SAE Foundation Annual Report 2014 - Cover3

SAE Foundation
Notes to the Financial Statements (Continued)

7. Fair Values Measured on a Recurring Basis (Continued)
The Foundation's investment in managed futures is valued using the partnership's net asset per
unit value at the balance sheet date. Orion Managed Futures Fund (the Fund) represents an
investment in an on-shore limited partnership. The Fund aims to achieve substantial capital
appreciation through speculative trading in U.S. and international markets for currencies, interest
rates, stock indices, agricultural and energy products and precious and base metals. The Fund
may employ futures, options on futures, and forward contracts in those markets. The Fund may
also enter into swap transactions relating to the value of crude oil and other energy-related
products. The fair value of the investments has been estimated using the net asset value per
share of the partnerships. The Fund's terms require that it has monthly liquidity, with no
redemption fee, and no gated exit. Redemptions are processed as long as requests are received 3
business days before month end. The proceeds are received within 12 business days of the
following month. The Foundation does not have any remaining unfunded commitments related to
this investment.
The Foundation is invested in a real estate income fund that invests substantially all of its assets
in a Master Fund. The Master Fund invests liquid investments in public and private real estate
debt. The fair value of the Foundation's investment in the income fund is based on the net asset
value per share as provided by the fund manager. A significant feature of the Foundation's
investment in the income fund is its close-end nature, which indicates that the fund is not
redeemable on a daily basis. The Foundation has classified its hedge funds as Level 3 inputs due to
the redemption restrictions on the funds.
At the end of each reporting period, the Foundation determines if transfers between levels of the
fair value hierarchy have occurred based on information available, including pricing inputs and
other market data, including trade activity.
The changes in Level 3 assets measured at fair value on a recurring basis are summarized as
follows:
Fixed
incomedomestic

2014
Changes in Level 3 assets:
Net realized and unrealized gains
Purchases
Less: Sales

$

Net increase in Level 3 assets
Balance - January 1, 2014
Balance - December 31, 2014

(10)
98
-

Real estate
income fund
(in thousands)
$

88
$

88

9 $
1,250
(600)
659
-

$

See accompanying independent auditor's report.
18

Total

659

(1)
1,348
(600)
747
-

$

747
SAE Foundation Annual Report 2014

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