Fair Value of Financial Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2020

Summary of fair value hierarchy of financial assets and liabilities under U.S. GAAP guidance

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


	As of December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Marketable securities	$	33,283	$	—	$	—	$	33,283
Loans held for sale, at fair value	—		1,086,805		—		1,086,805
Debt securities	—		12,754		—		12,754
Rate lock commitments	—		—		21,034		21,034
Nasdaq Forwards	—		—		12,822		12,822
Forward sale contracts	—		—		7,632		7,632
Total	$	33,283	$	1,099,559	$	41,488	$	1,174,330
Liabilities:
Contingent consideration	$	—	$	—	$	31,481	$	31,481
Rate lock commitments	—		—		2,977		2,977
Forward sale contracts	—		—		14,971		14,971
Total	$	—	$	—	$	49,429	$	49,429


	As of December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets:
Marketable securities	$	36,795	$	—	$	—	$	36,795
Loans held for sale, at fair value	—		215,290		—		215,290
Rate lock commitments	—		—		32,035		32,035
Nasdaq Forwards	—		—		26,502		26,502
Forward sale contracts	—		—		14,389		14,389
Total	$	36,795	$	215,290	$	72,926	$	325,011
Liabilities:
Contingent consideration	$	—	$	—	$	45,172	$	45,172
Rate lock commitments	—		—		12,124		12,124
Forwards sale contracts	—		—		13,537		13,537
Total	$	—	$	—	$	70,833	$	70,833

Schedule of changes in Level 3 RBC forwards, rate lock commitments, forwards and contingent consideration measured at fair value on recurring basis

Changes in Level 3 Nasdaq Forwards, rate lock commitments, forward sale contracts and contingent consideration measured at fair value on recurring basis were as follows (in thousands):


	As of December 31, 2020
	Opening Balance		Total realized and unrealized gains (losses) included in Net income		Issuances		Settlements		Closing Balance		Unrealized gains (losses) outstanding
Assets:
Rate lock commitments	$	32,035	$	21,034	$	—	$	(32,035)	$	21,034	$	21,034
Forward sale contracts	14,389		7,632		—		(14,389)		7,632		7,632
Nasdaq Forwards	26,502		(13,680)		—		—		12,822		12,822
Total	$	72,926	$	14,986	$	—	$	(46,424)	$	41,488	$	41,488

	Opening Balance		Total realized and unrealized gains (losses) included in Net income		Issuances		Settlements		Closing Balance		Unrealized gains (losses) outstanding
Liabilities:
Contingent consideration	$	45,172	$	(11,063)	$	2,221	$	(4,849)	$	31,481	$	(408)
Rate lock commitments	12,124		2,977				(12,124)		2,977		2,977
Forward sale contracts	13,537		14,971				(13,537)		14,971		14,971
Total	$	70,833	$	6,885	$	2,221	$	(30,510)	$	49,429	$	17,540


	As of December 31, 2019
	Opening Balance		Total realized and unrealized gains (losses) included in Net income		Issuances		Settlements		Closing Balance		Unrealized gains (losses) outstanding
Assets:
Rate lock commitments	$	6,732	$	32,035	$	—	$	(6,732)	$	32,035	$	32,035
Forward sale contracts	8,177		14,389		—		(8,177)		14,389		14,389
Nasdaq Forwards	77,619		(51,117)		—		—		26,502		26,502
Total	$	92,528	$	(4,693)	$	—	$	(14,909)	$	72,926	$	72,926

	Opening Balance		Total realized and unrealized gains (losses) included in Net income		Issuances		Settlements		Closing Balance		Unrealized gains (losses) outstanding
Liabilities:
Contingent consideration	$	32,551	$	2,287	$	14,957	$	(4,623)	$	45,172	$	2,287
Rate lock commitments	7,470		12,124		—		(7,470)		12,124		12,124
Forward sale contracts	9,208		13,537		—		(9,208)		13,537		13,537
Total	$	49,229	$	27,948	$	14,957	$	(21,301)	$	70,833	$	27,948

Summary of quantitative information about Level 3 fair value measurements

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


December 31, 2020
Level 3 assets and liabilities	Assets		Liabilities		Significant Unobservable Inputs	Range		Weighted Average
Accounts payable, accrued expenses and other liabilities:
Contingent consideration	$	—	$	31,481	Discount rate	0.3% - 10.4%	(1)	7.1%
					Probability of meeting earnout and contingencies	0%- 100%	(1)	93.9%
					Financial forecast information
Derivative assets and liabilities:
Nasdaq Forwards	$	12,822	$	—	Implied volatility	42.4% - 42.6%	(2)	42.5%
Forward sale contracts	$	7,632	$	14,971	Counterparty credit risk	N/A		N/A
Rate lock commitments	$	21,034	$	2,977	Counterparty credit risk	N/A		N/A


December 31, 2019
Level 3 assets and liabilities	Assets		Liabilities		Significant Unobservable Inputs	Range		Weighted Average
Accounts payable, accrued expenses and other liabilities:
Contingent consideration	$	—	$	45,172	Discount rate	0.3% - 10.4%		8.6%
					Probability of meeting earnout and contingencies	90% - 100%	(1)	98.1%
					Financial forecast information
Derivative assets and liabilities:
Nasdaq Forwards	$	26,502	$	—	Implied volatility	25.7% - 34.8%	(2)	32.2%
Forward sale contracts	$	14,389	$	13,537	Counterparty credit risk	N/A		N/A
Rate lock commitments	$	32,035	$	12,124	Counterparty credit risk	N/A		N/A

(1)Newmark’s estimate of contingent consideration as of December 31, 2020 and 2019 was based on the acquired business’ projected future financial performance, including revenues.

(2)The volatility of Newmark’s Nasdaq Forwards is primarily based on the volatility of the underlying Nasdaq stock price.