The condensed consolidated financial statements include the accounts of the Company, its subsidiaries and investment products that are consolidated. Voting interest entities ("VOEs") are consolidated when the Company is considered to have a controlling financial interest, which is typically present when the Company owns a majority of the voting interest in an entity or otherwise has the power to govern the financial and operating policies of the entity.

The Company evaluates any variable interest entities ("VIEs") in which the Company has a variable interest for consolidation. A VIE is an entity in which either (i) the equity investment at risk is not sufficient to permit the entity to finance its own activities without additional financial support or (ii) where as a group, the holders of the equity investment at risk do not possess (x) the power through voting or similar rights to direct the activities that most significantly impact the entity’s economic performance; (y) the obligation to absorb expected losses or the right to receive expected residual returns of the entity; or (z) proportionate voting and economic interests and where substantially all of the entity’s activities either involve or are conducted on behalf of an investor with disproportionately fewer voting rights. If an entity has any of these characteristics, it is considered a VIE and is required to be consolidated by its primary beneficiary. The primary beneficiary is the entity that has both the power to direct the activities that most significantly impact the VIE’s economic performance and has the obligation to absorb losses of, or the right to receive benefits from, the VIE that could potentially be significant to the VIE.

In the normal course of its business, the Company sponsors various investment products, some of which are consolidated by the Company. CIP includes both VOEs, made up primarily of open-end funds in which the Company holds a controlling financial interest, and VIEs, which primarily consist of CLOs of which the Company is considered the primary beneficiary. The consolidation and deconsolidation of these investment products have no impact on net income (loss) attributable to stockholders. The Company’s risk with respect to these investment products is limited to its beneficial interests in these products. The Company has no right to the benefits from, and does not bear the risks associated with, these investment products beyond the Company’s investments in, and fees generated from, these products.

The following table presents the balances of CIP that, after intercompany eliminations, were reflected on the Condensed Consolidated Balance Sheets as of September 30, 2020 and December 31, 2019:


	As of
	September 30, 2020						December 31, 2019
			VIEs						VIEs
(in thousands)	VOEs		CLOs		Other		VOEs		CLOs		Other
Cash and cash equivalents	$	9,128	$	43,930	$	1,177	$	2,665	$	97,130	$	363
Investments	46,623		2,231,691		55,371		22,223		1,976,148		31,739
Other assets	2,756		23,821		838		1,563		21,450		599
Notes payable	—		(2,190,937)		—		—		(1,834,535)		—
Securities purchased payable and other liabilities	(2,972)		(37,378)		(670)		(2,964)		(164,887)		(200)
Noncontrolling interests	(22,362)		(8,982)		(2,289)		(3,865)		(10,558)		(1,564)
Net interests in CIP	$	33,173	$	62,145	$	54,427	$	19,622	$	84,748	$	30,937

The majority of the Company's CIP that are VIEs are CLOs. At September 30, 2020, the Company consolidated six CLOs. The financial information of certain CLOs is included on the Company's condensed consolidated financial statements on a one-month lag based upon the availability of the fund financial information. A majority-owned consolidated private fund, whose primary purpose is to invest in CLOs for which the Company serves as the collateral manager, is also included.

The CLOs held investments of $2.2 billion at September 30, 2020 consisting of bank loan investments, which comprise the majority of the CLOs' portfolio asset collateral and are senior secured corporate loans across a variety of industries. These bank loan investments mature at various dates between 2020 and 2028 and pay interest at LIBOR plus a spread of up to 12.00%. The CLOs may elect to reinvest any prepayments received on bank loan investments up until the periods between October 2019 and March 2025, depending on the CLO. Generally, subsequent prepayments received after the reinvestment period must be used to pay down the note obligations. At September 30, 2020, the fair value of the senior bank loans was less than the unpaid principal balance by $135.8 million. At September 30, 2020, there were no material collateral assets in default.

The CLOs held notes payable with a total value, at par, of $2.5 billion at September 30, 2020, consisting of senior secured floating rate notes payable with a par value of $2.2 billion and subordinated notes with a par value of $225.9 million. These note obligations bear interest at variable rates based on LIBOR plus a pre-defined spread ranging from 0.8% to 8.7%. The principal amounts outstanding of these note obligations mature on dates ranging from October 2027 to January 2033.

The Company’s beneficial interests and maximum exposure to loss related to these consolidated CLOs is limited to (i) ownership in the subordinated notes and (ii) accrued management fees. The secured notes of the consolidated CLOs have contractual recourse only to the related assets of the CLO and are classified as financial liabilities. Although these beneficial interests are eliminated upon consolidation, the application of the measurement alternative prescribed by ASU 2014-13, Consolidation (Topic 810) ("ASU 2014-13") results in the net assets of the consolidated CLOs shown above to be equivalent to the beneficial interests retained by the Company at September 30, 2020, as shown in the table below:


(in thousands)	Nine Months Ended September 30, 2020
Income:
Realized and unrealized gain (loss), net	$	(9,648)
Interest income	81,846

Total income	72,198

Expenses:
Other operating expenses	9,535
Interest expense	70,258
Total expense	79,793
Noncontrolling interests	146
Net Income (loss) attributable to CIP	$	(7,449)


