Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022:

(Expressed in thousands)
	Fair Value		Unfunded Commitments		Redemption Frequency	Redemption Notice Period
Hedge funds (1)	$	813	$	—	Quarterly - Annually	30 - 120 Days
Private equity funds (2)	7,592		3,791		N/A	N/A
	$	8,405	$	3,791

(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, 2021:

(Expressed in thousands)
	Fair Value		Unfunded Commitments		Redemption Frequency	Redemption Notice Period
Hedge funds (1)	$	900	$	—	Quarterly - Annually	30 - 120 Days
Private equity funds (2)	4,621		4,035		N/A	N/A
	$	5,521	$	4,035

(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.

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 March 31, 2022 and December 31, 2021, 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, 2022:

(Expressed in thousands)
	Fair Value Measurements as of March 31, 2022
	Level 1		Level 2		Level 3		Total
Assets
Deposits with clearing organizations	$	38,566	$	—	$	—	$	38,566
Securities owned:
U.S. Treasury securities	554,315		—		—		554,315
U.S. Agency securities	—		4,643		—		4,643
Sovereign obligations	—		2,527		—		2,527
Corporate debt and other obligations	—		14,543		—		14,543
Mortgage and other asset-backed securities	—		2,750		—		2,750
Municipal obligations	—		20,136		—		20,136
Convertible bonds	—		23,074		—		23,074
Corporate equities	35,254		—		—		35,254
Auction rate securities	—		—		31,804		31,804
Securities owned, at fair value	589,569		67,673		31,804		689,046
Investments (1)	—		13,934		—		13,934
Derivative contracts:
TBAs	—		6		—		6
Derivative contracts, total	—		6		—		6
Total	$	628,135	$	81,613	$	31,804	$	741,552
Liabilities
Securities sold but not yet purchased:
U.S. Treasury securities	$	60,220	$	—	$	—	$	60,220
U.S. Agency securities	—		5		—		5
Sovereign obligations	—		4,171		—		4,171
Corporate debt and other obligations	—		5,805		—		5,805
Convertible bonds	—		6,741		—		6,741
Corporate equities	20,429		—		—		20,429
Securities sold but not yet purchased, at fair value	80,649		16,722		—		97,371
Derivative contracts:
Futures	1,832		—		—		1,832
TBAs	—		26		—		26
Derivative contracts, total	1,832		26		—		1,858
Total	$	82,481	$	16,748	$	—	$	99,229

(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, 2021:

(Expressed in thousands)
	Fair Value Measurements as of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets
Deposits with clearing organizations	$	29,083	$	—	$	—	$	29,083
Securities owned:
U.S. Treasury securities	505,875		—		—		505,875
U.S. Agency securities	—		5,622		—		5,622
Sovereign obligations	—		1,494		—		1,494
Corporate debt and other obligations	—		8,111		—		8,111
Mortgage and other asset-backed securities	—		3,889		—		3,889
Municipal obligations	—		18,520		—		18,520
Convertible bonds	—		13,778		—		13,778
Corporate equities	45,380		—		—		45,380
Money markets	31		—		—		31
Auction rate securities	—		—		31,804		31,804
Securities owned, at fair value	551,286		51,414		31,804		634,504
Investments (1)	—		12,970		—		12,970
Derivative contracts:
TBAs	—		92		—		92
Total	$	580,369	$	64,476	$	31,804	$	676,649
Liabilities
Securities sold but not yet purchased:
U.S. Treasury securities	$	42,298	$	—	$	—	$	42,298
U.S. Agency securities	—		4		—		4
Corporate debt and other obligations	—		2,515		—		2,515
Convertible bonds	—		8,462		—		8,462
Corporate equities	18,679		—		—		18,679
Securities sold but not yet purchased, at fair value	60,977		10,981		—		71,958
Derivative contracts:
Futures	287		—		—		287
TBAs	—		81		—		81
Derivative contracts, total	287		81		—		368
Total	$	61,264	$	11,062	$	—	$	72,326

(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 months ended March 31, 2022 and 2021:

(Expressed in thousands)
	Level 3 Assets and Liabilities
	For the Three Months Ended March 31, 2022
			Total Realized
	Beginning		and Unrealized		Purchases		Sales and		Transfers		Ending
	Balance		Losses		and Issuances		Settlements		In (Out)		Balance
Assets
Auction rate securities (1)	$	31,804	$	—	$	—	$	—	$	—	$	31,804

(1) Represents auction rate securities that failed in the auction rate market.

