Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2021

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, 2021:


(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.

(2)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, of which $16.8 million relates to investments of consolidated funds.

(3)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, 2020:


(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

(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.

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, 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.

(2) The beginning balance of Investments in CLOs and other has been revised to reflect the exclusion of Fund Investments measured at fair value using the NAV per share practical expedient from the fair value hierarchy.


	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

Changes in Level III financial liabilities measured at fair value


	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

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, 2021:


	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

(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.

The following table summarizes quantitative information about the Company’s Level III inputs as of December 31, 2020:

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