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Fair Value Disclosures (Tables)
 3 Months Ended
Mar. 31, 2017
Fair Value Disclosures [Abstract]  
Schedule Of Assets And Liabilities Measured On Recurring Basis At Fair Value
The following is a summary of our financial instruments, trading liabilities and long-term debt that are accounted for at fair value on a recurring basis, excluding Investments at fair value based on net asset value ("NAV") (within trading assets) of $24.2 million and $24.3 million, respectively, by level within the fair value hierarchy at March 31, 2017 and December 31, 2016 (in thousands):
 
March 31, 2017
 
Level 1 (1)
 
Level 2 (1)
 
Level 3
 
Counterparty
and
Cash
Collateral
Netting (2)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Trading assets, at fair value:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
2,620,350

 
$
86,959

 
$
20,580

 
$
—

 
$
2,727,889

Corporate debt securities
—

 
2,422,480

 
33,467

 
—

 
2,455,947

CDOs and CLOs
—

 
39,899

 
45,354

 
—

 
85,253

U.S. government and federal agency securities
1,124,343

 
28,702

 
—

 
—

 
1,153,045

Municipal securities
—

 
714,104

 
26,554

 
—

 
740,658

Sovereign obligations
1,506,428

 
1,312,799

 
—

 
—

 
2,819,227

Residential mortgage-backed securities
—

 
1,400,215

 
39,259

 
—

 
1,439,474

Commercial mortgage-backed securities
—

 
565,494

 
20,653

 
—

 
586,147

Other asset-backed securities
—

 
113,881

 
37,702

 
—

 
151,583

Loans and other receivables
—

 
1,729,227

 
53,172

 
—

 
1,782,399

Derivatives
5,045

 
3,016,829

 
4,905

 
(2,826,763
)
 
200,016

Investments at fair value
—

 
—

 
307,830

 
—

 
307,830

FXCM term loan
—

 
—

 
132,800

 
—

 
132,800

Total trading assets, excluding investments at fair value based on NAV
$
5,256,166


$
11,430,589


$
722,276


$
(2,826,763
)

$
14,582,268

 
 
 
 
 
 
 
 
 
 
Available for sale securities:
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
95,545

 
$
—

 
$
—

 
$
—

 
$
95,545

Corporate debt securities
—

 
179

 
—

 
—

 
179

U.S. government securities
293,142

 
—

 
—

 
—

 
293,142

Residential mortgage-backed securities
—

 
34,828

 
—

 
—

 
34,828

Commercial mortgage-backed securities
—

 
10,446

 
—

 
—

 
10,446

Other asset-backed securities
—

 
28,363

 
—

 
—

 
28,363

Total available for sale securities
$
388,687


$
73,816


$
—


$
—


$
462,503

 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
1,468,429

 
$
32,576

 
$
324

 
$
—

 
$
1,501,329

Corporate debt securities
—

 
1,544,945

 
523

 
—

 
1,545,468

U.S. government and federal agency securities
841,725

 
—

 
—

 
—

 
841,725

Sovereign obligations
1,500,854

 
1,485,616

 
—

 
—

 
2,986,470

Loans
—

 
1,491,488

 
1,036

 
—

 
1,492,524

Derivatives
7,710

 
3,171,881

 
11,318

 
(2,794,432
)
 
396,477

Total trading liabilities
$
3,818,718


$
7,726,506


$
13,201


$
(2,794,432
)

$
8,763,993

Other secured financings
$
—

 
$
34,100

 
$
87

 
$
—

 
$
34,187

Long-term debt - structured notes
$
—

 
$
310,057

 
$
—

 
$
—

 
$
310,057

 
December 31, 2016
 
Level 1 (1)
 
Level 2 (1)
 
Level 3
 
Counterparty
and
Cash
Collateral
Netting (2)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Trading assets, at fair value:
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
2,522,977

