DERIVATIVES AND HEDGING (Tables)

6 Months Ended

Jun. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Net Forward Currency Sell Contracts Under Freestanding Derivatives

The fair value of freestanding derivatives consisted of the following:

	Assets				Liabilities
	Notional		Fair Value		Notional			Fair Value
As of June 30, 2019
Foreign-currency forward contracts	$	76,474	$	1,148	$	(139,327	)	$	(2,519	)
Cross-currency swap	—		—		(242,195		)	(2,197		)
Total	$	76,474	$	1,148	$	(381,522	)	$	(4,716	)
As of December 31, 2018
Foreign-currency forward contracts	$	58,254	$	1,654	$	(77,156	)	$	(2,318	)
Cross-currency swap	242,450		2,384		—			—
Total	$	300,704	$	4,038	$	(77,156	)	$	(2,318	)

Summary of Impact of Freestanding Derivative Instruments on Condensed Consolidated Statement of Operations

The following tables summarize net gains (losses) from derivatives held by the consolidated funds:

	Three Months Ended June 30,
	2019				2018
	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	$	214	$	1,158	$	(2,507	)	$	(465	)
Total-return and interest-rate swaps	—		—		838			115
Options and futures	—		—		(1,771		)	960
Total	$	214	$	1,158	$	(3,440	)	$	610

	Six Months Ended June 30,
	2019				2018
	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	$	2,340	$	688	$	(1,068	)	$	(1,176	)
Total-return and interest-rate swaps	—		—		858			29
Options and futures	—		—		47			(113		)
Total	$	2,340	$	688	$	(163	)	$	(1,260	)

Realized and unrealized gains and losses arising from freestanding derivatives were recorded in the condensed consolidated statements of operations as follows:

	Three Months Ended June 30,					Six Months Ended June 30,
	2019			2018		2019			2018
Investment income	$	(6,506	)	$	10,056	$	(4,777	)	$	(2,317	)
General and administrative expense (1)	(2,548		)	1,769		13			(1,303		)
Total	$	(9,054	)	$	11,825	$	(4,764	)	$	(3,620	)

(1)

To the extent that the Company’s freestanding derivatives are utilized to hedge its foreign-currency 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.

Balance Sheet Offsetting Assets

The table below sets forth the setoff rights and related arrangements associated with derivatives held by the Company. 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 June 30, 2019				Derivative Assets (Liabilities)			Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	1,148		$	892		$	—	$	256
Derivative assets of consolidated funds:
Foreign-currency forward contracts	3,350			—			—		3,350
Total	$	4,498		$	892		$	—	$	3,606
Derivative Liabilities:
Foreign-currency forward contracts	$	(2,519	)	$	(892	)	$	—	$	(1,627	)
Cross-currency swap	(2,197		)	—			—		(2,197		)
Subtotal	(4,716		)	(892		)	—		(3,824		)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(1,157		)	—			—		(1,157		)
Total	$	(5,873	)	$	(892	)	$	—	$	(4,981	)

	Gross and Net Amounts of Assets (Liabilities) Presented			Gross Amounts Not Offset in Statements of Financial Condition					Net Amount
As of December 31, 2018				Derivative Assets (Liabilities)			Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	1,654		$	1,497		$	—	$	157
Cross-currency swap	2,384			—			—		2,384
Subtotal	4,038			1,497			—		2,541
Derivative assets of consolidated funds:
Foreign-currency forward contracts	2,275			—			—		2,275
Options and futures	189			—			—		189
Subtotal	2,464			—			—		2,464
Total	$	6,502		$	1,497		$	—	$	5,005
Derivative Liabilities:
Foreign-currency forward contracts	$	(2,318	)	$	(1,497	)	$	—	$	(821	)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(643		)	—			—		(643		)
Total	$	(2,961	)	$	(1,497	)	$	—	$	(1,464	)

Balance Sheet Offsetting Liabilities

The table below sets forth the setoff rights and related arrangements associated with derivatives held by the Company. 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 June 30, 2019				Derivative Assets (Liabilities)			Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	1,148		$	892		$	—	$	256
Derivative assets of consolidated funds:
Foreign-currency forward contracts	3,350			—			—		3,350
Total	$	4,498		$	892		$	—	$	3,606
Derivative Liabilities:
Foreign-currency forward contracts	$	(2,519	)	$	(892	)	$	—	$	(1,627	)
Cross-currency swap	(2,197		)	—			—		(2,197		)
Subtotal	(4,716		)	(892		)	—		(3,824		)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(1,157		)	—			—		(1,157		)
Total	$	(5,873	)	$	(892	)	$	—	$	(4,981	)

	Gross and Net Amounts of Assets (Liabilities) Presented			Gross Amounts Not Offset in Statements of Financial Condition					Net Amount
As of December 31, 2018				Derivative Assets (Liabilities)			Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	1,654		$	1,497		$	—	$	157
Cross-currency swap	2,384			—			—		2,384
Subtotal	4,038			1,497			—		2,541
Derivative assets of consolidated funds:
Foreign-currency forward contracts	2,275			—			—		2,275
Options and futures	189			—			—		189
Subtotal	2,464			—			—		2,464
Total	$	6,502		$	1,497		$	—	$	5,005
Derivative Liabilities:
Foreign-currency forward contracts	$	(2,318	)	$	(1,497	)	$	—	$	(821	)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(643		)	—			—		(643		)
Total	$	(2,961	)	$	(1,497	)	$	—	$	(1,464	)