Summary of valuation of investments and other financial instruments by fair value hierarchy levels |
The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and the Consolidated Funds as of June 30, 2020: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Financial Instruments of the Company | | Level I | | Level II | | Level III | | Investments Measured at NAV | | Total | Assets, at fair value | | | | | | | | | | | Investments: | | | | | | | | | | | Collateralized loan obligations and other fixed income | | $ | — | | | $ | — | | | $ | 67,355 | | | $ | — | | | $ | 67,355 | | Common stock and other equity securities | | — | | | 932 | | | 14,704 | | | — | | | 15,636 | | Partnership interests | | — | | | — | | | 2,575 | | | 3,032 | | | 5,607 | | Total investments, at fair value | | — | | | 932 | | | 84,634 | | | 3,032 | | | 88,598 | | Derivatives-foreign exchange contracts | | — | | | 4,719 | | | — | | | — | | | 4,719 | | Total assets, at fair value | | $ | — | | | $ | 5,651 | | | $ | 84,634 | | | $ | 3,032 | | | $ | 93,317 | | Liabilities, at fair value | | | | | | | | | | | Derivatives-foreign exchange contracts | | $ | — | | | $ | (128) | | | $ | — | | | $ | — | | | $ | (128) | | Total liabilities, at fair value | | $ | — | | | $ | (128) | | | $ | — | | | $ | — | | | $ | (128) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Financial Instruments of the Consolidated Funds | | Level I | | Level II | | Level III | | Total | Assets, at fair value | | | | | | | | | Investments: | | | | | | | | | Fixed income investments: | | | | | | | | | Bonds | | $ | — | | | $ | 299,459 | | | $ | — | | | $ | 299,459 | | Loans | | — | | | 8,761,369 | | | 586,287 | | | 9,347,656 | | | | | | | | | | | Total fixed income investments | | — | | | 9,060,828 | | | 586,287 | | | 9,647,115 | | Equity securities | | 3,622 | | | — | | | 42,259 | | | 45,881 | | Partnership interests | | — | | | — | | | 312,636 | | | 312,636 | | Total investments, at fair value | | 3,622 | | | 9,060,828 | | | 941,182 | | | 10,005,632 | | | | | | | | | | | | | | | | | | | | Derivatives-asset swaps-other | | — | | | — | | | 1,599 | | | 1,599 | | | | | | | | | | | Total assets, at fair value | | $ | 3,622 | | | $ | 9,060,828 | | | $ | 942,781 | | | $ | 10,007,231 | | Liabilities, at fair value | | | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives-asset swaps-other | | — | | | — | | | (197) | | | (197) | | | | | | | | | | | Loan obligations of CLOs | | — | | | (9,228,687) | | | — | | | (9,228,687) | | Total liabilities, at fair value | | $ | — | | | $ | (9,228,687) | | | $ | (197) | | | $ | (9,228,884) | |
The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and the Consolidated Funds as of December 31, 2019: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Financial Instruments of the Company | | Level I | | Level II | | Level III | | Investments Measured at NAV | | Total | Assets, at fair value | | | | | | | | | | | Investments: | | | | | | | | | | | Collateralized loan obligations and other fixed income | | $ | — | | | $ | — | | | $ | 69,183 | | | $ | — | | | $ | 69,183 | | Common stock and other equity securities | | — | | | 1,043 | | | 14,704 | | | — | | | 15,747 | | Partnership interests | | — | | | — | | | 35,192 | | | 1,632 | | | 36,824 | | Total investments, at fair value | | — | | | 1,043 | | | 119,079 | | | 1,632 | | | 121,754 | | Derivatives-foreign exchange contracts | | — | | | 4,023 | | | — | | | — | | | 4,023 | | Total assets, at fair value | | $ | — | | | $ | 5,066 | | | $ | 119,079 | | | $ | 1,632 | | | $ | 125,777 | | Liabilities, at fair value | | | | | | | | | | | Derivatives-foreign exchange contracts | | $ | — | | | $ | (113) | | | $ | — | | | $ | — | | | $ | (113) | | Total liabilities, at