The fair value measurement accounting guidance establishes a hierarchical disclosure framework which ranks the observability of market price inputs used in measuring financial instruments at fair value. The observability of inputs is impacted by a number of factors, including the type of financial instrument, the characteristics specific to the financial instrument and the state of the marketplace, including the existence and transparency of transactions between market participants. Financial instruments with readily available quoted prices, or for which fair value can be measured from quoted prices in active markets, will generally have a higher degree of market price observability and a lesser degree of judgment applied in determining fair value.

Level I – inputs to the valuation methodology are quoted prices available in active markets for identical instruments as of the reporting date. The types of financial instruments in this category include unrestricted securities, such as equities and derivatives, listed in active markets. The Company does not adjust the quoted price for these instruments, even in situations where the Company holds a large position and a sale could reasonably impact the quoted price.

Level II – inputs to the valuation methodology are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. The types of financial instruments in this category include less liquid and restricted securities listed in active markets, securities traded in other than active markets, government and agency securities, and certain over-the-counter derivatives where the fair value is based on observable inputs.

Level III – inputs to the valuation methodology are unobservable and significant to overall fair value measurement. The inputs into the determination of fair value require significant management judgment or estimation. The types of financial instruments in this category include investments in privately-held entities, non-investment grade residual interests in securitizations, collateralized loan obligations, and certain over-the-counter derivatives where fair value is based on unobservable inputs.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for any given financial instrument is based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument.

In certain cases, debt and equity securities are valued on the basis of prices from an orderly transaction between market participants provided by reputable dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrices, market transactions in comparable investments and various relationships between investments.


(Dollars in millions)	Level I		Level II		Level III		Total
Assets
Investments of Consolidated Funds:
Equity securities	$	—	$	—	$	18.9	$	18.9
Bonds	—		—		581.1		581.1
Loans	—		—		5,852.9		5,852.9



	—		—		6,452.9		6,452.9

Investments in CLOs and other(1)	1.4		45.6		423.4		470.4








Subtotal	$	1.4	$	45.6	$	6,876.3	$	6,923.3
Investments measured at net asset value(2)							33.9
Total							$	6,957.2
Liabilities
Loans payable of Consolidated Funds(3)	$	—	$	—	$	5,938.3	$	5,938.3




Foreign currency forward contracts	—		0.2		—		0.2
Total	$	—	$	0.2	$	5,938.3	$	5,938.5

(1)The Level III balance excludes a corporate investment in equity securities which the Company has elected to account for under the measurement alternative for equity securities without readily determinable fair values pursuant to ASC 321, Investments – Equity Securities. In July 2021, the Company remeasured this investment to a fair value of $36.6 million due to an observable price change. As such, the fair value of $36.6 million is not as of September 30, 2021. As a non-recurring fair value measurement, the fair value of these equity securities is excluded from the tabular Level III rollforward disclosures.


(Dollars in millions)	Level I		Level II		Level III		Total
Assets
Investments of Consolidated Funds:
Equity securities	$	—	$	—	$	9.4	$	9.4
Bonds	—		—		550.4		550.4
Loans	—		—		5,497.1		5,497.1



	—		—		6,056.9		6,056.9

Investments in CLOs and other	—		—		570.8		570.8






Foreign currency forward contracts	—		0.7		—		0.7
Subtotal	$	—	$	0.7	$	6,627.7	$	6,628.4
Investments measured at net asset value(1)							16.4
Total							$	6,644.8
Liabilities
Loans payable of Consolidated Funds(2)	$	—	$	—	$	5,563.0	$	5,563.0



Foreign currency forward contracts	—		0.4		—		0.4
Total	$	—	$	0.4	$	5,563.0	$	5,563.4

Investment professionals with responsibility for the underlying investments are responsible for preparing the investment valuations pursuant to the policies, methodologies and templates prepared by the Company’s valuation group, which is a team made up of dedicated valuation professionals reporting to the Company’s chief accounting officer. The valuation group is responsible for maintaining the Company’s valuation policy and related guidance, templates and systems that are designed to be consistent with the guidance found in ASC 820, Fair Value Measurement. These valuations, inputs and preliminary conclusions are reviewed by the fund accounting teams. The valuations are then reviewed and approved by the respective fund valuation subcommittees, which include the respective fund head(s), segment head, chief financial officer and chief accounting officer, as well as members of the valuation group. The valuation group compiles the aggregate results and significant matters and presents them for review and approval by the global valuation committee, which includes the Company’s co-chairmen of the board, chairman emeritus, chief executive officer, chief risk officer, chief financial officer, chief accounting officer, and the business segment heads, and observed by the chief compliance officer, the director of internal audit, the Company’s audit committee and others. Additionally, each quarter a sample of valuations is reviewed by external valuation firms. Valuations of the funds’ investments are used in the calculation of accrued performance allocations, or “carried interest”.

