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Fair Value of Financial Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2018

Fair Value Disclosures [Abstract]

Fair Value Hierarchy of Financial Assets and Liabilities

The following tables set forth by level within the fair value hierarchy financial assets and liabilities carried at fair value at September 30, 2018 and December 31, 2017 (in thousands):

		Assets at Fair Value at September 30, 2018
		Level 1				Level 2 1				Level 3				Netting and Collateral				Total
Loans held for sale, at fair value		$	—			$	1,132,665			$	—			$	—			$	1,132,665
Marketable securities			152,485				—				—				—				152,485
Government debt			75,346				—				—				—				75,346
Securities owned—Equities			565				—				—				—				565
Forwards			—				64,949				20,515				—				85,464
Rate lock commitments			—				—				6,219				—				6,219
Foreign exchange swaps			—				3,586				—				(630	)			2,956
Futures			—				34,405				—				(34,301	)			104
Foreign exchange/commodities options			210,086				—				—				(210,085	)			1
Total		$	438,482			$	1,235,605			$	26,734			$	(245,016	)		$	1,455,805

¹ In addition, the Company has equity securities with a fair value of approximately $49.1 million, which are presented in “Other Assets” in the Company’s unaudited condensed consolidated statements of financial condition as of September 30, 2018. These investments are remeasured to fair value on a non-recurring basis and are classified within Level 2 in the fair value hierarchy.

		Liabilities at Fair Value at September 30, 2018
		Level 1				Level 2				Level 3				Netting and Collateral				Total
Foreign exchange/commodities options		$	258,918			$	—			$	—			$	(210,085	)		$	48,833
Rate lock commitments			—				—				12,089				—				12,089
Foreign exchange swaps			—				2,930				—				(630	)			2,300
Forwards			—				537				37				—				574
Futures			—				34,301				—				(34,301	)			—
Contingent consideration			—				—				61,076				—				61,076
Total		$	258,918			$	37,768			$	73,202			$	(245,016	)		$	124,872

		Assets at Fair Value at December 31, 2017
		Level 1				Level 2				Level 3				Netting and Collateral				Total
Loans held for sale, at fair value		$	—			$	362,635			$	—			$	—			$	362,635
Marketable securities			208,176			—				—				—					208,176
Government debt			32,744				—				—				—				32,744
Securities owned—Equities			263				—				—				—				263
Foreign exchange/commodities options			31,834			—				—					(27,418	)			4,416
Forwards			—				610				3,753				(101	)			4,262
Rate lock commitments			—			—					2,923				—				2,923
Foreign exchange swaps			—				1,135				—				(334	)			801
Interest rate swaps			—				242			—				—					242
Futures			—				78,969				—				(78,944	)			25
Total		$	273,017			$	443,591			$	6,676			$	(106,797	)		$	616,487

		Liabilities at Fair Value at December 31, 2017
		Level 1				Level 2				Level 3				Netting and Collateral				Total
Foreign exchange swaps		$	—			$	3,180			$	—			$	(334	)		$	2,846
Rate lock commitments			—				—				2,390				—				2,390
Forwards			—				927				657				(101	)			1,483
Futures			—				80,010				—				(78,944	)			1,066
Foreign exchange/commodities options			27,548				—				—				(27,418	)			130
Equity options			18				—				—				—				18
Contingent consideration			—				—				67,172				—				67,172
Total		$	27,566			$	84,117			$	70,219			$	(106,797	)		$	75,105

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

Level 3 Financial Assets and Liabilities

Changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended September 30, 2018 were as follows (in thousands):

		Opening Balance as of July 1, 2018				Total realized and unrealized gains (losses) included in Net income (loss)				Unrealized gains (losses) included in Other comprehensive income (loss)				Purchases/Issuances				Sales/Settlements				Closing Balance at September 30, 2018				Unrealized gains (losses) for Level 3 Assets / Liabilities Outstanding at September 30, 2018
Assets
Rate lock commitments and    forwards, net		$	16,304			$	14,608			$	—			$	—			$	(16,304	)		$	14,608			$	14,608
Liabilities
Accounts payable, accrued and    other liabilities:
Contingent consideration1		$	53,164			$	(966	)		$	291			$	7,482			$	(245	)		$	61,076			$	(675	)

¹ Realized and unrealized gains (losses) are reported in “Other expenses” and “Other income (loss),” as applicable, in the Company’s unaudited condensed consolidated statements of operations.

Changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended September 30, 2017 were as follows (in thousands):

		Opening Balance as of July 1, 2017				Total realized and unrealized gains (losses) included in Net income (loss)				Unrealized gains (losses) included in Other comprehensive income (loss)				Purchases/Issuances				Sales/Settlements				Closing Balance at September 30, 2017				Unrealized gains (losses) for Level 3 Assets / Liabilities Outstanding at September 30, 2017
Assets
Rate lock commitments and    forwards, net		$	10,566			$	10,070			$	—			$	—			$	(10,566	)		$	10,070			$	10,070
Liabilities
Accounts payable, accrued and    other liabilities:
Contingent consideration1		$	68,838			$	(1,965	)		$	(881	)		$	1,262			$	(1,702	)		$	71,244			$	(2,846	)

¹ Realized and unrealized gains (losses) are reported in “Other expenses” and “Other income (loss),” as applicable, in the Company’s unaudited condensed consolidated statements of operations.

Changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2018 were as follows (in thousands):

		Opening Balance as of January 1, 2018				Total realized and unrealized gains (losses) included in Net income (loss)				Unrealized gains (losses) included in Other comprehensive income (loss)				Issuances				Settlements				Closing Balance at September 30, 2018				Unrealized gains (losses) for Level 3 Assets / Liabilities Outstanding at September 30, 2018
Assets
Rate lock commitments and    forwards, net		$	3,629			$	14,608			$	—			$	—			$	(3,629	)		$	14,608			$	14,608
Liabilities
Accounts payable, accrued and other    liabilities:
Contingent consideration1		$	67,172			$	(2,009	)		$	845			$	8,191			$	(15,451	)		$	61,076			$	(1,164	)

¹ Realized and unrealized gains (losses) are reported in “Other expenses” and “Other income (loss),” as applicable, in the Company’s unaudited condensed consolidated statements of operations.

Changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2017 were as follows (in thousands):

		Opening Balance as of January 1, 2017				Total realized and unrealized gains (losses) included in Net income (loss)				Unrealized gains (losses) included in Other comprehensive income (loss)				Issuances				Settlements				Closing Balance at September 30, 2017				Unrealized gains (losses) for Level 3 Assets / Liabilities Outstanding at September 30, 2017
Assets
Rate lock commitments and    forwards, net		$	10,254			$	10,070			$	—			$	—			$	(10,254	)		$	10,070			$	10,070
Liabilities
Accounts payable, accrued and other    liabilities:
Contingent consideration1		$	65,838			$	(5,952	)		$	(2,040	)		$	9,624			$	(12,210	)		$	71,244			$	(7,992	)

¹ Realized and unrealized gains (losses) are reported in “Other expenses” and “Other income (loss),” as applicable, in the Company’s unaudited condensed consolidated statements of operations.

Quantitative Information about Level 3 Fair Value Measurements on Recurring Basis

The following tables present quantitative information about the significant unobservable inputs utilized by the Company in the fair value measurement of Level 3 assets and liabilities measured at fair value on a recurring basis (in thousands):

		Fair Value as of September 30, 2018
		Assets				Liabilities				Valuation Technique		Unobservable Inputs		Range		Weighted Average
Rate lock commitments		$	6,219			$	12,089			Discounted cash flow model and other observable market data		Counterparty credit risk		N/A		N/A
Forwards		$	20,515			$	37			Discounted cash flow model and other observable market data		Counterparty credit risk		N/A		N/A
Contingent consideration		$	—			$	61,076			Present value of expected payments		Discount rate Probability of meeting earnout and contingencies		3.3%-10.4% 75%-100%		8.4% 97%1

¹ The probability of meeting the earnout targets as of September 30, 2018 was based on the acquired businesses’ projected future financial performance, including revenues.

		Fair Value as of December 31, 2017
		Assets				Liabilities				Valuation Technique		Unobservable Inputs		Range		Weighted Average
Rate lock commitments		$	2,923			$	2,390			Discounted cash flow model and other observable market data		Counterparty credit risk		N/A		N/A
Forwards		$	3,753			$	657			Discounted cash flow model and other observable market data		Counterparty credit risk		N/A		N/A
Contingent consideration		$	—			$	67,172			Present value of expected payments		Discount rate Probability of meeting earnout and contingencies		3.3%-10.4% 75%-100%		8.2% 97%1

¹ The probability of meeting the earnout targets as of December 31, 2017 was based on the acquired businesses’ projected future financial performance, including revenues.

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- Definition

Fair value assets and liabilities measured on recurring basis unobservable input reconciliation.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19190-110258

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