XML 34 R29.htm IDEA: XBRL DOCUMENT v2.4.0.6
Consolidated Investment Products (Tables)
 6 Months Ended
Jun. 30, 2012
Consolidated Investment Products [Abstract]  
Company's Maximum Risk Of Loss In Significant VIE's
At June 30, 2012, the company’s maximum risk of loss in significant VIEs in which the company is not the primary beneficiary is presented in the table below.
$ in millions
Footnote Reference
 
Carrying Value
 
Company's Maximum Risk of Loss
CLO investments
3

 
2.5

 
2.5

Partnership and trust investments
—

 
35.1

 
35.1

Investments in Invesco Mortgage Capital Inc.
—

 
28.7

 
28.7

Support agreements*
10

 
(1.0
)
 
36.0

Total
 
 
 
 
102.3


*
As of June 30, 2012, the committed support under these agreements was $36.0 million with an internal approval mechanism to increase the maximum possible support to $66.0 million at the option of the company.
VIE Balance Sheets Consolidated In Period
The table below illustrates the summary balance sheet amounts related to this CLO before consolidation into the company.
Balance Sheet
$ in millions
CLO - VIE
During the six months ended June 30, 2012
 
Current assets
174.8

Non-current assets
325.6

Total assets
500.4

Current liabilities
155.7

Non-current liabilities
345.3

Total liabilities
501.0

Total equity
(0.6
)
Total liabilities and equity
500.4

$ in millions
CLO - VIE
During the six months ended June 30, 2012
 
Current assets
48.2

Non-current assets
594.1

Total assets
642.3

Current liabilities
18.7

Non-current liabilities
576.0

Total liabilities
594.7

Total equity
47.6

Total liabilities and equity
642.3
Condensed Consolidating Balance Sheet Line Items Reflecting Impact Of Consolidation Of Investment Products Into The Condensed Consolidated Balance Sheets
The following tables reflect the impact of consolidation of investment products into the Condensed Consolidated Balance Sheets as of June 30, 2012 and December 31, 2011, and the Condensed Consolidated Statements of Income for the six months ended June 30, 2012 and 2011.
Condensed Consolidating Balance Sheets
$ in millions
Before Consolidation(1)
 
CLOs-VIEs
 
Other VIEs
 
VOEs
 
Adjustments(2)
 
Subtotal - Impact of Consolidated Investment Products
 
Total
As of June 30, 2012
 
 
 
 
 
 
 
 
 
 
 
 
 
Current assets
3,190.3

 
410.5

 
3.4

 
97.4

 
(28.6
)
 
482.7

 
3,673.0

Non-current assets
8,974.1

 
5,163.9

 
40.2

 
846.8

 
(85.1
)
 
5,965.8

 
14,939.9

Total assets
12,164.4

 
5,574.4

 
43.6

 
944.2

 
(113.7
)
 
6,448.5

 
18,612.9

Current liabilities
2,546.2

 
189.3

 
0.4

 
3.5

 
(14.7
)
 
178.5

 
2,724.7

Long-term debt of consolidated investment products
—

 
5,133.3

 
—

 
—

 
(63.6
)
 
5,069.7

 
5,069.7

Other non-current liabilities
1,699.7

 
—

 
—

 
—

 
—

 
—

 
1,699.7

Total liabilities
4,245.9

 
5,322.6

 
0.4

 
3.5

 
(78.3
)
 
5,248.2

 
9,494.1

Retained earnings appropriated for investors in consolidated investment products
—

 
251.8

 
—

 
—

 
—

 
251.8

 
251.8

Other equity attributable to common shareholders
7,914.0

 
—

 
0.1

 
35.3

 
(35.4
)
 
—

 
7,914.0

Equity attributable to noncontrolling interests in consolidated entities
4.5

 
—

 
43.1

 
905.4

 
—

 
948.5

 
953.0

Total liabilities and equity
12,164.4

 
5,574.4

 
43.6

 
944.2

 
(113.7
)
 
6,448.5

 
18,612.9

 
 
 
 
 
 
 
 
 
 
 
 
 
 
$ in millions
Before Consolidation(1)
 
