Fair Value of Financial Assets and Liabilities (Tables)
|
6 Months Ended |
Jun. 30, 2018 |
|---|
| 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 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 |
) |
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 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 |
|
N/A |
|
Forwards |
|
$ |
16,442 |
|
|
$ |
641 |
|
|
Discounted cash flow model and other observable market data |
|
Counterparty credit risk |
|
N/A |
|
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 |
|
N/A |
|
Forwards |
|
$ |
3,753 |
|
|
$ |
657 |
|
|
Discounted cash flow model and other observable market data |
|
Counterparty credit risk |
|
N/A |
|
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. |
|