Investments (Tables)

9 Months Ended

Sep. 30, 2015

Schedule of the separate account managed by TP LLC

The Company’s investments are managed by its investment manager, Third Point LLC (“Third Point LLC” or the “Investment Manager”), under long-term investment management contracts. The Company directly owns the investments that are held in separate accounts and managed by Third Point LLC. The following is a summary of the separate accounts managed by Third Point LLC:



	September 30, 2015		December 31, 2014
Assets	($ in thousands)
Total investments in securities and commodities	$	2,053,777	$	1,828,761
Cash and cash equivalents	10		3
Restricted cash and cash equivalents (1)	604,428		308,763
Due from brokers	303,597		58,241
Securities purchased under an agreement to sell	—		29,852
Derivative assets	27,337		21,130
Interest and dividends receivable	10,030		2,590
Other assets	—		325
Total assets	2,999,179		2,249,665
Liabilities and non-controlling interest
Accounts payable and accrued expenses	714		464
Securities sold, not yet purchased, at fair value	172,074		82,485
Due to brokers	695,019		312,609
Derivative liabilities	22,495		10,985
Interest and dividends payable	647		697
Non-controlling interest	15,597		40,241
Total liabilities and non-controlling interest	906,546		447,481
Total net investments managed by Third Point LLC	$	2,092,633	$	1,802,184


(1)	Includes amounts advanced to Third Point Re to fund collateral held in trust accounts.

Schedule of the Largest Concentration of the Company's Asset-Backed Securities

As of September 30, 2015 and December 31, 2014, the Company’s asset-backed securities (“ABS”) holdings were as follows:



	September 30, 2015				December 31, 2014
	($ in thousands)
Re-REMIC (1)	$	226,047	44.0	%	$	131,568	32.9	%
Subprime RMBS	162,738		31.7	%	198,046		49.5	%
Collateralized debt obligations	54,358		10.6	%	9,397		2.3	%
Other (2)	70,076		13.7	%	61,223		15.3	%
	$	513,219	100.0	%	$	400,234	100.0	%

Schedule of investments, categorized by the level of the fair value hierarchy

The following tables present the Company’s investments, categorized by the level of the fair value hierarchy as of September 30, 2015 and December 31, 2014:



	September 30, 2015
	Quoted prices in active markets		Significant other observable inputs		Significant unobservable inputs		Total
	(Level 1)		(Level 2)		(Level 3)		Total
Assets	($ in thousands)
Equity securities	$	1,244,646	$	25,348	$	—	$	1,269,994
Private common equity securities	—		982		601		1,583
Private preferred equity securities	—		—		18,263		18,263
Total equities	1,244,646		26,330		18,864		1,289,840
Asset-backed securities	—		509,361		3,858		513,219
Bank debts	—		—		7,681		7,681
Corporate bonds	—		94,208		3,235		97,443
Sovereign debt	—		118,679		17		118,696
Total debt securities	—		722,248		14,791		737,039
Investments in limited partnerships	—		2,427		5,913		8,340
Options	3,925		3,472		—		7,397
Rights and warrants	1,039		—		—		1,039
Trade claims	—		10,122		—		10,122
Investment in Kiskadee Fund	—		—		25,984		25,984
Total other investments	4,964		16,021		31,897		52,882
Derivative assets (free standing)	—		27,337		—		27,337
Total assets	$	1,249,610	$	791,936	$	65,552	$	2,107,098
Liabilities
Equity securities	$	125,666	$	—	$	—	$	125,666
Sovereign debt	—		6,031		—		6,031
Corporate bonds	—		30,323		—		30,323
Options	6,728		3,326		—		10,054
Total securities sold, not yet purchased	132,394		39,680		—		172,074
Derivative liabilities (free standing)	903		20,572		1,020		22,495
Derivative liabilities (embedded)	—		—		10,075		10,075
Total liabilities	$	133,297	$	60,252	$	11,095	$	204,644



