Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2020

Summary of assets and liabilities measured at fair value on recurring basis

The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis by the above fair value hierarchy levels as of September 30, 2020:


(Dollars in millions)	Level I		Level II		Level III		Total
Assets
Investments of Consolidated Funds:
Equity securities	$	—	$	—	$	79.7	$	79.7
Bonds	—		—		461.9		461.9
Loans	—		—		4,873.2		4,873.2



	—		—		5,414.8		5,414.8
Investments in CLOs and other:
Investments in CLOs and other	—		—		572.5		572.5
Partnership and LLC interests(1)	—		—		15.0		15.0
	—		—		587.5		587.5






Total	$	—	$	—	$	6,002.3	$	6,002.3
Liabilities
Loans payable of Consolidated Funds(2)	$	—	$	—	$	5,181.7	$	5,181.7




Foreign currency forward contracts	—		0.9		—		0.9
Total	$	—	$	0.9	$	5,181.7	$	5,182.6

(1)Balance represents Fund Investments that the Company reports based on the most recent available information which typically has a lag of up to 90 days.

(2)Senior and subordinated notes issued by CLO vehicles are valued based on the more observable fair value of the CLO financial assets, less (i) the fair value of any beneficial interests held by the Company and (ii) the carrying value of any beneficial interests that represent compensation for services.

The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis by the above fair value hierarchy levels as of December 31, 2019:


(Dollars in millions)	Level I		Level II		Level III		Total
Assets
Investments of Consolidated Funds:
Equity securities	$	—	$	—	$	19.4	$	19.4
Bonds	—		—		574.1		574.1
Loans	—		—		4,413.8		4,413.8



	—		—		5,007.3		5,007.3
Investments in CLOs and other	—		—		496.2		496.2




Foreign currency forward contracts	—		0.1		—		0.1
Total	$	—	$	0.1	$	5,503.5	$	5,503.6
Liabilities
Loans payable of Consolidated Funds(1)	$	—	$	—	$	4,685.2	$	4,685.2



Foreign currency forward contracts	—		0.3		—		0.3
Total	$	—	$	0.3	$	4,685.2	$	4,685.5

(1)Senior and subordinated notes issued by CLO vehicles are valued based on the more observable fair value of the CLO financial assets, less (i) the fair value of any beneficial interests held by the Company and (ii) the carrying value of any beneficial interests that represent compensation for services.

Changes in Level III financial assets measured at fair value

The changes in financial instruments measured at fair value for which the Company has used Level III inputs to determine fair value are as follows (Dollars in millions):


	Financial Assets
	Three Months Ended September 30, 2020
	Investments of Consolidated Funds
	Equity securities		Bonds		Loans		Investments in CLOs and other			Total
Balance, beginning of period	$	108.8	$	438.4	$	4,034.0	$	530.5		$	5,111.7



Purchases	0.4		68.6		933.7		23.8			1,026.5
Sales and distributions	(33.5)		(98.6)		(261.7)		(8.1)			(401.9)
Settlements	—		—		(89.0)		—			(89.0)
Realized and unrealized gains (losses), net
Included in earnings	4.0		34.9		126.0		32.2			197.1
Included in other comprehensive income	—		18.6		130.2		9.1			157.9
Balance, end of period	$	79.7	$	461.9	$	4,873.2	$	587.5		$	6,002.3
Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date	$	4.0	$	31.1	$	108.0	$	32.2		$	175.3
Changes in unrealized gains (losses) included in other comprehensive income related to financial assets still held at the reporting date	$	—	$	14.5	$	119.9	$	9.1		$	143.5

	Financial Assets
	Nine Months Ended September 30, 2020
	Investments of Consolidated Funds
	Equity securities		Bonds		Loans		Investments in CLOs and other		Total
Balance, beginning of period	$	19.4	$	574.1	$	4,413.8	$	496.2		$	5,503.5



Purchases	87.8		209.5		1,751.8		147.5			2,196.6
Sales and distributions	(33.7)		(313.5)		(941.4)		(64.4)			(1,353.0)
Settlements	—		—		(282.8)		—			(282.8)
Realized and unrealized gains (losses), net
Included in earnings	6.2		(26.1)		(204.1)		12.8			(211.2)
Included in other comprehensive income	—		17.9		135.9		(4.6)			149.2
Balance, end of period	$	79.7	$	461.9	$	4,873.2	$	587.5		$	6,002.3
Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date	$	6.1	$	(22.7)	$	(193.2)	$	12.8		$	(197.0)
Changes in unrealized gains (losses) included in other comprehensive income related to financial assets still held at the reporting date	$	—	$	14.6	$	110.3	$	(4.6)		$	120.3


