DERIVATIVES AND HEDGING (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Net Forward Currency Sell Contracts Under Freestanding Derivatives

The fair value of foreign-currency forward sell contracts consisted of the following:

As of September 30, 2017	Contract  Amount in Local Currency	Contract  Amount in U.S. Dollars		Market  Value in U.S. Dollars		Net Unrealized Appreciation (Depreciation)
Euro, expiring 10/6/17-9/28/18	270,200	$	304,831	$	322,771	$	(17,940	)
USD (buy GBP), expiring 11/30/17-9/28/18	84,234	84,234		80,339		3,895
CHF, expiring 12/29/17	5,300	5,418		5,504		(86		)
Japanese Yen, expiring 11/30/17-9/28/18	6,545,000	58,937		58,726		211
Total		$	453,420	$	467,340	$	(13,920	)
As of December 31, 2016
Euro, expiring 1/9/17-12/29/17	242,100	$	271,848	$	257,652	$	14,196
USD (buy GBP), expiring 1/31/17-12/29/17	72,565	72,565		78,143		(5,578		)
Japanese Yen, expiring 1/31/17-2/28/17	6,150,000	52,511		52,792		(281		)
Total		$	396,924	$	388,587	$	8,337

Summary of Impact of Freestanding Derivative Instruments on Condensed Consolidated Statement of Operations

The impact of derivatives held by the consolidated funds in the condensed consolidated statements of operations was as follows:

	Three Months Ended September 30,
	2017						2016
	Net Realized Gain (Loss) on Investments			Net Change in Unrealized Appreciation (Depreciation) on Investments			Net Realized Gain (Loss) on Investments			Net Change in Unrealized Appreciation (Depreciation) on Investments
Foreign-currency forward contracts	$	(555	)	$	200		$	368		$	(465	)
Total-return and interest-rate swaps	70			(185		)	(2,395		)	683
Options and futures	38			40			(676		)	76
Total	$	(447	)	$	55		$	(2,703	)	$	294

	Nine Months Ended September 30,
	2017						2016
	Net Realized Gain (Loss) on Investments			Net Change in Unrealized Appreciation (Depreciation) on Investments			Net Realized Gain (Loss) on Investments			Net Change in Unrealized Appreciation (Depreciation) on Investments
Foreign-currency forward contracts	$	(945	)	$	(210	)	$	(132	)	$	(8	)
Total-return and interest-rate swaps	(1,398		)	813			(3,285		)	(713		)
Options and futures	(1,977		)	306			(1,525		)	(7		)
Total	$	(4,320	)	$	909		$	(4,942	)	$	(728	)

Realized and unrealized gains and losses arising from freestanding derivative instruments were recorded in the condensed consolidated statements of operations as follows:

	Three Months Ended September 30,						Nine Months Ended September 30,
Foreign-currency Forward Contracts	2017			2016			2017			2016
Investment income	$	(4,141	)	$	(802	)	$	(13,469	)	$	(3,173	)
General and administrative expense (1)	(3,111		)	(5,284		)	(12,062		)	(23,396		)
Total	$	(7,252	)	$	(6,086	)	$	(25,531	)	$	(26,569	)

(1) To the extent that the Company’s freestanding derivatives are utilized to hedge its foreign-currency exposure to investment income and management fees earned from consolidated funds, the related hedged items are eliminated in consolidation, with the derivative impact (a positive number reflects a reduction in expenses) reflected in consolidated general and administrative expense.

Balance Sheet Offsetting Assets

The table below sets forth the setoff rights and related arrangements associated with derivatives held by the Company. The “gross amounts not offset in statements of financial condition” columns represent derivatives that management has elected not to offset in the consolidated statements of financial condition even though they are eligible to be offset in accordance with applicable accounting guidance.

	Gross and Net Amounts of Assets (Liabilities) Presented			Gross Amounts Not Offset in Statements of Financial Condition						Net Amount
As of September 30, 2017				Derivative Assets (Liabilities)			Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	4,391		$	4,391		$	—		$	—
Derivative assets of consolidated funds:
Foreign-currency forward contracts	146			133			—			13
Total-return and interest-rate swaps	159			9			—			150
Options and futures	7			3			—			4
Subtotal	312			145			—			167
Total	$	4,703		$	4,536		$	—		$	167
Derivative Liabilities:
Foreign-currency forward contracts	$	(18,311	)	$	(4,391	)	$	—		$	(13,920	)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(299		)	(133		)	—			(166		)
Total-return and interest-rate swaps	(9		)	(9		)	—			—
Options and futures	(29		)	(3		)	(26		)	—
Subtotal	(337		)	(145		)	(26		)	(166		)
Total	$	(18,648	)	$	(4,536	)	$	(26	)	$	(14,086	)

	Gross and Net Amounts of Assets (Liabilities) Presented			Gross Amounts Not Offset in Statements of Financial Condition						Net Amount
As of December 31, 2016				Derivative Assets (Liabilities)			Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	16,142		$	7,805		$	—		$	8,337
Derivative assets of consolidated funds:
Foreign-currency forward contracts	216			4			—			212
Total-return and interest-rate swaps	141			141			—			—
Subtotal	357			145			—			212
Total	$	16,499		$	7,950		$	—		$	8,549
Derivative Liabilities:
Foreign-currency forward contracts	$	(7,805	)	$	(7,805	)	$	—		$	—
Interest-rate swaps	(60		)	—			—			(60		)
Subtotal	(7,865		)	(7,805		)	—			(60		)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(4		)	(4		)	—			—
Total-return and interest-rate swaps	(1,082		)	(141		)	(941		)	—
Subtotal	(1,086		)	(145		)	(941		)	—
Total	$	(8,951	)	$	(7,950	)	$	(941	)	$	(60	)

Balance Sheet Offsetting Liabilities

The table below sets forth the setoff rights and related arrangements associated with derivatives held by the Company. The “gross amounts not offset in statements of financial condition” columns represent derivatives that management has elected not to offset in the consolidated statements of financial condition even though they are eligible to be offset in accordance with applicable accounting guidance.

	Gross and Net Amounts of Assets (Liabilities) Presented			Gross Amounts Not Offset in Statements of Financial Condition						Net Amount
As of September 30, 2017				Derivative Assets (Liabilities)			Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	4,391		$	4,391		$	—		$	—
Derivative assets of consolidated funds:
Foreign-currency forward contracts	146			133			—			13
Total-return and interest-rate swaps	159			9			—			150
Options and futures	7			3			—			4
Subtotal	312			145			—			167
Total	$	4,703		$	4,536		$	—		$	167
Derivative Liabilities:
Foreign-currency forward contracts	$	(18,311	)	$	(4,391	)	$	—		$	(13,920	)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(299		)	(133		)	—			(166		)
Total-return and interest-rate swaps	(9		)	(9		)	—			—
Options and futures	(29		)	(3		)	(26		)	—
Subtotal	(337		)	(145		)	(26		)	(166		)
Total	$	(18,648	)	$	(4,536	)	$	(26	)	$	(14,086	)

	Gross and Net Amounts of Assets (Liabilities) Presented			Gross Amounts Not Offset in Statements of Financial Condition						Net Amount
As of December 31, 2016				Derivative Assets (Liabilities)			Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	16,142		$	7,805		$	—		$	8,337
Derivative assets of consolidated funds:
Foreign-currency forward contracts	216			4			—			212
Total-return and interest-rate swaps	141			141			—			—
Subtotal	357			145			—			212
Total	$	16,499		$	7,950		$	—		$	8,549
Derivative Liabilities:
Foreign-currency forward contracts	$	(7,805	)	$	(7,805	)	$	—		$	—
Interest-rate swaps	(60		)	—			—			(60		)
Subtotal	(7,865		)	(7,805		)	—			(60		)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(4		)	(4		)	—			—
Total-return and interest-rate swaps	(1,082		)	(141		)	(941		)	—
Subtotal	(1,086		)	(145		)	(941		)	—
Total	$	(8,951	)	$	(7,950	)	$	(941	)	$	(60	)