Investments (Tables)

6 Months Ended

Jun. 30, 2017

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:



	June 30, 2017		December 31, 2016
Assets	($ in thousands)
Total investments in securities	$	2,671,218	$	2,619,839
Cash and cash equivalents	10		5
Restricted cash and cash equivalents	372,068		298,940
Due from brokers	424,163		284,591
Derivative assets	45,110		27,432
Interest and dividends receivable	3,947		6,505
Total assets	3,516,516		3,237,312
Liabilities and non-controlling interest
Accounts payable and accrued expenses	2,107		1,374
Securities sold, not yet purchased	265,667		92,668
Due to brokers	777,179		899,601
Derivative liabilities	11,949		16,050
Performance fee payable to related party	53,455		—
Interest and dividends payable	817		386
Non-controlling interest	19,809		35,674
Total liabilities and non-controlling interest	1,130,983		1,045,753
Total net investments managed by Third Point LLC	$	2,385,533	$	2,191,559

Schedule of the largest concentration of the Company's asset-backed securities

As of June 30, 2017 and December 31, 2016, the Company’s asset-backed securities (“ABS”) holdings were as follows:



	June 30, 2017				December 31, 2016
	($ in thousands)
Reperforming loans	$	149,570	66.5	%	$	44,359	17.4	%
Subprime RMBS	—		—	%	117,152		46.0	%
Market place loans	51,768		23.0	%	44,143		17.3	%
Other (1)	23,576		10.5	%	49,198		19.3	%
	$	224,914	100.0	%	$	254,852	100.0	%


(1)	Other includes: U.S. Alt-A positions, collateralized debt obligations, commercial mortgage-backed securities, non-U.S. RMBS and student loans ABS.

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 June 30, 2017 and December 31, 2016:



	June 30, 2017
	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	$	1,885,167	$	—	$	—	$	1,885,167
Private common equity securities	467		—		4,775		5,242
Private preferred equity securities	—		2		50,759		50,761
Total equities	1,885,634		2		55,534		1,941,170
Asset-backed securities	—		189,203		35,711		224,914
Bank debt	—		12		10,246		10,258
Corporate bonds	—		54,208		9,095		63,303
U.S. Treasury securities	—		263,592		—		263,592
Sovereign debt	—		133,793		—		133,793
Other debt securities	—		3,343		3,312		6,655
Total debt securities	—		644,151		58,364		702,515
Options	1,151		5,936		—		7,087
Rights and warrants	—		40		—		40
Trade claims	—		8,112		—		8,112
Total other investments	1,151		14,088		—		15,239
Derivative assets (free standing)	10		45,100		—		45,110
	$	1,886,795	$	703,341	$	113,898	2,704,034
Investments in funds valued at NAV							13,852
Total assets							$	2,717,886
Liabilities
Equity securities	$	248,308	$	—	$	—	$	248,308
Corporate bonds	—		11,314		—		11,314
Options	121		5,924		—		6,045
Total securities sold, not yet purchased	248,429		17,238		—		265,667
Derivative liabilities (free standing)	—		10,582		1,367		11,949
Derivative liabilities (embedded)	—		—		180		180
Total liabilities	$	248,429	$	27,820	$	1,547	$	277,796

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 Level 3 inputs for the three and six months ended June 30, 2017 and 2016:



	April 1, 2017			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains(Losses) (1)			June 30, 2017
	($ in thousands)
Assets
Private common equity securities	$	4,745		$	—		$	—	$	—		$	30		$	4,775
Private preferred equity securities	48,350			—			939		(123		)	1,593			50,759
Asset-backed securities	20,785			15,642			22,038		(20,545		)	(2,209		)	35,711
Bank debt	8,722			(189		)	3		(23		)	1,733			10,246
Corporate bonds	8,984			—			92		(320		)	339			9,095
Other debt securities	—			—			3,312		—			—			3,312
Total assets	$	91,586		$	15,453		$	26,384	$	(21,011	)	$	1,486		$	113,898
Liabilities
Derivative liabilities (free standing)	$	(1,326	)	$	—		$	—	$	(41	)	$	—		$	(1,367	)
Derivative liabilities (embedded)	(111		)	—			—		—			(69		)	(180		)
Total liabilities	$	(1,437	)	$	—		$	—	$	(41	)	$	(69	)	$	(1,547	)

