FAIR VALUE (Tables)
|
9 Months Ended |
Sep. 30, 2021 |
Fair Value Disclosures [Abstract] |
|
Fair Value, by Balance Sheet Grouping |
The Company’s other financial assets and financial liabilities by fair-value hierarchy level are set forth below. Please see notes 8 and 16 for the fair value of the Company’s outstanding debt obligations and amounts due from/to affiliates, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of September 30, 2021 | | As of December 31, 2020 | | Level I | | Level II | | Level III | | Total | | Level I | | Level II | | Level III | | Total | Assets | | | | | | | | | | | | | | | | U.S. Treasury and other securities (1) | $ | 6,477 | | | $ | — | | | $ | — | | | $ | 6,477 | | | $ | 9,562 | | | $ | — | | | $ | — | | | $ | 9,562 | | Corporate investments | 63,854 | | | 4,529 | | | 32,639 | | | 101,022 | | | — | | | 4,575 | | | 27,045 | | | 31,620 | | Foreign-currency forward contracts (2) | — | | | 5,095 | | | — | | | 5,095 | | | — | | | 459 | | | — | | | 459 | | | | | | | | | | | | | | | | | | Total assets | $ | 70,331 | | | $ | 9,624 | | | $ | 32,639 | | | $ | 112,594 | | | $ | 9,562 | | | $ | 5,034 | | | $ | 27,045 | | | $ | 41,641 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Foreign-currency forward contracts (3) | $ | — | | | $ | (407) | | | $ | — | | | $ | (407) | | | $ | — | | | $ | (20,051) | | | $ | — | | | $ | (20,051) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) For U.S. Treasury securities the carrying value approximates fair value due to their short-term nature and are classified as Level I investments within the fair value hierarchy detailed above. (2) Amounts are included in other assets, except for $2,345 as of September 30, 2021, which is included within corporate investments in the consolidated statements of financial condition. (3) Amounts are included in accounts payable, accrued expenses and other liabilities in the condensed consolidated statements of financial condition, except for $147 and $16,191 as of September 30, 2021 and December 31, 2020, respectively, which are included within corporate investments in the condensed consolidated statements of financial condition.
|
Summary of Changes in Fair Value of Level III Investments |
The table below sets forth a summary of changes in the fair value of Level III financial instruments: | | | | | | | | | | | | | | | | | Three months ended September 30, | | 2021 | | 2020 | | | | | | | | | | | | | | | | | Corporate Investments: | | | | | | | | Beginning balance | $ | 32,771 | | | | | $ | 22,022 | | | | Contributions or additions | 257 | | | | | 772 | | | | Distributions | (141) | | | | | (1,996) | | | | Net gain (loss) included in earnings | (248) | | | | | 2,536 | | | | Ending balance | $ | 32,639 | | | | | $ | 23,334 | | | | | | | | | | | | Net change in unrealized gains (losses) attributable to financial instruments still held at end of period | $ | (436) | | | | | $ | 2,536 | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, | | 2021 | | 2020 | | | | | | | | | | | | | | | | | Corporate Investments: | | | | | | | | Beginning balance | $ | 27,045 | | | | | $ | 30,311 | | | | Contributions or additions | 10,475 | | | | | 2,562 | | | | Distributions | (14,165) | | | | | (6,993) | | | | Net gain (loss) included in earnings | 9,284 | | | | | (2,546) | | | | Ending balance | $ | 32,639 | | | | | $ | 23,334 | | | | | | | | | | | | Net change in unrealized losses attributable to financial instruments still held at end of period | $ | (7,968) | | | | | $ | (989) | | | |
The table below sets forth a summary of the valuation techniques and quantitative information utilized in determining the fair value of the Company’s Level III financial instruments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value as of | | | | Significant Unobservable Input | | | | | Financial Instrument | | September 30, 2021 | | December 31, 2020 | | Valuation Technique | | | Range | | Weighted Average | | | | | | | | | | | | | | Corporate investment – Limited partnership interests | | $ | 32,639 | | | $ | 27,045 | | | Market approach (value of underlying assets) | | Not applicable | | Not applicable | | Not applicable |
