XML 29 R12.htm IDEA: XBRL DOCUMENT

Fair Value

3 Months Ended

Mar. 31, 2020

Accounting Standards Codification Topic 820, Fair Value Measurement (ASC 820) specifies a hierarchy of valuation classifications based on whether the inputs to the valuation techniques used in each valuation classification are observable or unobservable. These classifications are summarized in the three broad levels listed below:

•Level 1—Unadjusted quoted prices for identical instruments in active markets.

•Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable. If the asset or liability has a specified (contractual) term, the level 2 input must be observable for substantially the full term of the asset or liability.

•Level 3—Valuations derived from valuation techniques in which significant inputs or significant value drivers are unobservable.

Inputs used to measure fair value might fall in different levels of the fair value hierarchy, in which case the Company defaults to the lowest level input that is significant to the fair value measurement in its entirety. These levels are not necessarily an indication of the risk or liquidity associated with the investments. In determining the appropriate levels, the Company performed a detailed analysis of the assets and liabilities that are subject to ASC 820.

The following tables present fair value measurements:


	March 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Investments Measured at NAV as FV		Investments Carried at Amortized Cost		Total
Cash equivalents	$	32,395	$	—	$	—	$	—	$	—	$	32,395
Equity investments at fair value
Common stocks	$	75,669	$	—	$	—	$	—	$	—	$	75,669
Company-sponsored funds	106		—		—		—		—		106
Limited partnership interests	449		—		—		331		—		780
Preferred securities	630		55		—		—		—		685
Other	—		—		—		106		—		106
Total	$	76,854	$	55	$	—	$	437	$	—	$	77,346
Trading investments
Fixed income	$	—	$	14,053	$	—	$	—	$	—	$	14,053
Held-to-maturity investments	$	—	$	—	$	—	$	—	$	49,891	$	49,891
Equity method investments	$	—	$	—	$	—	$	407	$	—	$	407

Total investments	$	76,854	$	14,108	$	—	$	844	$	49,891	$	141,697

Derivatives - assets
Commodity futures	$	582	$	—	$	—	$	—	$	—	$	582

Foreign exchange	—		229		—		—		—		229
Total	$	582	$	229	$	—	$	—	$	—	$	811
Derivatives - liabilities
Commodity futures	$	1,769	$	—	$	—	$	—	$	—	$	1,769
Commodity swap	—		49		—		—		—		49
Foreign exchange	—		102		—		—		—		102
Total	$	1,769	$	151	$	—	$	—	$	—	$	1,920


	December 31, 2019
(in thousands)	Level 1		Level 2		Level 3		Investments Measured at NAV as FV		Investments Carried at Amortized Cost		Total
Cash equivalents	$	85,889	$	—	$	—	$	—	$	—	$	85,889
Equity investments at fair value
Common stocks	$	87,408	$	—	$	—	$	—	$	—	$	87,408
Company-sponsored funds	132		—		—		—		—		132
Limited partnership interests	1,048		—		—		337		—		1,385
Preferred securities	704		108		—		—		—		812
Other	—		—		—		135		—		135
Total	$	89,292	$	108	$	—	$	472	$	—	$	89,872
Trading investments
Fixed income	$	—	$	14,980	$	—	$	—	$	—	$	14,980
Held-to-maturity investments	$	—	$	—	$	—	$	—	$	49,807	$	49,807
Equity method investments	$	—	$	—	$	—	$	554	$	—	$	554

Total investments	$	89,292	$	15,088	$	—	$	1,026	$	49,807	$	155,213

Derivatives - assets
Commodity futures	$	570	$	—	$	—	$	—	$	—	$	570

Foreign exchange	—		74		—		—		—		74
Total	$	570	$	74	$	—	$	—	$	—	$	644
Derivatives - liabilities
Commodity futures	$	339	$	—	$	—	$	—	$	—	$	339
Commodity swap	—		173		—		—		—		173
Foreign exchange	—		44		—		—		—		44
Total	$	339	$	217	$	—	$	—	$	—	$	556

Cash equivalents were comprised of investments in actively traded U.S. Treasury money market funds measured at NAV.