fair value | | $ | — | | | $ | (113) | | | $ | — | | | $ | — | | | $ | (113) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Financial Instruments of the Consolidated Funds | | Level I | | Level II | | Level III | | Total | Assets, at fair value | | | | | | | | | Investments: | | | | | | | | | Fixed income investments: | | | | | | | | | Bonds | | $ | — | | | $ | 207,966 | | | $ | 4,410 | | | $ | 212,376 | | Loans | | — | | | 7,728,014 | | | 334,726 | | | 8,062,740 | | Investments in CLO warehouse | | — | | | 44,435 | | | — | | | 44,435 | | Total fixed income investments | | — | | | 7,980,415 | | | 339,136 | | | 8,319,551 | | Equity securities | | 26,396 | | | — | | | 85,988 | | | 112,384 | | Partnership interests | | — | | | — | | | 296,012 | | | 296,012 | | Total investments, at fair value | | 26,396 | | | 7,980,415 | | | 721,136 | | | 8,727,947 | | | | | | | | | | | Derivatives-foreign exchange contracts | | — | | | 667 | | | — | | | 667 | | | | | | | | | | | | | | | | | | | | Total assets, at fair value | | $ | 26,396 | | | $ | 7,981,082 | | | $ | 721,136 | | | $ | 8,728,614 | | Liabilities, at fair value | | | | | | | | | Derivatives: | | | | | | | | | Foreign exchange contracts | | $ | — | | | $ | (670) | | | $ | — | | | $ | (670) | | Asset swaps-other | | — | | | — | | | (4,106) | | | (4,106) | | Total derivative liabilities, at fair value | | — | | | (670) | | | (4,106) | | | (4,776) | | Loan obligations of CLOs | | — | | | (7,973,748) | | | — | | | (7,973,748) | | Total liabilities, at fair value | | $ | — | | | $ | (7,974,418) | | | $ | (4,106) | | | $ | (7,978,524) | |
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Summary of changes in the fair value of the Level III investments |
The following tables set forth a summary of changes in the fair value of the Level III measurements for the three months ended June 30, 2020: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Assets | | | | | | | | Level III Assets of the Company | | Equity Securities | | Fixed Income | | Partnership Interests | | Total | | Balance, beginning of period | | $ | 14,704 | | | $ | 65,344 | | | $ | 2,575 | | | $ | 82,623 | | | | | | | | | | | | | | | | | | | | | | | Purchases(1) | | — | | | 659 | | | — | | | 659 | | | Sales/settlements(2) | | — | | | (287) | | | — | | | (287) | | | Realized and unrealized appreciation, net | | — | | | 1,639 | | | — | | | 1,639 | | | Balance, end of period | | $ | 14,704 | | | $ | 67,355 | | | $ | 2,575 | | | $ | 84,634 | | | Increase in net unrealized appreciation included in earnings related to financial assets still held at the reporting date | | $ | — | | | $ | 1,639 | | | $ | — | | | $ | 1,639 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Net Assets of Consolidated Funds | | Equity Securities | | Fixed Income | | Partnership Interests | | Derivatives, Net | | Total | Balance, beginning of period | | $ | 42,752 | | | $ | 1,279,557 | | | $ | 307,025 | | | $ | 19 | | | $ | 1,629,353 | | | | | | | | | | | | | Transfer in | | — | | | 84,059 | | | — | | | — | | | 84,059 | | Transfer out | | (5) | | | (681,913) | | | — | | | — | | | (681,918) | | Purchases(1) | | 264 | | | 78,694 | | | 56,000 | | | — | | | 134,958 | | Sales/settlements(2) | | (449) | | | (217,217) | | | (56,000) | | | (51) | | | (273,717) | | Amortized discounts/premiums | | — | | | 815 | | | — | | | 106 | | | 921 | | Realized and unrealized appreciation (depreciation), net | | (303) | | | 42,292 | | | 5,611 | | | 1,328 | | | 48,928 | | Balance, end of period | | $ | 42,259 | | | $ | 586,287 | | | $ | 312,636 | | | $ | 1,402 | | | $ | 942,584 | | Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date | | $ | (228) | | | $ | 36,263 | | | $ | 5,611 | | | $ | 1,268 | | | $ | 42,914 | |
