Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2018

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents the Company’s investments, categorized by the level of the fair value hierarchy as of September 30, 2018:



	September 30, 2018
	Quoted prices in active markets		Significant other observable inputs		Significant unobservable inputs		Total
	(Level 1)		(Level 2)		(Level 3)		Total
Assets
U.S. Treasury securities	$	—	$	201,319	$	—	$	201,319
Sovereign debt	—		43,557		—		43,557
Total debt securities	$	—	$	244,876	$	—	244,876
Investments in funds valued at NAV							1,628,120
Total assets							$	1,872,996
Liabilities
Derivative liabilities (embedded)	$	—	$	—	$	110	$	110
Total liabilities	$	—	$	—	$	110	$	110

The following table presents the Company’s investments, categorized by the level of the fair value hierarchy as of December 31, 2017:



	December 31, 2017
	Quoted prices in active markets		Significant other observable inputs		Significant unobservable inputs		Total
	(Level 1)		(Level 2)		(Level 3)		Total
Assets
Equity securities	$	2,200,379	$	20,751	$	—	$	2,221,130
Private common equity securities	—		—		4,794		4,794
Private preferred equity securities	—		—		57,126		57,126
Total equities	2,200,379		20,751		61,920		2,283,050
Asset-backed securities	—		198,191		27,308		225,499
Bank debt	—		14,550		—		14,550
Corporate bonds	—		67,218		9,868		77,086
U.S. Treasury securities	—		249,994		—		249,994
Sovereign debt	—		102,569		—		102,569
Other debt securities	—		4,747		713		5,460
Total debt securities	—		637,269		37,889		675,158
Options	1,973		2,978		—		4,951
Rights and warrants	—		168		435		603
Real estate	—		—		6,831		6,831
Trade claims	—		7,496		—		7,496
Total other investments	1,973		10,642		7,266		19,881
Derivative assets (free standing)	—		73,372		—		73,372
	$	2,202,352	$	742,034	$	107,075	3,051,461
Investments in funds valued at NAV							17,850
Total assets							$	3,069,311
Liabilities
Equity securities	$	364,215	$	—	$	—	$	364,215
Corporate bonds	—		21,699		—		21,699
Options	2,668		5,696		—		8,364
Total securities sold, not yet purchased	366,883		27,395		—		394,278
Derivative liabilities (free standing)	—		12,418		2,085		14,503
Derivative liabilities (embedded)	—		—		171		171
Total liabilities	$	366,883	$	39,813	$	2,256	$	408,952

During the nine months ended September 30, 2018, the Company made $nil (December 31, 2017 - $nil) of reclassifications of assets or liabilities between Levels 1 and 2.

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 nine months ended September 30, 2018 and 2017:



	July 1, 2018			Transfers in to (out of) Level 3		Purchases		Sales ⁽¹⁾			Realized and Unrealized Gains (Losses) ⁽²⁾			September 30, 2018
Assets
Private common equity securities	$	4,362		$	—	$	533	$	(4,714	)	$	(181	)	$	—
Private preferred equity securities	56,769			—		37,774		(93,666		)	(877		)	—
Asset-backed securities	28,139			—		7,348		(35,515		)	28			—
Corporate bonds	9,968			—		869		(10,976		)	139			—
Rights and warrants	424			—		97		(712		)	191			—
Real estate	7,351			—		—		(6,664		)	(687		)	—
Derivative assets (free standing)	6,886			—		—		(7,646		)	760			—
Total assets	$	113,899		$	—	$	46,621	$	(159,893	)	$	(627	)	$	—
Liabilities
Derivative liabilities (free standing)	$	(1,839	)	$	—	$	—	$	1,823		$	16		$	—
Derivative liabilities (embedded)	(164		)	—		—		—			54			(110		)
Total liabilities	$	(2,003	)	$	—	$	—	$	1,823		$	70		$	(110	)