|
Summary of Changes in Fair Value of Level III Investments |
The table below sets forth a summary of changes in the fair value of Level III financial instruments: | | | | | | | | | | | | | | | | | Three months ended September 30, | | 2021 | | 2020 | | | | | | | | | | | | | | | | | Corporate Investments: | | | | | | | | Beginning balance | $ | 32,771 | | | | | $ | 22,022 | | | | Contributions or additions | 257 | | | | | 772 | | | | Distributions | (141) | | | | | (1,996) | | | | Net gain (loss) included in earnings | (248) | | | | | 2,536 | | | | Ending balance | $ | 32,639 | | | | | $ | 23,334 | | | | | | | | | | | | Net change in unrealized gains (losses) attributable to financial instruments still held at end of period | $ | (436) | | | | | $ | 2,536 | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, | | 2021 | | 2020 | | | | | | | | | | | | | | | | | Corporate Investments: | | | | | | | | Beginning balance | $ | 27,045 | | | | | $ | 30,311 | | | | Contributions or additions | 10,475 | | | | | 2,562 | | | | Distributions | (14,165) | | | | | (6,993) | | | | Net gain (loss) included in earnings | 9,284 | | | | | (2,546) | | | | Ending balance | $ | 32,639 | | | | | $ | 23,334 | | | | | | | | | | | | Net change in unrealized losses attributable to financial instruments still held at end of period | $ | (7,968) | | | | | $ | (989) | | | |
The table below sets forth a summary of the valuation techniques and quantitative information utilized in determining the fair value of the Company’s Level III financial instruments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value as of | | | | Significant Unobservable Input | | | | | Financial Instrument | | September 30, 2021 | | December 31, 2020 | | Valuation Technique | | | Range | | Weighted Average | | | | | | | | | | | | | | Corporate investment – Limited partnership interests | | $ | 32,639 | | | $ | 27,045 | | | Market approach (value of underlying assets) | | Not applicable | | Not applicable | | Not applicable |
The following tables set forth a summary of changes in the fair value of Level III investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate Debt – Bank Debt | | Corporate Debt – All Other | | Equities – Common Stock | | Equities – Preferred Stock | | Real Estate | | Total | Three months ended September 30, 2021 | | | | | | | | | | | | Beginning balance | $ | 421,031 | | | $ | 176,598 | | | $ | 350,194 | | | $ | 192,185 | | | $ | 45,666 | | | $ | 1,185,674 | | Deconsolidation of funds | — | | | (12,598) | | | — | | | — | | | — | | | (12,598) | | Transfers into Level III | 18,700 | | | — | | | 204 | | | — | | | — | | | 18,904 | | Transfers out of Level III | (1,858) | | | (560) | | | — | | | (32,190) | | | — | | | (34,608) | | Purchases | 138,682 | | | 42,609 | | | 99,446 | | | 150,394 | | | 6,233 | | | 437,364 | | Sales | (35,919) | | | (312) | | | (11,828) | | | — | | | (22,233) | | | (70,292) | | Realized gain (losses), net | 737 | | | 10 | | | (2,714) | | | 5 | | | (583) | | | (2,545) | | Unrealized appreciation (depreciation), net | 7,449 | | | 5,262 | | | 35,135 | | | 16,458 | | | (251) | | | 64,053 | | Ending balance | $ | 548,822 | | | $ | 211,009 | | | $ | 470,437 | | | $ | 326,852 | | | $ | 28,832 | | | $ | 1,585,952 | | Net change in unrealized appreciation (depreciation) attributable to assets still held at end of period | $ | 7,705 | | | $ | 4,248 | | | $ | 32,002 | | | $ | 16,458 | | | $ | (250) | | | $ | 60,163 | | Three months ended September 30, 2020 | | | | | | | | | | | | Beginning balance | $ | 148,679 | | | $ | 73,473 | | | $ | 100,159 | | | $ | 214 | | | $ | — | | | $ | 322,525 | | Deconsolidation of funds | — | | | (47,436) | | | — | | | — | | | — | | | (47,436) | | Transfers into Level III | 27,458 | | | 2,334 | | | 12,751 | | | — | | | — | | | 