 
$
92,839

 
$
21,739

 
$
—

 
$
2,637,555

Corporate debt securities
—

 
2,675,020

 
25,005

 
—

 
2,700,025

CDOs and CLOs
—

 
54,306

 
54,354

 
—

 
108,660

U.S. government and federal agency securities
2,389,397

 
56,726

 
—

 
—

 
2,446,123

Municipal securities
—

 
708,469

 
27,257

 
—

 
735,726

Sovereign obligations
1,432,556

 
990,492

 
—

 
—

 
2,423,048

Residential mortgage-backed securities
—

 
960,494

 
38,772

 
—

 
999,266

Commercial mortgage-backed securities
—

 
296,405

 
20,580

 
—

 
316,985

Other asset-backed securities
—

 
63,587

 
40,911

 
—

 
104,498

Loans and other receivables
—

 
1,557,233

 
81,872

 
—

 
1,639,105

Derivatives
3,825

 
4,616,822

 
6,429

 
(4,255,998
)
 
371,078

Investments at fair value
—

 
—

 
314,359

 
—

 
314,359

FXCM term loan
—

 
—

 
164,500

 
—

 
164,500

Total trading assets, excluding investments at fair value based on NAV
$
6,348,755


$
12,072,393


$
795,778


$
(4,255,998
)

$
14,960,928

 
 
 
 
 
 
 
 
 
 
Available for sale securities:
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
79,425

 
$
—

 
$
—

 
$
—

 
$
79,425

Corporate debt securities
—

 
179

 
—

 
—

 
179

U.S. government securities
174,933

 
—

 
—

 
—

 
174,933

Residential mortgage-backed securities
—

 
19,133

 
—

 
—

 
19,133

Commercial mortgage-backed securities
—

 
8,337

 
—

 
—

 
8,337

Other asset-backed securities
—

 
19,042

 
—

 
—

 
19,042

Total available for sale securities
$
254,358


$
46,691


$
—


$
—


$
301,049

 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
1,593,548

 
$
16,806

 
$
313

 
$
—

 
$
1,610,667

Corporate debt securities
—

 
1,718,424

 
523

 
—

 
1,718,947

U.S. government and federal agency securities
976,497

 
—

 
—

 
—

 
976,497

Sovereign obligations
1,375,590

 
1,253,754

 
—

 
—

 
2,629,344

Loans
—

 
801,977

 
378

 
—

 
802,355

Derivatives
2,566

 
4,867,586

 
9,870

 
(4,229,213
)
 
650,809

Total trading liabilities
$
3,948,201


$
8,658,547


$
11,084


$
(4,229,213
)

$
8,388,619

Other secured financings
$
—

 
$
41,350

 
$
418

 
$
—

 
$
41,768

Long-term debt - structured notes
$
—

 
$
248,856

 
$
—

 
$
—

 
$
248,856


(1)
There were no material transfers between Level 1 and Level 2 during the three months ended March 31, 2017 and during the year ended December 31, 2016.
(2)
Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.
Investments Measured At Fair Value Based On Net Asset Value
The following tables present information about our investments in entities that have the characteristics of an investment company (in thousands).
 
Fair Value (1)
 
Unfunded
Commitments
 
Redemption
Frequency
(if currently eligible)
March 31, 2017
 
 
 
 
 
Equity Long/Short Hedge Funds (2)
$
362,870

 
$
—

 
(2)
Fixed Income and High Yield Hedge Funds (3)
761

 
—

 
—
Fund of Funds (4)
169

 
—

 
—
Equity Funds (5)
40,688

 
20,040

 
—
Multi-asset Funds (6)
118,211

 
—

 
—
Total
$
522,699


$
20,040

 
 
 
 
 
 
 
 
December 31, 2016
 

 
 

 
 
Equity Long/Short Hedge Funds (2)
$
363,256

 
$
—

 
(2)
Fixed Income and High Yield Hedge Funds (3)
772

 
—

 
—
Fund of Funds (4)
230

 
—

 
—
Equity Funds (5)
42,179

 
20,295

 
—
Multi-asset Funds (6)
133,190

 
—

 
—
Total
$
539,627


$
20,295

 
 
