FAIR VALUE

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

FAIR VALUE

5. 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 price 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 following tables summarize the financial assets and financial liabilities measured at fair value for the Company and the Consolidated Funds as of September 30, 2020:

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	$	—	$	—	$	75,614	$	—	$	75,614
Common stock and other equity securities	—		960		85,925		—		86,885
Partnership interests	—		—		2,575		1,908		4,483
Total investments, at fair value	—		960		164,114		1,908		166,982
Derivatives-foreign exchange contracts	—		2,760		—		—		2,760
Total assets, at fair value	$	—	$	3,720	$	164,114	$	1,908	$	169,742
Liabilities, at fair value
Derivatives-foreign exchange contracts	$	—	$	(284)	$	—	$	—	$	(284)
Total liabilities, at fair value	$	—	$	(284)	$	—	$	—	$	(284)

Financial Instruments of the Consolidated Funds	Level I		Level II		Level III		Total
Assets, at fair value
Investments:
Fixed income investments:
Bonds	$	—	$	331,228	$	—	$	331,228
Loans	—		9,403,316		513,881		9,917,197
Total fixed income investments	—		9,734,544		513,881		10,248,425
Equity securities	3,985		—		43,212		47,197
Partnership interests	—		—		309,234		309,234
Total investments, at fair value	3,985		9,734,544		866,327		10,604,856
Derivatives-asset swaps-other	—		—		1,857		1,857
Total assets, at fair value	$	3,985	$	9,734,544	$	868,184	$	10,606,713
Liabilities, at fair value
Derivatives-asset swaps-other	$	—	$	—	$	(3)	$	(3)
Loan obligations of CLOs	—		(9,608,127)		—		(9,608,127)
Total liabilities, at fair value	$	—	$	(9,608,127)	$	(3)	$	(9,608,130)

The following tables summarize the financial assets and financial liabilities measured at fair value for the Company and the Consolidated Funds as of December 31, 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	$	—	$	—	$	69,183	$	—	$	69,183
Common stock and other equity securities	—		1,043		14,704		—		15,747
Partnership interests	—		—		35,192		1,632		36,824
Total investments, at fair value	—		1,043		119,079		1,632		121,754
Derivatives-foreign exchange contracts	—		4,023		—		—		4,023
Total assets, at fair value	$	—	$	5,066	$	119,079	$	1,632	$	125,777
Liabilities, at fair value
Derivatives-foreign exchange contracts	$	—	$	(113)	$	—	$	—	$	(113)
Total liabilities, at fair value	$	—	$	(113)	$	—	$	—	$	(113)

Financial Instruments of the Consolidated Funds	Level I		Level II		Level III		Total
Assets, at fair value
Investments:
Fixed income investments:
Bonds	$	—	$	207,966	$	4,410	$	212,376
Loans	—		7,728,014		334,726		8,062,740
Investments in CLO warehouse	—		44,435		—		44,435
Total fixed income investments	—		7,980,415		339,136		8,319,551
Equity securities	26,396		—		85,988		112,384
Partnership interests	—		—		296,012		296,012
Total investments, at fair value	26,396		7,980,415		721,136		8,727,947
Derivatives-foreign exchange contracts	—		667		—		667
Total assets, at fair value	$	26,396	$	7,981,082	$	721,136	$	8,728,614
Liabilities, at fair value
Derivatives:
Foreign exchange contracts	$	—	$	(670)	$	—	$	(670)
Asset swaps-other	—		—		(4,106)		(4,106)
Total derivative liabilities, at fair value	—		(670)		(4,106)		(4,776)
Loan obligations of CLOs	—		(7,973,748)		—		(7,973,748)
Total liabilities, at fair value	$	—	$	(7,974,418)	$	(4,106)	$	(7,978,524)

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, 2020:

	Level III Assets
Level III Assets of the Company	Equity  Securities		Fixed Income		Partnership Interests		Total
Balance, beginning of period	$	14,704	$	67,355	$	2,575	$	84,634
Additions(1)	72,967		—		—		72,967
Purchases(2)	—		5,983		—		5,983
Sales/settlements(3)	—		(899)		—		(899)
Realized and unrealized appreciation (depreciation), net	(1,746)		3,175		—		1,429
Balance, end of period	$	85,925	$	75,614	$	2,575	$	164,114
Change in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(1,746)	$	3,175	$	—	$	1,429

Level III Net Assets of Consolidated Funds	Equity  Securities		Fixed  Income		Partnership Interests		Derivatives, Net		Total
Balance, beginning of period	$	42,259	$	586,287	$	312,636	$	1,402	$	942,584
Transfer in	—		96,671		—		—		96,671
Transfer out	—		(230,326)		—		—		(230,326)
Purchases(2)	150		118,558		—		—		118,708
Sales/settlements(3)	(25)		(73,010)		(2,000)		705		(74,330)
Amortized discounts/premiums	—		(135)		—		140		5
Realized and unrealized appreciation (depreciation), net	828		15,836		(1,402)		(393)		14,869
Balance, end of period	$	43,212	$	513,881	$	309,234	$	1,854	$	868,181
Change in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	878	$	13,690	$	(1,402)	$	(604)	$	12,562

(1)Additions relate to the net increase from consolidation of new entities.

(2)Purchases include paid-in-kind interest and securities received in connection with restructuring.