42,543 | | Transfers out of Level III | (27,022) | | | (9,705) | | | (43,205) | | | — | | | — | | | (79,932) | | Purchases | 2,422 | | | 1,288 | | | — | | | — | | | — | | | 3,710 | | Sales | (55,461) | | | (1,459) | | | — | | | — | | | — | | | (56,920) | | Realized gains (losses), net | (84) | | | 155 | | | — | | | — | | | — | | | 71 | | Unrealized appreciation (depreciation), net | (1,019) | | | 1,239 | | | 18,205 | | | (78) | | | — | | | 18,347 | | Ending balance | $ | 94,973 | | | $ | 19,889 | | | $ | 87,910 | | | $ | 136 | | | $ | — | | | $ | 202,908 | | Net change in unrealized appreciation (depreciation) attributable to assets still held at end of period | $ | (1,989) | | | $ | 1,592 | | | $ | (12,355) | | | $ | (79) | | | $ | — | | | $ | (12,831) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate Debt – Bank Debt | | Corporate Debt – All Other | | Equities – Common Stock | | Equities – Preferred Stock | | Real Estate | | Total | Nine months ended September 30, 2021 | | | | | | | | | | | | Beginning balance | $ | 255,283 | | | $ | 79,085 | | | $ | 187,370 | | | $ | 23,219 | | | $ | — | | | $ | 544,957 | | Deconsolidation of funds | (3,065) | | | (12,598) | | | — | | | — | | | — | | | (15,663) | | Transfers into Level III | 69,983 | | | 2,960 | | | 209 | | | — | | | — | | | 73,152 | | Transfers out of Level III | (68,258) | | | (15,776) | | | — | | | (32,190) | | | — | | | (116,224) | | Purchases | 395,707 | | | 151,573 | | | 264,946 | | | 311,256 | | | 52,850 | | | 1,176,332 | | Sales | (115,799) | | | (4,798) | | | (16,622) | | | (1,655) | | | (22,233) | | | (161,107) | | Realized gain (loss), net | 4,158 | | | 450 | | | (10,986) | | | 162 | | | (583) | | | (6,799) | | Unrealized appreciation (depreciation), net | 10,813 | | | 10,113 | | | 45,520 | | | 26,060 | | | (1,202) | | | 91,304 | | Ending balance | $ | 548,822 | | | $ | 211,009 | | | $ | 470,437 | | | $ | 326,852 | | | $ | 28,832 | | | $ | 1,585,952 | | Net change in unrealized appreciation attributable to assets still held at end of period | $ | 10,670 | | | $ | 9,659 | | | $ | 34,008 | | | $ | 22,845 | | | $ | (1,200) | | | $ | 75,982 | | Nine months ended September 30, 2020 | | | | | | | | | | | | Beginning balance | $ | 77,736 | | | $ | 103,172 | | | $ | 130,437 | | | $ | 657 | | | $ | 230,741 | | | $ | 542,743 | | Deconsolidation of funds | (78,451) | | | (86,507) | | | (264,513) | | | — | | | (269,404) | | | (698,875) | | Transfers into Level III | 147,449 | | | 58,374 | | | 13,105 | | | — | | | — | | | 218,928 | | Transfers out of Level III | (71,282) | | | (24,669) | | | (43,205) | | | — | | | — | | | (139,156) | | Purchases | 119,557 | | | 17,747 | | | 264,909 | | | — | | | 38,663 | | | 440,876 | | Sales | (75,663) | | | (38,788) | | | — | | | — | | | — | | | (114,451) | | Realized gain (loss), net | (8,890) | | | 97 | | | — | | | — | | | — | | | (8,793) | | Unrealized depreciation, net | (15,483) | | | (9,537) | | | (12,823) | | | (521) | | | — | | | (38,364) | | Ending balance | $ | 94,973 | | | $ | 19,889 | | | $ | 87,910 | | | $ | 136 | | | $ | — | | | $ | 202,908 | | Net change in unrealized appreciation (depreciation) attributable to assets still held at end of period | $ | (9,448) | | | $ | (3,429) | | | $ | (12,657) | | | $ | (507) | | | $ | — | | | $ | (26,041) | |
|
Valuation of Investments and Other Financial Instruments |
The table below summarizes the investments and other financial instruments of the consolidated funds by fair-value hierarchy level: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of September 30, 2021 | | As of December 31, 2020 | Level I | | Level II | | Level III | | Total | | Level I | | Level II | | Level III | | Total | Assets | | | | | | | | | | | | | | | | Investments: | | | | | | | | | | | | | | | | Corporate debt – bank debt | $ | — | | | $ | 7,074,261 | | | $ | 548,822 | | | $ | 7,623,083 | | | $ | — | | | $ | 6,363,403 | | | $ | 255,282 | | | $ | 6,618,685 | | Corporate debt – all other | — | | | 