XML 42 R13.htm IDEA: XBRL DOCUMENT v3.10.0.1
FAIR VALUE
 6 Months Ended
Jun. 30, 2018
Fair Value Disclosures [Abstract]  
FAIR VALUE
FAIR VALUE
Fair Value Measurements
GAAP establishes a hierarchal disclosure framework that prioritizes the inputs used in measuring financial instruments at fair value into three levels based on their market observability. Market price observability is affected by a number of factors, including the type of instrument and the characteristics specific to the instrument. Financial instruments with readily available quoted prices from an active market or for which fair value can be measured based on actively quoted prices generally have a higher degree of market price observability and a lesser degree of judgment inherent in measuring fair value.
Financial assets and liabilities measured and reported at fair value are classified as follows:
•
Level I—Quoted prices in active markets for identical instruments.
•
Level II—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in inactive markets; and model‑derived valuations with directly or indirectly observable significant inputs. Level II inputs include prices in markets with few transactions, non-current prices, prices for which little public information exists or prices that vary substantially over time or among brokered market makers. Other inputs include interest rates, yield curves, volatilities, prepayment risks, loss severities, credit risks and default rates.
•
Level III—Valuations that rely on one or more significant unobservable inputs. These inputs reflect the Company’s assessment of the assumptions that market participants would use to value the instrument based on the best information available.
In some instances, an instrument may fall into more than one level of the fair value hierarchy. In such instances, the instrument’s level within the fair value hierarchy is based on the lowest of the three levels (with Level III being the lowest) that is significant to the fair value measurement. The Company’s assessment of the significance of an input requires judgment and considers factors specific to the instrument. The Company accounts for the transfer of assets into or out of each fair value hierarchy level as of the beginning of the reporting period.
Fair Value of Financial Instruments Held by the Company and Consolidated Funds
The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and Consolidated Funds as of June 30, 2018:
Financial Instruments of the Company
 
Level I 
 
Level II 
 
Level III 
 
Investments
Measured
at NAV
 
Total 
Assets, at fair value
 
 
 
 
 
 
 
 
 
 
Investments:
 
 
 
 
 
 
 
 
 
 
Fixed income-collateralized loan obligations
 
$
—

 
$
—

 
$
22,125

 
$
—

 
$
22,125

Equity securities
 
353

 
1,026

 
—

 
—

 
1,379

Partnership interests
 
—

 
—

 
47,219

 
38,097

 
85,316

Total investments, at fair value
 
353


1,026


69,344


38,097


108,820

Derivatives—foreign exchange contracts
 
—

 
803

 
—

 
—

 
803

Total assets, at fair value
 
$
353


$
1,829


$
69,344


$
38,097


$
109,623

Liabilities, at fair value
 
 
 
 
 
 
 
 
 
 
Derivatives—foreign exchange contracts
 
$
—

 
$
(2,252
)
 
$
—

 
$
—

 
$
(2,252
)
Total liabilities, at fair value
 
$
—


$
(2,252
)

$
—


$
—


$
(2,252
)
Financial Instruments of the Consolidated Funds
 
Level I 
 
Level II 
 
Level III 
 
Total 
Assets, at fair value
 
 
 
 
 
 
 
 
Investments:
 
 
 
 
 
 
 
 
Fixed income investments:
 
 
 
 
 
 
 
 
Bonds
 
$
—

 
$
88,672

 
$
7,634

 
$
96,306

Loans
 
—

 
5,886,315

 
474,741

 
6,361,056

Collateralized loan obligations
 
—

 
26,231

 
—

 
26,231

Total fixed income investments
 
—


6,001,218


482,375


6,483,593

Equity securities
 
48,283

 
—

 
184,583

 
232,866

Partnership interests
 
—

 
—

 
251,608

 
251,608

Total investments, at fair value
 
48,283


6,001,218


918,566


6,968,067

Derivatives:
 
 
 
 
 
 
 
