Fair value of assets and liabilities (Tables)

3 Months Ended

Mar. 31, 2025

Schedule of Fair Value of Financial Instruments

The tables below set forth the fair value of financial instruments grouped by the fair value level as of the dates indicated.


	March 31, 2025
($ in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Capital provision assets
Derivative financial assets
Single case	$	—	$	—	$	756,442	$	756,442
Portfolio	—		—		3,099,848		3,099,848
Portfolio with equity risk	—		—		74,222		74,222
Legal risk management	—		—		7,197		7,197
Non-derivative financial assets
Joint ventures and equity method investments	—		—		157,435		157,435
Single case with equity risk	6,136		—		—		6,136
Assets of consolidated investment companies
Core legal finance (BOF-C)	6,386		—		679,101		685,487
Core legal finance (EP Funds)	—		—		410,204		410,204
Lower risk legal finance (Advantage Fund)	—		—		108,050		108,050
Total capital provision assets	12,522		—		5,292,499		5,305,021

Due from settlement of capital provision assets	—		—		102,648		102,648
Marketable securities
Government securities	—		48,524		—		48,524
Corporate bonds	—		19,155		—		19,155
Asset-backed securities	—		1,536		—		1,536
Mutual funds	8,298		—		—		8,298
Certificates of deposit	6,031		—		—		6,031
Total assets	26,851		69,215		5,395,147		5,491,213

Liabilities:
Financial liabilities relating to third-party interests in capital provision assets	—		—		780,330		780,330
Total liabilities	—		—		780,330		780,330
Net total	26,851		69,215		4,614,817		4,710,883


	December 31, 2024
($ in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Capital provision assets
Derivative financial assets
Single case	$	—	$	—	$	1,052,519	$	1,052,519
Portfolio	—		—		3,053,800		3,053,800
Portfolio with equity risk	—		—		65,041		65,041
Legal risk management	—		—		6,442		6,442
Non-derivative financial assets
Joint ventures and equity method investments	—		—		154,220		154,220
Single case with equity risk	8,711		—		—		8,711
Assets of consolidated investment companies
Core legal finance (BOF-C)	8,581		—		705,315		713,896
Lower risk legal finance (Advantage Fund)	—		—		189,288		189,288
Total capital provision assets	17,292		—		5,226,625		5,243,917

Due from settlement of capital provision assets	—		—		183,858		183,858
Marketable securities
Government securities	—		40,405		—		40,405
Corporate bonds	—		20,077		—		20,077
Asset-backed securities	—		1,971		—		1,971
Mutual funds	10,654		—		—		10,654
Certificates of deposit	5,913		—		—		5,913
Total assets	33,859		62,453		5,410,483		5,506,795

Liabilities:
Financial liabilities relating to third-party interests in capital provision assets	—		—		747,053		747,053
Total liabilities	—		—		747,053		747,053
Net total	33,859		62,453		4,663,430		4,759,742

Schedule of Analysis of the Movements in the Level 3 Financial Assets and Liabilities

The tables below set forth the analysis of the movements in the Level 3 financial assets and liabilities for the periods indicated.


	Three months ended March 31, 2025
($ in thousands)	Beginning of period		Transfers into Level 3		Transfers between types		Deployments		Realizations		Income/(loss) for the period		Foreign exchange gains/(losses)		End of period
Single case	$	1,052,519	$	—	$	(286,474)	$	62,060	$	(97,636)	$	23,240	$	2,733	$	756,442
Portfolio	3,053,800		—		—		27,969		(49,548)		65,763		1,864		3,099,848
Portfolio with equity risk	65,041		—		—		89		—		9,092		—		74,222
Legal risk management	6,442		—		—		—		—		477		278		7,197
Joint ventures and equity method investments	154,220		—		—		—		(585)		1,142		2,658		157,435
Core legal finance (BOF-C)	705,315		—		—		10,550		(53,592)		16,804		24		679,101
Core legal finance (EP Funds)1	—		—		286,474		115,301		—		8,429		—		410,204
Lower risk legal finance (Advantage Fund)	189,288		—		—		507		(85,709)		3,964		—		108,050
Total capital provision assets	5,226,625		—		—		216,476		(287,070)		128,911		7,557		5,292,499
Due from settlement of capital provision assets	183,858		—		—		288,848		(371,054)		652		344		102,648
Total Level 3 assets	5,410,483		—		—		505,324		(658,124)		129,563		7,901		5,395,147