(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Cash equivalents	$	43,930	$	—	$	—	$	43,930
Debt investments	14,472		2,275,610		13,326		2,303,408
Equity investments	27,092		1,349		1,836		30,277
Derivatives	586		845		—		1,431
Total assets measured at fair value	$	86,080	$	2,277,804	$	15,162	$	2,379,046
Liabilities
Notes payable	$	—	$	2,190,937	$	—	$	2,190,937
Derivatives	539		433		—		972
Short sales	472		—		—		472
Total liabilities measured at fair value	$	1,011	$	2,191,370	$	—	$	2,192,381


(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Cash equivalents	$	97,130	$	—	$	—	$	97,130
Debt investments	218		1,973,427		39,389		2,013,034
Equity investments	15,872		171		1,033		17,076

Total assets measured at fair value	$	113,220	$	1,973,598	$	40,422	$	2,127,240
Liabilities
Notes payable	$	—	$	1,834,535	$	—	$	1,834,535

Short sales	430		—		—		430
Total liabilities measured at fair value	$	430	$	1,834,535	$	—	$	1,834,965

Debt and equity investments represent the underlying debt, equity and other securities held in CIP. Equity investments are valued at the official closing price on the exchange on which the securities are traded and are generally categorized within Level 1. Level 2 investments represent most debt securities, including bank loans and certain equity securities (including non-U.S. securities), for which closing prices are not readily available or are deemed to not reflect readily available market prices, and are valued using an independent pricing service. Debt investments are valued based on quotations received from independent pricing services or from dealers who make markets in such securities. Bank loan investments, which are included

as debt investments, are generally priced at the average mid-point of bid and ask quotations obtained from a third-party pricing service. Fair value may also be based upon valuations obtained from independent third-party brokers or dealers utilizing matrix pricing models that consider information regarding securities with similar characteristics. In certain instances, fair value has been determined utilizing discounted cash flow analyses or single broker non-binding quotes. Depending on the nature of the inputs, these assets are classified as Level 1, 2 or 3 within the fair value measurement hierarchy. Level 3 investments include debt and equity securities that are not widely traded, are illiquid or are priced by dealers based on pricing models used by market makers in the security.

Derivative assets and liabilities represent futures contracts, swaps contracts, option contracts and forward contracts held in CIP. Derivative instruments in an asset position are classified as other assets of CIP on the Condensed Consolidated Balance Sheets. Derivative instruments in a liability position are classified as liabilities of CIP within the Condensed Consolidated Balance Sheets. The change in fair value of such derivatives is recorded in realized and unrealized gain (loss) on investments of CIP, net, on the Condensed Consolidated Statements of Operations. Depending on the nature of the inputs, these derivative assets and liabilities are classified as Level 1, 2 or 3 within the fair value measurement hierarchy. In connection with entering into these derivative contracts, these CIP may be required to pledge an amount of cash equal to the appropriate “initial margin” requirements. The cash pledged or on deposit is recorded on the Condensed Consolidated Balance Sheets of the Company as Cash pledged or on deposit of CIP. The fair value of such derivatives at September 30, 2020 was immaterial.

Notes payable represent notes issued by CIP CLOs and are measured using the measurement alternative in ASU 2014-13. Accordingly, the fair value of CLO liabilities was measured as the fair value of CLO assets less the sum of (i) the fair value of the beneficial interests held by the Company and (ii) the carrying value of any beneficial interests that represent compensation for services. The fair value of the beneficial interests held by the Company is based on third-party pricing information without adjustment.

Short sales are transactions in which a security is sold that is not owned or is owned but there is no intention to deliver, in anticipation that the price of the security will decline. Short sales are recorded on the Condensed Consolidated Balance Sheets within other liabilities of CIP and are classified as Level 1 based on the underlying equity security.


	Nine Months Ended September 30,
(in thousands)	2020		2019
Level 3 Investments of CIP (1)
Balance at beginning of period	$	40,422	$	6,848
Realized gains (losses), net	5		(95)
Change in unrealized gains (losses), net	(335)		310

Purchases	1,137		2,157

Amortization	9		(16)
Sales	(1,256)		(5,414)
Transfers to Level 2	(50,463)		(42,232)
Transfers from Level 2	25,643		51,544
Balance at end of period	$	15,162	$	13,102

The Company serves as the collateral manager for other collateralized loan and collateralized bond obligations (collectively, "CDOs") that are not consolidated. The assets and liabilities of these CDOs reside in bankruptcy remote, special purpose entities in which the Company has no ownership of, nor holds any notes issued by, the CDOs, and provides neither recourse nor guarantees. The Company has determined that the investment management fees it receives for serving as collateral

manager for these CDOs did not represent a variable interest since (i) the fees the Company earns are compensation for services provided and are commensurate with the level of effort required to provide the investment management services, (ii) the Company does not hold other interests in the CDOs that individually, or in the aggregate, would absorb more than an insignificant amount of the CDOs' expected losses or receive more than an insignificant amount of the CDOs' expected residual return, and (iii) the investment management arrangement only includes terms, conditions and amounts that are customarily present in arrangements for similar services negotiated at arm's length.