CLOs-VIEs
 
Other VIEs
 
VOEs
 
Adjustments(2)
 
Subtotal - Impact of Consolidated Investment Products
 
Total
As of December 31, 2011
 
 
 
 
 
 
 
 
 
 
 
 
 
Current assets
3,352.7

 
394.5

 
3.1

 
113.7

 
(29.9
)
 
481.4

 
3,834.1

Non-current assets
8,976.5

 
5,682.3

 
42.8

 
903.8

 
(92.5
)
 
6,536.4

 
15,512.9

Total assets
12,329.2

 
6,076.8

 
45.9

 
1,017.5

 
(122.4
)
 
7,017.8

 
19,347.0

Current liabilities
2,818.9

 
179.2

 
0.4

 
5.8

 
(29.9
)
 
155.5

 
2,974.4

Long-term debt of consolidated investment products
—

 
5,563.3

 
—

 
—

 
(50.4
)
 
5,512.9

 
5,512.9

Other non-current liabilities
1,722.1

 
—

 
—

 
—

 
—

 
—

 
1,722.1

Total liabilities
4,541.0

 
5,742.5

 
0.4

 
5.8

 
(80.3
)
 
5,668.4

 
10,209.4

Retained earnings appropriated for investors in consolidated investment products
—

 
334.3

 
—

 
—

 
—

 
334.3

 
334.3

Other equity attributable to common shareholders
7,783.7

 
—

 
0.1

 
43.1

 
(42.1
)
 
1.1

 
7,784.8

Equity attributable to noncontrolling interests in consolidated entities
4.5

 
—

 
45.4

 
968.6

 
—

 
1,014.0

 
1,018.5

Total liabilities and equity
12,329.2

 
6,076.8

 
45.9

 
1,017.5

 
(122.4
)
 
7,017.8

 
19,347.0

 
 
 
 
 
 
 
 
 
 
 
 
 
 

(1)
The Before Consolidation column includes the company’s equity interest in the investment products subsequently consolidated, accounted for as equity method and available-for-sale investments.
(2)
Adjustments include the elimination of intercompany transactions between the company and its consolidated investment products, primarily the elimination of the company’s equity at risk recorded as investments by the company (before consolidation) against either the equity (private equity and real estate partnership funds) or subordinated debt (CLOs) of the funds.
Condensed Consolidating Statement of Income [Table Text Block]
Condensed Consolidating Statements of Income
$ in millions
Before Consolidation(1)
 
CLOs-VIEs
 
Other VIEs
 
VOEs
 
Adjustments(1)(2)
 
Subtotal - Impact of Consolidated Investment Products
 
Total
Three months ended June 30, 2012
 
 
 
 
 
 
 
 
 
 
 
 
 
Total operating revenues
1,019.5

 
—

 
—

 
—

 
(10.5
)
 
(10.5
)
 
1,009.0

Total operating expenses
791.4

 
13.9

 
0.2

 
11.1

 
(10.5
)
 
14.7

 
806.1

Operating income
228.1

 
(13.9
)
 
(0.2
)
 
(11.1
)
 
—

 
(25.2
)
 
202.9

Equity in earnings of unconsolidated affiliates
9.7

 
—

 
—

 
—

 
(2.8
)
 
(2.8
)
 
6.9

Interest and dividend income
5.7

 
68.7

 
—

 
—

 
(3.5
)
 
65.2

 
70.9

Other investment income/(losses)
(7.7
)
 
28.2

 
1.8

 
53.3

 
(6.1
)
 
77.2

 
69.5

Interest expense
(13.4
)
 
(50.4
)
 
—

 
—

 
3.5

 
(46.9
)
 
(60.3
)
Income before income taxes
222.4

 
32.6

 
1.6

 
42.2

 
(8.9
)
 
67.5

 
289.9

Income tax provision
(62.3
)
 
—

 
—

 
—

 
—

 
—

 
(62.3
)
Net income
160.1

 
32.6

 
1.6

 
42.2

 
(8.9
)
 
67.5

 
227.6

Net (income)/loss attributable to noncontrolling interests in consolidated entities, net
—

 
(32.6
)
 
