DERIVATIVES AND HEDGING (Tables)
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12 Months Ended |
Dec. 31, 2015 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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Summary of Net Forward Currency Sell Contracts Under Freestanding Derivatives |
The fair value of foreign-currency forward sell contracts consisted of the following: | | | | | | | | | | | | | | | | As of December 31, 2015: | Contract Amount in Local Currency | | Contract Amount in U.S. Dollars | | Market Amount in U.S. Dollars | | Net Unrealized Appreciation (Depreciation) | Euro, expiring 1/8/16-12/30/16 | 246,850 |
| | $ | 274,135 |
| | $ | 269,603 |
| | $ | 4,532 |
| USD (buy GBP), expiring 1/8/16-10/31/16 | 70,594 |
| | 70,594 |
| | 72,476 |
| | (1,882 | ) | Japanese Yen, expiring 1/29/16-9/30/16 | 5,840,300 |
| | 48,631 |
| | 48,692 |
| | (61 | ) | Total | | | $ | 393,360 |
| | $ | 390,771 |
| | $ | 2,589 |
| As of December 31, 2014: | |
| | |
| | |
| | |
| Euro, expiring 1/8/15-12/31/15 | 206,820 |
| | $ | 266,569 |
| | $ | 250,789 |
| | $ | 15,780 |
| USD (buy GBP), expiring 1/8/15-12/31/15 | 88,081 |
| | 88,081 |
| | 91,485 |
| | (3,404 | ) | Japanese Yen, expiring 1/30/15-12/30/15 | 7,420,600 |
| | 70,784 |
| | 62,100 |
| | 8,684 |
| Total | |
| | $ | 425,434 |
| | $ | 404,374 |
| | $ | 21,060 |
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Summary of Impact of Freestanding Derivative Instruments on Condensed Consolidated Statement of Operations |
Realized and unrealized gains and losses arising from freestanding derivative instruments were recorded in the consolidated statements of operations as follows: | | | | | | | | | | | | | | For the Year Ended December 31, | Foreign-currency Forward Contracts: | 2015 | | 2014 | | 2013 | General and administrative expense (1) | $ | 23,554 |
| | $ | 31,772 |
| | $ | 3,763 |
| | | | | | | Total-return Swap: | | | | | | Investment income | $ | — |
| | $ | 2,554 |
| | $ | 4,515 |
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| | (1) | To the extent that the Company’s freestanding derivatives are utilized to hedge its exposure to investment income and management fees earned from consolidated funds, the related hedged items are eliminated in consolidation, with the derivative impact (a positive number reflects a reduction in expenses) reflected in consolidated general and administrative expense. |
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Impact of Derivative Instruments Held by Consolidated Funds on Condensed Consolidated Statements of Operations |
The impact of derivatives held by the consolidated funds in the consolidated statements of operations was as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | Year Ended December 31, | | 2015 | | 2014 | | 2013 | | Net Realized Gain (Loss) on Investments | | Net Change in Unrealized Appreciation (Depreciation) on Investments | | Net Realized Gain (Loss) on Investments | | Net Change in Unrealized Appreciation (Depreciation) on Investments | | Net Realized Gain (Loss) on Investments | | Net Change in Unrealized Appreciation (Depreciation) on Investments | Foreign-currency forward contracts | $ | 457,594 |
| | $ | (98,420 | ) | | $ | 179,675 |
| | $ | 278,647 |
| | $ | (217,234 | ) | | $ | (286,336 | ) | Total-return and interest-rate swaps | (215,837 | ) | | (38,658 | ) | | 54,437 |
| | (193,079 | ) | | 89,333 |
| | (22,619 | ) | Options and futures | 43,055 |
| | (30,198 | ) | | (38,431 | ) | | 6,513 |
| | (17,922 | ) | | (238 | ) | Swaptions | (2,933 | ) | | 2,186 |
| | (1,158 | ) | | (4,770 | ) | | — |
| | — |
| Total | $ | 281,879 |
| | $ | (165,090 | ) | | $ | 194,523 |
| | $ | 87,311 |
| | $ | (145,823 | ) | | $ | (309,193 | ) |