	December 31, 2014
	Quoted prices in active markets		Significant other observable inputs		Significant unobservable inputs		Total
	(Level 1)		(Level 2)		(Level 3)		Total
Assets	($ in thousands)
Equity securities	$	1,158,428	$	15,207	$	—	$	1,173,635
Private common equity securities	—		2,718		1,443		4,161
Total equities	1,158,428		17,925		1,443		1,177,796
Asset-backed securities	—		395,514		4,720		400,234
Bank debts	—		2,395		—		2,395
Corporate bonds	—		56,795		3,799		60,594
Municipal bonds	—		3,094		—		3,094
Sovereign debt	—		103,331		—		103,331
Total debt securities	—		561,129		8,519		569,648
Investments in limited partnerships	—		55,756		6,354		62,110
Options	3,205		3,791		—		6,996
Rights and warrants	1,843		—		—		1,843
Trade claims	—		10,368		—		10,368
Catastrophe bond	—		2,077		—		2,077
Total other investments	5,048		71,992		6,354		83,394
Derivative assets (free standing)	380		20,750		—		21,130
Total assets	$	1,163,856	$	671,796	$	16,316	$	1,851,968
Liabilities
Equity securities	$	33,222	$	—	$	—	$	33,222
Sovereign debt	—		29,350		—		29,350
Corporate bonds	—		13,312		—		13,312
Options	3,755		2,846		—		6,601
Total securities sold, not yet purchased	36,977		45,508		—		82,485
Derivative liabilities (free standing)	505		9,548		962		11,015
Derivative liabilities (embedded)	—		—		9,289		9,289
Total liabilities	$	37,482	$	55,056	$	10,251	$	102,789

Schedule of reconciliation of the balances for all investments measured at fair value using significant unobservable inputs

The following table presents the reconciliation of all investments measured at fair value using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2015 and 2014:



	July 1, 2015			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains(Losses) (1)			September 30, 2015
	($ in thousands)
Assets
Private common equity securities	$	962		$	—		$	—	$	—		$	(361	)	$	601
Private preferred equity securities	13,474			—			5,084		—			(295		)	18,263
Asset-backed securities	1,843			916			1,125		(62		)	36			3,858
Bank debts	7,404			—			—		—			277			7,681
Corporate bonds	2,772			—			—		(107		)	570			3,235
Sovereign debt	18			—			—		—			(1		)	17
Investments in limited partnerships	6,156			—			—		—			(243		)	5,913
Investment in Kiskadee Fund	25,183			—			—		—			801			25,984
Total assets	$	57,812		$	916		$	6,209	$	(169	)	$	784		$	65,552
Liabilities
Derivative liabilities (free standing)	$	(1,020	)	$	—		$	—	$	—		$	—		$	(1,020	)
Derivative liabilities (embedded)	(9,817		)	—			—		(2,354		)	2,096			(10,075		)
Total liabilities	$	(10,837	)	$	—		$	—	$	(2,354	)	$	2,096		$	(11,095	)

	January 1, 2015			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains(Losses) (1)			September 30, 2015
	($ in thousands)
Assets
Private common equity securities	$	1,443		$	—		$	—	$	—		$	(842	)	$	601
Private preferred equity securities	—			—			13,586		—			4,677			18,263
Asset-backed securities	4,720			(3,599		)	2,024		(1,061		)	1,774			3,858
Bank debts	—			—			7,634		—			47			7,681
Corporate bonds	3,799			—			—		(259		)	(305		)	3,235
Sovereign debt	—			19			—		—			(2		)	17
Investments in limited partnerships	6,354			—			725		(267		)	(899		)	5,913
Investment in Kiskadee Fund	—			—			25,000		—			984			25,984
Total assets	$	16,316		$	(3,580	)	$	48,969	$	(1,587	)	$	5,434		$	65,552
Liabilities
Derivative liabilities (free standing)	$	(962	)	$	—		$	—	$	(174	)	$	116		$	(1,020	)
Derivative liabilities (embedded)	(9,289		)	—			—		(3,152		)	2,366			(10,075		)
Total liabilities	$	(10,251	)	$	—		$	—	$	(3,326	)	$	2,482		$	(11,095	)