	Financial Assets
	Three Months Ended September 30, 2019
	Investments of Consolidated Funds
	Equity securities		Bonds		Loans		Investments in CLOs and other		Total
Balance, beginning of period	$	2.6	$	632.0	$	4,125.0	$	477.3	$	5,236.9



Purchases	—		106.6		465.2		55.0		626.8
Sales and distributions	—		(167.1)		(393.0)		(37.6)		(597.7)
Settlements	—		—		(149.6)		—		(149.6)
Realized and unrealized gains (losses), net
Included in earnings	(0.9)		16.8		(14.4)		(2.7)		(1.2)
Included in other comprehensive income	—		(24.9)		(141.0)		(5.3)		(171.2)
Balance, end of period	$	1.7	$	563.4	$	3,892.2	$	486.7	$	4,944.0
Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date	$	(0.6)	$	11.9	$	(25.8)	$	(3.5)	$	(18.0)


	Financial Assets
	Nine Months Ended September 30, 2019
	Investments of Consolidated Funds
	Equity securities		Bonds		Loans		Investments in CLOs and other		Total
Balance, beginning of period	$	—	$	690.1	$	4,596.5	$	446.4	$	5,733.0
Deconsolidation/consolidation of funds (1)	—		—		(294.8)		(2.7)		(297.5)


Purchases	1.8		250.9		1,146.3		89.1		1,488.1
Sales and distributions	—		(377.2)		(945.1)		(46.2)		(1,368.5)
Settlements	—		—		(420.2)		—		(420.2)
Realized and unrealized gains (losses), net
Included in earnings	(0.1)		30.1		(19.9)		7.0		17.1
Included in other comprehensive income	—		(30.5)		(170.6)		(6.9)		(208.0)
Balance, end of period	$	1.7	$	563.4	$	3,892.2	$	486.7	$	4,944.0
Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date	$	(2.9)	$	16.3	$	(49.5)	$	6.2	$	(29.9)

(1) As a result of the consolidation of one CLO during the nine months ended September 30, 2019, the investment that the Company held in that CLO is now eliminated in consolidation and no longer included in investments in CLOs and other. As a result of the deconsolidation of two CLOs during the nine months ended September 30, 2019, the investments that the Company held in those CLOs are no longer eliminated in consolidation and are now included in investments in CLOs and other.

Changes in Level III financial liabilities measured at fair value


	Financial Liabilities
	Loans Payable of Consolidated Funds
	Three Months Ended September 30,
	2020		2019
Balance, beginning of period	$	4,412.0	$	4,506.3

Borrowings	745.2		493.9
Paydowns	(1.3)		(615.3)
Sales	(260.4)		—
Realized and unrealized (gains) losses, net
Included in earnings	139.1		2.5
Included in other comprehensive income	147.1		(156.0)
Balance, end of period	$	5,181.7	$	4,231.4
Changes in unrealized (gains) losses included in earnings related to financial liabilities still held at the reporting date	$	139.1	$	(1.1)
Changes in unrealized (gains) losses included in other comprehensive income related to financial liabilities still held at the reporting date	$	147.1	$	—

	Financial Liabilities
	Loans Payable of Consolidated Funds
	Nine Months Ended September 30,
	2020		2019
Balance, beginning of period	$	4,685.2	$	4,840.1
Deconsolidation/consolidation of funds	—		(285.9)
Borrowings	1,886.9		754.4
Paydowns	(1,092.0)		(916.1)
Sales	(260.4)		—
Realized and unrealized (gains) losses, net
Included in earnings	(188.5)		37.6
Included in other comprehensive income	150.5		(198.7)
Balance, end of period	$	5,181.7	$	4,231.4
Changes in unrealized (gains) losses included in earnings related to financial liabilities still held at the reporting date	$	(203.4)	$	(30.2)
Changes in unrealized (gains) losses included in other comprehensive income related to financial liabilities still held at the reporting date	$	158.9	$	—

Summary of quantitative information about Level III inputs

The following table summarizes quantitative information about the Company’s Level III inputs as of September 30, 2020:

Fair Value at

Valuation Technique(s)

Unobservable Input(s)

Range
(Weighted Average)

(Dollars in millions)

September 30, 2020

Assets

Investments of Consolidated Funds:

Equity securities

2.0

Consensus Pricing

Indicative Quotes ($ per share)