In the absence of observable market prices, the Company values its investments using valuation methodologies applied on a consistent basis. For some investments little market activity may exist. Management’s determination of fair value is then based on the best information available in the circumstances and may incorporate management’s own assumptions and involve a significant degree of judgment, taking into consideration a combination of internal and external factors, including the appropriate risk adjustments for non-performance and liquidity risks. Investments for which market prices are not observable include private investments in the equity of operating companies and real estate properties, and certain debt positions. The valuation technique for each of these investments is described below:

Private Equity and Real Estate Investments – The fair values of private equity investments are determined by reference to projected net earnings, earnings before interest, taxes, depreciation and amortization (“EBITDA”), the discounted cash flow method, public market or private transactions, valuations for comparable companies or sales of comparable assets, and other measures which, in many cases, are unaudited at the time received. The methods used to estimate the fair value of real estate investments include the discounted cash flow method and/or capitalization rate (“cap rate”) analysis. Valuations may be derived by reference to observable valuation measures for comparable companies or transactions (e.g., applying a key performance metric of the investment such as EBITDA or net operating income to a relevant valuation multiple or cap rate observed in the range of comparable companies or transactions), adjusted by management for differences between the investment and the referenced comparables, and in some instances by reference to option pricing models or other similar models. Adjustments to observable valuation measures are frequently made upon the initial investment to calibrate the initial investment valuation to industry observable inputs. Such adjustments are made to align the investment to observable industry inputs for differences in size, profitability, projected growth rates, geography and capital structure if applicable. The adjustments are reviewed with each subsequent valuation to assess how the investment has evolved relative to the observable inputs. Additionally, the investment may be subject to certain specific risks and/or development milestones which are also taken into account in the valuation assessment. Option pricing models and similar tools do not currently drive a significant portion of private equity or real estate valuations and are used primarily to value warrants, derivatives, certain restrictions and other atypical investment instruments.

Credit-Oriented Investments – The fair values of credit-oriented investments (including corporate treasury investments) are generally determined on the basis of prices between market participants provided by reputable dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrices, market transactions in comparable investments and various relationships between investments. Specifically, for investments in distressed debt and corporate loans and bonds, the fair values are generally determined by valuations of comparable investments. In some instances, the Company may utilize other valuation techniques, including the discounted cash flow method.

CLO Investments and CLO Loans Payable – The Company measures the financial liabilities of its consolidated CLOs based on the fair value of the financial assets of its consolidated CLOs, as the Company believes the fair value of the financial assets are more observable. The fair values of the CLO assets are primarily based on quotations from reputable dealers or relevant pricing services. In situations where valuation quotations are unavailable, the assets are valued based on similar securities, market index changes, and other factors. Generally, the assets of the CLOs are not publicly traded and are classified as Level III. Similar to the CLO assets, the fair values of the CLO structured asset positions are

primarily determined based on relevant pricing services or, in certain instances, discounted cash flow analyses. Those analyses consider the position size, liquidity, current financial condition of the CLOs, the third party financing environment, reinvestment rates, recovery lags, discount rates and default forecasts and are compared to broker quotations from market makers and third party dealers. The Company performs certain procedures to ensure the reliability of the quotations from pricing services for its CLO assets and CLO structured asset positions, which generally includes corroborating prices with a discounted cash flow analysis.

Fund Investments – The Company’s primary and secondary investments in external funds are valued based on its proportionate share of the net assets provided by the third party general partners of the underlying fund partnerships based on the most recent available information which typically has a lag of up to 90 days. The terms of the investments generally preclude the ability to redeem the investment. Distributions from these investments will be received as the underlying assets in the funds are liquidated, the timing of which cannot be readily determined.