	July 1, 2014			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains(Losses) (1)			September 30, 2014
	($ in thousands)
Assets
Private common equity securities	$	2,300		$	(2,300	)	$	—	$	—		$	—		$	—
Asset-backed securities	2,441			(520		)	288		(18		)	243			2,434
Corporate bonds	5,153			(811		)	—		(152		)	(226		)	3,964
Sovereign debt	30			(11		)	—		—			—			19
Investments in limited partnerships	5,771			—			1,525		—			(526		)	6,770
Total assets	$	15,695		$	(3,642	)	$	1,813	$	(170	)	$	(509	)	$	13,187
Liabilities
Derivative liabilities (free standing)	$	—		$	—		$	—	$	(1,013	)	$	780		$	(233	)
Derivative liabilities (embedded)	(5,538		)	—			—		(2,264		)	(111		)	(7,913		)
Total liabilities	$	(5,538	)	$	—		$	—	$	(3,277	)	$	669		$	(8,146	)

	January 1, 2014			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains(Losses) (1)			September 30, 2014
	($ in thousands)
Assets
Private common equity securities	$	2,012		$	(2,300	)	$	—	$	—		$	288		$	—
Asset-backed securities	400			(2,151		)	4,093		(1,921		)	2,013			2,434
Corporate bonds	4,610			(811		)	821		(484		)	(172		)	3,964
Sovereign debt	—			(11		)	30		—			—			19
Investments in limited partnerships	5,292			—			1,579		—			(101		)	6,770
Total assets	$	12,314		$	(5,273	)	$	6,523	$	(2,405	)	$	2,028		$	13,187
Liabilities
Derivative liabilities (free standing)	$	—		$	—		$	—	$	(1,013	)	$	780		$	(233	)
Derivative liabilities (embedded)	(4,430		)	—			—		(3,046		)	(437		)	(7,913		)
Total liabilities	$	(4,430	)	$	—		$	—	$	(4,059	)	$	343		$	(8,146	)


(1)	Total change in realized and unrealized gain (loss) recorded on Level 3 financial instruments is included in net investment income in the condensed consolidated statements of income (loss).

Schedule of significant unobservable inputs used

The following table summarizes information about the significant unobservable inputs used in determining the fair value of the Level 3 investments held by the Company. Level 3 investments not presented in the table below generally do not have any unobservable inputs to disclose, as they are valued primarily using dealer quotes, at cost or net asset value for investment in limited partnerships.



September 30, 2015
Assets	Fair value ($ in thousands)		Valuation technique	Unobservable input	Range
Corporate bond	$	2,210	Discounted Cash Flow	Yield	8.1-9.1%
				Duration	3 years
				Credit Spread	786 bps
				Volatility	25.0-35.0%
Asset backed security	$	1,245	Probability Weighted	Probability	85.0	%
Derivative liabilities (embedded)	$	10,075	Discounted cash flow	Contractual Variable Annual Investment Credit	0.0 - 3.5%
				Mean Monthly Investment Return	1.2%
				Duration from Inception of Contracts	4.00 - 5.50 years
				Duration from Valuation Date	1.00 - 5.25 years
				Interest Rates	U.S. Treasury Spot Rates

December 31, 2014
Assets	Fair value ($ in thousands)		Valuation technique	Unobservable input	Range
Corporate bond	$	2,346	Discounted cash flow	Yield	14.9-16.9%
				Duration	3 years
				Credit spreads	1,376-1,576 bps
				Volatility	20.0-30.0%
Derivative liabilities (embedded)	$	9,289	Discounted cash flow	Contractual Variable Annual Investment Credit	0.0 - 3.5%
				Mean Monthly Investment Return	1.2%
				Duration from Inception of Contracts	4.00 - 5.50 years
				Duration from Valuation Date	1.75 - 5.00 years
				Interest Rates	U.S. Treasury Spot Rates

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

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