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Fair Value of Financial Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Hierarchy of Financial Assets and Liabilities under U.S. GAAP Guidance

The following tables set forth by level within the fair value hierarchy financial assets and liabilities accounted for at fair value under U.S. GAAP guidance (in thousands):

	Assets at Fair Value at September 30, 2020
	Level 1		Level 2		Level 3		Netting and Collateral			Total
Marketable securities	$	303	$	—	$	—	$	—		$	303
Government debt		57,805		—		—		—			57,805
Securities owned—Equities		79		—		—		—			79
FX/commodities options		273		—		—		(2	)		271
Forwards		—		71		—		(9	)		62
FX swaps		—		222		—		(24	)		198
Futures		—		27,092		—		(27,092	)		—
Corporate bonds		—		663		—		—			663
Total	$	58,460	$	28,048	$	—	$	(27,127	)	$	59,381

	Liabilities at Fair Value at September 30, 2020
	Level 1		Level 2		Level 3		Netting and Collateral			Total
FX/commodities options	$	2	$	—	$	—	$	(2	)	$	—
FX swaps		—		333		—		(24	)		309
Forwards		—		901		—		(9	)		892
Futures		—		27,734		—		(27,092	)		642
Contingent consideration		—		—		36,515		—			36,515
Total	$	2	$	28,968	$	36,515	$	(27,127	)	$	38,358

	Assets at Fair Value at December 31, 2019
	Level 1		Level 2		Level 3		Netting and Collateral			Total
Marketable securities	$	14,228	$	—	$	—	$	—		$	14,228
Government debt		56,761		—		—		—			56,761
Securities owned—Equities		36		—		—		—			36
FX/commodities options		26		—		—		—			26
Forwards		—		706		—		(142	)		564
FX swaps		—		1,672		—		(394	)		1,278
Futures		—		2,044		—		(2,044	)		—
Corporate bonds		—		728		—		—			728
Total	$	71,051	$	5,150	$	—	$	(2,580	)	$	73,621

	Liabilities at Fair Value at December 31, 2019
	Level 1		Level 2		Level 3		Netting and Collateral			Total
FX/commodities options	$	—	$	—	$	—	$	—		$	—
FX swaps		—		2,638		—		(394	)		2,244
Forwards		—		1,427		—		(142	)		1,285
Futures		—		2,668		—		(2,044	)		624
Contingent consideration		—		—		42,159		—			42,159
Total	$	—	$	6,733	$	42,159	$	(2,580	)	$	46,312

Changes in Level 3 Financial Liabilities Measured at Fair Value on Recurring Basis

Level 3 Financial Liabilities

Changes in Level 3 liabilities measured at fair value on a recurring basis for the three months ended September 30, 2020 were as follows (in thousands):

															Unrealized (gains) losses for the period included in:
	Opening Balance as of July 1, 2020		Total realized and unrealized (gains) losses included in Net income (loss)¹			Unrealized (gains) losses included in Other comprehensive income (loss)²		Purchases/ Issuances		Sales/ Settlements			Closing Balance at September 30, 2020		Net income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2020			Other comprehensive income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2020
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration	$	35,107	$	(1,541	)	$	—	$	—	$	(133	)	$	36,515	$	(1,541	)	$	—

¹	Realized and unrealized gains (losses) are reported in “Other expenses” and “Other income (loss),” as applicable, in the Company’s unaudited condensed consolidated statements of operations.

²	Unrealized gains (losses) are reported in “Foreign currency translation adjustments,” in the Company’s unaudited condensed consolidated statements of comprehensive income (loss).

Changes in Level 3 liabilities measured at fair value on a recurring basis for the three months ended September 30, 2019 were as follows (in thousands):

	Opening Balance as of July 1, 2019		Total realized and unrealized (gains) losses included in Net income (loss)			Unrealized (gains) losses included in Other comprehensive income (loss)		Purchases/ Issuances		Sales/ Settlements			Closing Balance at September 30, 2019		Unrealized (gains) losses for the period on Level 3 Assets / Liabilities Outstanding at September 30, 2019
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration¹	$	42,152	$	(533	)	$	7	$	—	$	(1,652	)	$	41,026	$	(533	)

¹	Realized and unrealized gains (losses) are reported in “Other expenses” and “Other income (loss),” as applicable, in the Company’s unaudited condensed consolidated statements of operations.

Changes in Level 3 liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2020 were as follows (in thousands):

																Unrealized (gains) losses for the period included in:
	Opening Balance as of January 1, 2020		Total realized and unrealized (gains) losses included in Net income (loss)¹			Unrealized (gains) losses included in Other comprehensive income (loss)²			Purchases/ Issuances		Sales/ Settlements			Closing Balance at September 30, 2020		Net income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2020			Other comprehensive income (loss) on Level 3 Assets / Liabilities Outstanding at September 30, 2020
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration¹	$	42,159	$	(1,173	)	$	(67	)	$	2,959	$	(9,843	)	$	36,515	$	(1,173	)	$	(67	)

¹	Realized and unrealized gains (losses) are reported in “Other expenses” and “Other income (loss),” as applicable, in the Company’s unaudited condensed consolidated statements of operations.

²	Unrealized gains (losses) are reported in “Foreign currency translation adjustments,” in the Company’s unaudited condensed consolidated statements of comprehensive income (loss).

Changes in Level 3 liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2019 were as follows (in thousands):

	Opening Balance as of January 1, 2019		Total realized and unrealized (gains) losses included in Net income (loss)			Unrealized (gains) losses included in Other comprehensive income (loss)		Purchases/ Issuances		Sales/ Settlements			Closing Balance at September 30, 2019		Unrealized (gains) losses for the period on Level 3 Assets / Liabilities Outstanding at September 30, 2019
Liabilities
Accounts payable, accrued and other liabilities:
Contingent consideration¹	$	45,984	$	(4,242	)	$	14	$	—	$	(9,186	)	$	41,026	$	(4,242	)

¹Realized and unrealized gains (losses) are reported in “Other expenses” and “Other income (loss),” as applicable, in the Company’s unaudited condensed consolidated statements of operations.

Quantitative Information about Level 3 Fair Value Measurements on Recurring Basis

The following tables present quantitative information about the significant unobservable inputs utilized by the Company in the fair value measurement of Level 3 liabilities measured at fair value on a recurring basis (in thousands):

Fair Value as of September 30, 2020

Assets

Liabilities

Valuation Technique

Unobservable Inputs

Range

Weighted

Average

Contingent consideration

—

36,515

Present value of

expected payments

Discount rate¹

Probability

of meeting earnout

and contingencies

6.8%-10.3%

39%-100%

9.5%

78.9%²

¹	The discount rate is based on the Company’s calculated weighted-average cost of capital.

²	The probability of meeting the earnout targets was based on the acquirees’ projected future financial performance, including revenues.

Fair Value as of December 31, 2019

Assets

Liabilities

Valuation Technique

Unobservable Inputs

Range

Weighted

Average

Contingent consideration

—

42,159

Present value of

expected payments

Discount rate

Probability

of meeting earnout

and contingencies

9.2%-10.3%

70%-100%

9.8%

90.2%¹

¹	The probability of meeting the earnout targets was based on the acquirees’ projected future financial performance, including revenues.