XML 63 R28.htm IDEA: XBRL DOCUMENT v3.20.2
FAIR VALUE (Tables)
6 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
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 CompanyLevel 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 FundsLevel 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 securities3,622  —  42,259  45,881  
Partnership interests—  —  312,636  312,636  
Total investments, at fair value3,622  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 CompanyLevel 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 FundsLevel ILevel IILevel IIITotal
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 securities26,396  —  85,988  112,384  
Partnership interests—  —  296,012  296,012  
Total investments, at fair value26,396  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) 
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 IncomePartnership InterestsTotal
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, NetTotal
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 IncomePartnership InterestsTotal
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 InterestsDerivatives, NetTotal
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 IncomePartnership InterestsTotal
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, NetTotal
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 IncomePartnership InterestsTotal
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 InterestsDerivatives, NetTotal
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.
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 CompanyFair ValueValuation Technique(s)Significant Unobservable Input(s)Range
Assets
Equity securities$14,704  
Transaction price(1)
N/AN/A
Partnership interests2,575  OtherN/AN/A
Collateralized loan obligations19,135  Broker quotes and/or 3rd party pricing servicesN/AN/A
Other fixed income48,220  OtherN/AN/A
Total$84,634  

Level III Measurements of the Consolidated FundsFair ValueValuation Technique(s)Significant Unobservable Input(s)RangeWeighted Average
Assets
Equity securities
$136  Market approach
EBITDA multiple(2)
5.4x - 18.0x
8.8x
40,096  OtherNet income multiple
27.5x
27.5x
Illiquidity discount25.0%25.0%
27  Broker quotes and/or 3rd party pricing servicesN/AN/AN/A
 2,000  
Transaction price(1)
N/AN/AN/A
Partnership interest312,636  Discounted cash flowDiscount rate16.1%16.1%
Fixed income securities
493,686  Broker quotes and/or 3rd party pricing servicesN/AN/AN/A
1,846  Market approachEBITDA multiple
7.8x
7.8x
90,755  Income approachYield
2.8% - 36.9%
8.2%
Derivative instruments 1,599  Broker quotes and/or 3rd party pricing servicesN/AN/AN/A
Total assets$942,781  
Liabilities
Derivatives instruments $(197) Broker quotes and/or 3rd party pricing servicesN/AN/AN/A
Total liabilities$(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 CompanyFair Value Valuation Technique(s) Significant Unobservable Input(s)Range
Assets
Equity securities$14,704  
Transaction price(1)
N/AN/A
Partnership interests32,661  
Transaction price(1)
N/AN/A
2,531  OtherN/AN/A
Collateralized loan obligations22,265  Broker quotes and/or 3rd party pricing servicesN/AN/A
Other fixed income46,918  OtherN/AN/A
Total$119,079  

Level III Measurements of the Consolidated FundsFair Value Valuation Technique(s) Significant Unobservable Input(s) RangeWeighted Average
Assets
Equity securities
$431  Market approach
EBITDA multiple(2)
8.2x - 21.3x
16.1x
40,745  OtherNet income multiple
36.2x
36.2x
Illiquidity discount25.0%25.0%
 44,812  
Transaction price(1)
N/AN/AN/A
Partnership interests296,012  Discounted cash flowDiscount rate19.6%19.6%
Fixed income securities
271,919  Broker quotes and/or 3rd party pricing servicesN/AN/AN/A
67,217  Income approachYield
4.8% - 14.3%
9.7%
Total assets$721,136  
Liabilities
Derivatives instruments $(4,106) Broker quotes and/or 3rd party pricing servicesN/AN/AN/A
Total liabilities$(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.