FAIR VALUE (Tables)

6 Months Ended

Jun. 30, 2016

Summary of valuation of investments and other financial instruments by fair value hierarchy levels

The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and Consolidated Funds as of June 30, 2016:

Investments and Derivatives of the Company


Investments of the Company, at fair value	Level I		Level II		Level III		Investments Measured at NAV		Total
Fixed income-collateralized loan obligations	$	—	$	—	$	54,155	$	—	$	54,155
Equity securities		87		—		—		—		87
Partnership interests		—		—		44,746		364,542		409,288
Total investments, at fair value		87		—		98,901		364,542		463,530
Derivative assets of the Company, at fair value
Foreign exchange contracts		—		3,366		—		—		3,366
Total derivative assets, at fair value		—		3,366		—		—		3,366
Total	$	87	$	3,366	$	98,901	$	364,542	$	466,896
Derivative liabilities of the Company, at fair value
Foreign exchange contracts	$	—	$	(729)	$	—	$	—	$	(729)
Interest rate contracts		—		—		—		—		—
Total derivative liabilities, at fair value	$	—	$	(729)	$	—	$	—	$	(729)

The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and Consolidated Funds as of December 31, 2015:

Investments and Derivatives of the Company


Investments of the Company, at fair value	Level I		Level II		Level III		Investments Measured at NAV		Total
Fixed income-collateralized loan obligations	$	—	$	—	$	55,752	$	—	$	55,752
Equity securities		81		—		—		—		81
Partnership interests		—		—		51,703		339,243		390,946
Total investments, at fair value		81		—		107,455		339,243		446,779
Derivative assets of the Company, at fair value
Foreign exchange contracts		—		1,339		—		—		1,339
Total derivative assets, at fair value		—		1,339		—		—		1,339
Total	$	81	$	1,339	$	107,455	$	339,243	$	448,118
Derivative liabilities of the Company, at fair value
Foreign exchange contracts	$	—	$	(176)	$	—	$	—	$	(176)
Interest rate contracts		—		(214)		—		—		(214)
Total derivative liabilities, at fair value	$	—	$	(390)	$	—	$	—	$	(390)

Summary of changes in the fair value of the Level III investments

The following tables set forth a summary of changes in the fair value of the Level III measurements for the three months ended June 30, 2016:

Investments and Derivatives of the Company




Investments and Derivatives of the Company	Fixed Income		Partnership Interests		Total
Balance, beginning of period	$	54,118	$	58,203	$	112,321
Purchases(1)		4		1,667		1,671
Sales(2)		(1,517)		—		(1,517)
Realized and unrealized appreciation (depreciation), net		1,550		(15,124)		(13,574)
Balance, end of period	$	54,155	$	44,746	$	98,901
Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	718	$	(15,123)	$	(14,405)

(1)

Purchases include paid‑in‑kind interest and securities received in connection with restructurings.

(2)

Sales include distributions, principal redemptions and securities disposed of in connection with restructurings.

The following tables set forth a summary of changes in the fair value of the Level III measurements for the six months ended June 30, 2016:



Investments and Derivatives of the Company	Fixed Income		Partnership Interests		Total
Balance, beginning of period	$	55,752	$	51,703	$	107,455
Purchases(1)		7		8,167		8,174
Sales(2)		(2,293)		—		(2,293)
Realized and unrealized appreciation (depreciation), net		689		(15,124)		(14,435)
Balance, end of period	$	54,155	$	44,746	$	98,901
Decrease in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(455)	$	(15,123)	$	(15,578)

(1)

Purchases include paid‑in‑kind interest and securities received in connection with restructurings.

(2)

Sales include distributions, principal redemptions and securities disposed of in connection with restructurings.