Financial liabilities relating to third-party interests in capital provision assets	747,053		—		—		12,479		—		20,796		2		780,330
Total Level 3 liabilities	747,053		—		—		12,479		—		20,796		2		780,330
1. The restructuring of the EP Funds resulted in the Group being required to consolidate the underlying assets and liabilities of the entities during the three months ended March 31, 2025 (see note 2, Summary of significant accounting policies for further details). Prior to consolidation, the Group had a ‘Single case’ capital provision asset with the EP Funds representing its Eton Park interest in the YPF-related assets. This asset is eliminated on consolidation and forms part of the additions to the ‘Core legal finance (EP Funds)’. Deployments to ‘Core legal finance (EP Funds)’ includes approximately $80.0 million of other additions which are offset by other third-party liabilities assumed on consolidation.


	Three months ended March 31, 2024
($ in thousands)	Beginning of period		Transfers into Level 3		Transfers between types		Deployments		Realizations		Income/(loss) for the period		Foreign exchange gains/(losses)		End of period
Single case	$	934,131	$	—	$	—	$	33,534	$	(39,186)	$	6,336	$	(1,677)	$	933,138
Portfolio	2,875,881		—		—		24,695		(18,925)		16,600		(2,122)		2,896,129
Portfolio with equity risk	142,659		—		—		90		—		18,433		—		161,182
Legal risk management	3,523		—		—		—		—		2,374		(75)		5,822
Joint ventures and equity method investments	178,628		—		—		—		(488)		(17,046)		(777)		160,317
Core legal finance (BOF-C)	705,092		—		—		16,471		(45,594)		11,097		—		687,066
Lower risk legal finance (Advantage Fund)	185,509		—		—		50,613		(8,778)		8,690		—		236,034
Total capital provision assets	5,025,423		—		—		125,403		(112,971)		46,484		(4,651)		5,079,688
Due from settlement of capital provision assets	265,540		—		—		112,971		(247,561)		802		(64)		131,688
Total Level 3 assets	5,290,963		—		—		238,374		(360,532)		47,286		(4,715)		5,211,376

Financial liabilities relating to third-party interests in capital provision assets	704,196		—		—		6		—		5,224		—		709,426
Total Level 3 liabilities	704,196		—		—		6		—		5,224		—		709,426

Schedule of Key Unobservable Inputs

The tables below set forth each of the key unobservable inputs used to value the Group’s capital provision assets and the applicable ranges and weighted average by relative fair value for such inputs as of the dates indicated.


