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Fair Value of Financial Assets and Liabilities | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Fair Value of Financial Assets and Liabilities | Fair Value of Financial Assets and Liabilities Fair Value Measurements on a Recurring Basis U.S. GAAP guidance establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows: Level 1 measurements—Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities. Level 2 measurements—Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly. Level 3 measurements—Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. As required by U.S. GAAP guidance, financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. 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 September 30, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Netting and Collateral |  | Total
Marketable securities | $ | 348 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 348 |
Government debt | 36,129 |  |  | — |  |  | — |  |  | — |  |  | 36,129 |
Securities owned—Equities | 232 |  |  | — |  |  | — |  |  | — |  |  | 232 |
Forwards | — |  |  | 364 |  |  | — |  |  | (118) |  |  | 246 |
FX swaps | — |  |  | 4,545 |  |  | — |  |  | (622) |  |  | 3,923 |
Futures | — |  |  | 116,427 |  |  | — |  |  | (116,427) |  |  | — |
Corporate bonds | — |  |  | 1,069 |  |  | — |  |  | — |  |  | 1,069 |
Total | $ | 36,709 |  |  | $ | 122,405 |  |  | $ | — |  |  | $ | (117,167) |  |  | $ | 41,947 |
| Liabilities at Fair Value at September 30, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Netting and Collateral |  | Total
FX swaps | $ | — |  |  | $ | 4,814 |  |  | $ | — |  |  | $ | (622) |  |  | $ | 4,192 |
Forwards | — |  |  | 1,177 |  |  | — |  |  | (118) |  |  | 1,059 |
Futures | — |  |  | 117,641 |  |  | — |  |  | (116,427) |  |  | 1,214 |
Contingent consideration | — |  |  | — |  |  | 27,484 |  |  | — |  |  | 27,484 |
Total | $ | — |  |  | $ | 123,632 |  |  | $ | 27,484 |  |  | $ | (117,167) |  |  | $ | 33,949 |
| 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 |
Securities owned—Equities | 75 |  |  | — |  |  | — |  |  | — |  |  | 75 |
FX/commodities options | 74 |  |  | — |  |  | — |  |  | — |  |  | 74 |
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 |
Level 3 Financial Liabilities Changes in Level 3 liabilities measured at fair value on a recurring basis for the three months ended September 30, 2021 were as follows (in thousands):
|  |  |  |  |  |  |  |  |  |  |  |  | Unrealized (gains) losses for the period included in:
| Opening Balance at July 1, 2021 |  | 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 September 30, 2021 |  | Net income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2021 |  | Other comprehensive income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2021
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Accounts payable, accrued and other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contingent consideration | $ | 32,975 |  |  | $ | 74 |  |  | $ | — |  |  | $ | — |  |  | $ | (5,565) |  |  | $ | 27,484 |  |  | $ | 74 |  |  | $ | — |
__________________________ 1 Unrealized gains (losses) are reported in “Foreign currency translation adjustments,” 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 September 30, 2020 were as follows (in thousands):
|  |  |  |  |  |  |  |  |  |  |  |  | Unrealized (gains) losses for the period included in:
| Opening Balance at July 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 September 30, 2020 |  | Net income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2020 |  | Other comprehensive income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2020
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Accounts payable, accrued and other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contingent consideration | $ | 35,107 |  |  | $ | 1,541 |  |  | $ | — |  |  | $ | — |  |  | $ | (133) |  |  | $ | 36,515 |  |  | $ | 1,541 |  |  | $ | — |
__________________________ 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,” 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 nine months ended September 30, 2021 were as follows (in thousands):
|  |  |  |  |  |  |  |  |  |  |  |  | Unrealized (gains) losses for the period included in:
| Opening Balance at January 1, 2021 |  | 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 September 30, 2021 |  | Net income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2021 |  | Other comprehensive income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2021
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Accounts payable, accrued and other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contingent consideration | $ | 39,791 |  |  | $ | 2,013 |  |  | $ | — |  |  | $ | — |  |  | $ | (14,320) |  |  | $ | 27,484 |  |  | $ | 2,013 |  |  | $ | — |
__________________________ 1 Unrealized gains (losses) are reported in “Foreign currency translation adjustments,” 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 nine months ended September 30, 2020 were as follows (in thousands):
|  |  |  |  |  |  |  |  |  |  |  |  | Unrealized (gains) losses for the period included in:
| Opening Balance at 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 September 30, 2020 |  | Net income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2020 |  | Other comprehensive income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2020
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Accounts payable, accrued and other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contingent consideration | $ | 42,159 |  |  | $ | 1,173 |  |  | $ | 67 |  |  | $ | 2,959 |  |  | $ | (9,843) |  |  | $ | 36,515 |  |  | $ | 1,173 |  |  | $ | 67 |
__________________________ 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,” in the Company’s unaudited condensed consolidated statements of comprehensive income (loss). Quantitative Information About Level 3 Fair Value Measurements on a 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 September 30, 2021 |  |  |  |  |  |  |  |
| Assets |  | Liabilities |  | Valuation Technique |  | Unobservable Inputs |  | Range |  | Weighted Average
|  |  |  |  |  |  | Discount rate 1 |  | 6.8%-10.3% |  | 9.8%
Contingent consideration | $ | — |  |  | $ | 27,484 |  |  | Present value of expected payments |  | Probability of meeting earnout and contingencies |  | 11%-100% |  | 71.0% 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, 2020 |  |  |  |  |  |  |  |
| Assets |  | Liabilities |  | Valuation Technique |  | Unobservable Inputs |  | Range |  | Weighted Average
|  |  |  |  |  |  | Discount rate 1 |  | 6.8%-10.3% |  | 9.5%
Contingent consideration | $ | — |  |  | $ | 39,791 |  |  | Present value of expected payments |  | Probability of meeting earnout and contingencies |  | 39%-100% |  | 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. Information About Uncertainty of Level 3 Fair Value Measurements The significant unobservable inputs used in the fair value of the Company’s contingent consideration are the discount rate and forecasted financial information. Significant increases (decreases) in the discount rate would have resulted in a significantly lower (higher) fair value measurement. Significant increases (decreases) in the forecasted financial information would have resulted in a significantly higher (lower) fair value measurement. As of September 30, 2021 and December 31, 2020, the present value of expected payments related to the Company’s contingent consideration was $27.5 million and $39.8 million, respectively. The undiscounted value of the payments, assuming that all contingencies are met, would be $38.5 million and $53.4 million, as of September 30, 2021 and December 31, 2020, respectively. Fair Value Measurements on a Non-Recurring Basis Pursuant to the recognition and measurement guidance for equity investments, effective January 1, 2018, equity investments carried under the measurement alternative are remeasured at fair value on a non-recurring basis to reflect observable transactions which occurred during the period. The Company applied the measurement alternative to equity securities with the fair value of $82.2 million and $83.0 million, which were included in “Other assets” in the Company’s unaudited condensed consolidated statements of financial condition as of September 30, 2021 and December 31, 2020, respectively. These investments are classified within Level 2 in the fair value hierarchy, because their estimated fair value is based on valuation methods using the observable transaction price at the transaction date.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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