Fair Value of Financial Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2018

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 at June 30, 2018 and December 31, 2017 (in thousands):

	Assets at Fair Value at June 30, 2018
	Level 1		Level 2 ¹		Level 3		Netting and Collateral			Total
Loans held for sale, at fair value	$	—	$	547,968	$	—	$	—		$	547,968
Marketable securities		78,109		—		—		—			78,109
Government debt		56,776		—		—		—			56,776
Securities owned—Equities		638		—		—		—			638
Forwards		—		19,580		16,442		(105	)		35,917
Rate lock commitments		—		—		14,448		—			14,448
Foreign exchange swaps		—		1,399		—		(503	)		896
Futures		—		14,310		—		(14,151	)		159
Foreign exchange/commodities options		192,311		—		—		(192,174	)		137
Total	$	327,834	$	583,257	$	30,890	$	(206,933	)	$	735,048

¹ In addition, the Company has equity securities with a fair value of approximately $30.9 million which are recorded in “Other Assets” in the Company’s unaudited condensed consolidated statements of financial condition as of June 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 June 30, 2018
	Level 1		Level 2		Level 3		Netting and Collateral			Total
Foreign exchange/commodities options	$	226,023	$	—	$	—	$	(192,174	)	$	33,849
Rate lock commitments		—		—		13,945		—			13,945
Foreign exchange swaps		—		2,578		—		(503	)		2,075
Forwards		—		1,111		641		(105	)		1,647
Futures		—		14,783		—		(14,151	)		632
Contingent consideration		—		—		53,164		—			53,164
Total	$	226,023	$	18,472	$	67,750	$	(206,933	)	$	105,312

	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 rate lock commitments, forwards and contingent consideration measured at fair value on a recurring basis for the three months ended June 30, 2018 were as follows (in thousands):

	Opening Balance as of April 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 June 30, 2018		Unrealized gains (losses) for Level 3 Assets / Liabilities Outstanding at June 30, 2018
Assets
Rate lock commitments and forwards, net	$	7,036	$	16,304		$	—	$	—	$	(7,036	)	$	16,304	$	16,304
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration¹	$	59,242	$	(336	)	$	1,417	$	688	$	(5,685	)	$	53,164	$	1,081

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 June 30, 2017 are as follows (in thousands):

	Opening Balance as of April 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 June 30, 2017		Unrealized gains (losses) for Level 3 Assets / Liabilities Outstanding at June 30, 2017
Assets
Rate lock commitments and forwards, net	$	2,462	$	10,566		$	—		$	—	$	(2,462	)	$	10,566	$	10,566
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration¹	$	63,197	$	(2,876	)	$	(949	)	$	2,173	$	(357	)	$	68,838	$	(3,825	)

Changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2018 are 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 June 30, 2018		Unrealized gains (losses) for Level 3 Assets / Liabilities Outstanding at June 30, 2018
Assets
Rate lock commitments and forwards, net	$	3,629	$	16,304		$	—	$	—	$	(3,629	)	$	16,304	$	16,304
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration¹	$	67,172	$	(1,043	)	$	554	$	710	$	(15,207	)	$	53,164	$	(489	)

Changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2017 are 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 June 30, 2017		Unrealized gains (losses) for Level 3 Assets / Liabilities Outstanding at June 30, 2017
Assets
Rate lock commitments and forwards, net	$	10,254	$	10,566		$	—		$	—	$	(10,254	)	$	10,566	$	10,566
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration¹	$	65,838	$	(3,987	)	$	(1,159	)	$	8,363	$	(10,509	)	$	68,838	$	(5,146	)

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

June 30,

2018

Assets

Liabilities

Valuation Technique

Unobservable Inputs

Range

Weighted

Average

Rate lock commitments

14,448

13,945

Discounted cash flow model and other observable market data

Counterparty credit risk

N/A

Forwards

16,442

641

Discounted cash flow model and other observable market data

Counterparty credit risk

N/A

Contingent consideration

—

53,164

Present value of

expected payments

Discount rate

Probability of meeting earnout and contingencies

3.3%-10.4%

75%-100%

8.1%

97%¹

¹	The probability of meeting the earnout targets as of June 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

Forwards

3,753

657

Discounted cash flow model and other observable market data

Counterparty credit risk

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.