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DERIVATIVE FINANCIAL INSTRUMENTS
12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE FINANCIAL INSTRUMENTS DERIVATIVE FINANCIAL INSTRUMENTS
In the normal course of business, the Company and the Consolidated Funds are exposed to certain risks relating to their ongoing operations and use various types of derivative instruments primarily to mitigate against credit and foreign exchange risk. The derivative instruments are not designated as hedging instruments under the accounting standards for derivatives and hedging. The Company recognizes all of its derivative instruments at fair value as either assets or liabilities in the Consolidated Statements of Financial Condition within other assets or accounts payable, accrued expenses and other liabilities, respectively. These amounts may be offset to the extent that there is a legal right to offset and if elected by management.
By using derivatives, the Company and the Consolidated Funds are exposed to counterparty credit risk if counterparties to the derivative contracts do not perform as expected. If a counterparty fails to perform, the Company's counterparty credit risk is equal to the amount reported as a derivative asset in the Consolidated Statements of Financial Condition. The Company minimizes counterparty credit risk through credit approvals, limits, monitoring procedures, executing master netting arrangements and obtaining collateral, where appropriate.
To the extent the master netting arrangements and other criteria meet the applicable requirements, which includes determining the legal enforceability of the arrangements, the Company may choose to offset the derivative assets and liabilities in the same currency by specific derivative type, or in the event of default by the counterparty, offset derivative assets and liabilities with the same counterparty. The Company generally presents derivative and other financial instruments on a gross basis within the Consolidated Statements of Financial Condition with certain instruments subject to enforceable master netting arrangements that could allow for the derivative and other financial instruments to be offset. The Consolidated Funds present derivative and other financial instruments on a net basis. This election is determined at management's discretion on a fund by fund basis. The Company has retained the Consolidated Fund's election upon consolidation.
Qualitative Disclosures of Derivative Financial Instruments
Derivative instruments are marked-to-market daily based upon quotations from pricing services or by the Company and the change in value, if any, is recorded as an unrealized gain (loss) within net realized and unrealized gains (losses) on investments in the Consolidated Statements of Operations. Upon settlement of the instrument, the Company records the realized gain (loss) within net realized and unrealized gains (losses) on investments in the Consolidated Statements of Operations.
Significant derivative instruments utilized by the Company and the Consolidated Funds during the reporting periods presented include the following:
Forward Foreign Currency Contracts: The Company and the Consolidated Funds enter into foreign currency forward exchange contracts to hedge against foreign currency exchange rate risk on certain non-U.S. dollar denominated cash flows. When entering into a forward currency contract, the Company and the Consolidated Funds agree to receive and/or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed-upon future date. Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Consolidated Statements of Financial Condition. The Company and the Consolidated Funds bear the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. In addition, the potential inability of the counterparties to meet the terms of their contracts poses a risk to the Company and the Consolidated Funds.
Asset Swap: The Consolidated Funds enter into asset swap contracts to hedge against foreign currency exchange rate risk on certain non-Euro denominated loans. Assets swap contracts provide the Consolidated Funds with the opportunity to purchase or sell an underlying asset that is not denominated in Euros at a pre-agreed exchange rate and receives Euro interest payments from the swap counter party in exchange for non-Euro interest payments pegged to the currency of the underlying loan and applicable interest rates. The swap contracts can be optionally cancelled at any time, normally due the disposal or redemption of the underlying asset, however in the absence of sale or redemption the swap contracts maturity matches that of the underlying asset. By entering into asset swap contracts to exchange interest payments and principal on equally valued loans denominated in a different currency than that of the underlying assets the Consolidated Funds can mitigate the risk of exposure to foreign currency fluctuations. Generally, the fair value of asset swap contracts are calculated using a model that utilizes the spread between the fair value of the underlying asset and the exercise value of the contract, as well as any other relevant inputs. Broker quotes may also be used to calculate the fair value of asset swaps, if available.
Quantitative Disclosures of Derivative Financial Instruments
The following tables identify the fair value and notional amounts of derivative contracts by major product type on a gross basis for the Company and the Consolidated Funds as of December 31, 2019 and 2018. These amounts may be offset (to the extent that there is a legal right to offset) and presented on a net basis within other assets or accounts payable, accrued expenses and other liabilities in the Consolidated Statements of Financial Condition:
As of December 31, 2019As of December 31, 2018
Assets Liabilities Assets Liabilities 
The CompanyNotional(1)Fair ValueNotional(1)Fair ValueNotional(1)Fair ValueNotional(1)Fair Value
Foreign exchange contracts$67,930  $4,023  $10,846  $113  $33,026  $1,066  $27,140  $869  
Total derivatives, at fair value(2)$67,930  $4,023  $10,846  $113  $33,026  $1,066  $27,140  $869  

As of December 31, 2019As of December 31, 2018
AssetsLiabilitiesAssets Liabilities 
Consolidated Funds Notional(1)Fair ValueNotional(1)Fair ValueNotional(1)Fair ValueNotional(1)Fair Value
Foreign exchange contracts$667  $667  $667  $670  $1,881  $1,881  $1,881  $1,864  
Asset swap - other—  —  7,640  4,106  5,226  1,328  2,605  648  
Total derivatives, at fair value(3)
$667  $667  $8,307  $4,776  $7,107  $3,209  $4,486  $2,512  

(1)Represents the total contractual amount of derivative assets and liabilities outstanding.
(2)As of December 31, 2019 and December 31, 2018, the Company had the right to, but elected not to, offset $0.1 million and $0.9 million of its derivative liabilities, respectively.
(3)As of December 31, 2019 and December 31, 2018, the Consolidated Funds offset $0.1 million and $5.7 million of their derivative assets and liabilities, respectively.

The following tables present a summary of net realized gains (losses) and unrealized appreciation (depreciation) on the Company's and Consolidated Funds' derivative instruments, that are included within net realized and unrealized gains (losses) on investments in the Consolidated Statements of Operations, for the years ended December 31, 2019, 2018 and 2017:

For the Year Ended December 31,
The Company201920182017
Net realized gains (losses) on derivatives
Foreign currency forward contracts2,284  (1,197) (1,830) 
Net realized gains (losses) on derivatives$2,284  $(1,197) $(1,830) 
Net change in unrealized appreciation (depreciation) on derivatives
Foreign currency forward contracts3,713  2,338  (5,299) 
Net change in unrealized appreciation (depreciation) on derivatives$3,713  $2,338  $(5,299) 

For the Year Ended December 31,
Consolidated Funds201920182017
Net realized gains (losses) on derivatives of Consolidated Funds
Foreign currency forward contracts 96  (181) 
Asset swap - other(1,197) (795) 903  
Net realized gains (losses) on derivatives of Consolidated Funds$(1,189) $(699) $722  
Net change in unrealized appreciation (depreciation) on derivatives of Consolidated Funds
Foreign currency forward contracts(20) 15  (529) 
Asset swap - other(4,751) (183) 2,338  
Net change in unrealized appreciation (depreciation) on derivatives of Consolidated Funds$(4,771) $(168) $1,809