The following tables set forth a summary of changes in the fair value of the Level III measurements for the three months ended June 30, 2015:

Investments and Derivatives of the Company


Investments and Derivatives of the Company	Fixed Income		Partnership Interests		Total
Balance, beginning of period	$	15,823	$	50,348	$	66,171
Purchases(1)		-		6,000		6,000
Sales(2)		(492)		—		(492)
Realized and unrealized appreciation (depreciation), net		132		—		132
Balance, end of period	$	15,463	$	56,348	$	71,811
Decrease in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(27)	$	—	$	(27)

(1)

Purchases include paid‑in‑kind interest and securities received in connection with restructurings.

(2)

Sales include distributions, principal redemptions and securities disposed of in connection with restructurings.

The following tables set forth a summary of changes in the fair value of the Level III measurements for the six months ended June 30, 2015:


Investments and Derivatives of the Company		Fixed Income		Partnership Interests		Total
Balance, beginning of period	$	—	$	45,348	$	45,348
Investment in deconsolidated fund(3)		17,815		—		17,815
Purchases(1)		3		11,000		11,003
Sales(2)		(1,255)		—		(1,255)
Realized and unrealized depreciation, net		(1,100)		—		(1,100)
Balance, end of period	$	15,463	$	56,348	$	71,811
Decrease in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(27)	$	—	$	(27)

(1)

Purchases include paid‑in‑kind interest and securities received in connection with restructurings.

(2)

Sales include distributions, principal redemptions and securities disposed of in connection with restructurings.

(3) Balance for the Company was previously eliminated upon consolidation and not reported as Level III investments.

Summary of quantitative inputs and assumptions used for Level III inputs

The following table summarizes the quantitative inputs and assumptions used for the Company’s Level III measurements as of June 30, 2016:


	Fair			Unobservable
	Value		Valuation Technique(s)	Input(s)	Range
Assets
Partnership interests	$	44,746	Discounted Cash Flow	Discount Rate	10% - 50%
Collateralized loan obligations		54,155	Broker quotes and/or 3rd party pricing services	N/A	N/A
Total	$	98,901

The following table summarizes the quantitative inputs and assumptions used for the Company’s Level III measurements as of December 31, 2015:


	Fair			Unobservable
	Value		Valuation Technique(s)	Input(s)	Range
Assets
Partnership interests	$	40,703	Discounted Cash Flow	Discount Rate	10%
Partnership interests		11,000	Recent Transaction Price(1)	N/A	N/A
Collateralized loan obligations		55,752	Broker quotes and/or 3rd party pricing services	N/A	N/A
Total	$	107,455

(1)

Recent transaction price consists of securities recently purchased or restructured. The Company determined that there was no change to the valuation based on the underlying assumptions used at the closing of such transactions.

Summary of fair value by segment, remaining unfunded commitment, and any redemption restriction of investments valued using NAV per share


	As of June 30, 2016				As of December 31, 2015
Segment		Fair Value	Unfunded Commitments		Fair Value		Unfunded Commitments		Redemption Restriction(s)
Credit Group	$	104,855	$	78,475	$	98,251	$	89,917	(1)(2)(3)
Private Equity Group		156,797		77,095		157,234		78,700	(1)
Real Estate Group		62,309		45,031		56,547		99,802	(1)
Operations Management Group		40,581		37,624		27,211		22,789	(1)(2)
Totals	$	364,542	$	238,225	$	339,243	$	291,208

(1)

Includes certain closed‑ended funds that do not permit investors to redeem their interests.

(2)

Includes certain open‑ended funds that are subject to a lock‑up period of six months after the closing date; after which an investor has the right to withdraw its capital.

(3)

Includes certain funds that are separately managed investment vehicles, which may be redeemed only upon dissolution or liquidation of the fund at the discretion of a simple majority of investors.