 
(1)
Where fair value is calculated based on NAV, fair value has been derived from each of the funds' capital statements.
(2)
This category includes investments in hedge funds that invest, long and short, in primarily equity securities in domestic and international markets in both the public and private sectors.  At March 31, 2017 and December 31, 2016, the majority of these investments are redeemable with 10 business days prior written notice.
(3)
This category includes investments in funds that invest in loans secured by a first trust deed on property, domestic and international public high yield debt, private high yield investments, senior bank loans, public leveraged equities, distressed debt, and private equity investments.  There are no redemption provisions. 
(4)
This category includes investments in fund of funds that invest in various private equity funds.  The investments in this category are managed by us and have no redemption provisions.  These investments are gradually being liquidated or we have requested redemption, however, we are unable to estimate when these funds will be received.
(5)
At March 31, 2017 and December 31, 2016, the investments in this category include investments in equity funds that invest in the equity of various U.S. and foreign private companies in the energy, technology, internet service and telecommunication service industries.  These investments cannot be redeemed; instead distributions are received through the liquidation of the underlying assets of the funds, which are expected to liquidate in one to six years. 
(6)
This category includes investments in hedge funds that invest, long and short, primarily in multi-asset securities in domestic and international markets in both the public and private sectors. At March 31, 2017 and December 31, 2016, investments representing approximately 13% and 12%, respectively, of the fair value of investments in this category are redeemable with 30 to 90 days prior written notice.

Summary Of Changes In Fair Value Of Financial Assets And Liabilities Classified As Level 3
The following is a summary of changes in fair value of our financial assets and liabilities that have been categorized within Level 3 of the fair value hierarchy for the three months ended March 31, 2016 (in thousands):
Three Months Ended March 31, 2016
 
Balance, December 31, 2015
 
Total gains (losses)
(realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers
into (out of)
Level 3
 
Balance, March 31, 2016
 
Changes in
unrealized gains (losses) relating to instruments still held at
March 31, 2016 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
40,906

 
$
3,071

 
$
2,087

 
$
—

 
$
—

 
$
—

 
$
(15,524
)
 
$
30,540

 
$
3,560

Corporate debt securities
25,876

 
(2,602
)
 
15,337

 
(15,129
)
 
(111
)
 
—

 
2,263

 
25,634

 
(2,540
)
CDOs and CLOs
85,092

 
(16,573
)
 
1,021

 
(20,178
)
 
(463
)
 
—

 
18,449

 
67,348

 
(17,003
)
Sovereign obligations
120

 
(1
)
 
—

 
—

 
—

 
—

 
—

 
119

 
(1
)
Residential mortgage-backed securities
70,263

 
(4,548
)
 
62,844

 
(64,926
)
 
(114
)
 
—

 
4,500

 
68,019

 
(3,358
)
Commercial mortgage-backed securities
14,326

 
(971
)
 
2,962

 
—

 
(878
)
 
—

 
6,555

 
21,994

 
(1,387
)
Other asset-backed securities
42,925

 
1,662

 
15,425

 
(2,100
)
 
(1
)
 
—

 
(24,787
)
 
33,124

 
1,679

Loans and other receivables
189,289

 
(5,772
)
 
181,264

 
(114,667
)
 
(95,354
)
 
—

 
682

 
155,442

 
(9,113
)
Investments at fair value
199,794

 
48,618

 
1,187

 
—

 
(273
)
 
—

 
26,063

 
275,389

 
48,618

Investment in FXCM
625,689

 
(53,203
)
 
—

 
—

 
(7,686
)
 
—

 
—

 
564,800

 
(53,203
)
Liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
38

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
38

 
$
—

Net derivatives (2)
(242
)
 
10,304

 
—

 
—

 
2,558

 
554

 
(1,417
)
 
11,757

 
(8,135
)
Loans
10,469

 
(345
)
 
(2,240
)
 
