SAE Foundation Annual Report 2015 - 42

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

42 | 2015 Annual Report

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.

At December 31, 2014, the
Foundation was 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 closeend 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.



SAE Foundation Annual Report 2015

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