Consolidated Funds

FAIR VALUE

Summary of valuation of investments and other financial instruments by fair value hierarchy levels

The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and Consolidated Funds as of June 30, 2016:

Investments and Derivatives of Consolidated Funds


Investments of Consolidated Funds, at fair value	Level I		Level II		Level III		Total
Bonds	$	—	$	112,590	$	79,545	$	192,135
Loans		—		1,857,441		151,641		2,009,082
Collateralized loan obligations		—		—		6,186		6,186
Total fixed income		—		1,970,031		237,372		2,207,403
Equity securities		44,494		18,479		143,334		206,307
Partnership interests		—		—		115,440		115,440
Other		—		23		—		23
Total investments, at fair value	$	44,494	$	1,988,533	$	496,146	$	2,529,173
Derivative assets of Consolidated Funds, at fair value
Foreign exchange contracts		—		289		—		289
Total derivative assets, at fair value		—		289		—		289
Total	$	44,494	$	1,988,822	$	496,146	$	2,529,462
Foreign exchange contracts	$	—	$	(297)	$	—	$	(297)
Others		—		—		(2,076)		(2,076)
Total derivative liabilities, at fair value		—		(297)		(2,076)		(2,373)
Loan obligations of CLOs		—		(2,168,346)		—		(2,168,346)
Total	$	—	$	(2,168,643)	$	(2,076)	$	(2,170,719)

The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and Consolidated Funds as of December 31, 2015:

Investments and Derivatives of Consolidated Funds


Investments of Consolidated Funds, at fair value	Level I		Level II		Level III		Total
Bonds	$	—	$	126,289	$	109,023	$	235,312
Loans		—		1,875,341		134,346		2,009,687
Collateralized loan obligations		—		—		6,121		6,121
Total fixed income		—		2,001,630		249,490		2,251,120
Equity securities		76,033		15,760		129,809		221,602
Partnership interests		—		—		86,902		86,902
Other		—		159		—		159
Total investments, at fair value	$	76,033	$	2,017,549	$	466,201	$	2,559,783
Derivative liabilities of Consolidated Funds, at fair value
Foreign exchange contracts	$	—	$	(369)	$	—	$	(369)
Others		—		—		(10,307)		(10,307)
Total derivative liabilities, at fair value		—		(369)		(10,307)		(10,676)
Loan obligations of CLOs		—		—		(2,174,352)		(2,174,352)
Total	$	—	$	(369)	$	(2,184,659)	$	(2,185,028)

Summary of changes in the fair value of the Level III investments

The following tables set forth a summary of changes in the fair value of the Level III measurements for the three months ended June 30, 2016:

Investments and Derivatives of Consolidated Funds


							Other
					Partnership		Financial
Investments and Derivatives of Consolidated Funds	Equity Securities		Fixed Income		Interests		Instruments		Total
Balance, beginning of period	$	141,805	$	212,209	$	103,621	$	(4,127)	$	453,508
Transfer in		—		83,608		—		—		83,608
Transfer out		(15,384)		(31,290)		—		—		(46,674)
Purchases(1)		9,668		32,622		5,800		—		48,090
Sales(2)		—		(48,276)		—		88		(48,188)
Amortized discounts/premiums		—		255		—		(206)		49
Realized and unrealized appreciation (depreciation), net		7,245		(11,756)		6,019		2,169		3,677
Balance, end of period	$	143,334	$	237,372	$	115,440	$	(2,076)	$	494,070
Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	7,245	$	(2,340)	$	6,020	$	1,967	$	12,892

(1)

Purchases include paid‑in‑kind interest and securities received in connection with restructurings.

(2)

Sales include distributions, principal redemptions and securities disposed of in connection with restructurings.