1,251,350 | | | 211,009 | | | 1,462,359 | | | — | | | 881,018 | | | 79,085 | | | 960,103 | | Equities – common stock | 186,951 | | | 49,057 | | | 470,437 | | | 706,445 | | | 3,052 | | | 1 | | | 187,370 | | | 190,423 | | Equities – preferred stock | 70,803 | | | 32,190 | | | 326,852 | | | 429,845 | | | — | | | — | | | 23,219 | | | 23,219 | | Real estate | — | | | — | | | 28,832 | | | 28,832 | | | — | | | 6,879 | | | — | | | 6,879 | | Total investments | 257,754 | | | 8,406,858 | | | 1,585,952 | | | 10,250,564 | | | 3,052 | | | 7,251,301 | | | 544,956 | | | 7,799,309 | | Derivatives: | | | | | | | | | | | | | | | | Foreign-currency forward contracts | — | | | 8,010 | | | — | | | 8,010 | | | — | | | 482 | | | — | | | 482 | | Swaps | — | | | 8 | | | — | | | 8 | | | — | | | — | | | — | | | — | | Options and futures | 977 | | | — | | | — | | | 977 | | | 26 | | | — | | | — | | | 26 | | Total derivatives (1) | 977 | | | 8,018 | | | — | | | 8,995 | | | 26 | | | 482 | | | — | | | 508 | | Total assets | $ | 258,731 | | | $ | 8,414,876 | | | $ | 1,585,952 | | | $ | 10,259,559 | | | $ | 3,078 | | | $ | 7,251,783 | | | $ | 544,956 | | | $ | 7,799,817 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | CLO debt obligations: | | | | | | | | | | | | | | | | Senior secured notes | $ | — | | | $ | (6,890,368) | | | $ | — | | | $ | (6,890,368) | | | $ | — | | | $ | (6,321,580) | | | $ | — | | | $ | (6,321,580) | | Subordinated notes | — | | | (317,741) | | | — | | | (317,741) | | | — | | | (215,278) | | | — | | | (215,278) | | Total CLO debt obligations (2) | — | | | (7,208,109) | | | — | | | (7,208,109) | | | — | | | (6,536,858) | | | — | | | (6,536,858) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives: | | | | | | | | | | | | | | | | Foreign-currency forward contracts | — | | | (1,048) | | | — | | | (1,048) | | | — | | | (933) | | | — | | | (933) | | Swaps | — | | | (14,502) | | | — | | | (14,502) | | | — | | | — | | | — | | | — | | Options and futures | — | | | (193) | | | — | | | (193) | | | — | | | — | | | — | | | — | | Warrants | — | | | (5,381) | | | — | | | (5,381) | | | — | | | — | | | — | | | — | | Total derivatives (3) | — | | | (21,124) | | | — | | | (21,124) | | | — | | | (933) | | | — | | | (933) | | Total liabilities | $ | — | | | $ | (7,229,233) | | | $ | — | | | $ | (7,229,233) | | | $ | — | | | $ | (6,537,791) | | | $ | — | | | $ | (6,537,791) | |
(1) Amounts are included in other assets under “assets of consolidated funds” in the condensed consolidated statements of financial condition. (2) The fair value of CLO liabilities is classified based on the more observable fair value of CLO assets. Please see notes 2 and 8 for more information. (3) Amounts are included in accounts payable, accrued expenses and other liabilities under “liabilities of consolidated funds” in the condensed consolidated statements of financial condition
|
Summary of Valuation Techniques and Quantitative Information |
The following table sets forth a summary of the valuation techniques and quantitative information utilized in determining the fair value of the consolidated funds’ Level III investments as of September 30, 2021: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment Type | | Fair Value | | Valuation Technique | | Significant Unobservable Inputs (1)(2) | | Range | | Weighted Average (3) | | | | | | | | | | | | Credit-oriented investments: | | | | | | | | | | | Communication services | | 55,349 | | | Market approach (comparable companies) (4) | | Revenue multiple (5) | | 1x - 3x | | 2x | | | 40,057 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | | | 2,987 | | | Recent transaction price (7) | | Quoted prices | | Not applicable | | Not applicable | Consumer discretionary: | | 12,779 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | | | 6,001 | | | Discounted cash flow (8) | | Discount rate | | 11% - 13% | | 12% | Energy: | | 16,437 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | | | 1,844 | | | Discounted cash