XML 46 R30.htm IDEA: XBRL DOCUMENT v3.3.1.900
DERIVATIVES AND HEDGING (Tables)
 12 Months Ended
Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
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
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

 
 
 
 
 
(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.
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
)
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

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
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
)