The following tables set forth a summary of changes in the fair value of the Level III measurements for the six months ended June 30, 2016:


							Other
					Partnership		Financial
Investments and Derivatives of Consolidated Funds	Equity Securities		Fixed Income		Interests		Instruments		Total
Balance, beginning of period	$	129,809	$	249,490	$	86,902	$	(10,307)	$	455,894
Transfer in		—		72,636		—		—		72,636
Transfer out		(344)		(68,427)		—		—		(68,771)
Purchases(1)		9,668		45,951		13,100		—		68,719
Sales(2)		—		(46,865)		(300)		589		(46,576)
Amortized discounts/premiums		—		696		—		84		780
Realized and unrealized appreciation (depreciation), net		4,201		(16,109)		15,738		7,558		11,388
Balance, end of period	$	143,334	$	237,372	$	115,440	$	(2,076)	$	494,070
Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	4,202	$	(7,566)	$	15,654	$	6,878	$	19,168

(1)

Purchases include paid‑in‑kind interest and securities received in connection with restructurings.

(2)

Sales include distributions, principal redemptions and securities disposed of in connection with restructurings.

The following tables set forth a summary of changes in the fair value of the Level III measurements for the three months ended June 30, 2015:

Investments and Derivatives of Consolidated Funds


						Other
					Financial
Investments and Derivatives of Consolidated Funds	Equity Securities		Fixed Income		Instruments		Total
Balance, beginning of period	$	174,035	$	234,121	$	(14,393)	$	393,763
Transfer in		—		65,683		—		65,683
Transfer out		(13,662)		(40,887)		—		(54,549)
Purchases(1)		98,002		10,363		1,947		110,312
Sales(2)		—		(9,590)		—		(9,590)
Amortized discounts/premiums		—		667		(226)		441
Realized and unrealized appreciation (depreciation), net		16,974		8,609		(958)		24,625
Balance, end of period	$	275,349	$	268,966	$	(13,630)	$	530,685
Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	3,650	$	(564)	$	(621)	$	2,465

(1)

Purchases include paid‑in‑kind interest and securities received in connection with restructurings.

(2)

Sales include distributions, principal redemptions and securities disposed of in connection with restructurings.

The following tables set forth a summary of changes in the fair value of the Level III measurements for the six months ended June 30, 2015:


							Other
					Partnership		Financial
Investments and Derivatives of Consolidated Funds	Equity Securities		Fixed Income		Interests		Instruments		Total
Balance, beginning of period	$	3,263,311	$	2,192,395	$	137,272	$	(20,993)	$	5,571,985
Deconsolidation of funds (3)		(3,080,402)		(1,897,304)		(137,272)		12,980		(5,101,998)
Transfer in		—		32,849		—		678		33,527
Transfer out		(17,281)		(78,020)		—		—		(95,301)
Purchases(1)		98,000		66,300		—		2,116		166,416
Sales(2)		(772)		(37,655)		—		—		(38,427)
Amortized discounts/premiums		—		(285)		—		(501)		(786)
Realized and unrealized appreciation (depreciation), net		12,493		(9,314)		—		(7,910)		(4,731)
Balance, end of period	$	275,349	$	268,966	$	—	$	(13,630)	$	530,685
Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	10,100	$	(12,220)	$	—	$	(7,427)	$	(9,547)

(1)

Purchases include paid‑in‑kind interest and securities received in connection with restructurings.

(2)

Sales include distributions, principal redemptions and securities disposed of in connection with restructurings.

(3)

Represents investment in Consolidated Funds that were deconsolidated during the period.

Summary of changes in the fair value of the Level III investments for the CLO loan obligations


	For the Three Months Ended June 30,				For the Six Months Ended June 30,
	2016		2015		2016		2015
Balance, beginning of period	$	—	$	2,299,970	$	2,174,352	$	12,049,019
Accounting change due to the adoption of ASU 2014-13(1)		—		—		(2,174,352)		—
Deconsolidation of funds		—		—		—		(10,264,884)
Borrowings		—		—		—		602,077
Paydowns		—		3		—		(406)
Realized and unrealized gains, net		—		24,991		—		(60,842)
Balance, end of period	$	—	$	2,324,964	$	—	$	2,324,964

(1)

Upon adoption of ASU 2014-13, the debt obligations of consolidated CLOs are no longer considered Level III financial liabilities under the GAAP fair value hierarchy. As of January 1, 2016, the debt obligations of consolidated CLOs are measured on the basis of the fair value of the financial assets of the CLO and are classified as Level II financial liabilities.

