XML 44 R29.htm IDEA: XBRL DOCUMENT

DERIVATIVES AND HEDGING (Tables)

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Foreign Exchange Contracts, Statement of Financial Position

The fair value of freestanding derivatives consisted of the following:


	Assets				Liabilities
	Notional		Fair Value		Notional		Fair Value
As of June 30, 2023
Foreign-currency forward contracts	$	214,714	$	1,898	$	(226,633)	$	(2,137)



As of December 31, 2022
Foreign-currency forward contracts	$	221,836	$	13,340	$	(200,319)	$	(11,840)

Schedule of Impact of 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 June 30,				Six months ended June 30,
	2023		2022		2023		2022

Investment income	$	(34)	$	64	$	(2,609)	$	1,448
General and administrative expense (1)	—		302		—		1,290
Total	$	(34)	$	366	$	(2,609)	$	2,738

(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 condensed consolidated statements of operations was as follows:


	Three months ended June 30,
	2023				2022
	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	$	93	$	(6,596)	$	14,133	$	9,494
Total-return and interest-rate and credit default swaps	122		468		4,266		32,939
Options and futures	640		1,134		4,108		(2,088)
Commodity swaps	2,638		(1,815)		(15,735)		(30,428)
Total	$	3,493	$	(6,809)	$	6,772	$	9,917


	Six months ended June 30,
	2023				2022
	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	$	(1,521)	$	(10,580)	$	15,089	$	12,422
Total-return and interest-rate and credit default swaps	117		456		282		106
Options and futures	1,072		736		10,081		(105)
Commodity swaps	5,246		13,355		(15,735)		(29,570)
Total	$	4,914	$	3,967	$	9,717	$	(17,147)

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:


	Assets				Liabilities
	Notional		Fair Value		Notional		Fair Value
As of June 30, 2023
Foreign-currency forward contracts	$	513,197	$	2,189	$	(71,676)	$	(19,486)
Total-return and interest-rate and credit default swaps	80,441		6,130		(42,665)		(328)
Options and futures	161,334		797		(4,491)		(1,428)

Total	$	754,972	$	9,116	$	(118,832)	$	(21,242)

As of December 31, 2022
Foreign-currency forward contracts	$	427,141	$	9,758	$	(52,531)	$	(16,356)
Total-return and interest-rate and credit default swaps	12,604		700		(3,182)		(7,666)
Options and futures	378,042		279		(125,283)		—

Total	$	817,787	$	10,737	$	(180,996)	$	(24,022)

Schedule of 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) Presented		Gross Amounts Not Offset in Statements of Financial Condition				Net Amount
As of June 30, 2023			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	1,898	$	115	$	—	$	1,783
Derivative assets of consolidated funds:



Foreign-currency forward contracts	2,189		—		—		2,189
Total-return and interest-rate and credit default swaps	6,130		—		—		6,130
Options and futures	797		—		—		797
Subtotal	9,116		—		—		9,116
Total	$	11,014	$	115	$	—	$	10,899

Derivative Liabilities:
Foreign-currency forward contracts	$	(2,137)	$	(115)	$	—	$	(2,022)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(19,486)		—		—		(19,486)
Total-return and interest-rate and credit default swaps	(328)		—		—		(328)
Options and futures	(1,428)		—		—		(1,428)

Subtotal	(21,242)		—		—		(21,242)
Total	$	(23,379)	$	(115)	$	—	$	(23,264)


	Gross Amounts of Assets (Liabilities) Presented		Gross Amounts Not Offset in Statements of Financial Condition				Net Amount
As of December 31, 2022			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	13,340	$	1,279	$	—	$	12,061


Derivative assets of consolidated funds:
Foreign-currency forward contracts	9,758		—		—		9,758
Total-return and interest-rate and credit default swaps	700		—		—		700
Options and futures	279		—		—		279
Subtotal	10,737		—		—		10,737
Total	$	24,077	$	1,279	$	—	$	22,798

Derivative Liabilities:
Foreign-currency forward contracts	$	(11,840)	$	(1,279)	$	—	$	(10,561)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(16,356)		—		—		(16,356)
Total-return and interest-rate and credit default swaps	(7,666)		—		—		(7,666)
Options and futures	—		—				—
Subtotal	(24,022)		—		—		(24,022)
Total	$	(35,862)	$	(1,279)	$	—	$	(34,583)

Schedule of Balance Sheet Offsetting Liabilities


	Gross Amounts of Assets (Liabilities) Presented		Gross Amounts Not Offset in Statements of Financial Condition				Net Amount
As of June 30, 2023			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	1,898	$	115	$	—	$	1,783
Derivative assets of consolidated funds:



Foreign-currency forward contracts	2,189		—		—		2,189
Total-return and interest-rate and credit default swaps	6,130		—		—		6,130
Options and futures	797		—		—		797
Subtotal	9,116		—		—		9,116
Total	$	11,014	$	115	$	—	$	10,899

Derivative Liabilities:
Foreign-currency forward contracts	$	(2,137)	$	(115)	$	—	$	(2,022)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(19,486)		—		—		(19,486)
Total-return and interest-rate and credit default swaps	(328)		—		—		(328)
Options and futures	(1,428)		—		—		(1,428)

Subtotal	(21,242)		—		—		(21,242)
Total	$	(23,379)	$	(115)	$	—	$	(23,264)


	Gross Amounts of Assets (Liabilities) Presented		Gross Amounts Not Offset in Statements of Financial Condition				Net Amount
As of December 31, 2022			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	13,340	$	1,279	$	—	$	12,061


Derivative assets of consolidated funds:
Foreign-currency forward contracts	9,758		—		—		9,758
Total-return and interest-rate and credit default swaps	700		—		—		700
Options and futures	279		—		—		279
Subtotal	10,737		—		—		10,737
Total	$	24,077	$	1,279	$	—	$	22,798

Derivative Liabilities:
Foreign-currency forward contracts	$	(11,840)	$	(1,279)	$	—	$	(10,561)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(16,356)		—		—		(16,356)
Total-return and interest-rate and credit default swaps	(7,666)		—		—		(7,666)
Options and futures	—		—				—
Subtotal	(24,022)		—		—		(24,022)
Total	$	(35,862)	$	(1,279)	$	—	$	(34,583)