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Schedule of Notional Amounts of Outstanding Derivative Positions |
Outstanding foreign-currency forward contracts as of December 31, 2015 and 2014, which included $156.2 million and $254.9 million of gross unrealized appreciation, and $64.4 million and $54.7 million of gross unrealized depreciation, respectively, were as follows: | | | | | | | | | | | | | | | | As of December 31, 2015: | Buy (Sell) Contract Amount in Local Currency | | Contract Amount in U.S. Dollars | | Market Amount in U.S. Dollars | | Net Unrealized Appreciation (Depreciation) | Euro, expiring 1/12/16-11/13/18 | (2,383,537 | ) | | $ | 2,630,690 |
| | $ | 2,600,245 |
| | $ | 30,445 |
| Pound Sterling, expiring 1/12/16-11/14/16 | (1,401,289 | ) | | 2,135,175 |
| | 2,065,891 |
| | 69,284 |
| Canadian Dollar, expiring 2/4/16-5/19/16 | (46,505 | ) | | 35,279 |
| | 33,485 |
| | 1,794 |
| Australian Dollar, expiring 3/17/16 | (323,440 | ) | | 228,399 |
| | 234,428 |
| | (6,029 | ) | Hong Kong Dollar, expiring 1/21/16 | (1,896 | ) | | 245 |
| | 245 |
| | — |
| Japanese Yen, expiring 1/21/16 -4/7/16 | (7,651,169 | ) | | 62,040 |
| | 63,709 |
| | (1,669 | ) | Swiss Franc, expiring 1/21/16 | (481 | ) | | 493 |
| | 481 |
| | 12 |
| Singapore Dollar, expiring 1/21/16 | (2,444 | ) | | 1,753 |
| | 1,722 |
| | 31 |
| South Korean Won, expiring 1/4/16-12/1/16 | (151,173,334 | ) | | 132,553 |
| | 128,757 |
| | 3,796 |
| New Zealand Dollar, expiring 3/17/16-6/9/16 | (284,364 | ) | | 178,371 |
| | 193,723 |
| | (15,352 | ) | Danish Krone, expiring 11/4/16 | (362,000 | ) | | 54,167 |
| | 53,316 |
| | 851 |
| Chinese Yuan, expiring 3/17/16-5/20/16 | (466,187 | ) | | 74,667 |
| | 71,220 |
| | 3,447 |
| Swedish Krona, expiring 1/21/16 | (145 | ) | | (11 | ) | | (17 | ) | | 6 |
| U.S. Dollar (buy Euro), expiring 1/12/16-11/18/16 | (32,547 | ) | | 37,577 |
| | 32,323 |
| | 5,254 |
| Total | |
| | $ | 5,571,398 |
| | $ | 5,479,528 |
| | $ | 91,870 |
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| | | | | | | | | | | | | | | | As of December 31, 2014: | Buy (Sell) Contract Amount in Local Currency | | Contract Amount in U.S. Dollars | | Market Amount in U.S. Dollars | | Net Unrealized Appreciation (Depreciation) | Euro, expiring 1/15/15-11/10/17 | (1,750,676 | ) | | $ | 2,157,379 |
| | $ | 2,063,471 |
| | $ | 93,908 |
| Pound Sterling, expiring 1/15/15-11/13/15 | (1,502,240 | ) | | 2,415,637 |
| | 2,334,072 |
| | 81,565 |
| Canadian Dollar, expiring 2/12/15-5/14/15 | (40,491 | ) | | 36,125 |
| | 34,355 |
| | 1,770 |
| Australian Dollar, expiring 5/14/15 | (452,812 | ) | | 372,065 |
| | 367,066 |
| | 4,999 |
| Hong Kong Dollar, expiring 1/22/15 | (33,463 | ) | | 2,037 |
| | 2,037 |
| | — |
| Japanese Yen, expiring 1/15/15-11/27/15 | (27,531,226 | ) | | 237,931 |
| | 228,584 |
| | 9,347 |
| Swiss Franc, expiring 1/22/15 | (550 | ) | | 581 |
| | 554 |
| | 27 |
| Singapore Dollar, expiring 1/22/15 | (3,396 | ) | | 856 |
| | 788 |
| | 68 |
| South Korean Won, expiring 2/2/15-7/23/15 | (95,179,385 | ) | | 88,233 |
| | 86,302 |
| | 1,931 |
| New Zealand Dollar, expiring 2/12/15-5/14/15 | (170,103 | ) | | 130,519 |
| | 131,417 |
| | (898 | ) | Danish Krone, expiring 11/4/15 | (336,981 | ) | | 56,723 |
| | 54,992 |
| | 1,731 |
| Indian Rupee, expiring 3/2/15-12/1/15 | 165,828 |
| | (2,001 | ) | | (2,526 | ) | | 525 |
| Swedish Krona, expiring 1/22/15 | (3,963 | ) | | 284 |
| | 245 |
| | 39 |
| Israeli New Sheqel, expiring 2/27/15 | 487,100 |
| | (121,007 | ) | | (124,720 | ) | | 3,713 |
| U.S. Dollar (buy Euro), expiring 2/24/15-6/29/15 | (31,528 | ) | | 33,636 |
| | 32,095 |
| | 1,541 |
| Total | | | $ | 5,408,998 |
| | $ | 5,208,732 |
| | $ | 200,266 |