Summary of quantitative inputs and assumptions used for Level III inputs

The following table summarizes the quantitative inputs and assumptions used for the Consolidated Funds’ Level III measurements as of June 30, 2016:


						Weighted
		Fair Value	Valuation Technique(s)	Unobservable Input(s)	Range	Average
Assets
Equity securities
	$	59,764	EV market multiple analysis	EBITDA multiple(2)	1.9x - 11.2x	3.7x
		32,598	Market approach (comparable companies)	Net income multiple Illiquidity discount	30.0x - 40.0x 25%	35.0x 25%
		115,440	Discounted cash flow	Discount rate	14.0%	14.0%
		50,972	Recent transaction price(1)	N/A	N/A	N/A
Fixed income securities
		139,556	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
		6,971	EV market multiple analysis	EBITDA multiple(2)	9.2x	9.2x
		70,815	Income approach	Yield	3.3% - 13.3%	9.8%
		4,359	Discounted cash flow	Discount rate	11.0% - 15.3%	13.2%
		1,759	Market approach (comparable companies)	EBITDA multiple(2)	6.5x	6.5x
		2,360	Income approach	Collection rates	1.2x	1.2x
		11,552	Income approach	Constant prepayment rate Constant default rate Recovery rate	5.0% - 10.0% 11.9% - 25.1% 0.0% - 40.0%	6.9% 14.2% 15.0%
Total assets	$	496,146
Liabilities
Derivatives instruments of Consolidated Funds		2,076	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total liabilities	$	2,076

(1)

(2)

“EBITDA” in the table above refers to earnings before interest, tax, depreciation and amortization.

The following table summarizes the quantitative inputs and assumptions used for the Consolidated Funds’ Level III measurements as of December 31, 2015:


		Fair Value	Valuation Technique(s)	Unobservable Input(s)	Range	Average
Assets
Equity securities
	$	42,887	EV market multiple analysis	EBITDA multiple(2)	1.6x - 10.4x	4.1x
		73,686	Market approach (comparable companies)	Net income multiple	10.0x - 40.0x	21.7x
		344	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
		12,891	Recent transaction price(1)	N/A	N/A	N/A
		86,902	Discounted cash flow	Discount rate	14.0%	14.0%
Fixed income securities
		22,934	EV market multiple analysis	EBITDA multiple(2)	1.6x - 11.0x	7.8x
		1,626	Market approach (comparable companies)	EBITDA multiple(2)	6.5x	6.5x
		130,131	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
		5,516	Discounted cash flow	Discount rate	11.0% - 15.3%	12.7%
		84,464	Income approach	Yield	3.3% - 13.3%	9.1%
		1,133	Income approach	Collection rates	1.2x	1.2x
		3,687	Income approach	Constant prepayment rate Constant default rate Recovery rate	5.0% - 10.0% 11.9% - 25.1% 0.0% - 40.0%	7.1% 14.6% 16.8%
Total assets	$	466,201
Liabilities
Loans payable of Consolidated Funds:
Fixed income	$	2,146,255	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
		28,097	Discounted cash flow	Discount rate Constant prepayment rate Constant default rate Recovery rate	8.0% - 10.0% 19.7% - 20.0% 2.0% 70.0% - 71.1%	8.7% 19.8% 2.0% 70.8%
Derivatives instruments of Consolidated Funds		10,307	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total liabilities	$	2,184,659

(1)

Recent transaction price consists of securities purchased or restructured. The Company determined that there has been no change to the valuation based on the underlying assumptions used at the closing of such transactions.

(2)

“EBITDA” in the table above refers to earnings before interest, tax, depreciation and amortization.

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details