| TRADING AND AVAILABLE-FOR-SALE SECURITIES AT FAIR VALUE |
TRADING AND AVAILABLE-FOR-SALE SECURITIES AT FAIR VALUE As of March 31, 2022 and 2021, trading and available-for-sale securities consisted of:
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March 31, 2022 |
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March 31, 2021 |
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| Corporate debt |
$ |
738,394 |
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|
$ |
334,763 |
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| Non-US sovereign debt |
357,071 |
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|
333,619 |
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| Corporate equity |
91,254 |
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|
47,340 |
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| US sovereign debt |
10,306 |
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|
10,828 |
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| Exchange traded notes |
6,454 |
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|
9,638 |
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| Total trading securities |
$ |
1,203,479 |
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$ |
736,188 |
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| Equity securities |
1 |
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|
1 |
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| Total available-for-sale securities, at fair value |
$ |
1 |
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$ |
1 |
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As of March 31, 2022, the Company held debt securities of two issuers which individually exceeded 10% of the Company's total trading securities - the Ministry of Finance of the Republic of Kazakhstan and the Kazakhstan Sustainability Fund JSC of $328,951 and $414,591, respectively. As of March 31, 2021, the Company held debt securities of two issuers which individually exceeded 10% of the Company's total trading securities - the Ministry of Finance of the Republic of Kazakhstan and the Kazakhstan Sustainability Fund JSC in the amounts of $293,451 and $193,677.
The Company recognized no other than temporary impairment in accumulated other comprehensive income.
The fair value of assets and liabilities is determined using observable market data based on recent trading activity. Where observable market data is unavailable due to a lack of trading activity, the Company utilizes internally developed models to estimate fair value and independent third parties to validate assumptions, when appropriate. Estimating fair value requires significant management judgment, including benchmarking to similar instruments with observable market data and applying appropriate discounts that reflect differences between the securities that the Company is valuing and the selected benchmark. Depending on the type of securities owned by the Company, other valuation methodologies may be required.
Measurement of fair value is classified within a hierarchy based upon the transparency of inputs used in the valuation of an asset or liability. Classification within the hierarchy is based upon the lowest level of input that is significant to the fair value measurement.
The valuation hierarchy contains three levels:
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•Level 1 - Valuation inputs are unadjusted quoted market prices for identical assets or liabilities in active markets.
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•Level 2 - Valuation inputs are quoted market prices for identical assets or liabilities in markets that are not active, quoted market prices for similar assets and liabilities in active markets, and other observable inputs directly or indirectly related to the asset or liability being measured.
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•Level 3 - Valuation inputs are unobservable and significant to the fair value measurement.
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The following tables present trading securities assets in the Consolidated Financial Statements or disclosed in the Notes to the Consolidated Financial Statements at fair value on a recurring basis as of March 31, 2022 and 2021:
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Weighted
average
interest rate
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Total |
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Fair Value Measurements at
March 31, 2022 using
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Quoted Prices in Active
Markets for Identical
Assets
(Level 1) |
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Significant Other
Observable Inputs
(Level 2) |
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Significant unobservable
units
(Level 3) |
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| Corporate debt |
9.61 |
% |
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$ |
738,394 |
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$ |
737,799 |
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|
$ |
— |
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|
$ |
595 |
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| Non-U.S. sovereign debt |
13.11 |
% |
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357,071 |
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|
348,775 |
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— |
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8,296 |
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| Corporate equity |
— |
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91,254 |
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85,959 |
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|
5,042 |
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|
253 |
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| U.S. sovereign debt |
2.36 |
% |
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10,306 |
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10,306 |
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— |
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— |
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| Exchange traded notes |
— |
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6,454 |
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6,454 |
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— |
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— |
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| Total trading securities |
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$ |
1,203,479 |
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$ |
1,189,293 |
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$ |
5,042 |
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$ |
9,144 |
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| Equity securities |
—
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$ |
1 |
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$ |
— |
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$ |
— |
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$ |
1 |
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| Total available-for-sale securities, at fair value |
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$ |
1 |
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$ |
— |
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$ |
— |
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$ |
1 |
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Weighted
average
interest rate
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Total |
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Fair Value Measurements at
March 31, 2021 using
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Quoted Prices in Active
Markets for Identical
Assets
(Level 1) |
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Significant Other
Observable Inputs
(Level 2) |
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Significant unobservable
units
(Level 3) |
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| Corporate debt |
9.22 |
% |
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$ |
334,763 |
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$ |
334,403 |
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$ |
— |
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$ |
360 |
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| Non-U.S. sovereign debt |
8.06 |
% |
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333,619 |
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333,619 |
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— |
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— |
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| Corporate equity |
— |
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47,340 |
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28,630 |
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1 |
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18,709 |
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| U.S. sovereign debt |
1.68 |
% |
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10,828 |
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10,828 |
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— |
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— |
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| Exchange traded notes |
— |
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9,638 |
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9,638 |
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— |
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— |
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| Total trading securities |
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$ |
736,188 |
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$ |
717,118 |
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$ |
1 |
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$ |
19,069 |
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| Equity securities |
— |
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$ |
1 |
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$ |
— |
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$ |
— |
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$ |
1 |
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| Total available-for-sale securities, at fair value |
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$ |
1 |
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$ |
— |
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$ |
— |
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$ |
1 |
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The table below presents the Valuation Techniques and Significant Level 3 Inputs used in the valuation as of March 31, 2022 and 2021. The table is not intended to be all inclusive, but instead captures the significant unobservable inputs relevant to determination of fair value.