(1.6
)
 
(39.5
)
 
—

 
(73.7
)
 
(73.7
)
Net income attributable to common shareholders
160.1

 
—

 
—

 
2.7

 
(8.9
)
 
(6.2
)
 
153.9

 
 
 
 
 
 
 
 
 
 
 
 
 
 

$ in millions
Before Consolidation(1)
 
CLOs-VIEs
 
Other VIEs
 
VOEs
 
Adjustments(1)(2)
 
Subtotal - Impact of Consolidated Investment Products
 
Total
Three months ended June 30, 2011
 
 
 
 
 
 
 
 
 
 
 
 
 
Total operating revenues
1,082.1

 
—

 
—

 
0.1

 
(12.2
)
 
(12.1
)
 
1,070.0

Total operating expenses
833.4

 
12.1

 
0.2

 
3.5

 
(12.2
)
 
3.6

 
837.0

Operating income
248.7

 
(12.1
)
 
(0.2
)
 
(3.4
)
 
—

 
(15.7
)
 
233.0

Equity in earnings of unconsolidated affiliates
10.5

 
—

 
—

 
—

 
0.3

 
0.3

 
10.8

Interest and dividend income
4.0

 
79.8

 
—

 
—

 
(1.6
)
 
78.2

 
82.2

Other investment income/(losses)
6.0

 
(73.8
)
 
0.6

 
3.4

 
5.1

 
(64.7
)
 
(58.7
)
Interest expense
(16.0
)
 
(48.1
)
 
—

 
—

 
1.6

 
(46.5
)
 
(62.5
)
Income before income taxes
253.2

 
(54.2
)
 
0.4

 
—

 
5.4

 
(48.4
)
 
204.8

Income tax provision
(75.4
)
 
—

 
—

 
—

 
—

 
—

 
(75.4
)
Net income
177.8

 
(54.2
)
 
0.4

 
—

 
5.4

 
(48.4
)
 
129.4

Net (income)/loss attributable to noncontrolling interests in consolidated entities, net
—

 
54.2

 
(0.4
)
 
(0.2
)
 
—

 
53.6

 
53.6

Net income attributable to common shareholders
177.8

 
—

 
—

 
(0.2
)
 
5.4

 
5.2

 
183.0

 
 
 
 
 
 
 
 
 
 
 
 
 
 

(1)
The Before Consolidation column includes the company’s equity interest in the investment products accounted for as equity method (private equity and real estate partnership funds) and available-for-sale investments (CLOs). Upon consolidation of the CLOs, the company’s and the CLOs’ accounting policies are effectively aligned, resulting in the reclassification of the company’s loss for the three months ended June 30, 2012 of $6.1 million (representing the decrease in the market value of the company’s holding in the consolidated CLOs) from other comprehensive income into other gains/losses (three months ended June 30, 2011: $5.1 million gain). The company’s loss (gain) on its investments in the CLOs (before consolidation) eliminates with the company’s share of the offsetting gain (loss) on the CLOs’ debt. The net income arising from consolidation of CLOs is therefore completely attributed to other investors in these CLOs, as the company’s share has been eliminated through consolidation.
(2)
Adjustments include the elimination of intercompany transactions between the company and its consolidated investment products, primarily the elimination of management fees expensed by the funds and recorded as operating revenues (before consolidation) by the company.

$ in millions
Before Consolidation(1)
 
CLOs-VIEs
 
Other VIEs
 
VOEs
 
Adjustments(1)(2)
 
Subtotal - Impact of Consolidated Investment Products
 
Total
Six months ended June 30, 2012
 
 
 
 
 
 
 
 
 
 
 
 
 
Total operating revenues
2,063.6

 
—

 
—

 
—

 
(20.9
)
 
(20.9
)
 
2,042.7

Total operating expenses
1,589.2

 
24.1

 
0.5

 
17.1

 
(20.9
)
 
20.8

 
1,610.0

Operating income
474.4

 
(24.1
)
 
(0.5
)
 
(17.1
)
 
—

 
(41.7
)
 