Equity investments at fair value classified as level 2 were comprised of certain preferred securities with predominately equity-like characteristics whose fair values are generally determined using third-party pricing services. The pricing services may utilize pricing models, and inputs into those models may include reported trades, executable bid and ask prices, broker-dealer quotations, prices or yields of similar securities, benchmark curves and other market information. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security.

Trading investments classified as level 2 were comprised of U.S. Treasury securities held within consolidated funds carried at amortized cost, which approximates fair value, corporate debt securities, as well as certain preferred securities with predominately debt-like characteristics. The fair value amounts were generally determined using third-party pricing services. The pricing services may utilize evaluated pricing models that vary by asset class and incorporate available trade, bid and other market information. Since these securities do not trade on a daily basis, the pricing services evaluate pricing applications and apply available information through processes such as yield curves, benchmarking of like securities, sector groupings, and matrix pricing, to prepare evaluations.

Investments measured at NAV were comprised of certain investments measured at fair value using NAV (or its equivalent) as a practical expedient. These investments were comprised of:

•Equity investments at fair value - limited partner interests in limited partnership vehicles that invest in non-registered real estate funds and the Company's co-investment in a Cayman trust invested in global listed infrastructure securities, both of which are valued based on the NAVs of the underlying investments. At March 31, 2020 and December 31, 2019, the Company did not have the ability to redeem the interests in the limited partnership vehicles; there were no contractual restrictions on the Company's ability to redeem its interest in the Cayman trust.

•Equity method investments - includes the Company's partnership interests in the Cohen & Steers Global Realty Partners III-TE, L.P. (GRP-TE) and the Cohen & Steers Global Realty Focus Fund (GRF), a series of Cohen & Steers Series LP. GRP-TE invests in non-registered real estate funds. The Company's ownership interest was approximately 0.2% and the Company did not have the ability to redeem the investment at either March 31, 2020 or December 31, 2019. GRF invests in global real estate investment trusts and other publicly traded real estate companies. The Company's ownership interest was approximately 1.4% and the Company had the ability to redeem the investment in GRF with 15 days' notice. The Company's risk with respect to both investments is limited to its equity ownership interest and any uncollected management fees.

Held-to-maturity investments were comprised of U.S. Treasury securities, which were directly issued by the U.S. government, with original maturities of 12 to 24 months at March 31, 2020 and December 31, 2019. These securities were purchased with the intent to hold to maturity and are recorded at amortized cost.

Investments measured at NAV and held-to-maturity investments have not been classified in the fair value hierarchy. The amounts presented in the above tables are intended to permit reconciliation of the fair value hierarchy to the amounts presented on the condensed consolidated statement of financial condition.

Commodity swap contracts classified as level 2 were valued based on the underlying futures contracts.

Foreign currency exchange contracts classified as level 2 were valued based on the prevailing forward exchange rate.

Valuation Techniques

In certain instances, debt, equity and preferred securities are valued on the basis of prices from an orderly transaction between market participants provided by reputable broker-dealers or independent pricing services. In determining the value of a particular investment, independent pricing services may use information with respect to transactions in such investments, broker quotes, pricing matrices, market transactions in comparable investments and various relationships between investments. As part of its independent price verification process, the Company generally performs reviews of valuations provided by broker-dealers or independent pricing services. Investments in Company-sponsored funds are valued at their closing price or NAV (or its equivalent) as a practical expedient.

Foreign exchange contracts are valued based on the prevailing forward exchange rate, which is an input that is observable in active markets.

In the absence of observable market prices, the Company values its investments using valuation methodologies applied on a consistent basis. For some investments, little market activity may exist; management's determination of fair value is then based on the best information available in the circumstances, and may incorporate management's own assumptions and involves a significant degree of judgment, taking into consideration a combination of internal and external factors. Such investments are valued on a quarterly basis, taking into consideration any changes in key inputs and changes in economic and other relevant conditions, and valuation models are updated accordingly. The valuation process also includes a review by the Company's valuation committee which is comprised of senior members from various departments within the Company, including investment management. The valuation committee provides independent oversight of the valuation policies and procedures.

- 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 + Details