	267
Other contracts	TBAs	13,245		124
	ARS purchase commitments	7,128		1,023
		$	5,229,373	$	1,414

(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, 2018
	Description	Notional		Fair Value
Assets:
Derivatives not designated as hedging instruments ⁽¹⁾
Other contracts	TBAs	$	729,500	$	4,873

Liabilities:
Derivatives not designated as hedging instruments⁽¹⁾
Commodity contracts	Futures	$	4,580,800	$	807
Other contracts	Foreign exchange forward contracts	200		4
	TBAs	729,500		4,873
	ARS purchase commitments	7,305		1,096
		$	5,317,805	$	6,780

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 consolidated statements of income for the years ended December 31, 2019 and 2018:



(Expressed in thousands)
	The Effect of Derivative Instruments in the Consolidated Statement of Income
	For the Year Ended December 31, 2019
		Recognized in Income on Derivatives (pre-tax)
Types	Description	Location	Net Gain (Loss)
Commodity contracts	Futures	Principal transactions revenue	$	(2,362	)
Other contracts	Foreign exchange forward contracts	Other revenue	15
	TBAs	Principal transactions revenue	(53		)
	ARS purchase commitments	Principal transactions revenue	73
			$	(2,327	)

(Expressed in thousands)
	The Effect of Derivative Instruments in the Consolidated Statement of Income
	For the Year Ended December 31, 2018
		Recognized in Income on Derivatives (pre-tax)
Types	Description	Location	Net Gain (Loss)
Commodity contracts	Futures	Principal transactions revenue	$	592
Other contracts	Foreign exchange forward contracts	Other revenue	(7		)
	TBAs	Principal transactions revenue	371
	ARS purchase commitments	Principal transactions revenue	(1,088		)
			$	(132	)