432.7

Equity in earnings of unconsolidated affiliates
16.0

 
—

 
—

 
—

 
0.6

 
0.6

 
16.6

Interest and dividend income
11.5

 
137.7

 
—

 
—

 
(6.9
)
 
130.8

 
142.3

Other investment income/(losses)
10.8

 
(40.6
)
 
0.9

 
(3.0
)
 
(1.9
)
 
(44.6
)
 
(33.8
)
Interest expense
(27.0
)
 
(99.4
)
 
—

 
—

 
6.9

 
(92.5
)
 
(119.5
)
Income before income taxes
485.7

 
(26.4
)
 
0.4

 
(20.1
)
 
(1.3
)
 
(47.4
)
 
438.3

Income tax provision
(135.9
)
 
—

 
—

 
—

 
—

 
—

 
(135.9
)
Net income
349.8

 
(26.4
)
 
0.4

 
(20.1
)
 
(1.3
)
 
(47.4
)
 
302.4

Net (income)/loss attributable to noncontrolling interests in consolidated entities, net
—

 
26.4

 
(0.4
)
 
19.4

 
—

 
45.4

 
45.4

Net income attributable to common shareholders
349.8

 
—

 
—

 
(0.7
)
 
(1.3
)
 
(2.0
)
 
347.8

 
 
 
 
 
 
 
 
 
 
 
 
 
 

$ in millions
Before Consolidation(1)
 
CLOs-VIEs
 
Other VIEs
 
VOEs
 
Adjustments(1)(2)
 
Subtotal - Impact of Consolidated Investment Products
 
Total
Six months ended June 30, 2011
 
 
 
 
 
 
 
 
 
 
 
 
 
Total operating revenues
2,120.5

 
—

 
—

 
0.1

 
(23.3
)
 
(23.2
)
 
2,097.3

Total operating expenses
1,631.3

 
24.3

 
0.5

 
5.8

 
(23.3
)
 
7.3

 
1,638.6

Operating income
489.2

 
(24.3
)
 
(0.5
)
 
(5.7
)
 
—

 
(30.5
)
 
458.7

Equity in earnings of unconsolidated affiliates
18.4

 
—

 
—

 
—

 
(0.9
)
 
(0.9
)
 
17.5

Interest and dividend income
7.3

 
154.0

 
—

 
—

 
(2.8
)
 
151.2

 
158.5

Other investment income/(losses)
13.9

 
(210.6
)
 
0.9

 
44.5

 
15.0

 
(150.2
)
 
(136.3
)
Interest expense
(32.2
)
 
(89.3
)
 
—

 
—

 
2.8

 
(86.5
)
 
(118.7
)
Income before income taxes
496.6

 
(170.2
)
 
0.4

 
38.8

 
14.1

 
(116.9
)
 
379.7

Income tax provision
(151.0
)
 
—

 
—

 
—

 
—

 
—

 
(151.0
)
Net income
345.6

 
(170.2
)
 
0.4

 
38.8

 
14.1

 
(116.9
)
 
228.7

Net (income)/loss attributable to noncontrolling interests in consolidated entities, net
0.1

 
170.2

 
(0.4
)
 
(38.1
)
 
—

 
131.7

 
131.8

Net income attributable to common shareholders
345.7

 
—

 
—

 
0.7

 
14.1

 
14.8

 
360.5

 
 
 
 
 
 
 
 
 
 
 
 
 
 

(1)
The Before Consolidation column includes the company’s equity interest in the investment products accounted for as equity method (private equity and real estate partnership funds) and available-for-sale investments (CLOs). Upon consolidation of the CLOs, the company’s and the CLOs’ accounting policies are effectively aligned, resulting in the reclassification of the company’s loss for the six months ended June 30, 2012 of $1.9 million (representing the decrease in the market value of the company’s holding in the consolidated CLOs) from other comprehensive income into other gains/losses (six months ended June 30, 2011: $15 million gain). The company’s loss (gain) on its investments in the CLOs (before consolidation) eliminates with the company’s share of the offsetting gain (loss) on the CLOs’ debt. The net income arising from consolidation of CLOs is therefore completely attributed to other investors in these CLOs, as the company’s share has been eliminated through consolidation.
(2)
Adjustments include the elimination of intercompany transactions between the company and its consolidated investment products, primarily the elimination of management fees expensed by the funds and recorded as operating revenues (before consolidation) by the company.
Fair Value Hierarchy Levels Of Investments Held And Notes Issued By Consolidated Investment Products
The following table presents the fair value hierarchy levels of investments held, derivative contracts, and notes issued by consolidated investment products, which are measured at fair value as of June 30, 2012 and December 31, 2011:
 