(1)Purchases include paid-in-kind interest and securities received in connection with restructuring. (2)Sales/settlements include distributions, principal redemptions and securities disposed of in connection with restructurings. The following tables set forth a summary of changes in the fair value of the Level III measurements for the three months ended June 30, 2019: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Assets | | | | | | | Level III Assets of the Company | | Equity Securities | | Fixed Income | | Partnership Interests | | Total | Balance, beginning of period | | $ | 10,397 | | | $ | 67,190 | | | $ | 35,192 | | | $ | 112,779 | | Deconsolidation of fund | | — | | | 1,883 | | | — | | | 1,883 | | | | | | | | | | | Purchases(1) | | 2,000 | | | — | | | — | | | 2,000 | | Sales/settlements(2) | | — | | | (6,206) | | | — | | | (6,206) | | Realized and unrealized appreciation, net | | — | | | 1,184 | | | — | | | 1,184 | | Balance, end of period | | $ | 12,397 | | | $ | 64,051 | | | $ | 35,192 | | | $ | 111,640 | | Increase in net unrealized appreciation included in earnings related to financial assets still held at the reporting date | | $ | — | | | $ | 1,818 | | | $ | — | | | $ | 1,818 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Net Assets of Consolidated Funds | | Equity Securities | | Fixed Income | | Partnership Interests | | Derivatives, Net | | Total | Balance, beginning of period | | $ | 159,032 | | | $ | 564,304 | | | $ | 283,059 | | | $ | (3,031) | | | $ | 1,003,364 | | Deconsolidation of fund | | (10,325) | | | (115,711) | | | — | | | — | | | (126,036) | | Transfer in | | — | | | 29,438 | | | — | | | — | | | 29,438 | | Transfer out | | — | | | (261,674) | | | — | | | — | | | (261,674) | | Purchases(1) | | 110 | | | 113,708 | | | 4,000 | | | — | | | 117,818 | | Sales/settlements(2) | | (51) | | | (56,530) | | | (2,000) | | | (555) | | | (59,136) | | Amortized discounts/premiums | | — | | | (345) | | | — | | | 171 | | | (174) | | Realized and unrealized appreciation (depreciation), net | | (17,034) | | | 1,222 | | | 8,798 | | | 3,473 | | | (3,541) | | Balance, end of period | | $ | 131,732 | | | $ | 274,412 | | | $ | 293,857 | | | $ | 58 | | | $ | 700,059 | | Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date | | $ | (17,031) | | | $ | (389) | | | $ | 8,798 | | | $ | 2,865 | | | $ | (5,757) | |
(1)Purchases include paid-in-kind interest and securities received in connection with restructurings. (2)Sales/settlements include distributions, principal redemptions and securities disposed of in connection with restructurings. The following tables set forth a summary of changes in the fair value of the Level III measurements for the six months ended June 30, 2020: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Assets | | | | | | | | Level III Assets of the Company | | Equity Securities | | Fixed Income | | Partnership Interests | | Total | | Balance, beginning of period | | $ | 14,704 | | | $ | 69,183 | | | $ | 35,192 | | | $ | 119,079 | | | | | | | | | | | | | Additions(1) | | — | | | 3,686 | | | — | | | 3,686 | | | Purchases(2) | | — | | | 1,301 | | | — | | | 1,301 | | | Sales/settlements(3) | | — | | | (688) | | | (32,430) | | | (33,118) | | | Realized and unrealized depreciation, net | | — | | | (6,127) | | | (187) | | | (6,314) | | | Balance, end of period | | $ | 14,704 | | | $ | 67,355 | | | $ | 2,575 | | | $ | 84,634 | | | Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date | | $ | — | | | $ | (5,092) | | | $ | 5,511 | | | $ | 419 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Net Assets of Consolidated Funds | | Equity Securities | | Fixed Income | | Partnership Interests | | Derivatives, Net | | Total | Balance, beginning