Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2019

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

The following tables present the Company’s investments, categorized by the level of the fair value hierarchy as of September 30, 2019 and December 31, 2018:



	September 30, 2019
	Quoted prices in active markets		Significant other observable inputs		Significant unobservable inputs		Total
	(Level 1)		(Level 2)		(Level 3)		Total
Assets
Private common equity securities	$	—	$	—	$	500	$	500
Private preferred equity securities	—		—		3,000		3,000
Total equities	—		—		3,500		3,500
U.S. Treasury securities	—		197,664		—		197,664
Sovereign debt	—		22,381		—		22,381
Total debt securities	—		220,045		—		220,045
	$	—	$	220,045	$	3,500	223,545
Investments in funds valued at NAV							818,600
Total assets							$	1,042,145
Liabilities
Derivative liabilities (embedded)	$	—	$	—	$	37	$	37
Total liabilities	$	—	$	—	$	37	$	37



	December 31, 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	$	—	$	197,312	$	—	$	197,312
Sovereign debt	—		42,328		—		42,328
Total debt securities	$	—	$	239,640	$	—	239,640
Investments in funds valued at NAV							1,284,088
Total assets							$	1,523,728
Liabilities
Derivative liabilities (embedded)	$	—	$	—	$	22	$	22
Total liabilities	$	—	$	—	$	22	$	22

The total change in unrealized gains (losses) on equity and debt securities held at the three months ended September 30, 2019 were $nil and $4.4 million, respectively (2018 - $nil and $(1.6) million, respectively). The total change in unrealized gains (losses) on equity and debt securities held at the nine months ended September 30, 2019 were $nil and $6.8 million, respectively (2018 - $nil and $(6.9) million, respectively).

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, 2019 and 2018:



	July 1, 2019			Transfers in to (out of) Level 3		Purchases		Sales		Realized and Unrealized Gains (Losses) ⁽²⁾			September 30, 2019
Assets
Private common equity securities	$	—		$	—	$	500	$	—	$	—		$	500
Private preferred equity securities	3,000			—		—		—		—			3,000
Total assets	$	3,000		$	—	$	500	$	—	$	—		$	3,500
Liabilities
Derivative liabilities (embedded)	$	(54	)	$	—	$	—	$	—	$	17		$	(37	)
Total liabilities	$	(54	)	$	—	$	—	$	—	$	17		$	(37	)


	January 1, 2019			Transfers in to (out of) Level 3		Purchases		Sales		Realized and Unrealized Gains (Losses) ⁽²⁾			September 30, 2019
Assets
Private common equity securities	$	—		$	—	$	500	$	—	$	—		$	500
Private preferred equity securities	—			—		3,000		—		—			3,000
Total assets	$	—		$	—	$	3,500	$	—	$	—		$	3,500
Liabilities
Derivative liabilities (embedded)	$	(22	)	$	—	$	—	$	—	$	(15	)	$	(37	)
Total liabilities	$	(22	)	$	—	$	—	$	—	$	(15	)	$	(37	)




	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	)


(1)	Sales of investments measured at fair value using Level 3 inputs in the three and nine months ended September 30, 2018 include the impact of the change in investment account structure 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). Realized and unrealized gains (losses) related to embedded derivatives are included in other expenses in the condensed consolidated statements of income (loss).