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| Type |
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Valuation
Technique
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FV as of March 31,
2022 |
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FV as of March 31,
2021 |
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Significant Unobservable Inputs |
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% |
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| Corporate equity |
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DCF |
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$ |
— |
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$ |
18,408 |
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Discount rate |
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10.6% |
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Estimated number of years |
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9 years |
| Corporate equity |
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DCF |
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$ |
253 |
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$ |
301 |
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Discount rate |
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20.0% |
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Estimated number of years |
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9 years |
| Corporate debt |
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DCF |
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$ |
595 |
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$ |
360 |
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Discount rate |
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45.0% |
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Estimated number of years |
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3 months |
| Non-US sovereign debt |
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DCF |
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$ |
7,524 |
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$ |
— |
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Discount rate |
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69.0% |
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Estimated number of years |
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11 years |
| Non-US sovereign debt |
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DCF |
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$ |
772 |
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$ |
— |
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Discount rate |
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13.9% |
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Estimated number of years |
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1 year |
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$ |
9,144 |
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$ |
19,069 |
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As of March 31, 2022, shares of SPBX held by the Company were transferred from level 3 to level 1, due to active trades on the market. During the year ended March 31, 2022, market trades of SPBX shares were executed in the market, and market data for these shares became available.
The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the year ended March 31, 2022:
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Trading
securities |
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Available-for-sale
securities
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Balance as of March 31, 2020 |
$ |
11,259 |
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$ |
1 |
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| Sale of investments that use Level 3 inputs |
(2) |
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— |
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| Purchase of investments that use Level 3 inputs |
834 |
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— |
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| Revaluation of investments that use Level 3 inputs |
6,978 |
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— |
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| Foreign currency translation |
— |
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— |
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Balance as of March 31, 2021 |
$ |
19,069 |
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$ |
1 |
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| Reclassification to level 3 |
683 |
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— |
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| Reclassification to level 1 |
(18,408) |
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| Purchase of investments that use Level 3 inputs |
10,813 |
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— |
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| Revaluation of investments that use Level 3 inputs |
(3,013) |
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— |
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| Foreign currency translation |
— |
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— |
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Balance as of March 31, 2022 |
$ |
9,144 |
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$ |
1 |
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The table below presents the amortized cost, unrealized gains and losses accumulated in other comprehensive income, and fair value of available-for-sale securities as of March 31, 2022 and 2021:
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March 31, 2022 |
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Assets
measured at
amortized cost |
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Unrealized loss
accumulated in other
comprehensive
income |
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Assets
measured
at fair value |
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| Equity securities |
$ |
1 |
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$ |
— |
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$ |
1 |
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Balance as of March 31, 2022 |
$ |
1 |
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$ |
— |
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$ |
1 |
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March 31, 2021 |
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Assets
measured at
amortized cost |
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Unrealized loss
accumulated in other
comprehensive
income |
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Assets
measured
at fair value |
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| Equity securities |
$ |
1 |
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$ |
— |
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$ |
1 |
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Balance as of March 31, 2021 |
$ |
1 |
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$ |
— |
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$ |
1 |
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