Quarterly report pursuant to Section 13 or 15(d)

TRADING AND AVAILABLE-FOR-SALE SECURITIES AT FAIR VALUE

v3.23.1
TRADING AND AVAILABLE-FOR-SALE SECURITIES AT FAIR VALUE
 3 Months Ended
Jun. 30, 2022
Debt Securities, Trading, and Equity Securities, FV-NI [Abstract]  
Trading and Available-for-Sale Securities at Fair Value TRADING AND AVAILABLE-FOR-SALE SECURITIES AT FAIR VALUE
As of June 30, 2022, and March 31, 2022, trading and available-for-sale securities consisted of:
  June 30, 2022 March 31, 2022
  (Recast) (Recast)
Non-U.S. sovereign debt $ 688,843  $ 360,570 
Corporate debt 545,448  712,134 
Corporate equity 47,540  72,354 
U.S. sovereign debt 14,696  10,435 
Exchange traded notes 1,875  2,884 
Total trading securities $ 1,298,402  $ 1,158,377 
June 30, 2022 March 31, 2022
(Recast)
Corporate debt $ 132,372  $ 145,836 
Non-U.S. sovereign debt 84,748  12,997 
U.S. sovereign debt 2,349  2,530 
Corporate equity 1  1 
Total available-for-sale securities, at fair value $ 219,470  $ 161,364 

As of June 30, 2022, the Company held debt securities of two issuers which individually exceeded 10% of the Company’s total trading securities - the Kazakhstan Sustainability Fund JSC (BBB credit rating) in the amount of $304,453 and the Ministry of Finance of the Republic of Kazakhstan (BBB- credit rating) in the amount of $620,918. 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 in the amounts of $357,343 and $488,560, respectively.
The Company recognized no other-than-temporary impairment in accumulated other comprehensive loss.
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:
•Level 1 - Valuation inputs are unadjusted quoted market prices for identical assets or liabilities in active markets.
•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.
•Level 3 - Valuation inputs are unobservable and significant to the fair value measurement.
The following tables present securities assets in the Сondensed Сonsolidated Balance Sheets or disclosed in the Notes to the condensed consolidated financial statements at fair value on a recurring basis as of June 30, 2022, and March 31, 2022:
Weighted Average
Interest Rate		 Total
Fair Value Measurements at
June 30, 2022 (recast) using
Quoted Prices in
Active Markets
for Identical Assets		 Significant
Other Observable
Inputs		 Significant Unobservable
Units
(Level 1) (Level 2) (Level 3)
Non-U.S. sovereign debt 13.40  % $ 688,843  $ 686,851  $ 1,174  $ 818 
Corporate debt 10.20  % 545,448  545,292  —  156 
Corporate equity —  % 47,540  47,109  180  251 
U.S. sovereign debt 3.02  % 14,696  14,696  —  — 
Exchange traded notes —  % 1,875  1,875  —  — 
Total trading securities $ 1,298,402  $ 1,295,823  $ 1,354  $ 1,225 
Corporate debt 10.60  % $ 132,372  $ 132,372  $ —  $ — 
Non-U.S. sovereign debt 11.50  % 84,748  84,748  —  — 
U.S. sovereign debt 3.00  % 2,349  2,349  —  — 
Corporate equity —  % 1  —  —  1 
Total available-for-sale securities, at fair value $ 219,470  $ 219,469  $ —  $ 1 
Weighted Average
Interest Rate
Total Fair Value Measurements at March 31, 2022 (Recast) using
Quoted Prices in Active Markets for Identical Assets Significant Other Observable Inputs Significant Unobservable Units
(Level 1) (Level 2) (Level 3)
Corporate debt 9.19  % $ 712,134  $ 711,539  $ —  $ 595 
Non-U.S. sovereign debt 12.87  % 360,570  352,274  —  8,296 
Corporate equity —  72,354  71,828  275  251 
U.S. sovereign debt 2.35  % 10,435  10,435  —  — 
Exchange traded notes —  2,884  2,884  —  — 
Total trading securities —  $ 1,158,377  $ 1,148,960  $ 275  $ 9,142 
Corporate debt 11.09  % $ 145,836  $ 145,836  $ —  $ — 
Non-U.S. sovereign debt 5.51  % 12,997  12,551  —  446 
U.S. sovereign debt —  2,530  2,530  —  — 
Corporate equity —  1  —  —  1 
Total available-for-sale securities, at fair value $ 161,364  $ 160,917  $ —  $ 447 
The table below presents the valuation techniques and significant level 3 inputs used in the valuation as of June 30, 2022, and March 31, 2022. The table is not intended to be all inclusive, but instead captures the significant unobservable inputs relevant to determination of fair value.
Type Valuation Technique FV as of June 30, 2022 (Recast) FV as of March 31, 2022 (Recast) Significant Unobservable Inputs %
Non-US sovereign debt DCF $ —  $ 772  Discount rate 13.9%
Estimated number of years 1 year
Corporate equity DCF 251  251  Discount rate 20.0%
Estimated number of years 9 years
Corporate debt DCF 156  595  Discount rate 45.0%
Estimated number of years 3 months
Non-US sovereign debt DCF 818  7,524  Discount rate 69.0%
Estimated number of years 11 years
Total $ 1,225  $ 9,142 
The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended June 30, 2022, and the year ended March 31, 2022:
Trading securities Available-for-sale securities
Balance as of March 31, 2022 (Recast)
 $ 9,142  $ 1 
Reclassification to level 1 (1,707) — 
Sale of investments that use Level 3 inputs (3,943) — 
Revaluation of investments that use Level 3 inputs (2,268) — 
Translation difference 1  — 
Balance as of June 30, 2022 (Recast)
 $ 1,225  $ 1 
Balance as of March 31, 2021 (Recast)
 $ 19,032  $ 1 
Reclassification to level 3 682  — 
Reclassification to level 1 (18,370) — 
Purchase of investments that use Level 3 inputs 10,812  — 
Revaluation of investments that use Level 3 inputs (3,014) — 
Balance as of March 31, 2022 (Recast)
 $ 9,142  $ 1 
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 June 30, 2022, and March 31, 2022:
June 30, 2022 (recast)
Assets measured at amortized cost Unrealized loss accumulated in other comprehensive
income/(loss)		 Assets
measured at
fair value
Corporate debt $ 133,127  $ (755) $ 132,372 
Non-US sovereign debt 83,387  1,361  84,748 
U.S. sovereign debt 2,988  (639) 2,349 
Corporate equity 1  —  1 
Total available-for-sale securities, at fair value $ 219,503  $ (33) $ 219,470