DERIVATIVES AND HEDGING (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Net Forward Currency Sell Contracts Under Freestanding Derivatives

The fair value of freestanding derivatives consisted of the following:

	Assets				Liabilities
	Notional		Fair Value		Notional		Fair Value
As of September 30, 2020
Foreign-currency forward contracts	$	19,980	$	221	$	(261,846)	$	(8,733)
As of December 31, 2019
Foreign-currency forward contracts	$	—	$	—	$	(156,281)	$	(1,703)

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

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

	Three months ended September 30,				Nine months ended September 30,
	2020		2019		2020		2019
Investment income	$	(6,503)	$	16,206	$	(4,906)	$	11,429
General and administrative expense (1)	(3,288)		5,274		(5,926)		5,287
Total	$	(9,791)	$	21,480	$	(10,832)	$	16,716

(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.

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

	Three months ended September 30,
	2020				2019
	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	$	192	$	417	$	(4,300)	$	(276)
Total-return and interest-rate and credit default swaps	68		(6)		—		—
Options and futures	(114)		(40)		—		—
Total	$	146	$	371	$	(4,300)	$	(276)

	Nine months ended September 30,
	2020				2019
	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	$	(11,200)	$	(23,483)	$	(1,960)	$	412
Total-return and interest-rate and credit default swaps	68		(6)		—		—
Options and futures	(4)		(157)		—		—
Total	$	(11,136)	$	(23,646)	$	(1,960)	$	412

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The fair value of derivatives held by the consolidated funds consisted of the following:

	Assets				Liabilities
	Notional		Fair Value		Notional		Fair Value
As of September 30, 2020
Foreign-currency forward contracts	$	44,310	$	319	$	(17,045)	$	(375)
Total-return and interest-rate and credit default swaps	—		—		(3,783)		(159)
Options and futures	737		20		(6,885)		(12)
Total	$	45,047	$	339	$	(27,713)	$	(546)
As of December 31, 2019
Foreign-currency forward contracts	$	166,917	$	6,890	$	(140,276)	$	(2,551)

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 condensed 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, 2020			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	221	$	221	$	—	$	—
Derivative assets of consolidated funds:
Foreign-currency forward contracts	$	319	$	—	$	—	$	319
Options and futures	20		—		—		20
Total	$	560	$	221	$	—	$	339
Derivative Liabilities:
Foreign-currency forward contracts	$	(8,733)	$	(221)	$	—	$	(8,512)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(375)		—		—		(375)
Total-return and interest-rate and credit default swaps	(159)		—		—		(159)
Options and futures	(12)		—		—		(12)
Subtotal	(546)		—		—		(546)
Total	$	(9,279)	$	(221)	$	—	$	(9,058)

	Gross and Net Amounts of Assets (Liabilities) Presented		Gross Amounts Not Offset in Statements of Financial Condition				Net Amount
As of December 31, 2019			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Derivative assets of consolidated funds:
Foreign-currency forward contracts	$	6,890	$	—	$	—	$	6,890
Derivative Liabilities:
Foreign-currency forward contracts	$	(1,703)	$	—	$	—	$	(1,703)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(2,551)		—		—		(2,551)
Total	$	(4,254)	$	—	$	—	$	(4,254)

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 condensed 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, 2020			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Foreign-currency forward contracts	$	221	$	221	$	—	$	—
Derivative assets of consolidated funds:
Foreign-currency forward contracts	$	319	$	—	$	—	$	319
Options and futures	20		—		—		20
Total	$	560	$	221	$	—	$	339
Derivative Liabilities:
Foreign-currency forward contracts	$	(8,733)	$	(221)	$	—	$	(8,512)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(375)		—		—		(375)
Total-return and interest-rate and credit default swaps	(159)		—		—		(159)
Options and futures	(12)		—		—		(12)
Subtotal	(546)		—		—		(546)
Total	$	(9,279)	$	(221)	$	—	$	(9,058)

	Gross and Net Amounts of Assets (Liabilities) Presented		Gross Amounts Not Offset in Statements of Financial Condition				Net Amount
As of December 31, 2019			Derivative Assets (Liabilities)		Cash Collateral Received (Pledged)
Derivative Assets:
Derivative assets of consolidated funds:
Foreign-currency forward contracts	$	6,890	$	—	$	—	$	6,890
Derivative Liabilities:
Foreign-currency forward contracts	$	(1,703)	$	—	$	—	$	(1,703)
Derivative liabilities of consolidated funds:
Foreign-currency forward contracts	(2,551)		—		—		(2,551)
Total	$	(4,254)	$	—	$	—	$	(4,254)