 
Asset swaps - other
 
—

 
—

 
953

 
953

Total assets, at fair value
 
$
48,283


$
6,001,218


$
919,519


$
6,969,020

Liabilities, at fair value
 
 
 
 
 
 
 
 
Asset swaps - other
 
$
—

 
$
—

 
$
(723
)
 
$
(723
)
Loan obligations of CLOs
 
—

 
(6,333,239
)
 
—

 
(6,333,239
)
Total liabilities, at fair value
 
$
—


$
(6,333,239
)

$
(723
)

$
(6,333,962
)

The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and Consolidated Funds as of December 31, 2017:
Financial Instruments of the Company
 
Level I 
 
Level II 
 
Level III 
 
Investments
Measured
at NAV
 
Total 
Assets, at fair value
 
 
 
 
 
 
 
 
 
 
Investments:
 
 
 
 
 
 
 
 
 
 
Fixed income-collateralized loan obligations
 
$
—

 
$
—

 
$
195,158

 
$
—

 
$
195,158

Equity securities
 
520

 
1,116

 
—

 
—

 
1,636

Partnership interests
 
—

 
—

 
44,769

 
35,998

 
80,767

Total investments, at fair value
 
520


1,116


239,927


35,998


277,561

Derivatives—foreign exchange contracts
 
—

 
498

 
—

 
—

 
498

Total assets, at fair value
 
$
520


$
1,614


$
239,927


$
35,998


$
278,059

Liabilities, at fair value
 
 

 
 

 
 

 
 

 
 

Derivatives—foreign exchange contracts
 
$
—

 
$
(2,639
)
 
$
—

 
$
—

 
$
(2,639
)
Total liabilities, at fair value
 
$
—


$
(2,639
)

$
—


$
—


$
(2,639
)

Financial Instruments of the Consolidated Funds
 
Level I
 
Level II
 
Level III
 
Total
Assets, at fair value
 
 
 
 
 
 
 
 
Investments:
 
 
 
 
 
 
 
 
Fixed income investments:
 
 
 
 
 
 
 
 
Bonds
 
$
—

 
$
82,151

 
$
7,041

 
$
89,192

Loans
 
—

 
4,755,335

 
260,848

 
5,016,183

Collateralized loan obligations
 
—

 
10,000

 
—

 
10,000

Total fixed income investments
 
—


4,847,486


267,889


5,115,375

Equity securities
 
72,558

 
—

 
162,577

 
235,135

Partnership interests
 
—

 
—

 
232,332

 
232,332

Total investments, at fair value
 
72,558


4,847,486


662,798


5,582,842

Derivatives:
 
 
 
 
 
 
 
 
Asset swaps - other
 
—

 
—

 
1,366

 
1,366

Total derivative assets, at fair value
 
—


—


1,366


1,366

Total assets, at fair value
 
$
72,558


$
4,847,486


$
664,164


$
5,584,208

Liabilities, at fair value
 
 
 
 
 
 
 
 
Asset swaps - other
 
$
—

 
$
—

 
$
(462
)
 
$
(462
)
Loan obligations of CLOs
 
—

 
(4,963,194
)
 
—

 
(4,963,194
)
Total liabilities, at fair value
 
$
—


$
(4,963,194
)

$
(462
)

$
(4,963,656
)


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, 2018:
 
 
Level III Assets
 
Level III Assets and Liabilities of the Company
 
Fixed Income
 
Partnership 
Interests
 
Total
 
Balance, beginning of period
 
$
242,984

 
$
44,769

 
$
287,753

 
Sales/settlements(2)
 
(219,744
)
 
—

 
(219,744
)
 
Realized and unrealized appreciation (depreciation), net
 
(1,115
)
 
2,450

 
1,335

 
Balance, end of period
 
$
22,125


$
47,219


$
69,344


Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets and liabilities still held at the reporting date
 
$
(100
)
 
$
2,450

 
$
2,350

 


