XML 46 R35.htm IDEA: XBRL DOCUMENT v3.10.0.1

Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2018

Fair Value Disclosures [Abstract]

Schedule Of Assets And Liabilities Measured At Fair Value On A Recurring Basis







FAIR VALUE MEASUREMENTS ON A RECURRING BASIS
September 30, 2018
(Dollars in Thousands)

							Significant			Significant
				Quoted Prices in			Other Observable			Unobservable
				Active Markets			Inputs			Inputs
Assets	Fair Value			(Level 1)			(Level 2)			(Level 3)
Investments-trading:
U.S. government agency MBS and CMOs	$	62,497		$	-		$	62,497		$	-
U.S. government agency debt securities		14,537			-			14,537			-
RMBS		16			-			16			-
U.S. Treasury securities		4,139			4,139			-			-
ABS		100			-			100			-
SBA loans		57,596			-			57,596			-
Corporate bonds and redeemable preferred stock		49,945			-			49,945			-
Foreign government bonds		232			-			232			-
Municipal bonds		24,139			-			24,139			-
Certificates of deposit		918			-			918			-
Derivatives		5,277			-			5,277			-
Equity securities		66			66			-			-
Total investments - trading	$	219,462		$	4,205		$	215,257		$	-

Other investments, at fair value:
Equity securities	$	12,057		$	11,208		$	849		$	-
CLOs		14,430			-			11,295			3,135
CDOs		26			-			-			26
Residential loans		330			-			330			-
Foreign currency forward contracts		3			3			-			-
		26,846		$	11,211		$	12,474		$	3,161
Investments measured at NAV (1)		3,217
Total other investments, at fair value	$	30,063

Liabilities
Trading securities sold, not yet purchased:
U.S. government agency MBS and CMOs	$	17		$	-		$	17		$	-
U.S. Treasury securities		42,015			42,015			-			-
Corporate bonds and redeemable preferred stock		34,462			-			34,462			-
Municipal bonds		20			-			20			-
Derivatives		4,706			-			4,706			-
Total trading securities sold, not yet purchased	$	81,220		$	42,015		$	39,205		$	-



(1) As a practical expedient, the Company uses NAV or its equivalent to measure the fair value of its investments in EuroDekania, the U.S. Insurance JV, and the SPAC Fund.  EuroDekania invests in hybrid capital securities of European companies.  The U.S. Insurance JV invests in debt issued by small and medium sized U.S. and Bermuda insurance and reinsurance companies.  The SPAC Fund invests in equity securities of SPACs.  According to ASC 820, these investments are not categorized within the fair value hierarchy. 





FAIR VALUE MEASUREMENTS ON A RECURRING BASIS
December 31, 2017
(Dollars in Thousands)

							Significant			Significant
				Quoted Prices in			Other Observable			Unobservable
				Active Markets			Inputs			Inputs
Assets	Fair Value			(Level 1)			(Level 2)			(Level 3)
Investments-trading:
U.S. government agency MBS and CMOs	$	87,608		$	-		$	87,608		$	-
U.S. government agency debt securities		13,529			-			13,529			-
RMBS		32			-			32			-
U.S. Treasury securities		2,466			2,466			-			-
ABS		1			-			1			-
SBA loans		4,780			-			4,780			-
Corporate bonds and redeemable preferred stock		43,435			-			43,435			-
Foreign government bonds		483			-			483			-
Municipal bonds		45,709			-			45,709			-
Derivatives		1,118			-			1,118			-
Equity securities		3,096			89			941			2,066
Total investments - trading	$	202,257		$	2,555		$	197,636		$	2,066

Other investments, at fair value:
Equity Securities	$	7,132		$	7,132		$	-		$	-
CLOs		4,485			-			-			4,485
CDOs		26			-			-			26
Derivatives		(251)			-			(251)			-
Residential loans		358			-			358			-
Foreign currency forward contracts		(26)			(26)			-			-
		11,724		$	7,106		$	107		$	4,511
Investments measured at NAV (1)		1,143
Total other investments, at fair value	$	12,867


Liabilities
Trading securities sold, not yet purchased:
U.S. Treasury securities	$	62,798		$	62,798		$	-		$	-
Corporate bonds and redeemable preferred stock		28,445			-			28,445			-
Municipal bonds		37			-			37			-
Derivatives		607			-			607			-
Total trading securities sold, not yet purchased	$	91,887		$	62,798		$	29,089		$	-



(1) As a practical expedient, the Company uses NAV or its equivalent to measure the fair value of its investments in EuroDekania.  EuroDekania invests in hybrid capital securities of European companies.  According to ASC 820, these investments are not categorized within the fair value hierarchy.   

