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Fair Value of Financial Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Hierarchy of Financial Assets and Liabilities under U.S. GAAP Guidance

The following tables set forth by level within the fair value hierarchy financial assets and liabilities accounted for at fair value under U.S. GAAP guidance (in thousands):

	Assets at Fair Value at March 31, 2020
	Level 1		Level 2 ¹		Level 3		Netting and Collateral			Total
Marketable securities	$	245	$	—	$	—	$	—		$	245
Government debt		56,686		—		—		—			56,686
Securities owned—Equities		244		—		—		—			244
Forwards		—		151		—		(6	)		145
FX swaps		—		1,221		—		(174	)		1,047
Futures		—		74,974		—		(74,974	)		—
Corporate Bonds		—		599		—		—			599
Total	$	57,175	$	76,945	$	—	$	(75,154	)	$	58,966

^{In addition, the Company has equity securities with a fair value of $83.4 million, which are presented in “Other Assets” in the Company’s unaudited condensed consolidated statements of financial condition as of March 31, 2020. These investments are remeasured to fair value on a non-recurring basis and are classified within Level 2 in the fair value hierarchy. See section below titled “Fair Value Measurements on a Non-Recurring Basis” for additional information.}

	Liabilities at Fair Value at March 31, 2020
	Level 1		Level 2		Level 3		Netting and Collateral			Total
FX/commodities options	$	59	$	—	$	—	$	—		$	59
FX swaps		—		1,192		—		(174	)		1,018
Forwards		—		2,437		—		(6	)		2,431
Futures		—		75,563		—		(74,974	)		589
Contingent consideration		—		—		38,709		—			38,709
Total	$	59	$	79,192	$	38,709	$	(75,154	)	$	42,806

	Assets at Fair Value at December 31, 2019
	Level 1		Level 2		Level 3		Netting and Collateral			Total
Marketable securities	$	14,228	$	—	$	—	$	—		$	14,228
Government debt		56,761		—		—		—			56,761
Securities owned—Equities		36		—		—		—			36
FX/commodities options		26		—		—		—			26
Forwards		—		706		—		(142	)		564
FX swaps		—		1,672		—		(394	)		1,278
Futures		—		2,044		—		(2,044	)		—
Corporate Bonds		—		728		—		—			728
Total	$	71,051	$	5,150	$	—	$	(2,580	)	$	73,621

	Liabilities at Fair Value at December 31, 2019
	Level 1		Level 2		Level 3		Netting and Collateral			Total
FX/commodities options	$	—	$	—	$	—	$	—		$	—
FX swaps		—		2,638		—		(394	)		2,244
Forwards		—		1,427		—		(142	)		1,285
Futures		—		2,668		—		(2,044	)		624
Contingent consideration		—		—		42,159		—			42,159
Total	$	—	$	6,733	$	42,159	$	(2,580	)	$	46,312

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

Level 3 Financial Liabilities

Changes in Level 3 liabilities measured at fair value on a recurring basis for the three months ended March 31, 2020 were as follows (in thousands):

	Opening Balance as of January 1, 2020		Total realized and unrealized (gains) losses included in Net income (loss)¹		Unrealized (gains) losses included in Other comprehensive income (loss)²			Purchases/ Issuances		Sales/ Settlements			Closing Balance at March 31, 2020		Unrealized (gains) losses for the period included in Net income (loss) on Level 3 Assets / Liabilities Outstanding at March 31, 2020		Unrealized (gains) for the period included in Other Comprehensive income (loss) on Level 3 Assets / Liabilities Outstanding at March 31, 2020
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration	$	42,159	$	1,141	$	(59	)	$	2,959	$	(5,327	)	$	38,709	$	1,141	$	(59	)

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.

^2.	Unrealized gains (losses) are reported in “Foreign currency translation adjustments,” as applicable, in the Company’s unaudited condensed consolidated statements of comprehensive income (loss).

Changes in Level 3 liabilities measured at fair value on a recurring basis for the three months ended March 31, 2019 were as follows (in thousands):

	Opening Balance as of January 1, 2019		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 March 31, 2019		Unrealized (gains) losses for the period on Level 3 Assets / Liabilities Outstanding at March 31, 2019
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration¹	$	45,984	$	(1,482	)	$	(576	)	$	—	$	(5,903	)	$	42,139	$	(2,058	)

¹Realized 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 liabilities measured at fair value on a recurring basis (in thousands):

Fair Value as of March 31, 2020

Assets

Liabilities

Valuation Technique

Unobservable Inputs

Range

Weighted

Average

Contingent consideration

—

38,709

Present value of

expected payments

Discount rate¹

Probability

of meeting earnout

and contingencies

8.0%-10.3%

39%-100%

9.7%

85.1%²

¹	The discount rate is based on the Company’s calculated weighted-average cost of capital.

²	The probability of meeting the earnout targets was based on the acquired businesses’ projected future financial performance, including revenues.

Fair Value as of December 31, 2019

Assets

Liabilities

Valuation Technique

Unobservable Inputs

Range

Weighted

Average

Contingent consideration

—

42,159

Present value of

expected payments

Discount rate

Probability

of meeting earnout

and contingencies

9.2%-10.3%

70%-100%

9.8%

90.2%¹

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