of period | | $ | 85,988 | | | $ | 339,136 | | | $ | 296,012 | | | $ | (4,106) | | | $ | 717,030 | | Additions(1) | | (635) | | | 392,672 | | | — | | | — | | | 392,037 | | | | | | | | | | | | | Transfer in | | — | | | 258,014 | | | — | | | — | | | 258,014 | | Transfer out | | (5) | | | (346,163) | | | — | | | — | | | (346,168) | | Purchases(2) | | 393 | | | 200,643 | | | 64,000 | | | — | | | 265,036 | | Sales/settlements(3) | | (681) | | | (218,523) | | | (56,000) | | | (1,318) | | | (276,522) | | Amortized discounts/premiums | | — | | | 1,098 | | | — | | | 150 | | | 1,248 | | Realized and unrealized appreciation (depreciation), net | | (42,801) | | | (40,590) | | | 8,624 | | | 6,676 | | | (68,091) | | Balance, end of period | | $ | 42,259 | | | $ | 586,287 | | | $ | 312,636 | | | $ | 1,402 | | | $ | 942,584 | | Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date | | $ | (42,811) | | | $ | (40,533) | | | $ | 8,624 | | | $ | 5,321 | | | $ | (69,399) | |
(1)Additions relate to the net increase from consolidation of new funds or entities. For Consolidated Funds, additions are also offset by the deconsolidation of a fund. (2)Purchases include paid-in-kind interest and securities received in connection with restructuring. (3)Sales/settlements include distributions, principal redemptions and securities disposed of in connection with restructurings. The following tables set forth a summary of changes in the fair value of the Level III measurements for the six months ended June 30, 2019: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Assets | | | | | | | Level III Assets of the Company | | Equity Securities | | Fixed Income | | Partnership Interests | | Total | Balance, beginning of period | | $ | 10,397 | | | $ | 60,824 | | | $ | 35,192 | | | $ | 106,413 | | Deconsolidation of fund | | — | | | 10,021 | | | — | | | 10,021 | | | | | | | | | | | Purchases(1) | | 2,000 | | | 2,146 | | | — | | | 4,146 | | Sales/settlements(2) | | — | | | (11,169) | | | — | | | (11,169) | | Realized and unrealized appreciation, net | | — | | | 2,229 | | | — | | | 2,229 | | Balance, end of period | | $ | 12,397 | | | $ | 64,051 | | | $ | 35,192 | | | $ | 111,640 | | Increase in net unrealized appreciation included in earnings related to financial assets still held at the reporting date | | $ | — | | | $ | 2,479 | | | $ | — | | | $ | 2,479 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Net Assets of Consolidated Funds | | Equity Securities | | Fixed Income | | Partnership Interests | | Derivatives, Net | | Total | Balance, beginning of period | | $ | 150,752 | | | $ | 547,958 | | | $ | 271,447 | | | $ | 680 | | | $ | 970,837 | | Deconsolidation of fund | | (10,325) | | | (174,593) | | | — | | | — | | | (184,918) | | Transfer in | | — | | | 41,245 | | | — | | | — | | | 41,245 | | Transfer out | | — | | | (247,573) | | | — | | | — | | | (247,573) | | Purchases(1) | | 10,882 | | | 238,870 | | | 8,000 | | | — | | | 257,752 | | Sales/settlements(2) | | (5,137) | | | (136,329) | | | (2,000) | | | (581) | | | (144,047) | | Amortized discounts/premiums | | — | | | (37) | | | — | | | 22 | | | (15) | | Realized and unrealized appreciation (depreciation), net | | (14,440) | | | 4,871 | | | 16,410 | | | (63) | | | 6,778 | | Balance, end of period | | $ | 131,732 | | | $ | 274,412 | | | $ | 293,857 | | | $ | 58 | | | $ | 700,059 | | Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date | | $ | (14,442) | | | $ | 1,114 | | | $ | 16,410 | | | $ | (49) | | | $ | 3,033 | |
(1)Purchases include paid-in-kind interest and securities received in connection with restructurings. (2)Sales/settlements include distributions, principal redemptions and securities disposed of in connection with restructurings.