Level III Assets of Consolidated Funds
 
Equity Securities
 
Fixed Income
 
Partnership
Interests
 
Derivatives, Net
 
Total
Balance, beginning of period
 
$
160,422

 
$
240,763

 
$
252,700

 
$
86

 
$
653,971

Transfer in
 
—

 
94,776

 
—

 
—

 
94,776

Transfer out
 
—

 
(68,328
)
 
—

 
—

 
(68,328
)
Purchases(1)
 
—

 
273,879

 
6,000

 
—

 
279,879

Sales/settlements(2)
 
—

 
(57,206
)
 
—

 
(17
)
 
(57,223
)
Amortized discounts/premiums
 
—

 
(9
)
 
—

 
(21
)
 
(30
)
Realized and unrealized appreciation (depreciation), net
 
24,161

 
(1,500
)
 
(7,092
)
 
182

 
15,751

Balance, end of period
 
$
184,583


$
482,375


$
251,608


$
230


$
918,796

Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date
 
$
(2,090
)
 
$
(3,785
)
 
$
—

 
$
134

 
$
(5,741
)
 
(1)
Purchases include paid‑in‑kind interest and securities received in connection with restructurings.
(2)
Sales/settlements 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, 2017:
 
 
Level III Assets
 
Level III Liabilities
Level III Assets and Liabilities of the Company
 
Fixed Income
 
Partnership 
Interests
 
Total
 
Contingent Considerations
Balance, beginning of period
 
$
108,253

 
$
33,410

 
$
141,663

 
$
1,909

Purchases(1)
 
60,242

 
—

 
60,242

 
—

Sales/settlements(2)
 
(3,324
)
 
—

 
(3,324
)
 
—

Realized and unrealized depreciation, net
 
(364
)
 
—

 
(364
)
 
31

Balance, end of period
 
$
164,807

 
$
33,410

 
$
198,217

 
$
1,940

Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets and liabilities still held at the reporting date
 
$
(625
)
 
$
—

 
$
(625
)
 
$
31

Level III Assets of Consolidated Funds
 
Equity Securities
 
Fixed Income
 
Partnership Interests
 
Derivatives, Net
 
Total
Balance, beginning of period
 
$
142,358

 
$
278,829

 
$
196,690

 
$
845

 
$
618,722

Transfer in
 
444

 
18,356

 
—

 
—

 
18,800

Transfer out
 
—

 
(108,757
)
 
—

 
—

 
(108,757
)
Purchases(1)
 
—

 
56,292

 
50,000

 
—

 
106,292

Sales/settlements(2)
 
—

 
(60,481
)
 
(30,000
)
 
(888
)
 
(91,369
)
Amortized discounts/premiums
 
—

 
(78
)
 
—

 
(100
)
 
(178
)
Realized and unrealized appreciation, net
 
3,472

 
3,418

 
1,050

 
2,952

 
10,892

Balance, end of period
 
$
146,274

 
$
187,579

 
$
217,740

 
$
2,809

 
$
554,402

Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date
 
$
3,472

 
$
(277
)
 
$
1,050

 
$
3,145

 
$
7,390


 

(1)
Purchases include paid‑in‑kind interest and securities received in connection with restructurings.
(2)
Sales/settlements 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, 2018:
 
 
Level III Assets
 
Level III Assets and Liabilities of the Company
 
Fixed Income
 
Partnership 
Interests
 
Total
 
Balance, beginning of period
 
$
195,158

 
$
44,769

 
$
239,927

 
Deconsolidation of fund
 
78

 
—

 
78

 
Purchases(1)
 
48,731

 
—

 
48,731

 
Sales/settlements(2)
 
(220,571
)
 
—

 
(220,571
)
 
Realized and unrealized appreciation (depreciation), net
 
(1,271
)
 
2,450

 
1,179

 
Balance, end of period
 
$
22,125

 
$
47,219

 
$
69,344

 
Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets and liabilities still held at the reporting date
 
$
(829
)
 
$
2,450

 
$
1,621

 