	Financial Assets
	Three Months Ended September 30, 2021
	Investments of Consolidated Funds
	Equity securities		Bonds		Loans		Investments in CLOs and other			Total
Balance, beginning of period	$	18.3	$	542.0	$	5,543.6	$	431.5		$	6,535.4
Consolidation of funds (1)	3.3		—		490.4		(3.0)			490.7


Purchases	0.1		108.1		1,058.4		9.6			1,176.2
Sales and distributions	(1.2)		(44.0)		(781.0)		(14.9)			(841.1)
Settlements	—		(0.2)		(378.4)		—			(378.6)
Realized and unrealized gains (losses), net
Included in earnings	(1.3)		(11.3)		13.3		6.9			7.6
Included in other comprehensive income	(0.3)		(13.5)		(93.4)		(6.7)			(113.9)
Balance, end of period	$	18.9	$	581.1	$	5,852.9	$	423.4		$	6,876.3
Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date	$	(1.9)	$	1.5	$	(4.2)	$	7.3		$	2.7
Changes in unrealized gains (losses) included in other comprehensive income related to financial assets still held at the reporting date	$	(0.3)	$	(13.7)	$	(92.3)	$	(6.7)		$	(113.0)

	Financial Assets
	Nine Months Ended September 30, 2021
	Investments of Consolidated Funds
	Equity securities		Bonds		Loans		Investments in CLOs and other (2)		Total
Balance, beginning of period	$	9.4	$	550.4	$	5,497.1	$	570.8		$	6,627.7
Deconsolidation/consolidation of funds (1)	5.7		—		314.2		23.1			343.0


Purchases	0.6		472.0		3,375.3		71.7			3,919.6
Sales and distributions	(3.5)		(405.2)		(2,199.0)		(254.9)			(2,862.6)
Settlements	—		(3.8)		(1,020.2)		—			(1,024.0)
Realized and unrealized gains (losses), net
Included in earnings	7.3		(1.3)		103.1		16.5			125.6
Included in other comprehensive income	(0.6)		(31.0)		(217.6)		(3.8)			(253.0)
Balance, end of period	$	18.9	$	581.1	$	5,852.9	$	423.4		$	6,876.3
Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date	$	5.2	$	7.7	$	61.1	$	16.3		$	90.3
Changes in unrealized gains (losses) included in other comprehensive income related to financial assets still held at the reporting date	$	(0.4)	$	(22.0)	$	(185.3)	$	(3.8)		$	(211.5)

(1) As a result of the consolidation of one CLO during the three months ended September 30, 2021 and two CLOs during the nine months ended September 30, 2021, the investments that the Company held in those CLOs are now eliminated in consolidation and no longer included in investments in CLOs and other. As a result of the deconsolidation of one CLO during the nine months ended September 30, 2021, the investment that the Company held in that CLO is no longer eliminated in consolidation and is now included in investments in CLOs and other.


	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 Liabilities
	Loans Payable of Consolidated Funds
	Three Months Ended September 30,
	2021		2020
Balance, beginning of period	$	5,373.9	$	4,412.0
Consolidation of funds	480.0		—
Borrowings	1,133.0		745.2
Paydowns	(712.0)		(1.3)
Sales	(237.5)		(260.4)
Realized and unrealized (gains) losses, net
Included in earnings	(2.4)		139.1
Included in other comprehensive income	(96.7)		147.1
Balance, end of period	$	5,938.3	$	5,181.7
Changes in unrealized (gains) losses included in earnings related to financial liabilities still held at the reporting date	$	3.7	$	139.1
Changes in unrealized (gains) losses included in other comprehensive income related to financial liabilities still held at the reporting date	$	(127.0)	$	147.1

	Financial Liabilities
	Loans Payable of Consolidated Funds
	Nine Months Ended September 30,
	2021		2020
Balance, beginning of period	$	5,563.0	$	4,685.2
Deconsolidation/consolidation of funds	360.8		—
Borrowings	1,966.6		1,886.9
Paydowns	(1,303.0)		(1,092.0)
Sales	(515.2)		(260.4)
Realized and unrealized (gains) losses, net
Included in earnings	90.7		(188.5)
Included in other comprehensive income	(224.6)		150.5
Balance, end of period	$	5,938.3	$	5,181.7
Changes in unrealized (gains) losses included in earnings related to financial liabilities still held at the reporting date	$	98.1	$	(203.4)
Changes in unrealized (gains) losses included in other comprehensive income related to financial liabilities still held at the reporting date	$	(281.4)	$	158.9

Realized and unrealized gains and losses included in earnings for Level III investments for investments in CLOs and other investments are included in investment income (loss), and such gains and losses for investments of Consolidated Funds and loans payable of Consolidated Funds are included in net investment gains (losses) of Consolidated Funds in the unaudited condensed consolidated statements of operations.