0.00 -0.27 (0.05)

77.7

Discounted Cash Flow

Discount Rates

7% - 8% (7%)

Bonds

461.9

Consensus Pricing

Indicative Quotes (% of Par)

3 - 106 (92)

Loans

4,873.2

Consensus Pricing

Indicative Quotes (% of Par)

3 - 103 (94)

5,414.8

Investments in CLOs and other:

Senior secured notes

426.0

Discounted Cash Flow with Consensus Pricing

Discount Margins (Basis Points)

90 - 1,900 (231)

Default Rates

3% - 3% (3%)

Recovery Rates

50% - 70% (60%)

Indicative Quotes (% of Par)

56 - 102 (97)

Subordinated notes and preferred shares

44.7

Discounted Cash Flow with Consensus Pricing

Discount Rates

14% - 26% (20%)

Default Rates

3% - 3% (3%)

Recovery Rates

50% - 70% (60%)

Indicative Quotes (% of Par)

21 - 92 (38)

Partnership and LLC interests

15.0

NAV of Underlying Fund (1)

N/A

BDC preferred shares

57.6

Discounted Cash Flow

Discount Rates

7% - 7% (7%)

Aviation subordinated notes

7.3

Discounted Cash Flow

Discount Rates

22% - 22% (22%)

Loans

36.9

Consensus Pricing

Indicative Quotes (% of Par)

98 - 100 (99)

Total

6,002.3

Liabilities

Loans payable of Consolidated Funds:

Senior secured notes

5,002.8

Other (2)

N/A

Subordinated notes and preferred shares

178.9

Discounted Cash Flow with Consensus Pricing

Discount Rates

14% - 26% (20%)

Default Rates

3% - 3% (3%)

Recovery Rates

50% - 70% (60%)

Indicative Quotes (% of Par)

21 - 65 (41)

Total

5,181.7

(1) Represents the Company’s investments in funds that are valued using the NAV of the underlying fund.

(2) Senior and subordinated notes issued by CLO vehicles are classified based on the more observable fair value of the CLO financial assets, less (i) the fair value of any beneficial interests held by the Company and (ii) the carrying value of any beneficial interests that represent compensation for services.

The following table summarizes quantitative information about the Company’s Level III inputs as of December 31, 2019:


	Fair Value at		Valuation Technique(s)	Unobservable Input(s)	Range (Weighted Average)
(Dollars in millions)	December 31, 2019
Assets
Investments of Consolidated Funds:
Equity securities	$	1.6	Consensus Pricing	Indicative Quotes ($ per share)	0.01 - 25.18 (0.04)
	17.8		Discounted Cash Flow	Discount Rates	8% - 8% (8%)

Bonds	574.1		Consensus Pricing	Indicative Quotes (% of Par)	0 - 108 (98)
Loans	4,413.8		Consensus Pricing	Indicative Quotes (% of Par)	38 - 101 (97)

	5,007.3
Investments in CLOs and other
Senior secured notes	399.4		Discounted Cash Flow with Consensus Pricing	Discount Margins (Basis Points)	50 - 1,450 (210)
				Default Rates	1% - 4% (2%)
				Recovery Rates	45% - 75% (58%)
				Indicative Quotes (% of Par)	75 - 100 (98)
Subordinated notes and preferred shares	55.1		Discounted Cash Flow with Consensus Pricing	Discount Rate	10% - 15% (12%)
				Default Rates	1% - 4% (2%)
				Recovery Rates	45% - 75% (57%)
				Indicative Quotes (% of Par)	33 - 89 (57)
Aviation subordinated notes	4.3		Discounted Cash Flow	Discount Rates	15% - 15% (15%)
Loans	37.4		Consensus Pricing	Indicative Quotes (% of Par)	99 - 100 (99)
Total	$	5,503.5
Liabilities
Loans payable of Consolidated Funds:
Senior secured notes	$	4,446.4	Other (1)	N/A	N/A

Subordinated notes and preferred shares	238.8		Discounted Cash Flow with Consensus Pricing	Discount Rates	10% - 15% (13%)
				Default Rates	1% - 4% (3%)
				Recovery Rates	45% - 75% (61%)
				Indicative Quotes (% of Par)	40 - 82 (62)

Total	$	4,685.2

(1) Senior and subordinated notes issued by CLO vehicles are classified based on the more observable fair value of the CLO financial assets, less (i) the fair value of any beneficial interests held by the Company and (ii) the carrying value of any beneficial interests that represent compensation for services.