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Fair Value of Financial Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
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 December 31, 2020

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Netting and

Collateral

 

 

Total

 

Marketable securities

 

$

349

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

349

 

Government debt

 

 

57,918

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

57,918

 

FX/commodities options

 

 

74

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

74

 

Securities owned—Equities

 

 

75

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

75

 

Forwards

 

 

—

 

 

 

338

 

 

 

—

 

 

 

(43

)

 

 

295

 

FX swaps

 

 

—

 

 

 

583

 

 

 

—

 

 

 

(21

)

 

 

562

 

Futures

 

 

—

 

 

 

41,257

 

 

 

—

 

 

 

(41,257

)

 

 

—

 

Corporate bonds

 

 

—

 

 

 

579

 

 

 

—

 

 

 

—

 

 

 

579

 

Total

 

$

58,416

 

 

$

42,757

 

 

$

—

 

 

$

(41,321

)

 

$

59,852

 

 

 

 

 

 

Liabilities at Fair Value at December 31, 2020

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Netting and

Collateral

 

 

Total

 

Futures

 

$

—

 

 

$

42,183

 

 

$

—

 

 

$

(41,257

)

 

$

926

 

FX swaps

 

 

—

 

 

 

340

 

 

 

—

 

 

 

(21

)

 

 

319

 

Forwards

 

 

—

 

 

 

258

 

 

 

—

 

 

 

(43

)

 

 

215

 

Contingent consideration

 

 

—

 

 

 

—

 

 

 

39,791

 

 

 

—

 

 

 

39,791

 

Total

 

$

—

 

 

$

42,781

 

 

$

39,791

 

 

$

(41,321

)

 

$

41,251

 

 

 

 

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

 

FX/commodities options

 

 

26

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

26

 

Securities owned—Equities

 

 

36

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

36

 

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 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 year ended December 31, 2020 were as follows (in thousands):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized (gains) losses

for the period included in:

 

 

 

Opening

Balance

as of

January 1,

2020

 

 

Total realized

and

unrealized

(gains) losses

included in

Net income

(loss)

 

 

Unrealized

(gains) losses

included in

Other

comprehensive

income (loss)1

 

 

Purchases/

Issuances

 

 

Sales/

Settlements

 

 

Closing

Balance at

December 31,

2019

 

 

Net income

(loss) on

Level 3

Assets /

Liabilities

Outstanding

at

December 31,

2020

 

 

Other

comprehensive

income (loss)

on Level 3

Assets /

Liabilities

Outstanding

at

December 31,

2020

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Accounts payable, accrued and

   other liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contingent consideration1

 

$

42,159

 

 

$

4,661

 

 

$

55

 

 

$

2,959

 

 

$

(10,043

)

 

$

39,791

 

 

$

4,649

 

 

$

—

 

 

1

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

Changes in Level 3 liabilities measured at fair value on a recurring basis for the year ended December 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

December 31,

2019

 

 

Unrealized

(gains) losses

for the period

on Level 3

Assets /

Liabilities

Outstanding at

December 31,

2019

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Accounts payable, accrued and

   other liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contingent consideration1

 

$

45,984

 

 

$

5,622

 

 

$

(3

)

 

$

—

 

 

$

(9,444

)

 

$

42,159

 

 

$

5,622

 

 
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 December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

Liabilities

 

 

Valuation Technique

 

Unobservable Inputs

 

Range

 

Weighted Average

Contingent consideration

 

$

—

 

 

$

39,791

 

 

Present value

of expected

payments

 

Discount rate1

 

Probability of

meeting earnout

and contingencies

 

6.8%-10.3%

 

 

39%-100%

 

9.5%

 

 

82.9% (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 acquirees’ 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 acquirees’ projected future financial performance, including revenues.