1,033

 
(1,077
)
 
—

 
(96
)
 
7,744

 
345

Other secured financings
544

 
(6
)
 
—

 
—

 
—

 
—

 
—

 
538

 
—


(1)
Realized and unrealized gains (losses) are reported in Principal transactions in the Consolidated Statements of Operations.
(2)
Net derivatives represent Trading assets - Derivatives and Trading liabilities - Derivatives.
The following is a summary of changes in fair value of our financial assets and liabilities that have been categorized within Level 3 of the fair value hierarchy for the three months ended March 31, 2017 (in thousands):
Three Months Ended March 31, 2017
 
Balance, December 31, 2016
 
Total gains (losses)
(realized and unrealized) (1)
 
Purchases
 
Sales
 
Settlements
 
Issuances
 
Net transfers
into (out of)
Level 3
 
Balance at March 31, 2017
 
Changes in
unrealized gains (losses) relating to instruments still held at
March 31, 2017 (1)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate equity securities
$
21,739

 
$
532

 
$
847

 
$
(145
)
 
$
(186
)
 
$
—

 
$
(2,207
)
 
$
20,580

 
$
362

Corporate debt securities
25,005

 
(1,793
)
 
3,002

 
(3,157
)
 
(1,207
)
 
—

 
11,617

 
33,467

 
(1,662
)
CDOs and CLOs
54,354

 
(7,594
)
 
8,663

 
(22,633
)
 
(45
)
 
—

 
12,609

 
45,354

 
(8,525
)
Municipal securities
27,257

 
(636
)
 
—

 
(67
)
 
—

 
—

 
—

 
26,554

 
(641
)
Residential mortgage-backed securities
38,772

 
(253
)
 
263

 
(12,411
)
 
(210
)
 
—

 
13,098

 
39,259

 
(440
)
Commercial mortgage-backed securities
20,580

 
(1,420
)
 
—

 
(412
)
 
—

 
—

 
1,905

 
20,653

 
(1,421
)
Other asset-backed securities
40,911

 
(1,788
)
 
3,553

 
(299
)
 
(3,335
)
 
—

 
(1,340
)
 
37,702

 
(1,717
)
Loans and other receivables
81,872

 
4,950

 
9,489

 
(9,778
)
 
(7,764
)
 
—

 
(25,597
)
 
53,172

 
836

Investments at fair value
314,359

 
3,856

 
—

 
(10,119
)
 
(266
)
 
—

 
—

 
307,830

 
5,879

FXCM term loan
164,500

 
10,878

 
—

 
—

 
(42,578
)
 
—

 
—

 
132,800

 
3,272

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Trading liabilities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Corporate equity securities
$
313

 
$
11

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
324

 
$
(11
)
Corporate debt securities
523

 
—

 
—

 
—

 
—

 
—

 
—

 
523

 
—

Net derivatives (2)
3,441

 
(4,384
)
 
—

 
—

 
3,373

 
186

 
3,797

 
6,413

 
1,347

Loans
378

 
189

 
(323
)
 
—

 
—

 
—

 
792

 
1,036

 
(189
)
Other secured financings
418

 
(8
)
 
—

 
—

 
—

 
—

 
(323
)
 
87

 
11


(1)
Realized and unrealized gains (losses) are reported in Principal transactions in the Consolidated Statements of Operations.
(2)
Net derivatives represent Trading assets - Derivatives and Trading liabilities - Derivatives.
Quantitative Information About Significant Unobservable Inputs Used In Level 3 Fair Value Measurements
March 31, 2017
Financial Instruments Owned
 
Fair Value
(in thousands)
 
Valuation
 Technique
 
Significant
Unobservable Input(s)
 
Input/Range
 
Weighted
Average
Corporate equity securities
 
$
18,834

 
 
 
 
 
 
 
 
Non-exchange traded securities
 
 

 
Market approach
 
Price
 
$3 to $75
 
$44.0
 
 
 
 

 
Underlying stock price
 
$6
 
—

 
 