flow (8) | | Discount rate | | 12% - 14% | | 13% | Financials: | | 25,904 | | | Discounted cash flow (8) | | Discount rate | | 11% - 13% | | 12% | | | 17,169 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | | | 7,700 | | | Recent transaction price (7) | | Quoted prices | | Not applicable | | Not applicable | Health care: | | 61,055 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | | | 7,772 | | | Market approach (comparable companies) (4) | | Multiple of underlying assets (9) | | 0.9x - 1.1x | | 1x | Industrials | | 116,386 | | | Discounted cash flow (8) | | Discount rate | | 12% - 13% | | 13% | | | 10,311 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | Materials: | | 139,152 | | | Discounted cash flow (8) | | Discount rate | | 10% - 13% | | 11% | | | 11,224 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | Real estate: | | 78,382 | | | Market approach (comparable companies) (4) | | Multiple of underlying assets (9) | | 0.9x - 1.1x | | 1x | | | 71,263 | | | Recent transaction price (7) | | Quoted prices | | Not applicable | | Not applicable | | | 36,248 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | Utilities | | 26,049 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | Other: | | 15,762 | | | Recent market information (6) | | Quoted prices | | Not applicable | | Not applicable | | | | | | | | | | | | Equity investments: | | | | | | | | | | | | | 320,838 | | | Recent transaction price (7) | | Quoted prices | | Not applicable | | Not applicable | | | 181,378 | | | Market approach (comparable companies) (4) | | Multiple of underlying assets (9) | | 0.9x - 1.1x | | 1x | | | 159,811 | | | Discounted cash flow (8) | | Discount rate | | 7% - 16% | | 12% | | | 94,428 | | | Market approach (comparable companies) (4) | | Earnings multiple (10) | | 5x - 35x | | 13x | | | 40,834 | | | Market approach (comparable companies) (4) | | Revenue multiple (5) | | 13x - 14x | | 14x | Real estate-oriented investments: | | | | | | | | | | | | | 16,098 | | | Recent transaction price (7) | | Quoted prices | | Not applicable | | Not applicable | | | 12,734 | | | Discounted cash flow (8) | | Discount rate | | 24% - 26% | | 25% | Total Level III investments | | $ | 1,585,952 | | | | | | | | | |
The following table sets forth a summary of the valuation techniques and quantitative information utilized in determining the fair value of the consolidated funds’ Level III investments as of December 31, 2020: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investment Type | | Fair Value | | Valuation Technique | | Significant Unobservable Inputs (1)(2) | | Range | | Weighted Average (3) | | | | | | | | | | | | Credit-oriented investments: | | | | | | | | | | | | | | | | | | | | | | Energy: | | $ | 14,318 | | | Discounted cash flow (4) | | Discount rate | | 7% - 9% | | 8% | | | 10,431 | | | Recent market information (5) | | Quoted prices | | Not applicable | | Not applicable | Financials: | | 24,301 | | | Recent market information (5) | | Quoted prices | | Not applicable | | Not applicable | | | | | | | | | | | | Health care: | | 20,447 | | | Recent market information (5) | | Quoted prices | | Not applicable | | Not applicable | Industrials: | | 50,263 | | | Recent market information (5) | | Quoted prices | | Not applicable | | Not applicable | | | 12,298 | | | Recent transaction price (6) | | Quoted prices | | Not applicable | | Not applicable | Materials: | | 59,615 | | | Recent transaction price (6) | | Quoted prices | | Not applicable | | Not applicable | Real estate: | | 78,635 | | | Recent transaction price (6) | | Quoted prices | | Not applicable | | Not applicable | | | 18,177 | | | Recent market information (5) | | Quoted prices | | Not applicable | | Not applicable | Other: | | 38,932 | | | Recent market information (5) | | Quoted prices | | Not applicable | | Not applicable | | | 6,951 | | | Discounted cash flow (4) | | Discount rate | | 6% – 8% | | 7% | Equity investments: | | | | | | | | | | | | | 133,779 | | | Recent transaction price (6) | | Quoted prices | | Not applicable | | Not applicable | | | | | | | | | | | | | | | | | | | | | | | | | 76,809 | | | Discounted cash flow (4) | | Discount rate | | 6% - 8% | | 7% | Total Level III investments | | $ | 544,956 | | | | | | | | | |
