FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

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 the Consolidated Funds as of September 30, 2019:

Financial Instruments of the Company	Level I		Level II			Level III		Investments Measured at NAV		Total
Assets, at fair value
Investments:
Collateralized loan obligations and other fixed income	$	—	$	—		$	82,513	$	—	$	82,513
Common stock and other equity securities	128		1,035			12,397		—		13,560
Partnership interests	—		—			35,192		1,573		36,765
Total investments, at fair value	128		1,035			130,102		1,573		132,838
Derivatives—foreign exchange contracts	—		4,201			—		—		4,201
Total assets, at fair value	$	128	$	5,236		$	130,102	$	1,573	$	137,039
Liabilities, at fair value
Derivatives—foreign exchange contracts	$	—	$	(163	)	$	—	$	—	$	(163	)
Total liabilities, at fair value	$	—	$	(163	)	$	—	$	—	$	(163	)

Financial Instruments of the Consolidated Funds	Level I		Level II			Level III			Total
Assets, at fair value
Investments:
Fixed income investments:
Bonds	$	—	$	197,204		$	8,523		$	205,727
Loans	—		7,337,934			276,637			7,614,571
Total fixed income investments	—		7,535,138			285,160			7,820,298
Equity securities	37,185		—			114,841			152,026
Partnership interests	—		—			299,157			299,157
Total investments, at fair value	37,185		7,535,138			699,158			8,271,481
Derivatives:
Foreign exchange contracts	—		1,042			—			1,042
Asset swaps - other	—		—			236			236
Total assets, at fair value	$	37,185	$	7,536,180		$	699,394		$	8,272,759
Liabilities, at fair value
Foreign exchange contracts	$	—	$	(1,025	)	$	—		$	(1,025	)
Asset swaps - other	—		—			(2,788		)	(2,788		)
Loan obligations of CLOs	—		(7,407,720		)	—			(7,407,720		)
Total liabilities, at fair value	$	—	$	(7,408,745	)	$	(2,788	)	$	(7,411,533	)

The tables below summarize the financial assets and financial liabilities measured at fair value for the Company and the Consolidated Funds as of December 31, 2018:

Financial Instruments of the Company	Level I		Level II			Level III		Investments Measured at NAV		Total
Assets, at fair value
Investments:
Collateralized loan obligations and other fixed income	$	—	$	—		$	60,824	$	—	$	60,824
Common stock and other equity securities	280		1,004			10,397		—		11,681
Partnership interests	—		—			35,192		861		36,053
Total investments, at fair value	280		1,004			106,413		861		108,558
Derivatives-foreign exchange contracts	—		1,066			—		—		1,066
Total assets, at fair value	$	280	$	2,070		$	106,413	$	861	$	109,624
Liabilities, at fair value
Derivatives—foreign exchange contracts	$	—	$	(869	)	$	—	$	—	$	(869	)
Total liabilities, at fair value	$	—	$	(869	)	$	—	$	—	$	(869	)

Financial Instruments of the Consolidated Funds	Level I		Level II			Level III			Total
Assets, at fair value
Investments:
Fixed income investments:
Bonds	$	—	$	316,850		$	1,649		$	318,499
Loans	—		6,340,440			546,309			6,886,749
Total fixed income investments	—		6,657,290			547,958			7,205,248
Equity securities	45,718		—			150,752			196,470
Partnership interests	—		—			271,447			271,447
Total investments, at fair value	45,718		6,657,290			970,157			7,673,165
Derivatives:
Foreign exchange contracts	—		1,881			—			1,881
Asset swaps - other	—		—			1,328			1,328
Total derivative assets, at fair value	—		1,881			1,328			3,209
Total assets, at fair value	$	45,718	$	6,659,171		$	971,485		$	7,676,374
Liabilities, at fair value
Foreign exchange contracts	$	—	$	(1,864	)	$	—		(1,864		)
Asset swaps - other	—		—			(648		)	(648		)
Loan obligations of CLOs	—		(6,678,091		)	—			(6,678,091		)
Total liabilities, at fair value	$	—	$	(6,679,955	)	$	(648	)	$	(6,680,603	)

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 September 30, 2019:

	Level III Assets
Level III Assets of the Company	Equity  Securities		Fixed Income			Partnership  Interests		Total
Balance, beginning of period	$	12,397	$	64,051		$	35,192	$	111,640
Purchases(1)	—		25,010			—		25,010
Sales/settlements(2)	—		(5,243		)	—		(5,243		)
Realized and unrealized depreciation, net	—		(1,305		)	—		(1,305		)
Balance, end of period	$	12,397	$	82,513		$	35,192	$	130,102
Increase in net unrealized depreciation included in earnings related to financial assets still held at the reporting date	$	—	$	(1,357	)	$	—	$	(1,357	)

Level III Assets of Consolidated Funds	Equity  Securities			Fixed  Income			Partnership Interests			Derivatives, Net			Total
Balance, beginning of period	$	131,732		$	274,412		$	293,857		$	58		$	700,059
Transfer in	—			122,554			—			—			122,554
Transfer out	—			(103,148		)	—			—			(103,148		)
Purchases(1)	710			95,011			2,000			—			97,721
Sales/settlements(2)	(13,597		)	(102,198		)	(5,000		)	(1,848		)	(122,643		)
Amortized discounts/premiums	—			107			—			(17		)	90
Realized and unrealized appreciation (depreciation), net	(4,004		)	(1,578		)	8,300			(745		)	1,973
Balance, end of period	$	114,841		$	285,160		$	299,157		$	(2,552	)	$	696,606
Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(3,582	)	$	(765	)	$	8,300		$	(1,023	)	$	2,930

(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 nine months ended September 30, 2019:

	Level III Assets
Level III Assets of the Company	Equity  Securities		Fixed Income			Partnership  Interests		Total
Balance, beginning of period	$	10,397	$	60,824		$	35,192	$	106,413
Deconsolidation of fund	—		10,021			—		10,021
Purchases(1)	2,000		27,157			—		29,157
Sales/settlements(2)	—		(16,413		)	—		(16,413		)
Realized and unrealized appreciation, net	—		924			—		924
Balance, end of period	$	12,397	$	82,513		$	35,192	$	130,102
Increase in net unrealized appreciation included in earnings related to financial assets still held at the reporting date	$	—	$	1,121		$	—	$	1,121

Level III Assets of Consolidated Funds	Equity  Securities			Fixed  Income			Partnership Interests			Derivatives, Net			Total
Balance, beginning of period	$	150,752		$	547,958		$	271,447		$	680		$	970,837
Deconsolidation of fund	(10,325		)	(174,593		)	—			—			(184,918		)
Transfer in	—			85,179			—			—			85,179
Transfer out	—			(199,498		)	—			—			(199,498		)
Purchases(1)	11,595			282,190			10,000			—			303,785
Sales/settlements(2)	(18,734		)	(260,422		)	(7,000		)	(2,424		)	(288,580		)
Amortized discounts/premiums	—			17			—			4			21
Realized and unrealized appreciation (depreciation), net	(18,447		)	4,329			24,710			(812		)	9,780
Balance, end of period	$	114,841		$	285,160		$	299,157		$	(2,552	)	$	696,606
Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(18,018	)	$	1,017		$	24,710		$	(1,031	)	$	6,678

(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 September 30, 2018:

	Level III Assets
Level III Assets of the Company	Equity  Securities		Fixed Income			Partnership  Interests			Total
Balance, beginning of period	$	—	$	22,125		$	47,219		$	69,344
Transfer in	500		—			—			500
Purchases(1)	750		2,314			—			3,064
Sales/settlements(2)	—		(1,976		)	—			(1,976		)
Realized and unrealized appreciation (depreciation), net	9,147		185			(5,390		)	3,942
Balance, end of period	$	10,397	$	22,648		$	41,829		$	74,874
Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	9,147	$	220		$	(5,390	)	$	3,977

Level III Assets of Consolidated Funds	Equity  Securities			Fixed  Income			Partnership Interests		Derivatives, Net			Total
Balance, beginning of period	$	184,583		$	482,375		$	251,608	$	230		$	918,796
Transfer in	—			118,624			—		124			118,748
Transfer out	—			(264,659		)	—		—			(264,659		)
Purchases(1)	—			124,784			9,000		—			133,784
Sales/settlements(2)	—			(78,395		)	—		799			(77,596		)
Amortized discounts/premiums	—			(46		)	—		4			(42		)
Realized and unrealized appreciation (depreciation), net	(4,224		)	1,350			9,174		(336		)	5,964
Balance, end of period	$	180,359		$	384,033		$	269,782	$	821		$	834,995
Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(13,164	)	$	3,468		$	—	$	125		$	(9,571	)

