SAE FOUNDATION Notes to the Financial Statements (Continued) Note 6 - 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. There were no investments valued using Level 3 inputs within the fair value hierarchy at December 31, 2012 or 2011. Page 16 53