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DERIVATIVES AND HEDGING (Tables)
 3 Months Ended
Mar. 31, 2022
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:
AssetsLiabilities
NotionalFair ValueNotionalFair Value
As of March 31, 2022
Foreign-currency forward contracts$318,313 $5,095 $(21,500)$(407)
As of December 31, 2021
Foreign-currency forward contracts$324,322 $11,213 $(24,735)$(536)
Summary of Impact of Freestanding Derivative Instruments on Condensed Consolidated Statement of Operations
Realized and unrealized gains and losses arising from freestanding derivatives were recorded in the condensed consolidated statements of operations as follows:
Three months ended March 31,
20222021
Investment income
$1,384 $8,915 
General and administrative expense (1)
988 3,668 
Total gain (loss)
$2,372 $12,583 
(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.
The impact of derivatives held by the consolidated funds in the consolidated statements of operations was as follows:
Three months ended March 31,
 20222021
Net Realized Gain (Loss) on InvestmentsNet Change in Unrealized Appreciation (Depreciation) on InvestmentsNet Realized Gain (Loss) on InvestmentsNet Change in Unrealized Appreciation (Depreciation) on Investments
Foreign-currency forward contracts
$956 $2,928 $(1,373)$2,706 
Total-return and interest-rate and credit default swaps(3,984)(32,833)— (34)
Options and futures5,973 1,983 522 199 
Warrants— 858 — 938 
Total$2,945 $(27,064)$(851)$3,809 
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value The fair value of derivatives held by the consolidated funds consisted of the following:
AssetsLiabilities
NotionalFair ValueNotionalFair Value
As of March 31, 2022
Foreign-currency forward contracts$381,809 $9,063 $(18,099)$(1,563)
Total-return and interest-rate and credit default swaps8,291 718 (182,441)(37,933)
Options and futures222,665 2,478 (64)(36)
Warrants— — — (7,095)
Total
$612,765 $12,259 $(200,604)$(46,627)
As of December 31, 2021
Foreign-currency forward contracts$210,868 $5,062 $(24,845)$(886)
Total-return and interest-rate and credit default swaps13,727 1,162 (27,254)(4,335)
Options and futures213,575 509 — — 
Warrants— — — (6,626)
Total
$438,170 $6,733 $(52,099)$(11,847)
Balance Sheet Offsetting Assets The “gross amounts not offset in statements of financial condition” columns represent derivatives that management has elected not to offset in the condensed consolidated statements of financial condition even though they are eligible to be offset in accordance with applicable accounting guidance.
Gross Amounts of Assets (Liabilities) PresentedGross Amounts Not Offset in Statements of Financial ConditionNet Amount
As of March 31, 2022Derivative Assets (Liabilities)Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts$5,095 $407 $— $4,688 
Derivative assets of consolidated funds:
Foreign-currency forward contracts
9,063 — — 9,063 
Total-return and interest-rate and credit default swaps718 — — 718 
Options and futures2,478 — — 2,478 
Subtotal12,259 — — 12,259 
Total$17,354 $407 $— $16,947 
Derivative Liabilities:
Foreign-currency forward contracts
$(407)$(407)$— $— 
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts
(1,563)— — (1,563)
Total-return and interest-rate and credit default swaps(37,933)— — (37,933)
Options and futures(36)— — (36)
Warrants(6,626)— — (6,626)
Subtotal(46,158)— — (46,158)
Total$(46,565)$(407)$— $(46,158)
Gross Amounts of Assets (Liabilities) PresentedGross Amounts Not Offset in Statements of Financial ConditionNet Amount
As of December 31, 2021Derivative Assets (Liabilities)Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts$11,213 $404 $— $10,809 
Derivative assets of consolidated funds:
Foreign-currency forward contracts
5,062 — — 5,062 
Total-return and interest-rate and credit default swaps1,162 — — 1,162 
Options and futures
509 — — 509 
Subtotal
6,733 — — 6,733 
Total$17,946 $404 $— $17,542 
Derivative Liabilities:
Foreign-currency forward contracts$(536)$(404)$— $(132)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts(886)— — (886)
Total-return and interest-rate and credit default swaps(4,335)— — (4,335)
Warrants(6,626)— (6,626)
Subtotal
(11,847)— — (11,847)
Total$(12,383)$(404)$— $(11,979)
Balance Sheet Offsetting Liabilities The “gross amounts not offset in statements of financial condition” columns represent derivatives that management has elected not to offset in the condensed consolidated statements of financial condition even though they are eligible to be offset in accordance with applicable accounting guidance.
Gross Amounts of Assets (Liabilities) PresentedGross Amounts Not Offset in Statements of Financial ConditionNet Amount
As of March 31, 2022Derivative Assets (Liabilities)Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts$5,095 $407 $— $4,688 
Derivative assets of consolidated funds:
Foreign-currency forward contracts
9,063 — — 9,063 
Total-return and interest-rate and credit default swaps718 — — 718 
Options and futures2,478 — — 2,478 
Subtotal12,259 — — 12,259 
Total$17,354 $407 $— $16,947 
Derivative Liabilities:
Foreign-currency forward contracts
$(407)$(407)$— $— 
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts
(1,563)— — (1,563)
Total-return and interest-rate and credit default swaps(37,933)— — (37,933)
Options and futures(36)— — (36)
Warrants(6,626)— — (6,626)
Subtotal(46,158)— — (46,158)
Total$(46,565)$(407)$— $(46,158)
Gross Amounts of Assets (Liabilities) PresentedGross Amounts Not Offset in Statements of Financial ConditionNet Amount
As of December 31, 2021Derivative Assets (Liabilities)Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts$11,213 $404 $— $10,809 
Derivative assets of consolidated funds:
Foreign-currency forward contracts
5,062 — — 5,062 
Total-return and interest-rate and credit default swaps1,162 — — 1,162 
Options and futures
509 — — 509 
Subtotal
6,733 — — 6,733 
Total$17,946 $404 $— $17,542 
Derivative Liabilities:
Foreign-currency forward contracts$(536)$(404)$— $(132)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts(886)— — (886)
Total-return and interest-rate and credit default swaps(4,335)— — (4,335)
Warrants(6,626)— (6,626)
Subtotal
(11,847)— — (11,847)
Total$(12,383)$(404)$— $(11,979)