(3)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, 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
Change in net unrealized depreciation included in earnings related to financial assets still held at the reporting date	$	—	$	(1,357)	$	—	$	(1,357)

Level III Net 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
Change 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, 2020:

	Level III Assets
Level III Assets of the Company	Equity  Securities		Fixed Income		Partnership Interests		Total
Balance, beginning of period	$	14,704	$	69,183	$	35,192	$	119,079
Additions(1)	72,967		3,686		—		76,653
Purchases(2)	—		7,285		—		7,285
Sales/settlements(3)	—		(1,587)		(32,430)		(34,017)
Realized and unrealized depreciation, net	(1,746)		(2,953)		(187)		(4,886)
Balance, end of period	$	85,925	$	75,614	$	2,575	$	164,114
Change in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(1,746)	$	(1,917)	$	5,511	$	1,848

Level III Net Assets of Consolidated Funds	Equity  Securities		Fixed  Income		Partnership Interests		Derivatives, Net		Total
Balance, beginning of period	$	85,988	$	339,136	$	296,012	$	(4,106)	$	717,030
Additions, net(1)	(635)		392,672		—		—		392,037
Transfer in	—		146,839		—		—		146,839
Transfer out	—		(350,078)		—		—		(350,078)
Purchases(2)	551		256,514		64,000		—		321,065
Sales/settlements(3)	(714)		(249,027)		(58,000)		813		(306,928)
Amortized discounts/premiums	—		777		—		291		1,068
Realized and unrealized appreciation (depreciation), net	(41,978)		(22,952)		7,222		4,856		(52,852)
Balance, end of period	$	43,212	$	513,881	$	309,234	$	1,854	$	868,181
Change in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	(41,930)	$	(25,701)	$	7,222	$	4,439	$	(55,970)

(1)Additions relate to the net increase from consolidation of new funds or entities. For Consolidated Funds, additions are also offset by the deconsolidation of a fund.

(2)Purchases include paid-in-kind interest and securities received in connection with restructuring.

(3)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
Change in net unrealized appreciation included in earnings related to financial assets still held at the reporting date	$	—	$	1,121	$	—	$	1,121

Level III Net 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
Change 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.

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.

The following tables summarize the quantitative inputs and assumptions used for the Company’s and the Consolidated Funds' Level III measurements as of September 30, 2020:

Level III Measurements of the Company	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range
Assets
Equity securities	$	14,704	Transaction price(1)	N/A	N/A
	34,538		Discounted cash flow	Discount rates	14.0% - 25.0%
	36,683		Market approach	Multiple of book value	1.5x
Partnership interests	2,575		Other	N/A	N/A
Collateralized loan obligations	26,411		Broker quotes and/or 3rd party pricing services	N/A	N/A
Other fixed income	49,203		Other	N/A	N/A
Total	$	164,114

Level III Measurements of the Consolidated Funds	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range	Weighted Average
Assets
Equity securities
	$	221	Market approach	EBITDA multiple(2)	3.0x - 19.4x	14.1x
	40,848		Other	Net income multiple	32.5x	32.5x
				Illiquidity discount	25.0%	25.0%
	143		Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
	2,000		Transaction price(1)	N/A	N/A	N/A
Partnership interest	309,234		Discounted cash flow	Discount rate	15.7%	15.7%
Fixed income securities
	410,781		Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
	2,043		Market approach	EBITDA multiple(2)	7.8x	7.8x
	96,629		Income approach	Yield	2.7% - 53.4%	7.5%
	4,428		Transaction price(1)	N/A	N/A	N/A
Derivative instruments	1,857		Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total assets	$	868,184
Liabilities
Derivatives instruments	$	(3)	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total liabilities	$	(3)

(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 tables summarize the quantitative inputs and assumptions used for the Company’s and the Consolidated Funds' Level III measurements as of December 31, 2019:

Level III Measurements of the Company	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range
Assets
Equity securities	$	14,704	Transaction price(1)	N/A	N/A
Partnership interests	32,661		Transaction price(1)	N/A	N/A
	2,531		Other	N/A	N/A
Collateralized loan obligations	22,265		Broker quotes and/or 3rd party pricing services	N/A	N/A
Other fixed income	46,918		Other	N/A	N/A
Total	$	119,079

Level III Measurements of the Consolidated Funds	Fair Value		Valuation Technique(s)	Significant Unobservable Input(s)	Range	Weighted Average
Assets
Equity securities
	$	431	Market approach	EBITDA multiple(2)	8.2x - 21.3x	16.1x
	40,745		Other	Net income multiple	36.2x	36.2x
				Illiquidity discount	25.0%	25.0%
	44,812		Transaction price(1)	N/A	N/A	N/A
Partnership interests	296,012		Discounted cash flow	Discount rate	19.6%	19.6%
Fixed income securities
	271,919		Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
	67,217		Income approach	Yield	4.8% - 14.3%	9.7%
Total assets	$	721,136
Liabilities
Derivatives instruments	$	(4,106)	Broker quotes and/or 3rd party pricing services	N/A	N/A	N/A
Total liabilities	$	(4,106)

(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.

The Company has an insurance-related investment in a private fund managed by a third party that is valued using NAV per share. The terms and conditions of this fund do not allow for redemptions without certain events or approvals that are outside the Company's control. This investment had a fair value of $1.9 million and $1.6 million as of September 30, 2020 and December 31, 2019, respectively. The Company has no unfunded commitments for this investment.