	Fair Value at		Valuation Technique(s)	Unobservable Input(s)	Range (Weighted Average)
(Dollars in millions)	September 30, 2021
Assets
Investments of Consolidated Funds:
Equity securities	$	18.9	Consensus Pricing	Indicative Quotes ($ per share)	0.00 - 74.50 (0.66)

Bonds	581.1		Consensus Pricing	Indicative Quotes (% of Par)	94 - 109 (100)
Loans	5,834.3		Consensus Pricing	Indicative Quotes (% of Par)	37 - 109 (99)
	18.6		Discounted Cash Flow	Discount Rates	3% - 8% (6%)




	6,452.9
Investments in CLOs and other:
Senior secured notes	274.9		Consensus Pricing with Discounted Cash Flow	Indicative Quotes (% of Par)	84 - 101 (99)
				Discount Margins (Basis Points)	50 - 1,330 (256)
				Default Rates	1% - 2% (1%)
				Recovery Rates	50% - 70% (60%)
Subordinated notes and preferred shares	69.8		Consensus Pricing with Discounted Cash Flow	Indicative Quotes (% of Par)	43 - 88 (72)
				Discount Rates	10% - 25% (17%)
				Default Rates	1% - 2% (1%)
				Recovery Rates	50% - 70% (60%)

BDC preferred shares	71.8		Discounted Cash Flow	Discount Rates	7% - 7% (7%)
Aviation subordinated notes	6.9		Discounted Cash Flow	Discount Rates	16% - 16% (16%)

Total	$	6,876.3
Liabilities
Loans payable of Consolidated Funds:
Senior secured notes	$	5,700.1	Other (1)	N/A	N/A

Subordinated notes and preferred shares	238.2		Consensus Pricing with Discounted Cash Flow	Indicative Quotes (% of Par)	42 - 77 (56)
				Discount Rates	15% - 25% (20%)
				Default Rates	1% - 2% (1%)
				Recovery Rates	50% - 70% (60%)




Total	$	5,938.3

Fair Value at

Valuation Technique(s)

Unobservable Input(s)

Range
(Weighted Average)

(Dollars in millions)

December 31, 2020

Assets

Investments of Consolidated Funds:

Equity securities

9.4

Consensus Pricing

Indicative Quotes ($ per share)

0.00 - 40.00 (0.57)

Bonds

550.4

Consensus Pricing

Indicative Quotes (% of Par)

85 - 108 (98)

Loans

5,497.1

Consensus Pricing

Indicative Quotes (% of Par)

15 - 108 (97)

6,056.9

Investments in CLOs and other

Senior secured notes

437.0

Discounted Cash Flow with Consensus Pricing

Discount Margins (Basis Points)

85 - 1,725 (227)

Default Rates

1% - 2% (1%)

Recovery Rates

50% - 70% (60%)

Indicative Quotes (% of Par)

71 - 100 (98)

Subordinated notes and preferred shares

52.5

Discounted Cash Flow with Consensus Pricing

Discount Rate

16% - 30% (23%)

Default Rates

1% - 2% (1%)

Recovery Rates

50% - 70% (60%)

Indicative Quotes (% of Par)

31 - 90 (46)

BDC preferred shares

60.0

Discounted Cash Flow

Discount Rates

7% - 7% (7%)

Aviation subordinated notes

7.2

Discounted Cash Flow

Discount Rates

20% - 20% (20%)

Loans

14.1

Consensus Pricing

Indicative Quotes (% of Par)

98 - 100 (100)

Total

6,627.7

Liabilities

Loans payable of Consolidated Funds:

Senior secured notes

5,358.9

Other (1)

N/A

Subordinated notes and preferred shares

204.1

Discounted Cash Flow with Consensus Pricing

Discount Rates

16% - 30% (22%)

Default Rates

1% - 2% (1%)

Recovery Rates

50% - 70% (60%)

Indicative Quotes (% of Par)

30 - 91 (50)

Total

5,563.0

The significant unobservable inputs used in the fair value measurement of the Company’s investments in CLOs and other investments include indicative quotes, discount margins, discount rates, default rates, and recovery rates. Significant decreases in indicative quotes or recovery rates in isolation would result in a significantly lower fair value measurement. Significant increases in discount margins, discount rates or default rates in isolation would result in a significantly lower fair value measurement.

The significant unobservable inputs used in the fair value measurement of the Company’s loans payable of Consolidated Funds are indicative quotes, discount rates, default rates, and recovery rates. Significant increases in discount rates or default rates in isolation would result in a significantly lower fair value measurement. Significant decreases in indicative quotes or recovery rates in isolation would result in a significantly lower fair value measurement.