	January 1, 2017			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains(Losses) (1)			June 30, 2017
	($ in thousands)
Assets
Private common equity securities	$	4,799		$	—		$	—	$	—		$	(24	)	$	4,775
Private preferred equity securities	48,834			—			939		(495		)	1,481			50,759
Asset-backed securities	17,628			20,016			31,958		(32,237		)	(1,654		)	35,711
Bank debt	8,350			(446		)	4		(272		)	2,610			10,246
Corporate bonds	9,255			—			93		(587		)	334			9,095
Other debt securities	—			—			3,312		—			—			3,312
Total assets	$	88,866		$	19,570		$	36,306	$	(33,591	)	$	2,747		$	113,898
Liabilities
Derivative liabilities (free standing)	$	(1,326	)	$	—		$	—	$	(41	)	$	—		$	(1,367	)
Derivative liabilities (embedded)	(92		)	—			—		—			(88		)	(180		)
Total liabilities	$	(1,418	)	$	—		$	—	$	(41	)	$	(88	)	$	(1,547	)



	April 1, 2016			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains(Losses) (1)			June 30, 2016
	($ in thousands)
Assets
Private common equity securities	$	4,138		$	—		$	—	$	—		$	(968	)	$	3,170
Private preferred equity securities	25,104			—			10,142		—			(4,167		)	31,079
Asset-backed securities	2,229			2,270			439		(1,034		)	(1,090		)	2,814
Corporate bonds	2,958			—			199		(47		)	—			3,110
Sovereign debt	—			17			—		—			(15		)	2
Total assets	$	34,429		$	2,287		$	10,780	$	(1,081	)	$	(6,240	)	$	40,175
Liabilities
Derivative liabilities (free standing)	$	(1,086	)	$	—		$	—	$	(134	)	$	—		$	(1,220	)
Derivative liabilities (embedded)	(5,328		)	—			—		(861		)	(146		)	(6,335		)
Total liabilities	$	(6,414	)	$	—		$	—	$	(995	)	$	(146	)	$	(7,555	)


	January 1, 2016			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains(Losses) (1)			June 30, 2016
	($ in thousands)
Assets
Private common equity securities	$	4,357		$	—		$	—	$	—		$	(1,187	)	$	3,170
Private preferred equity securities	24,178			—			12,253		—			(5,352		)	31,079
Asset-backed securities	2,617			2,944			787		(1,616		)	(1,918		)	2,814
Bank debt	7,660			(7,660		)	—		—			—			—
Corporate bonds	3,252			—			199		(80		)	(261		)	3,110
Sovereign debt	21			(2		)	—		—			(17		)	2
Total assets	$	42,085		$	(4,718	)	$	13,239	$	(1,696	)	$	(8,735	)	$	40,175
Liabilities
Derivative liabilities (free standing)	$	(1,020	)	$	—		$	—	$	(200	)	$	—		$	(1,220	)
Derivative liabilities (embedded)	(5,563		)	—			—		(861		)	89			(6,335		)
Total liabilities	$	(6,583	)	$	—		$	—	$	(1,061	)	$	89		$	(7,555	)


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

Schedule of significant unobservable inputs used

he 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 are insignificant or do not have any unobservable inputs to disclose, as they are valued primarily using dealer quotes or at cost.



June 30, 2017
Assets	Fair value ($ in thousands)		Valuation technique	Unobservable input	Range
Private equity investments	$	50,928	Market approach	Volatility	25.0% - 60.0%
				Time to exit	0.5 - 2.5 years
				Multiple	2.0 - 7.3x
Bank debt	$	10,246	Discounted cash flow	Credit spread	1,024 - 1,144 bps
				Duration	1.0 - 4.0 years

December 31, 2016
Assets	Fair value ($ in thousands)		Valuation technique	Unobservable input	Range
Private equity investments	$	47,608	Market approach	Discount	5.0% - 25.0%
				Volatility	40.0% - 60.0%
				Time to exit	0.4 - 2.8 years
				Multiple	2.0 - 3.8x

- 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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