(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 nine months ended September 30, 2018:

	Level III Assets
Level III Assets of the Company	Equity  Securities		Fixed Income			Partnership  Interests			Total
Balance, beginning of period	$	—	$	195,158		$	44,769		$	239,927
Deconsolidation of fund	—		78			—			78
Transfer in	250								250
Purchases(1)	1,000		51,045			—			52,045
Sales/settlements(2)	—		(222,546		)	—			(222,546		)
Realized and unrealized appreciation (depreciation), net	9,147		(1,087		)	(2,940		)	5,120
Balance, end of period	$	10,397	$	22,648		$	41,829		$	74,874
Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	9,147	$	(648	)	$	(2,940	)	$	5,559

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	—		68,665			—		—			68,665
Transfer out	—		(49,463		)	—		—			(49,463		)
Purchases(1)	—		262,278			25,000		—			287,278
Sales/settlements(2)	—		(163,559		)	—		606			(162,953		)
Amortized discounts/premiums	—		(62		)	—		(10		)	(72		)
Realized and unrealized appreciation (depreciation), net	17,782		(1,482		)	12,450		(679		)	28,071
Balance, end of period	$	180,359	$	384,033		$	269,782	$	821		$	834,995
Increase (decrease) in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	17,782	$	593		$	12,450	$	(863	)	$	29,962

(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.

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 and the Consolidated Funds' Level III measurements as of September 30, 2019:

Level III Measurements of the Company	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range
Assets
Equity securities	$	12,397	Transaction price(1)	N/A	N/A
Partnership interests	35,192		Discounted cash flow	Discount rate	8.0%
Collateralized loan obligations	23,417		Broker quotes and/or 3rd party pricing services	N/A	N/A
Other fixed income	59,096		Other	N/A	N/A
Total	$	130,102

Level III Measurements of the Consolidated Funds	Fair Value			Valuation Technique(s)	Significant Unobservable Input(s)	Range	Weighted Average
Assets
Equity securities
	$	719		Enterprise value market multiple analysis	EBITDA multiple(2)	9.0x - 21.0x	14.6x
	71,056			Other	Net income multiple	35.7x - 39.0x	37.1x
					Illiquidity discount	25.0%	25.0%
	43,066			Transaction price(1)	N/A	N/A	N/A
Partnership interest	299,157			Discounted cash flow	Discount rate	20.7%	20.7%
Fixed income securities
	210,969			Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
	74,191			Income approach	Yield	4.9% - 13.1%	9.7%
Derivative instruments	236			Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total assets	$	699,394
Liabilities
Derivatives instruments	$	(2,788	)	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total liabilities	$	(2,788	)

(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 Company’s and the Consolidated Funds' Level III measurements as of December 31, 2018:

Level III Measurements of the Company	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range
Assets
Equity securities	$	10,397	Transaction price(1)	N/A	N/A
Partnership interests	35,192		Discounted cash flow	Discount rate	8.0%
Collateralized loan obligations	20,824		Broker quotes and/or 3rd party pricing services	N/A	N/A
Other fixed income	40,000		Other	N/A	N/A
Total	$	106,413

Level III Measurements of the Consolidated Funds	Fair Value			Valuation Technique(s)	Significant Unobservable Input(s)	Range	Weighted Average
Assets
Equity securities
	$	23,871		Enterprise value market multiple analysis	EBITDA multiple(2)	7.2x - 22.9x	7.7x
	41,562			Other	Net income multiple	38.8x	38.8x
					Illiquidity discount	25.0%	25.0%
	271,447			Discounted cash flow	Discount rate	20.8%	20.8%
	85,319			Transaction price(1)	N/A	N/A	N/A
Fixed income securities
	441,368			Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
	106,590			Income approach	Yield	1.0% - 14.8%	9.6%
Derivative instruments	1,328			Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total assets	$	971,485
Liabilities
Derivatives instruments	$	(648	)	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total liabilities	$	(648	)

(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.

(2) “EBITDA” in the table above is a non-GAAP financial measure and refers to earnings before interest, tax, depreciation and amortization.