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FAIR VALUE

3 Months Ended

Mar. 31, 2023

5. FAIR VALUE

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 March 31, 2023:


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	$	—	$	—	$	75,169	$	—	$	75,169
Common stock and other equity securities	—		78,326		125,073		—		203,399
Partnership interests	—		—		—		1,385		1,385
Total investments, at fair value	—		78,326		200,242		1,385		279,953
Derivatives-foreign currency forward contracts	—		3,151		—		—		3,151
Total assets, at fair value	$	—	$	81,477	$	200,242	$	1,385	$	283,104
Liabilities, at fair value
Derivatives-foreign currency forward contracts	$	—	$	(2,266)	$	—	$	—	$	(2,266)

Total liabilities, at fair value	$	—	$	(2,266)	$	—	$	—	$	(2,266)


Financial Instruments of the Consolidated Funds	Level I		Level II		Level III		Investments Measured at NAV		Total
Assets, at fair value
Investments:
Fixed income investments:
Bonds	$	—	$	559,547	$	3,728	$	—	$	563,275
Loans	—		8,847,972		668,776		—		9,516,748
Investments held in trust account	484,901		—		—		—		484,901
Collateralized loan obligations	—		21,800		60,300		—		82,100
Total fixed income investments	484,901		9,429,319		732,804		—		10,647,024
Equity securities	661		—		932,635		—		933,296
Partnership interests	—		—		374,049		1,171,783		1,545,832
Total investments, at fair value	485,562		9,429,319		2,039,488		1,171,783		13,126,152

Derivatives-foreign currency forward contracts	—		2,440		—		—		2,440


Total assets, at fair value	$	485,562	$	9,431,759	$	2,039,488	$	1,171,783	$	13,128,592
Liabilities, at fair value
Derivatives:
Warrants	$	(17,600)	$	—	$	—	$	—	$	(17,600)
Foreign currency forward contracts	—		(2,414)		—		—		(2,414)
Asset swaps	—		—		(1,698)		—		(1,698)
Total derivative liabilities, at fair value	(17,600)		(2,414)		(1,698)		—		(21,712)
Loan obligations of CLOs	—		(10,918,007)		—		—		(10,918,007)
Total liabilities, at fair value	$	(17,600)	$	(10,920,421)	$	(1,698)	$	—	$	(10,939,719)

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, 2022:


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	$	—	$	—	$	76,934	$	—	$	76,934
Common stock and other equity securities	—		77,022		121,785		—		198,807
Partnership interests	—		—		—		1,385		1,385
Total investments, at fair value	—		77,022		198,719		1,385		277,126
Derivatives-foreign currency forward contracts	—		4,173		—		—		4,173
Total assets, at fair value	$	—	$	81,195	$	198,719	$	1,385	$	281,299
Liabilities, at fair value
Derivatives-foreign currency forward contracts	$	—	$	(3,423)	$	—	$	—	$	(3,423)

Total liabilities, at fair value	$	—	$	(3,423)	$	—	$	—	$	(3,423)


Financial Instruments of the Consolidated Funds	Level I		Level II		Level III		Investments Measured at NAV		Total
Assets, at fair value
Investments:
Fixed income investments:
Bonds	$	—	$	534,137	$	252,824	$	—	$	786,961
Loans	—		8,663,678		616,844		—		9,280,522
Investments held in trust account	1,013,382		—		—		—		1,013,382
Total fixed income investments	1,013,382		9,197,815		869,668		—		11,080,865
Equity securities	719		—		730,880		—		731,599
Partnership interests	—		—		368,655		1,023,514		1,392,169
Total investments, at fair value	1,014,101		9,197,815		1,969,203		1,023,514		13,204,633

Derivatives-foreign currency forward contracts	—		2,900		—		—		2,900


Total assets, at fair value	$	1,014,101	$	9,200,715	$	1,969,203	$	1,023,514	$	13,207,533
Liabilities, at fair value
Derivatives:
Warrants	$	(9,326)	$	—	$	—	$	—	$	(9,326)
Foreign currency forward contracts	—		(2,942)		—		—		(2,942)
Asset swaps	—		—		(3,556)		—		(3,556)
Total derivative liabilities, at fair value	(9,326)		(2,942)		(3,556)		—		(15,824)
Loan obligations of CLOs	—		(10,701,720)		—		—		(10,701,720)
Total liabilities, at fair value	$	(9,326)	$	(10,704,662)	$	(3,556)	$	—	$	(10,717,544)

The following tables set forth a summary of changes in the fair value of the Level III measurements for the three months ended March 31, 2023:



Level III Assets of the Company	Equity Securities		Fixed Income		Total
Balance, beginning of period	$	121,785	$	76,934	$	198,719


Purchases(1)	52		1,194		1,246
Sales/settlements(2)	45		(1,536)		(1,491)

Realized and unrealized appreciation (depreciation), net	3,191		(1,423)		1,768
Balance, end of period	$	125,073	$	75,169	$	200,242
Change in net unrealized appreciation/depreciation and fair value included in earnings related to financial assets still held at the reporting date	$	2,978	$	(1,211)	$	1,767


Level III Net Assets of Consolidated Funds	Equity Securities		Fixed Income		Partnership Interests		Derivatives, Net		Total
Balance, beginning of period	$	730,880	$	869,668	$	368,655	$	(3,556)	$	1,965,647

Transfer in	—		284,198		—		—		284,198
Transfer out	—		(447,536)		—		—		(447,536)
Purchases(1)	180,372		188,232		49,000		—		417,604
Sales/settlements(2)	(122)		(173,502)		(48,889)		—		(222,513)
Amortized discounts/premiums	—		749		—		—		749
Realized and unrealized appreciation, net	21,505		10,995		5,283		1,858		39,641
Balance, end of period	$	932,635	$	732,804	$	374,049	$	(1,698)	$	2,037,790
Change in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	21,436	$	(20,602)	$	5,283	$	1,848	$	7,965

(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 March 31, 2022:



Level III Assets and Liabilities of the Company	Equity Securities		Fixed Income		Partnership Interests		Contingent Consideration		Total
Balance, beginning of period	$	108,949	$	52,397	$	2,575	$	(57,435)	$	106,486
Transfer in due to changes in consolidation	1,491		—		—		—		1,491


Sales/settlements(1)	(213)		(885)		—		47,873		46,775
Change in fair value	—		—		—		(988)		(988)
Realized and unrealized appreciation (depreciation), net	4,272		(54)		—		—		4,218
Balance, end of period	$	114,499	$	51,458	$	2,575	$	(10,550)	$	157,982
Change in net unrealized appreciation/depreciation included in earnings related to financial assets and liabilities still held at the reporting date	$	4,272	$	(54)	$	—	$	(988)	$	3,230


Level III Net Assets of Consolidated Funds	Equity Securities		Fixed Income		Partnership Interests		Derivatives, Net		Total
Balance, beginning of period	$	339,183	$	742,952	$	238,673	$	(3,105)	$	1,317,703

Transfer in	—		171,945		—		—		171,945
Transfer out	—		(90,417)		—		—		(90,417)
Purchases(2)	7,320		143,577		24,000		—		174,897
Sales/settlements(1)	(10,189)		(97,975)		(21,500)		(2)		(129,666)
Amortized discounts/premiums	—		654		—		—		654
Realized and unrealized appreciation (depreciation), net	14,826		(11,435)		(50)		(55)		3,286
Balance, end of period	$	351,140	$	859,301	$	241,123	$	(3,162)	$	1,448,402
Change in net unrealized appreciation/depreciation included in earnings related to financial assets still held at the reporting date	$	20	$	(9,031)	$	(50)	$	(112)	$	(9,173)

(1)Sales/settlements include distributions, principal redemptions, securities disposed of in connection with restructurings and contingent consideration payments.

(2)Purchases include paid-in-kind interest and securities received 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 March 31, 2023:

Level III Measurements of the Company

Fair Value

Valuation Technique(s)

Significant Unobservable Input(s)

Range

Weighted Average

Assets

Equity securities

61,934

Market approach

Multiple of book value

3.0x

47,643

Market approach

Multiple of book value

1.3x

15,496

Transaction price(1)

N/A

Collateralized loan obligations

22,653

Broker quotes and/or 3rd party pricing services

N/A

Other fixed income

30,934

Transaction price(1)

N/A

21,582

Other

N/A

Total assets

200,242

Level III Measurements of the Consolidated Funds

Fair Value

Valuation Technique(s)

Significant Unobservable Input(s)

Range

Weighted Average

Assets

Equity securities

534,676

Discounted cash flow

Discount rate

8.0% - 18.0%

12.0%

360,533

Market approach

Multiple of book value

1.0x - 1.2x

1.2x

34,621

Market approach

Net income multiple

30.0x

2,156

Market approach

EBITDA multiple(2)

6.3x - 38.5x

17.1x

649

Other

N/A

Partnership interest

374,049

Discounted cash flow

Discount rate

11.2% - 23.7%

22.0%

Fixed income investments

636,026

Broker quotes and/or 3rd party pricing services

N/A

91,030

Market approach

Yield

0.8% - 44.7%

13.2%

3,331

Market approach

EBITDA multiple

0.1x - 9.0x

8.7x

2,417

Other

N/A

Total assets

2,039,488

Liabilities

Derivative instruments

(1,698)

Broker quotes and/or 3rd party pricing services

N/A

Total liabilities

(1,698)

(1)Transaction price consists of securities 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, 2022:

Level III Measurements of the Company

Fair Value

Valuation Technique(s)

Significant Unobservable Input(s)

Range

Weighted Average

Assets

Equity securities

62,129

Market approach

Multiple of book value

3.2x

44,166

Market approach

Multiple of book value

1.3x

15,490

Transaction price(1)

N/A

Collateralized loan obligations

25,163

Broker quotes and/or 3rd party pricing services

N/A

Other fixed income

30,189

Transaction price(1)

N/A

21,582

Other

N/A

Total assets

198,719

Level III Measurements of the Consolidated Funds

Fair Value

Valuation Technique(s)

Significant Unobservable Input(s)

Range

Weighted Average

Assets

Equity securities

401,229

Discounted cash flow

Discount rate

8.0% - 18.0%

12.0%

290,258

Market approach

Multiple of book value

1.0x - 1.2x

1.2x

36,681

Market approach

Net income multiple

30.0x

2,064

Market approach

EBITDA multiple(2)

6.3x - 31.0x

13.6x

648

Other

N/A

Partnership interests

368,655

Discounted cash flow

Discount rate

10.3% - 22.0%

18.9%

Fixed income investments

731,708

Broker quotes and/or 3rd party pricing services

N/A

125,612

Market approach

Yield

6.6% - 21.7%

12.8%

6,155

Transaction price

N/A

4,479

Market approach

EBITDA multiple

8.0x - 9.0x

8.5x

1,714

Other

N/A

Total assets

1,969,203

Liabilities

Derivative instruments

(3,556)

Broker quotes and/or 3rd party pricing services

N/A

Total liabilities

(3,556)

(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 $1.4 million as of March 31, 2023 and December 31, 2022. The Company has no unfunded commitments for this investment.

The Consolidated Funds have limited partnership interests in private equity funds managed by the Company that are valued using NAV per share. The terms and conditions of these funds do not allow for redemptions without certain events or approvals that are outside the Company’s control. As of March 31, 2023, these investments had a fair value of $1,171.8 million and unfunded commitments of $1,025.3 million. As of December 31, 2022, these investments had a fair value of $1,023.5 million and unfunded commitments of $869.0 million.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details