(Expressed in thousands)
	Level 3 Assets and Liabilities
	For the Three Months Ended March 31, 2021
			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)	$	30,701	$	(131)	$	1,875	$	(975)	$	—	$	31,470
Liabilities
ARS Purchase Commitments (2)	195		—		—		(130)		—		65

(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 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 March 31, 2022:

(Expressed in thousands)			Fair Value Measurement: Assets
	Carrying Value		Level 1		Level 2		Level 3		Total
Cash	$	47,453	$	47,453	$	—	$	—	$	47,453
Restricted cash	127,781		127,781		—		—		127,781
Deposits with clearing organization	62,805		62,805		—		—		62,805
Receivable from brokers, dealers and clearing organizations:
Securities borrowed	98,276		—		98,276		—		98,276
Receivables from brokers	38,165		—		38,165		—		38,165
Securities failed to deliver	37,028		—		37,028		—		37,028
Clearing organizations	19,758		—		19,758		—		19,758
Other	18,062		—		18,062		—		18,062
	211,289		—		211,289		—		211,289
Receivable from customers	1,261,305		—		1,261,305		—		1,261,305
Notes receivable, net	57,879		—		57,879		—		57,879
Investments (1)	93,055		—		93,055		—		93,055

(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	$	78,150	$	—	$	78,150	$	—	$	78,150
Payables to brokers, dealers and clearing organizations:
Securities loaned	300,323		—		300,323		—		300,323
Payable to brokers	566		—		566		—		566
Securities failed to receive	18,614		—		18,614		—		18,614
	319,503		—		319,503		—		319,503
Payables to customers	506,988		—		506,988		—		506,988
Securities sold under agreements to repurchase	481,151		—		481,151		—		481,151
Senior secured notes	125,000		—		125,054		—		125,054

Assets and liabilities not measured at fair value as of December 31, 2021:

(Expressed in thousands)			Fair Value Measurement: Assets
	Carrying Value		Level 1		Level 2		Level 3		Total
Cash	$	213,759	$	213,759	$	—	$	—	$	213,759
Restricted cash	127,765		127,765		—		—		127,765
Deposits with clearing organization	37,885		37,885		—		—		37,885
Receivable from brokers, dealers and clearing organizations:
Securities borrowed	99,752		—		99,752		—		99,752
Receivables from brokers	39,716		—		39,716		—		39,716
Securities failed to deliver	9,212		—		9,212		—		9,212
Clearing organizations	19,518		—		19,518		—		19,518
Other	1,693		—		1,693		—		1,693
	169,891		—		169,891		—		169,891
Receivable from customers	1,221,450		—		1,221,450		—		1,221,450
Securities purchased under agreements to resell	935		—		935		—		935
Notes receivable, net	53,983		—		53,983		—		53,983
Investments (1)	99,169		—		99,169		—		99,169

(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	$	69,500	$	—	$	69,500	$	—	$	69,500
Payables to brokers, dealers and clearing organizations:
Securities loaned	244,223		—		244,223		—		244,223
Payable to brokers	2,077		—		2,077		—		2,077
Securities failed to receive	6,457		—		6,457		—		6,457
Other	169,013		—		169,013		—		169,013
	421,770		—		421,770		—		421,770
Payables to customers	456,958		—		456,958		—		456,958
Securities sold under agreements to repurchase	277,322		—		277,322		—		277,322
Senior secured notes	125,000		—		131,094		—		131,094

Notional Amounts and Fair Values of Derivatives by Product

The notional amounts and fair values of the Company's derivatives as of March 31, 2022 and December 31, 2021 by product were as follows:

(Expressed in thousands)
	Fair Value of Derivative Instruments as of March 31, 2022
	Description	Notional		Fair Value
Assets:
Derivatives not designated as hedging instruments (1)
Other contracts	TBAs	$	6,700	$	6
		$	6,700	$	6
Liabilities:
Derivatives not designated as hedging instruments (1)
Commodity contracts	Futures	$	4,460,000	$	1,832
Other contracts	TBAs	6,700		26
		$	4,466,700	$	1,858

(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, 2021
	Description	Notional		Fair Value
Assets:
Derivatives not designated as hedging instruments (1)
Other contracts	TBAs	$	14,300	$	92
		$	14,300	$	92
Liabilities:
Derivatives not designated as hedging instruments (1)
Commodity contracts	Futures	$	3,520,000	$	287
Other contracts	TBAs	14,300		81
		$	3,534,300	$	368

(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 months ended March 31, 2022 and 2021:

(Expressed in thousands)
	The Effect of Derivative Instruments in the Income Statement
	For the Three Months Ended March 31, 2022
		Recognized in Income on Derivatives (pre-tax)
Types	Description	Location	Net Gain
Commodity contracts	Futures	Principal transactions revenue, net	$	2,191
Other contracts	TBAs	Principal transactions revenue, net	63
			$	2,254
(Expressed in thousands)
	The Effect of Derivative Instruments in the Income Statement
	For the Three Months Ended March 31, 2021
		Recognized in Income on Derivatives (pre-tax)
Types	Description	Location	Net Gain
Commodity contracts	Futures	Principal transactions revenue, net	$	1,020
Other contracts	TBAs	Principal transactions revenue, net	37
			$	1,057