 
 
Comparable pricing
 
Comparable asset price
 
$9
 
—

 
 
 
 
Option model
 
Volatility
 
40%
 
—

 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities
 
$
33,467

 
Convertible bond model
 
Discount rate/yield
 
8%
 
—

 
 
 
 
 
 
Volatility
 
40%
 
—

 
 
 
 
Market approach
 
Price
 
$18 to $98
 
$53.0
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
1% to 3%
 
2
%
 
 
 
 
 
 
 
 
 
 
 
CDOs and CLOs
 
$
45,354

 
Discounted cash flows
 
Constant prepayment rate
 
20%
 
—

 
 
 

 
   
 
Constant default rate
 
2% to 8%
 
3
%
 
 
 

 
   
 
Loss severity
 
25% to 70%
 
29
%
 
 
 

 
   
 
Discount rate/yield
 
9% to 18%
 
13
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
4% to 45%
 
30
%
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-backed securities
 
$
39,259

 
Discounted cash flows
 
Cumulative loss rate
 
0% to 22%
 
7
%
 
 
 

 
   
 
Duration (years)
 
4 to 18
 
10

 
 
 

 
   
 
Discount rate/yield
 
5% to 11%
 
7
%
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
$
20,653

 
Discounted cash flows
 
Cumulative loss rate
 
15% to 68%
 
30
%
 
 
 

 
   
 
Duration (years)
 
1 to 5
 
3

 
 
 
 
 
 
Discount rate/yield
 
7% to 19%
 
11
%
 
 
 
 
 
 
 
 
 
 
 
Other asset-backed securities
 
$
37,702

 
Discounted cash flows
 
Cumulative loss rate
 
0% to 30%
 
18
%
 
 
 

 
   
 
Duration (years)
 
1 to 11
 
2

 
 
 

 
   
 
Discount rate/yield
 
4% to 15%
 
14
%
 
 
 
 
Market approach
 
Price
 
$100
 
—

 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
51%
 
—

 
 
 
 
 
 
 
 
 
 
 
Loans and other receivables
 
$
51,929

 
Discounted cash flows
 
Discount rate/yield
 
32%
 
—

 
 
 
 
 
 
Cumulative loss rate
 
0%
 
—

 
 
 
 
   
 
Duration (years)
 
0.1
 
—

 
 
 

 
Market approach
 
EBITDA (a) multiple
 
3.3
 
—

 
 
 
 
 
 
Transaction level
 
$1 to $42
 
$32.0
 
 
 
 
 
 
Price
 
$98 to $100
 
$99.0
 
 
 
 
 
 
Estimated recovery percentage
 
103%
 
—

 
 
 
 
Present value
 
Average silver production (tons per day)
 
642
 
—

 
 
 

 
Scenario analysis
 
Estimated recovery percentage
 
3% to 45%
 
31
%
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
4,905

 
 
 
 
 
 
 
 

Unfunded commitments
 
 
 
    Market approach
 
Price
 
$82 to $97
 
$94.0
 Credit default swaps
 
 

 
    Market approach
 
Credit spread
 
265 bps
 
—

Interest rate swaps
 
 
 
    Market approach
 
Credit spread
 
800 bps
 
—

 
 
 
 
 
 
 
 
 
 
 
Investments at fair value
 
 

 
 
 
 
 
 
 
 

Private equity securities
 
$
93,198

 
Market approach
 
Transaction level
 
$3 to $250
 
$116.0
 
 
 
 
 
 
Discount rate
 
15% to 30%
 
23
%
 
 
 
 
 
 
 
 
 
 
 
Investment in FXCM
 
 

 
 
 
 
 
 
 
 

Term loan
 
$
132,800

 
Discounted cash flows
 
Term based on the pay off
 
0 months to .75 years
 
0.5 years
 
 
 
 
 
 
 
 
 
 
 
Trading Liabilities
 
Fair Value
(in thousands)
 
Valuation
 Technique
 
Significant
Unobservable Input(s)
 
