Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2020

The following table provides information about the Company's investments in Company-sponsored funds as of March 31, 2020:



(Expressed in thousands)
	Fair Value		Unfunded Commitments		Redemption Frequency	Redemption Notice Period
Hedge funds ⁽¹⁾	$	1,164	$	—	Quarterly - Annually	30 - 120 Days
Private equity funds ⁽²⁾	3,815		1,399		N/A	N/A
	$	4,979	$	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

bilities, recorded at fair value on a recurring basis as of March 31, 2020 and December 31, 2019, 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 March 31, 2020:



(Expressed in thousands)
	Fair Value Measurements as of March 31, 2020
	Level 1		Level 2		Level 3		Total
Assets
Deposits with clearing organizations	$	36,593	$	—	$	—	$	36,593
Securities owned:
U.S. Treasury securities	156,304		—		—		156,304
U.S. Agency securities	2,642		9,854				12,496
Sovereign obligations	—		1,776		—		1,776
Corporate debt and other obligations	—		16,463		—		16,463
Mortgage and other asset-backed securities	—		2,243		—		2,243
Municipal obligations	—		45,448		—		45,448
Convertible bonds	—		21,781		—		21,781
Corporate equities	25,582		—		—		25,582
Money markets	917		—		—		917
Auction rate securities	—		26,336		—		26,336
Securities owned, at fair value	185,445		123,901		—		309,346
Derivative contracts:
TBAs	—		638		—		638
Total	$	222,038	$	124,539	$	—	$	346,577
Liabilities
Securities sold but not yet purchased:
U.S. Treasury securities	$	10,679	$	—	$	—	$	10,679
U.S. Agency securities	—		8		—		8
Sovereign obligations	—		1,389		—		1,389
Corporate debt and other obligations	—		5,131		—		5,131
Convertible bonds	—		3,880		—		3,880
Corporate equities	13,552		—		—		13,552
Securities sold but not yet purchased, at fair value	24,231		10,408		—		34,639
Derivative contracts:
Futures	1,161		—		—		1,161
Foreign exchange forward contracts	31		—		—		31
TBAs	—		643		—		643
ARS purchase commitments	—		887		—		887
Derivative contracts, total	1,192		1,530		—		2,722
Total	$	25,423	$	11,938	$	—	$	37,361

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	—		—		—		—
Corporate equities	21,978		—		—		21,978
Securities sold but not yet purchased, at fair value	74,860		25,711		—		100,571
Derivative contracts:
Futures	267		—		—		267
Foreign exchange forward contracts	—		—		—		—
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

For the three months ended March 31, 2020, there were no balances or changes in Level 3 assets and liabilities.

Financial Instruments, Estimate Not Practicable, Fair Value

d at fair value as of March 31, 2020:



(Expressed in thousands)			Fair Value Measurement: Assets
	Carrying Value		Level 1		Level 2		Level 3		Total
Cash	$	23,540	$	23,540	$	—	$	—	$	23,540
Deposits with clearing organization	82,987		82,987		—		—		82,987
Receivable from brokers, dealers and clearing organizations:
Securities borrowed	102,844		—		102,844		—		102,844
Receivables from brokers	37,588		—		37,588		—		37,588
Securities failed to deliver	26,694		—		26,694		—		26,694
Clearing organizations	28,463		—		28,463		—		28,463
Other	2,833		—		2,833		—		2,833
	198,422		—		198,422		—		198,422
Receivable from customers	964,772		—		964,772		—		964,772
Notes receivable, net	44,960		—		44,960		—		44,960
Investments ⁽¹⁾	60,631		—		60,631		—		60,631

(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	$	19,066	$	19,066	$	—	$	—	$	19,066
Bank call loans	203,100		—		203,100		—		203,100
Payables to brokers, dealers and clearing organizations:
Securities loaned	181,745		—		181,745		—		181,745
Payable to brokers	5,079		—		5,079		—		5,079
Securities failed to receive	45,593		—		45,593		—		45,593
Other	6,005		—		6,005		—		6,005
	238,422		—		238,422		—		238,422
Payables to customers	413,646		—		413,646		—		413,646
Securities sold under agreements to repurchase	124,103		—		124,103		—		124,103
Senior secured notes	148,574		—		140,624		—		140,624

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 condensed 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

Fair Value Option

The Compa

Notional Amounts and Fair Values of Derivatives by Product

es of the Company's derivatives as of March 31, 2020 and December 31, 2019 by product were as follows:



(Expressed in thousands)
	Fair Value of Derivative Instruments as of March 31, 2020
	Description	Notional		Fair Value
Assets:
Derivatives not designated as hedging instruments⁽¹⁾
Other contracts	TBAs	$	18,900	$	638
		$	18,900	$	638
Liabilities:
Derivatives not designated as hedging instruments ⁽¹⁾
Commodity contracts	Futures	$	1,555,000	$	1,161
Other contracts	Foreign exchange forward contracts	800		31
Other contracts	TBAs	18,900		643
	ARS purchase commitments	6,074		887
		$	1,580,774	$	2,722


(1)	See "Derivative Instruments and Hedging Activities" above for 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, 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.

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 statements of income for the three months ended March 31, 2020 and 2019:



(Expressed in thousands)
	The Effect of Derivative Instruments in the Income Statement
	For the Three Months Ended March 31, 2020
		Recognized in Income on Derivatives (pre-tax)
Types	Description	Location	Net Gain (Loss)
Commodity contracts	Futures	Principal transactions revenue	$	(8,093	)
Other contracts	Foreign exchange forward contracts	Other revenue	2
	TBAs	Principal transactions revenue	(12		)
	ARS purchase commitments	Principal transactions revenue	136
			$	(7,967	)

(Expressed in thousands)
	The Effect of Derivative Instruments in the Income Statement
	For the Three Months Ended March 31, 2019
		Recognized in Income on Derivatives (pre-tax)
Types	Description	Location	Net Gain (Loss)
Commodity contracts	Futures	Principal transactions revenue	$	(576	)
Other contracts	Foreign exchange forward contracts	Other revenue	(2		)
	TBAs	Principal transactions revenue	10
	ARS purchase commitments	Principal transactions revenue	(18		)
			$	(586	)