Schedule Of Assets And Liabilities Measured With Level 3 Inputs

LEVEL 3 ROLLFORWARD

	Three Months ended September 30,						Nine Months ended September 30,
	2018			2017			2018			2017
Beginning of Period	$	14,651		$	4,855		$	6,577		$	6,761
Net trading		-			-			-			-
Gains & losses (1)		419			(103)			496			(88)
Transfers into level 3		-			-			-			-
Transfers out of level 3		(11,295)			-			(13,361)			-
Accretion of income (1)		489			169			1,330			938
Purchases		-			-			9,600			-
Sales and returns of capital		(1,103)			(306)			(1,481)			(2,996)
End of Period	$	3,161		$	4,615		$	3,161		$	4,615

Change in unrealized gains / (losses) (2)	$	(171)		$	187		$	(220)		$	608




(1) Gains and losses and accretion of income on investments-trading are recorded as a component of net trading in the consolidated statements of operations.  Gains and losses and accretion of income on other investments, at fair value are recorded as a component of principal transactions and other income in the consolidated statements of operations.

(2) Represents the change in unrealized gains and losses for the period included in current year earnings for assets held at the end of the reporting period.







Quantitative Information About Level 3 Fair Value Measurements













QUANTITATIVE INFORMATION ABOUT LEVEL 3 FAIR VALUE MEASUREMENTS

(Dollars in Thousands)







Significant

Range of



Fair Value

Valuation

Unobservable

Weighted

Significant



September 30, 2018

Technique

Inputs

Average

Inputs

Assets

Other investments, at fair value

CLOs

$

3,135

Discounted Cash Flow Model

Yield

11.1%

9.7% - 12.2%



Duration-years

7.3

6.8-8.0



Default rate

2.0%

2% - 2%













QUANTITATIVE INFORMATION ABOUT LEVEL 3 FAIR VALUE MEASUREMENTS

(Dollars in Thousands)







Significant

Range of



Fair Value

Valuation

Unobservable

Weighted

Significant



December 31, 2017

Technique

Inputs

Average

Inputs

Assets

Investments Trading

Equity Securities

$

2,066

Market approach

EBITDA Multiple

8.00

7.6 - 9.2

Other investments, at fair value

CLOs

$

4,485

Discounted Cash Flow Model

Yield

13.8%

11.8% - 19.1%



Duration-years

4.4

4.3 - 4.5



Default rate

2.0%

2.0%







Fair Value, Investments, Entities That Calculate Net Asset Value Per Share







FAIR VALUE MEASUREMENTS OF INVESTMENTS IN CERTAIN ENTITIES

THAT CALCULATE NET ASSET VALUE PER SHARE (OR ITS EQUIVALENT)

(Dollars in Thousands)







Fair Value September 30, 2018

Unfunded Commitments

Redemption Frequency

Redemption Notice Period

Other investments, at fair value

EuroDekania (a)

$

1,609

N/A

N/A

N/A

U.S. Insurance JV (b)

1,006

$              2,000

N/A

N/A

SPAC Fund  (c)

602

N/A

Quarterly after 1 year lock up

90 days



$

3,217







Fair Value December 31, 2017

Unfunded Commitments

Redemption Frequency

Redemption Notice Period

Other investments, at fair value

EuroDekania (a)

$

1,143

N/A

N/A

N/A



$

1,143





N/A Not applicable.

(a) EuroDekania owns investments in hybrid capital securities that have attributes of debt and equity, primarily in the form of subordinated debt issued by insurance companies, banks, and bank holding companies based primarily in Western Europe; widely syndicated leveraged loans issued by European corporations; commercial mortgage backed securities (“CMBS”), including subordinated interests in first mortgage real estate loans; and RMBS and ABS backed by consumer and commercial receivables. The majority of the assets are denominated in Euros and U.K. Pounds Sterling.

(b) The U.S. Insurance JV invests in debt issued by small and medium sized U.S. and Bermuda insurance and reinsurance companies.

(c) The SPAC Fund invests in equity interests of SPACs.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19279-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of investments in certain entities that calculate net asset value per share or equivalent measured at fair value on a recurring or nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 6A
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=99377789&loc=SL6742756-110258

+ Details

Name:	us-gaap_FairValueInvestmentsEntitiesThatCalculateNetAssetValuePerShareTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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

+ Details

Name:	us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration