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FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2020

The Company’s other financial assets and financial liabilities by fair-value hierarchy level are set forth below. Please see notes 10 and 18 for the fair value of the Company’s outstanding debt obligations and amounts due from/to affiliates, respectively.


	As of September 30, 2020								As of December 31, 2019
	Level I		Level II		Level III		Total		Level I		Level II		Level III		Total
Assets
U.S. Treasury and other securities (1)	$	9,150	$	—	$	—	$	9,150	$	9,232	$	—	$	—	$	9,232
Corporate investments	—		3,888		23,334		27,222		—		4,717		30,311		35,028
Foreign-currency forward contracts (2)	—		221		—		221		—		—		—		—

Total assets	$	9,150	$	4,109	$	23,334	$	36,593	$	9,232	$	4,717	$	30,311	$	44,260

Liabilities

Foreign-currency forward contracts (3)	$	—	$	(8,733)	$	—	$	(8,733)	$	—	$	(1,703)	$	—	$	(1,703)

(1) For U.S. Treasury securities the carrying value approximates fair value due to their short-term nature and are classified as Level I investments within the fair value hierarchy detailed above.

(2) Amounts are included in other assets, except for $137 as of September 30, 2020, which is included within corporate investments in the consolidated statements of financial condition.

(3) Amounts are included in accounts payable, accrued expenses and other liabilities in the condensed consolidated statements of financial condition, except for $8,190 and $94 as of September 30, 2020 and December 31, 2019, respectively, which are included within corporate investments in the condensed consolidated statements of financial condition.

Summary of Changes in Fair Value of Level III Investments

The table below sets forth a summary of changes in the fair value of Level III financial instruments:


	Three months ended September 30,
	2020				2019
	Corporate Investments		Contingent Liability		Corporate Investments		Contingent Liability

Beginning balance	$	22,022	$	—	$	42,234	$	(6,737)
Contributions or additions	772		—		883		—
Distributions	(1,996)		—		—		—
Net gain (loss) included in earnings	2,536		—		2,519		2,219
Ending balance	$	23,334	$	—	$	45,636	$	(4,518)

Net change in unrealized gains (losses) attributable to financial instruments still held at end of period	$	2,536	$	—	$	2,519	$	2,219


	Nine months ended September 30,
	2020				2019
	Corporate Investments		Contingent Liability		Corporate Investments		Contingent Liability

Beginning balance	$	30,311	$	—	$	45,426	$	(6,657)
Contributions or additions	2,562		—		937		—
Distributions	(6,993)		—		(7,181)		—
Net gain (loss) included in earnings	(2,546)		—		6,454		2,139
Ending balance	$	23,334	$	—	$	45,636	$	(4,518)

Net change in unrealized gains (losses) attributable to financial instruments still held at end of period	$	(989)	$	—	$	6,454	$	2,139

The table below sets forth a summary of the valuation techniques and quantitative information utilized in determining the fair value of the Company’s Level III financial instruments:

Fair Value as of

Significant Unobservable Input

Financial Instrument

September 30, 2020

December 31, 2019

Valuation Technique

Range

Weighted Average

Corporate investment – Limited partnership interests

23,334

30,311

Market approach
(value of underlying assets)

Not applicable

Summary of Changes in Fair Value of Level III Investments

The table below sets forth a summary of changes in the fair value of Level III financial instruments:


	Three months ended September 30,
	2020				2019
	Corporate Investments		Contingent Liability		Corporate Investments		Contingent Liability

Beginning balance	$	22,022	$	—	$	42,234	$	(6,737)
Contributions or additions	772		—		883		—
Distributions	(1,996)		—		—		—
Net gain (loss) included in earnings	2,536		—		2,519		2,219
Ending balance	$	23,334	$	—	$	45,636	$	(4,518)

Net change in unrealized gains (losses) attributable to financial instruments still held at end of period	$	2,536	$	—	$	2,519	$	2,219


	Nine months ended September 30,
	2020				2019
	Corporate Investments		Contingent Liability		Corporate Investments		Contingent Liability

Beginning balance	$	30,311	$	—	$	45,426	$	(6,657)
Contributions or additions	2,562		—		937		—
Distributions	(6,993)		—		(7,181)		—
Net gain (loss) included in earnings	(2,546)		—		6,454		2,139
Ending balance	$	23,334	$	—	$	45,636	$	(4,518)

Net change in unrealized gains (losses) attributable to financial instruments still held at end of period	$	(989)	$	—	$	6,454	$	2,139

The table below sets forth a summary of the valuation techniques and quantitative information utilized in determining the fair value of the Company’s Level III financial instruments:

Fair Value as of

Significant Unobservable Input

Financial Instrument

September 30, 2020

December 31, 2019

Valuation Technique

Range

Weighted Average

Corporate investment – Limited partnership interests

23,334

30,311

Market approach
(value of underlying assets)

Not applicable

The following tables set forth a summary of changes in the fair value of Level III investments:


	Corporate Debt – Bank Debt		Corporate Debt – All Other		Equities – Common Stock		Equities – Preferred Stock		Real Estate		Total
Three months ended September 30, 2020
Beginning balance	$	148,679	$	73,473	$	100,159	$	214	$	—	$	322,525
Deconsolidation of funds	—		(47,436)		—		—		—		(47,436)
Transfers into Level III	27,458		2,334		12,751		—		—		42,543
Transfers out of Level III	(27,022)		(9,705)		(43,205)		—		—		(79,932)
Purchases	2,422		1,288		—		—		—		3,710
Sales	(55,461)		(1,459)		—		—		—		(56,920)
Realized gain (losses), net	(84)		155		—		—		—		71
Unrealized appreciation (depreciation), net	(1,019)		1,239		18,205		(78)		—		18,347
Ending balance	$	94,973	$	19,889	$	87,910	$	136	$	—	$	202,908
Net change in unrealized appreciation (depreciation) attributable to assets still held at end of period	$	14,104	$	3,896	$	(8,789)	$	(195)	$	(9,941)	$	(925)
Three months ended September 30, 2019
Beginning balance	$	101,494	$	23,209	$	42,972	$	1,934	$	57,080	$	226,689
Deconsolidation of funds	(5,441)		(11,216)		—		—		—		(16,657)
Transfers into Level III	9,853		6,490		29		—		—		16,372
Transfers out of Level III	—		—		—		—		—		—
Purchases	67,093		25,102		154,446		80		107,046		353,767
Sales	(8,763)		(71)		(1,146)		—		—		(9,980)
Realized gains (losses), net	(443)		26		587		—		—		170
Unrealized appreciation (depreciation), net	(7,683)		(808)		(664)		115		(2,282)		(11,322)
Ending balance	$	156,110	$	42,732	$	196,224	$	2,129	$	161,844	$	559,039
Net change in unrealized appreciation (depreciation) attributable to assets still held at end of period	$	(5,455)	$	(389)	$	(525)	$	115	$	(2,282)	$	(8,536)


	Corporate Debt – Bank Debt		Corporate Debt – All Other		Equities – Common Stock		Equities – Preferred Stock		Real Estate		Total
Nine months ended September 30, 2020
Beginning balance	$	77,736	$	103,172	$	130,437	$	657	$	230,741	$	542,743
Deconsolidation of funds	(78,451)		(86,507)		(264,513)		—		(269,404)		(698,875)
Transfers into Level III	147,449		58,374		13,105		—		—		218,928
Transfers out of Level III	(71,282)		(24,669)		(43,205)		—		—		(139,156)
Purchases	119,557		17,747		264,909		—		38,663		440,876
Sales	(75,663)		(38,788)		—		—		—		(114,451)
Realized gains (losses), net	(8,890)		97		—		—		—		(8,793)
Unrealized depreciation, net	(15,483)		(9,537)		(12,823)		(521)		—		(38,364)
Ending balance	$	94,973	$	19,889	$	87,910	$	136	$	—	$	202,908
Net change in unrealized depreciation attributable to assets still held at end of period	$	(9,448)	$	(3,429)	$	(12,657)	$	(507)	$	—	$	(26,041)
Nine months ended September 30, 2019
Beginning balance	$	136,055	$	185,378	$	3,063	$	1,426	$	—	$	325,922
Deconsolidation of funds	(54,895)		(108,121)		—		—		—		(163,016)
Transfers into Level III	32,711		89		2,379		—		—		35,179
Transfers out of Level III	(16,658)		(51,770)		—		—		—		(68,428)
Purchases	94,865		27,489		194,304		322		164,126		481,106
Sales	(25,937)		(10,452)		(2,072)		—		—		(38,461)
Realized gains (losses), net	(319)		(100)		616		—		—		197
Unrealized appreciation (depreciation), net	(9,712)		219		(2,066)		381		(2,282)		(13,460)
Ending balance	$	156,110	$	42,732	$	196,224	$	2,129	$	161,844	$	559,039
Net change in unrealized appreciation (depreciation) attributable to assets still held at end of period	$	21,502	$	(25)	$	(1,528)	$	381	$	(2,282)	$	18,048

Valuation of Investments and Other Financial Instruments

The table below summarizes the investments and other financial instruments of the consolidated funds by fair-value hierarchy level:


	As of September 30, 2020								As of December 31, 2019
	Level I		Level II		Level III		Total		Level I		Level II		Level III		Total
Assets
Investments:
Corporate debt – bank debt	$	—	$	5,946,317	$	94,973	$	6,041,290	$	—	$	5,911,523	$	149,642	$	6,061,165
Corporate debt – all other	—		724,901		19,889		744,790		—		903,246		31,266		934,512
Equities – common stock	383		—		87,910		88,293		552		345		130,437		131,334
Equities – preferred stock			—		136		136		—		—		657		657
Real estate	—		5,877		—		5,877		—		—		230,741		230,741
Total investments	383		6,677,095		202,908		6,880,386		552		6,815,114		542,743		7,358,409
Derivatives:
Foreign-currency forward contracts	—		319		—		319		27		6,863		—		6,890
Options and futures	20		—		—		20		—		—		—		—
Total derivatives (1)	20		319		—		339		27		6,863		—		6,890
Total assets	$	403	$	6,677,414	$	202,908	$	6,880,725	$	579	$	6,821,977	$	542,743	$	7,365,299

Liabilities
CLO debt obligations:
Senior secured notes	$	—	$	(6,066,574)	$	—	$	(6,066,574)	$	—	$	(5,613,846)	$	—	$	(5,613,846)
Subordinated notes	—		(175,307)		—		(175,307)		—		(154,153)		—		(154,153)
Total CLO debt obligations (2)	—		(6,241,881)		—		(6,241,881)		—		(5,767,999)		—		(5,767,999)


Derivatives:
Foreign-currency forward contracts	—		(375)		—		(375)		(202)		(2,349)		—		(2,551)
Swaps	—		(159)		—		(159)		—		—		—		—
Options and futures	(12)		—		—		(12)		—		—		—		—
Total derivatives (3)	(12)		(534)		—		(546)		(202)		(2,349)		—		(2,551)
Total liabilities	$	(12)	$	(6,242,415)	$	—	$	(6,242,427)	$	(202)	$	(5,770,348)	$	—	$	(5,770,550)

(1) Amounts are included in other assets under “assets of consolidated funds” in the condensed consolidated statements of financial condition.

(2) The fair value of CLO liabilities is classified based on the more observable fair value of CLO assets. Please see notes 2 and 10 for more information.

(3) Amounts are included in accounts payable, accrued expenses and other liabilities under “liabilities of consolidated funds” in the condensed consolidated statements of financial condition

Summary of Valuation Techniques and Quantitative Information

The following table sets forth a summary of the valuation techniques and quantitative information utilized in determining the fair value of the consolidated funds’ Level III investments as of September 30, 2020:

Investment Type

Fair Value

Valuation Technique

Significant Unobservable

Inputs (1)(2)

Range

Weighted Average (3)

Credit-oriented investments:

Consumer discretionary:

14,111

Recent market information (5)

Quoted prices

Not applicable

Financials:

46,700

Recent market information (5)

Quoted prices

Not applicable

Health care:

16,111

Recent market information (5)

Quoted prices

Not applicable

Real estate:

16,632

Recent market information (5)

Quoted prices

Not applicable

2,393

Recent transaction price (6)

Quoted prices

Not applicable

Other:

18,915

Recent market information (5)

Quoted prices

Not applicable

Equity investments:

87,136

Discounted cash flow (4)

Discount rate

6% – 8%

910

Recent market information (5)

Quoted prices

Not applicable

Total Level III
investments

202,908

Investment Type

Fair Value

Valuation Technique

Significant Unobservable

Inputs (1)(2)

Range

Weighted Average (3)

Credit-oriented investments:

Consumer discretionary:

16,836

Recent market information (5)

Quoted prices

Not applicable

Financials:

17,274

Recent market information (5)

Quoted prices

Not applicable

Health care:

26,863

Recent market information (5)

Quoted prices

Not applicable

Real estate:

16,755

Recent market information (5)

Quoted prices

Not applicable

71,906

Recent transaction price (6)

Quoted prices

Not applicable

Other:

31,274

Recent market information (5)

Quoted prices

Not applicable

Equity investments:

130,341

Discounted cash flow (4)

Discount rate

6% – 8%

753

Recent market information (5)

Quoted prices

Not applicable

Real estate-oriented:

230,741

Recent transaction price (6)

Not Applicable

Not applicable

Total Level III
investments

542,743

(1) The discount rate is the significant unobservable input used in the fair-value measurement of performing credit-oriented investments in which the consolidated funds do not have a controlling interest in the underlying issuer, as well as certain equity investments and real estate loan portfolios. An increase (decrease) in the discount rate would result in a lower (higher) fair-value measurement.

(2) Multiple of either earnings or underlying assets is the significant unobservable input used in the market approach for the fair-value measurement of distressed credit-oriented investments, credit-oriented investments in which the consolidated funds have a controlling interest in the underlying issuer, equity investments and certain real estate-oriented investments. An increase (decrease) in the multiple would result in a higher (lower) fair-value measurement.

(3) The weighted average is based on the fair value of the investments included in the range.

(4) A discounted cash-flow method is generally used to value performing credit-oriented investments in which the consolidated funds do not have a controlling interest in the underlying issuer, as well as certain equity investments, real estate-oriented investments and real estate loan portfolios.

(5) Certain investments are valued using vendor prices or broker quotes for the subject or similar securities. Generally, investments valued in this manner are classified as Level III because the quoted prices may be indicative in nature for securities that are in an inactive market, may be for similar securities, or may require adjustment for investment-specific factors or restrictions.

(6) Certain investments are valued based on recent transactions, generally defined as investments purchased or sold within six months of the valuation date. The fair value may also be based on a pending transaction expected to close after the valuation date.

The significant valuation inputs, including the input range and weighted average rate, are as follows:


Valuation Input	Low	High	Weighted Average Rate

Discount rates	9.0%	40.0%	18.4%
Constant default rates	2.0%	4.0%	2.3%
Recovery rates	60.0%	80.0%	64.9%