(1) The discount rate is the significant unobservable input used in the fair-value measurement of performing credit-oriented investments in which the consolidated funds do not have a controlling interest in the underlying issuer, as well as certain equity investments and real estate loan portfolios. An increase (decrease) in the discount rate would result in a lower (higher) fair-value measurement. (2) Multiple of either earnings or underlying assets is the significant unobservable input used in the market approach for the fair-value measurement of distressed credit-oriented investments, credit-oriented investments in which the consolidated funds have a controlling interest in the underlying issuer, equity investments and certain real estate-oriented investments. An increase (decrease) in the multiple would result in a higher (lower) fair-value measurement. (3) The weighted average is based on the fair value of the investments included in the range. (4) A market approach is generally used to value distressed investments and investments in which the consolidated funds have a controlling interest in the underlying issuer (5) Revenue multiples are based on comparable public companies and transactions with comparable companies. The Company typically applies the multiple to trailing twelve-months' revenue. However, in certain cases other revenue measures, such as pro forma revenue, may be utilized if deemed to be more relevant (6) Certain investments are valued using vendor prices or broker quotes for the subject or similar securities. Generally, investments valued in this manner are classified as Level III because the quoted prices may be indicative in nature for securities that are in an inactive market, may be for similar securities, or may require adjustment for investment-specific factors or restrictions. (7) Certain investments are valued based on recent transactions, generally defined as investments purchased or sold within six months of the valuation date. The fair value may also be based on a pending transaction expected to close after the valuation date. (8) A discounted cash-flow method is generally used to value performing credit-oriented investments in which the consolidated funds do not have a controlling interest in the underlying issuer, as well as certain equity investments, real estate-oriented investments and real estate loan portfolios. (9) A market approach using the value of underlying assets utilizes a multiple, based on comparable companies, of underlying assets or the net book value of the portfolio company. The Company typically obtains the value of underlying assets from the underlying portfolio company’s financial statements or from pricing vendors. The Company may value the underlying assets by using prices and other relevant information from market transactions involving comparable assets. (10) Earnings multiples are based on comparable public companies and transactions with comparable companies. The Company typically utilizes multiples of EBITDA; however, in certain cases the Company may use other earnings multiples believed to be most relevant to the investment. The Company typically applies the multiple to trailing twelve-months’ EBITDA. However, in certain cases other earnings measures, such as pro forma EBITDA, may be utilized if deemed to be more relevant. The significant valuation inputs, including the input range and weighted average rate, are as follows: | | | | | | | | | | | | | | | | | | | | | Valuation Input | | Low | | High | | Weighted Average Rate | | | | | | | | Discount rates | | 8.0% | | 26.0% | | 14.3% | Constant default rates | | 2.0% | | 2.0% | | 2.0% | Recovery rates | | 65.0% | | 70.0% | | 67.5% |
|