As of June 30, 2012
$ in millions
Fair Value Measurements
 
Quoted Prices in
Active Markets for
Identical Assets (Level 1)
 
Significant Other
Observable Inputs (Level 2)
 
Significant
Unobservable Inputs (Level 3)
Assets:
 
 
 
 
 
 
 
CLO collateral assets:
 
 
 
 
 
 
 
Bank loans
4,846.9

 
—

 
4,846.9

 
—

Bonds
292.9

 
—

 
292.9

 
—

Equity securities
24.1

 
—

 
24.1

 
—

CLO-related derivative assets
7.6

 
—

 
7.6

 
—

Private equity fund assets:

 
  
 
  
 
  
Equity securities
149.1

 
23.3

 
—

 
125.8

Debt securities
11.9

 
—

 
—

 
11.9

Investments in other private equity funds
564.3

 
—

 
—

 
564.3

Debt securities issued by the U.S. Treasury
9.0

 
9.0

 
—

 
—

Real estate investments
152.6

 
—

 
—

 
152.6

Total assets at fair value
6,058.4

 
32.3

 
5,171.5

 
854.6

Liabilities:

 
 
 
 
 
 
CLO notes
(5,069.7
)
 
—

 
—

 
(5,069.7
)
CLO-related derivative liabilities
(9.2
)
 
—

 
(9.2
)
 
—

Total liabilities at fair value
(5,078.9
)
 
—

 
(9.2
)
 
(5,069.7
)

 
As of December 31, 2011
$ in millions
Fair Value Measurements
 
Quoted Prices in
Active Markets for
Identical Assets (Level 1)
 
Significant Other
Observable Inputs (Level 2)
 
Significant
Unobservable Inputs (Level 3)
Assets:
 
 
 
 
 
 
 
CLO collateral assets:
 
 
 
 
 
 
 
Bank loans
5,354.3

 
—

 
5,354.3

 
—

Bonds
292.8

 
—

 
292.8

 
—

Equity securities
35.3

 
—

 
35.3

 
—

CLO-related derivative assets
10.8

 
—

 
10.8

 
—

Private equity fund assets:

 
  
 
  
 
  
Equity securities
138.2

 
11.4

 
0.1

 
126.7

Debt securities
10.0

 
—

 
—

 
10.0

Investments in other private equity funds
559.5

 
—

 
—

 
559.5

Debt securities issued by the U.S. Treasury
6.0

 
6.0

 
—

 
—

Real estate investments
232.9

 
—

 
—

 
232.9

Total assets at fair value
6,639.8

 
17.4

 
5,693.3

 
929.1

Liabilities:
 
 
 
 
 
 
 
CLO notes
(5,512.9
)
 
—

 
—

 
(5,512.9
)
CLO-related derivative liabilities
(5.8
)
 
—

 
(5.8
)
 
—

Total liabilities at fair value
(5,518.7
)
 
—

 
(5.8
)
 
(5,512.9
)
Beginning And Ending Fair Value Measurements For Level 3 Assets And Liabilities
The following table shows a reconciliation of the beginning and ending fair value measurements for level 3 assets and liabilities using significant unobservable inputs:
 
Three months ended June 30, 2012
 
Six months ended June 30, 2012
$ in millions
Level 3 Assets
 
Level 3 Liabilities
 
Level 3 Assets
 
Level 3 Liabilities
Beginning balance
837.8

 
(5,345.0
)
 
929.1

 
(5,512.9
)
Purchases
—

 
—

 
0.5

 
—

Sales
(24.9
)
 
—

 
(55.7
)
 
