DERIVATIVES AND HEDGING

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The fair value of freestanding derivatives consisted of the following:


	Assets				Liabilities
	Notional		Fair Value		Notional		Fair Value
As of March 31, 2024
Foreign-currency forward contracts	$	236,682	$	1,906	$	(226,612)	$	(1,642)



As of December 31, 2023
Foreign-currency forward contracts	$	221,910	$	8,608	$	(234,353)	$	(8,520)

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,
		2024		2023

Investment income		$	6,067	$	(2,575)
General and administrative expense (1)		(5,757)		—
Total gain (loss)		$	310	$	(2,575)

(1) To the extent that the Company’s freestanding derivatives are utilized to hedge its foreign-currency exposure to investment income 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.

There were no derivatives outstanding that were designated as hedging instruments for accounting purposes as of March 31, 2024 and December 31, 2023.

Derivatives Held By Consolidated Funds

Certain consolidated funds utilize derivatives in their ongoing investment operations. These derivatives primarily consist of foreign-currency forward contracts and options utilized to manage currency risk, interest-rate swaps to hedge interest-rate risk, options and futures used to hedge certain exposures for specific securities, and total-return swaps utilized mainly to obtain exposure to leveraged loans or to participate in foreign markets not readily accessible. The primary risk exposure for options and futures is price, while the primary risk exposure for total-return swaps is credit. None of the derivative instruments are accounted for as a hedging instrument utilizing hedge accounting.

The fair value of derivatives held by the consolidated funds consisted of the following:


	Assets				Liabilities
	Notional		Fair Value		Notional		Fair Value
As of March 31, 2024
Foreign-currency forward contracts	$	739,304	$	1,591	$	(26,973)	$	(16,218)
Total-return and interest-rate and credit default swaps	34,351		7,711		(43,588)		(29)
Options and futures	15,797		6		(155,640)		(2,714)


Total	$	789,452	$	9,308	$	(226,201)	$	(18,961)

As of December 31, 2023
Foreign-currency forward contracts	$	508,174	$	475	$	(118,263)	$	(21,659)
Total-return and interest-rate and credit default swaps	41,113		8,658		—		—
Options and futures	6,749		—		(163,187)		(571)

Total	$	556,036	$	9,133	$	(281,450)	$	(22,230)

The impact of derivatives held by the consolidated funds in the condensed consolidated statements of operations was as follows:


	Three months ended March 31,
	2024				2023
	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	$	(351)	$	5,735	$	(1,614)	$	(3,984)
Total-return and interest-rate and credit default swaps	—		633		(5)		(12)
Options and futures	(206)		(388)		432		(398)
Commodity swaps	4,493		(1,581)		2,608		15,170

Total	$	3,936	$	4,399	$	1,421	$	10,776

Balance Sheet Offsetting

The Company recognizes all derivatives as assets or liabilities at fair value in its condensed consolidated statements of financial condition. In connection with its derivative activities, the Company generally enters into agreements subject to enforceable master netting arrangements that allow the Company to offset derivative assets and liabilities in the same currency by specific derivative type or, in the event of default by the counterparty, to offset derivative assets and liabilities with the same counterparty. While these derivatives are eligible to be offset in accordance with applicable accounting guidance, the Company has elected to present derivative assets and liabilities based on gross fair value in its condensed consolidated statements of financial condition. 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 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 March 31, 2024			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	1,906	$	131	$	—	$	1,775


Derivative assets of consolidated funds:
Foreign-currency forward contracts	1,591		—		—		1,591
Total-return and interest-rate and credit default swaps	7,711		—		—		7,711
Options and futures	6		—		—		6
Subtotal	9,308		—		—		9,308
Total	$	11,214	$	131	$	—	$	11,083

Derivative Liabilities:
Foreign-currency forward contracts	$	(1,642)	$	(131)	$	—	$	(1,511)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(16,218)		—		—		(16,218)
Total-return and interest-rate and credit default swaps	(29)		—		—		(29)
Options and futures	(2,714)		—		—		(2,714)

Subtotal	(18,961)		—		—		(18,961)
Total	$	(20,603)	$	(131)	$	—	$	(20,472)


	Gross Amounts of Assets (Liabilities) Presented		Gross Amounts Not Offset in Statements of Financial Condition				Net Amount
As of December 31, 2023			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	8,608	$	510	$	—	$	8,098


Derivative assets of consolidated funds:
Foreign-currency forward contracts	475		—		—		475
Total-return and interest-rate and credit default swaps	8,658		—		—		8,658
Options and futures	—		—		—		—
Subtotal	9,133		—		—		9,133
Total	$	17,741	$	510	$	—	$	17,231

Derivative Liabilities:
Foreign-currency forward contracts	$	(8,520)	$	(510)	$	—	$	(8,010)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(21,659)		—		—		(21,659)

Options and futures	(571)		—		—		(571)

Subtotal	(22,230)		—		—		(22,230)
Total	$	(30,750)	$	(510)	$	—	$	(30,240)