	January 1, 2018			Transfers in to (out of) Level 3		Purchases		Sales ⁽¹⁾			Realized and Unrealized Gains (Losses) ⁽²⁾			September 30, 2018
Assets
Private common equity securities	$	4,794		$	—	$	567	$	(4,726	)	$	(635	)	$	—
Private preferred equity securities	57,126			—		38,376		(91,065		)	(4,437		)	—
Asset-backed securities	27,308			—		35,905		(60,906		)	(2,307		)	—
Corporate bonds	9,868			—		1,372		(11,763		)	523			—
Other debt securities	713			—		—		(913		)	200			—
Rights and warrants	435			—		753		(1,380		)	192			—
Real estate	6,831			—		—		(6,817		)	(14		)	—
Total assets	$	107,075		$	—	$	76,973	$	(177,570	)	$	(6,478	)	$	—
Liabilities
Derivative liabilities (free standing)	$	(2,085	)	$	—	$	—	$	1,797		$	288		$	—
Derivative liabilities (embedded)	(171		)	—		—		—			61			(110		)
Total liabilities	$	(2,256	)	$	—	$	—	$	1,797		$	349		$	(110	)



	July 1, 2017			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains (Losses) ⁽²⁾			September 30, 2017
Assets
Private common equity securities	$	4,775		$	—		$	—	$	—		$	(1	)	$	4,774
Private preferred equity securities	50,759			—			2,095		(1,607		)	1,439			52,686
Asset-backed securities	35,711			(8,759		)	23,320		(24,581		)	(3,899		)	21,792
Bank debt	10,246			—			—		—			475			10,721
Corporate bonds	9,095			(236		)	1,183		(198		)	(159		)	9,685
Other debt securities	3,312			—			5,120		(3,307		)	2,143			7,268
Rights and warrants	—			2			—		—			—			2
Real estate	—			—			2,357		—			398			2,755
Total assets	$	113,898		$	(8,993	)	$	34,075	$	(29,693	)	$	396		$	109,683
Liabilities
Derivative liabilities (free standing)	$	(1,367	)	$	—		$	—	$	—		$	(798	)	$	(2,165	)
Derivative liabilities (embedded)	(180		)	—			—		—			—			(180		)
Total liabilities	$	(1,547	)	$	—		$	—	$	—		$	(798	)	$	(2,345	)

	January 1, 2017			Transfers in to (out of) Level 3			Purchases		Sales			Realized and Unrealized Gains (Losses) ⁽²⁾			September 30, 2017
Assets
Private common equity securities	$	4,799		$	—		$	—	$	—		$	(25	)	$	4,774
Private preferred equity securities	48,834			—			3,034		(2,102		)	2,920			52,686
Asset-backed securities	17,628			16,437			57,346		(56,947		)	(12,672		)	21,792
Bank debt	8,350			—			4		(310		)	2,677			10,721
Corporate bonds	9,255			(262		)	1,211		(719		)	200			9,685
Other debt securities	—			—			5,120		—			2,148			7,268
Rights and warrants	—			2			—		—			—			2
Real estate	—			—			2,357		—			398			2,755
Total assets	$	88,866		$	16,177		$	69,072	$	(60,078	)	$	(4,354	)	$	109,683
Liabilities
Derivative liabilities (free standing)	$	(1,326	)	$	—		$	—	$	(38	)	$	(801	)	$	(2,165	)
Derivative liabilities (embedded)	(92		)	—			—		—			(88		)	(180		)
Total liabilities	$	(1,418	)	$	—		$	—	$	(38	)	$	(889	)	$	(2,345	)


(1)	Sales of investments measured at fair value using Level 3 inputs include the impact of the LP Transaction as described in Note 4.


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

Schedule of significant unobservable inputs used

Prior to the change in the Company’s investment account structure, the Company used the following significant unobservable inputs in determining the fair value of the Level 3 investments held by the Company as of December 31, 2017. Level 3 investments not presented in the table below were insignificant or do not have any unobservable inputs to disclose, as they were valued primarily using dealer quotes or at cost.



December 31, 2017
Assets	Fair value		Valuation technique	Unobservable input	Range
Private equity investments	$	37,507	Market approach	Volatility	35.0% - 65.0%
				Time to exit	0.5 - 1.8 years
				Multiple	7.8 - 24.4x
Real estate	6,831		Discounted cash flow	Discount rate	9.5	%
				Capitalization rate	6.5% - 10.0%
Other debt securities	713		Discounted cash flow	Capitalization rate	10.0	%
Rights and warrants	433		Discounted cash flow	Discount rate	13.5	%
				Time to exit	5.0 years
			Market approach	Multiple	3.8 - 4.6x