Input/Range
 
Weighted
Average
Derivatives
 
$
11,318

 
 
 
 
 
 
 
 

Equity options
 
 
 
Option model/default rate
 
    Default probability
 
0%
 
—

Unfunded commitments
 
 
 
Market approach
 
Price
 
$82 to $98
 
$87.0
Variable funding note swaps
 
 

 
Discounted cash flows
 
Constant prepayment rate
 
20%
 
—

 
 
 

 
   
 
Constant default rate
 
2%
 
—

 
 
 

 
   
 
Loss severity
 
25%
 
—

 
 
 

 
   
 
Discount rate/yield
 
18%
 
—

December 31, 2016
Financial Instruments Owned
 
Fair Value
(in thousands)
 
Valuation
 Technique
 
Significant
Unobservable Input(s)
 
Input/Range
 
Weighted
Average
Corporate equity securities
 
$
19,799

 
 
 
 
 
 
 
 
Non-exchange traded securities
 
 
 
Market approach
 
Underlying stock price
 
$3 to $75
 
$15.0
 
 
 
 
Comparable pricing
 
Underlying stock price
 
$218
 
—

 
 
 
 
 
 
Comparable asset price
 
$11
 
—

 
 
 
 
Present value
 
Average silver production (tons per day)
 
666
 
—

 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities
 
$
25,005

 
Convertible bond model
 
Discount rate/yield
 
9%
 
—

 
 
 
 
 
 
Volatility
 
40%
 
—

 
 
 
 
Market approach
 
Transaction level
 
$30
 
—

 
 
 
 
 
 
 
 
 
 
 
CDOs and CLOs
 
$
33,016

 
Discounted cash flows
 
Constant prepayment rate
 
10% to 20%
 
19
%
 
 
 

 
   
 
Constant default rate
 
2% to 4%
 
2
%
 
 
 

 
   
 
Loss severity
 
25% to 70%
 
40
%
 
 
 

 
   
 
Yield
 
7% to 17%
 
12
%
 
 
 
 
Scenario analysis
 
Estimated recovery percentage
 
28% to 38%
 
31
%
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-backed securities
 
$
38,772

 
Discounted cash flows
 
Constant prepayment rate
 
0% to 11%
 
5
%
 
 
 

 
   
 
Constant default rate
 
1% to 7%
 
3
%
 
 
 

 
   
 
Loss severity
 
35% to 100%
 
62
%
 
 
 

 
   
 
Yield
 
2% to 10%
 
6
%
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
$
20,580

 
Discounted cash flows
 
Yield
 
6% to 11%
 
8
%
 
 
 

 
   
 
Cumulative loss rate
 
5% to 95%
 
39
%
 
 
 
 
 
 
 
 
 
 
 
Other asset-backed securities
 
$
40,911

 
Discounted cash flows
 
Constant prepayment rate
 
4% to 20%
 
14
%
 
 
 

 
   
 
Constant default rate
 
0% to 31%
 
13
%
 
 
 

 
   
 
Loss severity
 
0% to 100%
 
90
%
 
 
 

 
   
 
Yield
 
4% to 17%
 
15
%
 
 
 
 
Market approach
 
Price
 
$72
 
—

 
 
 
 
 
 
 
 
 
 
 
Loans and other receivables
 
$
54,347

 
Market approach
 
Discount rate/yield
 
2% to 4%
 
3
%
 
 
 

 
   
 
EBITDA (a) multiple
 
3.3
 
—

 
 
 
 
 
 
Transaction level
 
$0.42
 
—

 
 
 
 
Present value
 
Average silver production (tons per day)
 
666
 
—

 
 
 

 
Scenario analysis
 
Estimated recovery percentage
 
6% to 50%
 
37
%
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
6,429

 
 
 
 
 
 
 
 

Equity swaps
 
 

 
Comparable pricing
 
Comparable asset price
 
$102
 
—

Credit default swaps
 
 
 