($ in thousands)	March 31, 2025
Type:	Single case, Portfolio, Joint ventures and equity method investments, Legal risk management, Core legal finance (BOF-C)(1), Core legal finance (EP Funds), Financial liabilities relating to third party interests in capital provision assets
Principal value technique:	Discounted cash flow
Unobservable input:	Cost	Unrealized	Fair value	Minimum		Maximum		Weighted average
Discount rate				4.8%		7.5%		6.7%
Duration(2) (years)				0.2		13.8		2.9
Adjusted risk premium				0.0%		100.0%		30.9%
Positive case milestone factor:
Significant ruling or other objective event prior to trial court judgment	$181,740	$113,443	$295,183	5.0%		50.0%		23.0%
Trial court judgment or tribunal award	88,624	100,061	188,685	25.0%		60.0%		53.6%
Appeal judgment	61,950	65,237	127,187	68.9%		80.0%		70.4%
Asset freeze	2,476	565	3,041	4.4%		4.4%		4.4%
Exhaustion of all appeals	78,400	66,985	145,385	100.0%		100.0%		100.0%
Settlement	1,961	5,094	7,055	40.0%		80.0%		59.7%
Portfolios with multiple factors	518,750	438,031	956,781	0.4%		100.0%		27.2%
Other	309	(163)	146	100.0%		100.0%		100.0%
Negative case milestone factor:
Significant ruling or other objective event prior to trial court judgment	17,209	(16,291)	918	(50.0)	%	(60.0)	%	(56.8)	%
Trial court judgment or tribunal award	45,011	(24,058)	20,953	(10.0)	%	(60.0)	%	(57.3)	%
Appeal judgment	7,989	(7,989)	—	(100.0)	%	(100.0)	%	(100.0)	%
Portfolios with multiple factors	60,540	(33,992)	26,548	(2.4)	%	(60.0)	%	(43.0)	%
No case milestone:	912,687	94,401	1,007,088
YPF-related assets:	105,632	1,432,450	1,538,082
	2,083,278	2,233,774	4,317,052

Type:	Lower risk legal finance (Advantage Fund)
Principal value technique:	Discounted cash flow
Unobservable input:	Cost	Unrealized	Fair value	Minimum		Maximum		Weighted average
Discount rate	92,650	15,400	108,050	11.9%		20.8%		15.8%
Duration(2) (years)				0.0		6.8		2.1

Type:	Portfolio with equity risk, Core legal finance (BOF-C)(1)
Principal value technique:	Discounted cash flow
Unobservable input:	Cost	Unrealized	Fair value	Minimum		Maximum		Weighted average
Discount rate	45,741	41,326	87,067	13.4	%	13.4	%	13.4	%
Resolution timing (years)				0.5		3.5		1.2
Conversion ratio				1.0		1.0		1.0

Type:	Due from settlement of capital provision assets
Principal value technique:	Discounted cash flow
Unobservable input:	Cost	Unrealized	Fair value	Minimum		Maximum		Weighted average
Discount rate	102,419	229	102,648	6.6%		6.6%		6.6%
Collection risk				0.0	%	0.0	%	0.0	%

Level 3 assets and liabilities, net	2,324,088	2,290,729	4,614,817
1. Includes the proportional participation in these capital provision assets held by BOF-C.
2. Duration refers to the expected timing of a favorable outcome. See note 2 (Summary of significant accounting policies—Fair value of financial instruments) to the Group’s unaudited condensed consolidated financial statements for additional information with respect to the valuation methodology for Level 3 assets.


($ in thousands)	December 31, 2024
Type:	Single case, Portfolio, Joint ventures and equity method investments, Legal risk management, Core legal finance (BOF-C)(1), Financial liabilities relating to third party interests in capital provision assets
Principal value technique:	Discounted cash flow
Unobservable input:	Cost	Unrealized	Fair value	Minimum		Maximum		Weighted average
Discount rate				4.8%		7.6%		6.9%
Duration(2) (years)				0.2		14.0		2.9
Adjusted risk premium				0.0%		100.0%		31.4%
Positive case milestone factor:
Significant ruling or other objective event prior to trial court judgment	$184,540	$109,991	$294,531	5.0%		50.0%		23.0%
Trial court judgment or tribunal award	86,880	98,453	185,333	25.0%		60.0%		54.0%
Appeal judgment	61,192	67,177	128,369	69.0%		80.0%		70.0%
Asset freeze	2,401	512	2,913	4.0%		4.0%		4.0%
Exhaustion of all appeals	78,093	66,664	144,757	100.0%		100.0%		100.0%
Settlement	1,911	4,889	6,800	40.0%		80.0%		60.0%
Portfolios with multiple factors	555,828	424,005	979,833	0.0%		100.0%		23.0%
Other	307	(165)	142	100.0%		100.0%		100.0%
Negative case milestone factor:
Significant ruling or other objective event prior to trial court judgment	17,209	(16,343)	866	(50.0)	%	(60.0)	%	(57.0)	%
Trial court judgment or tribunal award	44,973	(24,439)	20,534	(10.0)	%	(60.0)	%	(57.0)	%
Appeal judgment	11,825	(11,506)	319	(80.0)	%	(100.0)	%	(80.0)	%
Portfolios with multiple factors	59,877	(28,404)	31,473	(10.0)	%	(60.0)	%	(39.0)	%
No case milestone:	924,530	28,112	952,642
YPF-related assets:	69,576	1,395,899	1,465,475
	2,099,142	2,114,845	4,213,987