Level III Assets of Consolidated Funds
 
Equity Securities
 
Fixed Income
 
Partnership
Interests
 
Derivatives, Net
 
Total
Balance, beginning of period
 
$
162,577

 
$
267,889

 
$
232,332

 
$
904

 
$
663,702

Deconsolidation of fund
 


 
(233
)
 


 


 
(233
)
Transfer in
 
—

 
95,450

 
—

 
—

 
95,450

Transfer out
 
—

 
(73,777
)
 
—

 
—

 
(73,777
)
Purchases(1)
 
—

 
313,462

 
16,000

 
—

 
329,462

Sales/settlements(2)
 
—

 
(117,503
)
 
—

 
(194
)
 
(117,697
)
Amortized discounts/premiums
 
—

 
35

 
—

 
(14
)
 
21

Realized and unrealized appreciation (depreciation), net
 
22,006

 
(2,948
)
 
3,276

 
(466
)
 
21,868

Balance, end of period
 
$
184,583

 
$
482,375

 
$
251,608

 
$
230

 
$
918,796

Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date
 
$
(12,211
)
 
$
(1,671
)
 
$
3,276

 
$
(566
)
 
$
(11,172
)
 
(1)
Purchases include paid‑in‑kind interest and securities received in connection with restructurings.
(2)
Sales/settlements 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, 2017:
 
 
Level III Assets
 
Level III Liabilities
Level III Assets and Liabilities of the Company
 
Fixed Income
 
Partnership 
Interests
 
Total
 
Contingent Considerations
Balance, beginning of period
 
$
89,111

 
$
33,410

 
$
122,521

 
$
22,156

Purchases(1)
 
80,684

 
169

 
80,853

 
—

Sales/settlements(2)
 
(5,241
)
 
—

 
(5,241
)
 
—

Realized and unrealized appreciation (depreciation), net
 
253

 
(169
)
 
84

 
(20,216
)
Balance, end of period
 
$
164,807

 
$
33,410

 
$
198,217

 
$
1,940

Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets and liabilities still held at the reporting date
 
$
(155
)
 
$
—

 
$
(155
)
 
$
61


Level III Assets of Consolidated Funds
 
Equity Securities
 
Fixed Income
 
Partnership Interests
 
Derivatives, Net
 
Total
Balance, beginning of period
 
$
130,690

 
$
242,253

 
$
171,696

 
$
(2,708
)
 
$
541,931

Transfer in
 
—

 
34,182

 
—

 
—

 
34,182

Transfer out
 
(6,160
)
 
(108,806
)
 
—

 
—

 
(114,966
)
Purchases(1)
 
6,692

 
93,111

 
73,000

 
—

 
172,803

Sales/settlements(2)
 
—

 
(76,714
)
 
(30,000
)
 
1,966

 
(104,748
)
Amortized discounts/premiums
 
—

 
46

 
—

 
216

 
262

Realized and unrealized appreciation, net
 
15,052

 
3,507

 
3,044

 
3,335

 
24,938

Balance, end of period
 
$
146,274

 
$
187,579

 
$
217,740

 
$
2,809

 
$
554,402

Increase (decrease) in unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date
 
$
15,749

 
$
(785
)
 
$
3,044

 
$
3,914

 
$
21,922

 
(1)
Purchases include paid‑in‑kind interest and securities received in connection with restructurings.
(2)
Sales/settlements include distributions, principal redemptions and securities disposed of in connection with restructurings.

The Company recognizes transfers between the levels as of the beginning of the period. Transfers out of Level III were generally attributable to certain investments that experienced a more significant level of market activity during the period and thus were valued using observable inputs either from independent pricing services or multiple brokers. Transfers into Level III were generally attributable to certain investments that experienced a less significant level of market activity during the period and thus were only able to obtain one or fewer quotes from a broker or independent pricing service. For the six months ended June 30, 2018, there were no transfers between Level I and Level II fair value measurements.
The following table summarizes the quantitative inputs and assumptions used for the Company’s Level III measurements as of June 30, 2018:
 
Fair Value
 
Valuation Technique(s)
 