    Market approach
 
Credit spread
 
265 bps
 
—

 
 
 
 
 
 
 
 
 
 
 
Investments at fair value
 
 

 
 
 
 
 
 
 
 

Private equity securities
 
$
67,383

 
Market approach
 
Transaction level
 
$250
 
—

 
 
 
 
 
 
Price
 
$25,815,720
 
—

 
 
 
 
 
 
Discount rate
 
15% to 30%
 
23
%
 
 
 
 
 
 
 
 
 
 
 
Investment in FXCM
 
 

 
 
 
 
 
 
 
 

Term loan
 
$
164,500

 
Discounted cash flows
 
Term based on the pay off
 
0 months to .5 years
 
0.4 years
 
 
 

 
 
 
 
 
 
 
 
Trading Liabilities
 
Fair Value
(in thousands)
 
Valuation
 Technique
 
Significant
Unobservable Input(s)
 
Input/Range
 
Weighted
Average
Derivatives
 
$
9,870

 
 
 
 
 
 
 
 

Equity options
 
 

 
Option model
 
Volatility
 
45%
 
—

 
 
 
 
Default rate
 
    Default probability
 
0%
 
—

Equity swaps
 
 
 
Comparable pricing
 
Comparable asset price
 
$102
 
—

Unfunded commitments
 
 
 
Market approach
 
Discount rate/yield
 
4%
 
—

Variable funding note swaps
 
 
 
Discounted cash flows
 
Constant prepayment rate
 
20%
 
—

 
 
 
 
   
 
Constant default rate
 
2%
 
—

 
 
 
 
   
 
Loss severity
 
25%
 
—

 
 
 
 
   
 
Yield
 
16%
 
—

(a)
Earnings before interest, taxes, depreciation and amortization (“EBITDA”).
Summary Of Gains (Losses) Due To Changes In Instrument Specific Credit Risk For Loans and Other Receivables And Loan Commitments Measured At Fair Value Under Fair Value Option
The following is a summary of Jefferies gains (losses) due to changes in instrument specific credit risk on loans, other receivables and debt instruments and gains (losses) due to other changes in fair value on long-term debt measured at fair value under the fair value option for the three months ended March 31, 2017 and 2016 (in thousands):
 

For the Three Months Ended March 31,
 
 
 
 
2017
 
2016
Financial Instruments Owned:
 
 
 
 
Loans and other receivables
 
$
(5,127
)
 
$
(15,462
)
 
 
 
 
 
Financial Instruments Sold:
 
 

 
 

Loans
 
$
(27
)
 
$
48

Loan commitments
 
$
871

 
$
(3,746
)
 
 
 
 
 
Long-term Debt:
 
 

 
 

Changes in instrument specific credit risk (1)
 
$
(16,040
)
 
$
(302
)
Other changes in fair value (2)
 
$
3,417

 
$
6,858


(1) Changes in instrument specific credit risk related to structured notes are included in the Consolidated Statements of Comprehensive Income (Loss), net of tax.
(2) Other changes in fair value are included within Principal transactions revenues in the Consolidated Statements of Operations.
Summary Of Amount By Which Contractual Principal Exceeds Fair Value For Loans And Other Receivables Measured At Fair Value Under Fair Value Option
The following is a summary of the amount by which contractual principal exceeds fair value for loans and other receivables and long-term debt measured at fair value under the fair value option (in thousands):
 
March 31, 2017
 
December 31, 2016
Financial Instruments Owned:
 
 
 
Loans and other receivables (1)
$
1,078,397

 
$
1,325,938

Loans and other receivables on nonaccrual status and/or greater than 90 days past due (1) (2)
$
242,022

 
$
205,746

Long-term Debt
$
7,582

 
$
20,202


(1)
Interest income is recognized separately from other changes in fair value and is included within Interest income in the Consolidated Statements of Operations.
(2)
Amounts include all loans and other receivables greater than 90 days past due of $68.5 million and $64.6 million at March 31, 2017 and December 31, 2016, respectively.