Type:	Lower risk legal finance (Advantage Fund)
Principal value technique:	Discounted cash flow
Unobservable input:	Cost	Unrealized	Fair value	Minimum		Maximum		Weighted average
Discount rate	159,816	29,472	189,288	12.1%		21.0%		17.2%
Duration(3) (years)				0.2		4.0		1.3

Type:	Portfolio with equity risk, Core legal finance (BOF-C)(2)
Principal value technique:	Discounted cash flow
Unobservable input:	Cost	Unrealized	Fair value	Minimum		Maximum		Weighted average
Discount rate	45,741	30,556	76,297	14.0%		14.0%		14.0%
Resolution timing (years)				0.8		3.8		1.4
Conversion ratio				1.0		1.0		1.0

Type:	Due from settlement of capital provision assets
Principal value technique:	Discounted cash flow
Unobservable input:	Cost	Unrealized	Fair value	Minimum		Maximum		Weighted average
Discount rate	182,657	1,201	183,858	6.8%		6.8%		6.8%
Collection risk				0.0%		0.0%		0.0%

Level 3 assets and liabilities, net	2,487,356	2,176,074	4,663,430
1. Includes the proportional participation in these capital provision assets held by BOF-C.
2. Duration refers to the expected timing of a favorable outcome. See note 2 (Summary of significant accounting policies—Fair value of financial instruments) to the Group’s unaudited condensed consolidated financial statements for additional information with respect to the valuation methodology for Level 3 assets.

Schedule of Increase (Decrease) in Consolidated Income and Net Assets Due to Change in Actual Interest Rates

In addition, as of March 31, 2025 and December 31, 2024, should interest rates have been 50 or 100 basis points lower or higher, as applicable, than the actual interest rates used in the fair value estimates, while all other variables remained constant, the Group’s consolidated income and net assets would have increased or decreased, respectively, by the following amounts.


($ in thousands)	March 31, 2025		December 31, 2024
+100 bps interest rates	$	(160,020)	$	(153,241)
+50 bps interest rates	(81,092)		(77,644)
-50 bps interest rates	82,043		78,514
-100 bps interest rates	166,354		159,169

Schedule of Increase (Decrease) in Consolidated Income or Net Assets Due to Expected Timing of Favorable Outcome

Furthermore, as of March 31, 2025 and December 31, 2024, should duration have been six or 12 months shorter or longer, as applicable, than the actual durations used in the fair value estimates, while all other variables remained constant, the Group’s consolidated income and net assets would have decreased or increased, respectively, by the following amounts.


($ in thousands)	March 31, 2025		December 31, 2024
+12 months duration(1)	$	(390,776)	$	(396,845)
+6 months duration(1)	(196,405)		(200,908)
-6 months duration(1)	202,711		196,721
-12 months duration(1)	417,624		405,926
1. Duration refers to the expected timing of a favorable outcome. See note 2 (Summary of significant accounting policies—Fair value of financial instruments) to the Group’s unaudited condensed consolidated financial statements for additional information with respect to the valuation methodology for Level 3 assets.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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