Significant Unobservable Input(s)
 
Range
Assets
 
 
 
 
 
 
 
Partnership interests
$
47,219

 
Other
 
N/A
 
N/A
Collateralized loan obligations
22,125

 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
Total
$
69,344

 
 
 
 
 
 

The following table summarizes the quantitative inputs and assumptions used for the Company’s Level III measurements as of December 31, 2017:
 
Fair Value 
 
Valuation Technique(s) 
 
Significant Unobservable Input(s)
 
Range
Assets
 
 
 
 
 
 
 
Partnership interests
$
44,769

 
Other
 
N/A
 
N/A
Collateralized loan obligations
195,158

 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
Total
$
239,927

 
 
 
 
 
 

The following table summarizes the quantitative inputs and assumptions used for the Consolidated Funds’ Level III measurements as of June 30, 2018:
 
Fair Value
 
Valuation Technique(s)
 
Significant Unobservable Input(s)
 
Range
 
Weighted
Average
Assets
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
$
51,010

 
Enterprise value market multiple analysis
 
EBITDA multiple(2)
 
7.7x
 
7.7
 
44,637

 
Market approach (comparable companies)
 
Net income multiple
 
51.8x
 
51.8
 


 

 
Illiquidity discount
 
25.0%
 
25.0%
 
60

 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
 
N/A
 
88,876

 
Transaction price(1)
 
N/A
 
N/A
 
N/A
Partnership interest
251,608

 
Discounted cash flow
 
Discount rate
 
17.0%
 
17.0%
Fixed income securities
 
 
 
 
 
 
 
 
 
 
434,397

 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
 
N/A
 
47,978

 
Income approach
 
Yield
 
7.8% - 15.2%
 
11.3%
Derivative instruments
953

 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
 
N/A
Total assets
$
919,519

 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Derivatives instruments
$
(723
)
 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
 
N/A
Total liabilities
$
(723
)
 
 
 
 
 
 
 
 
 
(1)
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.
(2)
“EBITDA” in the table above is a non-GAAP financial measure and 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, 2017:
 
Fair Value 
 
Valuation Technique(s) 
 
Significant Unobservable Input(s) 
 
Range
 
Weighted
Average
Assets
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
$
63,155

 
Enterprise value market multiple analysis
 
EBITDA multiple
 
2.7x
 
2.7x
 
61,215

 
Market approach (comparable companies)
 
Net income multiple
Illiquidity discount
 
27.0x - 36.2x
25.0%
 
33.7x
25.0%
 
126

 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
 
N/A
 
38,081

 
Transaction price(1)
 
N/A
 
N/A
 
N/A
Partnership interest
232,332

 
Discounted cash flow
 
Discount rate
 
19.0%
 
19.0%
Fixed income securities
 
 
 
 
 
 
 
 
 
 
222,413

 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
 
N/A
 
45,243

 
Income approach
 
Yield
 
10.8% - 22.5%
 
12.1%
 
233

 
Market approach (comparable companies)
 
EBITDA multiple
 
6.5x
 
6.5x
Derivative instruments
1,366

 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
 
N/A
Total assets
$
664,164

 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Derivatives instruments
$
(462
)
 
Broker quotes and/or 3rd party pricing services
 
N/A
 
N/A
 
N/A
Total liabilities
$
(462
)
 
 
 
 
 
 
 
 
 
(1)
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.



The Company's investments valued using net asset value (“NAV”) per share have terms and conditions that do not allow for redemption without certain events or approvals that are outside the Company's control. A summary of fair value by segment and the remaining unfunded commitments are presented below:
 
 
As of June 30, 2018
 
As of December 31, 2017
 
 
Fair Value 
 
Unfunded 
Commitments
 
Fair Value
 
Unfunded 
Commitments
Non-core investments(1)
 
$
38,097

 
$
16,286

 
$
35,998

 
$
16,492

Total
 
$
38,097


$
16,286


$
35,998


$
16,492

 

(1) Non-core investments are reported within OMG.