—

Issuances
—

 
—

 
—

 
(325.2
)
Settlements
—

 
105.0

 
—

 
195.7

Deconsolidation of consolidated investment products
—

 
—

 
—

 
573.4

Gains and losses included in the Condensed Consolidated Statements of Income*
52.2

 
23.7

 
(8.8
)
 
(158.7
)
Foreign exchange
(10.5
)
 
146.6

 
(10.5
)
 
158.0

Ending balance
854.6

 
(5,069.7
)
 
854.6

 
(5,069.7
)

 
Three months ended June 30, 2011
 
Six months ended June 30, 2011
$ in millions
Level 3 Assets
 
Level 3 Liabilities
 
Level 3 Assets
 
Level 3 Liabilities
Beginning balance
950.3

 
(6,291.0
)
 
972.8

 
(5,865.4
)
Purchases
17.7

 
—

 
26.9

 
—

Sales
(58.1
)
 
—

 
(131.5
)
 
—

Issuances
—

 
—

 
—

 
—

Settlements
—

 
160.8

 
—

 
260.0

Gains and losses included in the Condensed Consolidated Statements of Income*
5.7

 
(52.8
)
 
47.4

 
(433.7
)
Foreign exchange
(5.8
)
 
(109.7
)
 
(5.8
)
 
(253.6
)
Ending balance
909.8

 
(6,292.7
)
 
909.8

 
(6,292.7
)

*
Included in gains and losses of consolidated investment products in the Condensed Consolidated Statement of Income for the three and six months ended June 30, 2012 are $55.6 million in net unrealized gains and $3.1 million in net unrealized losses attributable to investments still held at June 30, 2012 by consolidated investment products (three and six months ended June 30, 2011: $6.9 million in net unrealized losses and $11.0 million in net unrealized gains attributable to investments still held at June 30, 2011).
Fair Value Inputs, Assets and Liabilities, Quantitative Information, Consolidated Investment Products
The following table shows significant unobservable inputs used in the fair value measurement of level 3 assets and liabilities:
Assets and Liabilities *
 
Fair Value at June 30, 2012 ($ in millions)
 
Valuation Technique
 
Unobservable Inputs
 
Range
Private Equity Funds --Equity Securities
 
125.8
 
Market Comparable
 
EBITDA Multiple
 
30 - 40x
 
 
 
 
 
 
Revenue Multiple
 
5 - 15x
 
 
 
 
 
 
Discount
 
20% - 50%
Real Estate Investments
 
152.6
 
Discounted Cash Flow
 
In-Place & Market Rent Rates
 
JPY 250 - JPY 700 per sq ft
 
 
 
 
 
 
Revenue Growth Rate
 
0.0% - 2.0%
 
 
 
 
 
 
Discount Rate
 
5.75% - 8.00%
 
 
 
 
 
 
Exit Capitalization Rate
 
6.00% - 8.25%
 
 
 
 
 
 
Stabilized Occupancy Rate
 
92.0% - 96.0%
 
 
 
 
 
 
Expense Growth Rate
 
1.00%
 
 
 
 
Market Comparable
 
In-Place & Market Rent Rates
 
JPY 250 - JPY 700 per sq ft
 
 
 
 
 
 
Exit Capitalization Rate
 
6.00% - 8.25%
CLO Notes
 
(5,069.7)
 
Discounted Cash Flow- Euro
 
Probability of Default
 
1% - 5%
 
 
 
 
 
 
Spread over Euribor **
 
300 - 2850 bps
 
 
 
 
Discounted Cash Flow- USD
 
Probability of Default
 
1% - 4%
 
 
 
 
 
 
Spread over Libor **
 
200 - 1800 bps

*
Certain equity securities held by consolidated private equity funds are valued using third-party pricing information and/or recent private market transactions.  Quantitative unobservable inputs for such valuations were not developed or adjusted by the company. Debt securities held by consolidated private equity funds of $11.9 million are excluded from the table above as they are valued using a cost valuation technique. Investments in other private equity funds of $564.3 million are also excluded from the table above as they are valued using the NAV practical expedient.
**
Lower spreads relate to the more senior tranches in the CLO note structure; higher spreads relate to the less senior tranches.