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Summary of quantitative inputs and assumptions used for Level III inputs |
The following table summarizes the quantitative inputs and assumptions used for the Company’s and the Consolidated Funds' Level III measurements as of June 30, 2020: | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Measurements of the Company | | Fair Value | | Valuation Technique(s) | | Significant Unobservable Input(s) | | Range | Assets | | | | | | | | | Equity securities | | $ | 14,704 | | | Transaction price(1) | | N/A | | N/A | Partnership interests | | 2,575 | | | Other | | N/A | | N/A | | | | | | | | | | Collateralized loan obligations | | 19,135 | | | Broker quotes and/or 3rd party pricing services | | N/A | | N/A | Other fixed income | | 48,220 | | | Other | | N/A | | N/A | Total | | $ | 84,634 | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Measurements of the Consolidated Funds | | Fair Value | | Valuation Technique(s) | | Significant Unobservable Input(s) | | Range | | Weighted Average | Assets | | | | | | | | | | | Equity securities | | | | | | | | | | | | | $ | 136 | | | Market approach | | EBITDA multiple(2) | | 5.4x - 18.0x | | 8.8x | | | 40,096 | | | Other | | Net income multiple | | 27.5x | | 27.5x | | | | | | | Illiquidity discount | | 25.0% | | 25.0% | | | 27 | | | Broker quotes and/or 3rd party pricing services | | N/A | | N/A | | N/A | | | 2,000 | | | Transaction price(1) | | N/A | | N/A | | N/A | Partnership interest | | 312,636 | | | Discounted cash flow | | Discount rate | | 16.1% | | 16.1% | Fixed income securities | | | | | | | | | | | | | 493,686 | | | Broker quotes and/or 3rd party pricing services | | N/A | | N/A | | N/A | | | 1,846 | | | Market approach | | EBITDA multiple | | 7.8x | | 7.8x | | | 90,755 | | | Income approach | | Yield | | 2.8% - 36.9% | | 8.2% | Derivative instruments | | 1,599 | | | Broker quotes and/or 3rd party pricing services | | N/A | | N/A | | N/A | Total assets | | $ | 942,781 | | | | | | | | | | Liabilities | | | | | | | | | | | Derivatives instruments | | $ | (197) | | | Broker quotes and/or 3rd party pricing services | | N/A | | N/A | | N/A | Total liabilities | | $ | (197) | | | | | | | | | |
(1)Transaction price consists of securities recently purchased or restructured. The Company determined that there was no change to the valuation based on the underlying assumptions used at the closing of such transactions. (2)“EBITDA” in the table above is a non-GAAP financial measure and refers to earnings before interest, tax, depreciation and amortization. The following table summarizes the quantitative inputs and assumptions used for the Company’s and the Consolidated Funds' Level III measurements as of December 31, 2019: | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Measurements of the Company | | Fair Value | | Valuation Technique(s) | | Significant Unobservable Input(s) | | Range | Assets | | | | | | | | | Equity securities | | $ | 14,704 | | | Transaction price(1) | | N/A | | N/A | Partnership interests | | 32,661 | | | Transaction price(1) | | N/A | | N/A | | | 2,531 | | | Other | | N/A | | N/A | Collateralized loan obligations | | 22,265 | | | Broker quotes and/or 3rd party pricing services | | N/A | | N/A | Other fixed income | | 46,918 | | | Other | | N/A | | N/A | Total | | $ | 119,079 | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level III Measurements of the Consolidated Funds | | Fair Value | | Valuation Technique(s) | | Significant Unobservable Input(s) | | Range | | Weighted Average | Assets | | | | | | | | | | | Equity securities | | | | | | | | | | | | | $ | 431 | | | Market approach | | EBITDA multiple(2) | | 8.2x - 21.3x | | 16.1x | | | 40,745 | | | Other | | Net income multiple | | 36.2x | | 36.2x | | | | | | | Illiquidity discount | | 25.0% | | 25.0% | | | 44,812 | | | Transaction price(1) | | N/A | | N/A | | N/A | Partnership interests | | 296,012 | | | Discounted cash flow | | Discount rate | | 19.6% | | 19.6% | Fixed income securities | | | | | | | | | | | | | 271,919 | | | Broker quotes and/or 3rd party pricing services | | N/A | | N/A | | N/A | | | 67,217 | | | Income approach | | Yield | | 4.8% - 14.3% | | 9.7% | | | | | | | | | | | | Total assets | | $ | 721,136 | | | | | | | | | | Liabilities | | | | | | | | | | | Derivatives instruments | | $ | (4,106) | | | Broker quotes and/or 3rd party pricing services | | N/A | | N/A | | N/A | Total liabilities | | $ | (4,106) | | | | | | | | | |
(1)Transaction price consists of securities purchased or restructured. The Company determined that there has been no change to the valuation based on the underlying assumptions used at the closing of such transactions. (2)“EBITDA” in the table above is a non-GAAP financial measure and refers to earnings before interest, tax, depreciation and amortization.
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