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Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The “gross amounts not offset in statements of financial condition” columns represent derivatives that management has elected not to offset in the consolidated statements of financial condition even though they are eligible to be offset in accordance with applicable accounting guidance. | | | | | | | | | | | | | | | | | | Gross and Net Amounts of Assets (Liabilities) Presented | | Gross Amounts Not Offset in Statements of Financial Condition | | Net Amount | As of December 31, 2015 | | Derivative Assets (Liabilities) | | Cash Collateral Received (Pledged) | | Derivative Assets: | | | | | | | | Foreign-currency forward contracts | $ | 5,875 |
| | $ | 2,047 |
| | $ | — |
| | $ | 3,828 |
| Derivative assets of consolidated funds: | | | | | | | | Foreign-currency forward contracts | 156,234 |
| | 38,033 |
| | — |
| | 118,201 |
| Total-return and interest-rate swaps | 16,544 |
| | 4,526 |
| | — |
| | 12,018 |
| Options and futures | 25,559 |
| | 5,665 |
| | — |
| | 19,894 |
| Swaptions | 14 |
| | 14 |
| | — |
| | — |
| Subtotal | 198,351 |
| | 48,238 |
| | — |
| | 150,113 |
| Total | $ | 204,226 |
| | $ | 50,285 |
| | $ | — |
| | $ | 153,941 |
| | | | | | | | | Derivative Liabilities: | | | | | | | | Foreign-currency forward contracts | $ | (3,286 | ) | | $ | (2,047 | ) | | $ | — |
| | $ | (1,239 | ) | Interest-rate swaps | (943 | ) | | — |
| | — |
| | (943 | ) | Subtotal | (4,229 | ) | | (2,047 | ) | | — |
| | (2,182 | ) | Derivative liabilities of consolidated funds: | | | | | | | | Foreign-currency forward contracts | (64,364 | ) | | (38,788 | ) | | — |
| | (25,576 | ) | Total-return and interest-rate swaps | (231,610 | ) | | (5,304 | ) | | (202,677 | ) | | (23,629 | ) | Options and futures | (4,234 | ) | | (4,146 | ) | | (88 | ) | | — |
| Subtotal | (300,208 | ) | | (48,238 | ) | | (202,765 | ) | | (49,205 | ) | Total | $ | (304,437 | ) | | $ | (50,285 | ) | | $ | (202,765 | ) | | $ | (51,387 | ) |
| | | | | | | | | | | | | | | | | | Gross and Net Amounts of Assets (Liabilities) Presented | | Gross Amounts Not Offset in Statements of Financial Condition | | Net Amount | As of December 31, 2014 | | Derivative Assets (Liabilities) | | Cash Collateral Received (Pledged) | | Derivative Assets: | | | | | | | | Foreign-currency forward contracts | $ | 24,499 |
| | $ | 5,756 |
| | $ | — |
| | $ | 18,743 |
| Derivative assets of consolidated funds: | | | | | | | | Foreign-currency forward contracts | 254,929 |
| | 51,260 |
| | — |
| | 203,669 |
| Total-return and interest-rate swaps | 4,217 |
| | 512 |
| | — |
| | 3,705 |
| Options and futures | 36,568 |
| | 12,605 |
| | — |
| | 23,963 |
| Swaptions | 483 |
| | 483 |
| | — |
| | — |
| Subtotal | 296,197 |
| | 64,860 |
| | — |
| | 231,337 |
| Total | $ | 320,696 |
| | $ | 70,616 |
| | $ | — |
| | $ | 250,080 |
| | | | | | | | | Derivative Liabilities: | | | | | | | | Foreign-currency forward contracts | $ | (3,439 | ) | | $ | (3,439 | ) | | $ | — |
| | $ | — |
| Interest-rate swaps | (2,317 | ) | | (2,317 | ) | | — |
| | — |
| Subtotal | (5,756 | ) | | (5,756 | ) | | — |
| | — |
| Derivative liabilities of consolidated funds: | | | | | | | | Foreign-currency forward contracts | (54,663 | ) | | (51,088 | ) | | — |
| | (3,575 | ) | Total-return and interest-rate swaps | (183,359 | ) | | (9,427 | ) | | (156,011 | ) | | (17,921 | ) | Options and futures | (14,969 | ) | | (3,863 | ) | | (11,106 | ) | | — |
| Swaptions | (518 | ) | | (483 | ) | | — |
| | (35 | ) | Subtotal | (253,509 | ) | | (64,861 | ) | | (167,117 | ) | | (21,531 | ) | Total | $ | (259,265 | ) | | $ | (70,617 | ) | | $ | (167,117 | ) | | $ | (21,531 | ) |
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