CONSOLIDATED INVESTMENT PRODUCTS

The following table presents the balances related to CIP that are included on the Consolidated Balance Sheets as well as Invesco's net interest in the CIP for each period presented.



	As of
$ in millions	December 31, 2014		December 31, 2013
Cash and cash equivalents of CIP	404.0		583.6
Accounts receivable and other assets of CIP	161.3		58.3
Investments of CIP	5,762.8		4,734.7
Less: Debt of CIP	(5,149.6	)	(4,181.7	)
Less: Other liabilities of CIP	(280.9	)	(461.8	)
Less: Retained earnings ⁽¹⁾	(20.3	)	(12.5	)
Less: Retained earnings appropriated for investors in CIP	(17.6	)	(104.3	)
Less: Accumulated other comprehensive income, net of tax ⁽¹⁾	20.2		12.7
Less: Equity attributable to nonredeemable noncontrolling interests	(781.2	)	(570.3	)
Invesco's net interests in CIP	98.7		58.7
Invesco's net interests as a percentage of investments of CIP	1.7	%	1.2	%

____________


(1)	These amounts reflect the reclassification of the company's net gain or loss (representing the changes in the market value of the company's holding in the consolidated CLOs) from other comprehensive income into other gains/losses upon consolidation.

The company's risk with respect to each investment in CIP is limited to its equity ownership and any uncollected management and performance fees. Therefore, the gains or losses of CIP have not had a significant impact on the company's net income attributable to common shareholders, liquidity or capital resources. The company has no right to the benefits from, nor does it bear the risks associated with, these investments, beyond the company's minimal direct investments in, and management and performance fees generated from, the investment products. If the company were to liquidate, these investments would not be available to the general creditors of the company, and as a result, the company does not consider investments held by CIP to be company assets. Additionally, the collateral assets of consolidated collateralized loan obligations (CLOs) are held solely to satisfy the obligations of the CLOs, and the investors in the consolidated CLOs have no recourse to the general credit of the company for the notes issued by the CLOs.

At December 31, 2014, 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	3.4	3.4
Partnership and trust investments	—	16.0	16.0
Investments in Invesco Mortgage Capital Inc.	—	29.7	29.7
Total			49.1

During the year ended December 31, 2014, the company invested in and consolidated eight new VIEs and one VOE (December 31, 2013: the company invested in and consolidated five VIEs and one VOE). The tables below illustrate the summary balance sheet amounts related to these products before each entity's initial consolidation into the company. The balances below are reflective of the balances existing at each entity's respective consolidation date after the initial funding of the investments by the company and unrelated third-party investors. The current period activity for the consolidated funds, including the initial funding and subsequent investment of initial cash balances into underlying investments of CIP, is reflected in the company’s Consolidated Financial Statements.

Balance Sheet



	For the year ended December 31, 2014			For the year ended December 31, 2013
$ in millions	VIEs		VOEs	VIEs		VOEs
Cash and cash equivalents of CIP	816.5		—	967.3		6.6
Accounts receivable and other assets of CIP	11.3		9.0	13.5		2.6
Investments of CIP	1,751.4		40.1	1,091.9		52.2
Total assets	2,579.2		49.1	2,072.7		61.4

Debt of CIP	1,913.7		—	1,346.5		25.0
Other liabilities of CIP	674.7		11.8	728.7		36.0
Total liabilities	2,588.4		11.8	2,075.2		61.0
Total equity	(9.2	)	37.3	(2.5	)	0.4
Total liabilities and equity	2,579.2		49.1	2,072.7		61.4

During the year ended December 31, 2014, the company determined that it was no longer the primary beneficiary of a CLO due to a change in the rights held by others. During the year ended December 31, 2013, the company deconsolidated four entities: a CLO due to a reassessment of rights held by others; a CLO and CLO warehouse in liquidation; and a private equity fund due to a change in the ownership of the parent of the general partner of the fund. The amounts deconsolidated from the Consolidated Balance Sheet are illustrated in the table below. There was no net impact to the Consolidated Statements of Income for the years ended December 31, 2014 and December 31, 2013 from the deconsolidation of these investment products.

Balance Sheet



	For the year ended December 31, 2014	For the year ended December 31, 2013
$ in millions	CLOs - VIEs	CLOs - VIEs	VOEs
Cash and cash equivalents of CIP	30.5	1.9	6.6
Accounts receivable and other assets of CIP	17.6	4.2	12.1
Investments of CIP	346.5	260.5	76.1
Total assets	394.6	266.6	94.8

Debt of CIP	347.9	241.1	25.0
Other liabilities of CIP	45.7	2.4	36.0
Total liabilities	393.6	243.5	61.0
Total equity	1.0	23.1	33.8
Total liabilities and equity	394.6	266.6	94.8

The following tables reflect the impact of consolidation of investment products into the Consolidated Balance Sheets as of December 31, 2014 and December 31, 2013, and the Consolidated Statements of Income for the years ended December 31, 2014, 2013 and 2012.

Summary of Balance Sheet Impact of CIP



	As of December 31, 2014
$ in millions	CLOs - VIEs		Other VIEs	VOEs	Adjustments⁽¹⁾		Impact of CIP
Accounts receivable	—		—	—	(3.8	)	(3.8	)
Investments	—		—	—	(94.9	)	(94.9	)
Cash and cash equivalents of CIP	378.8		5.0	21.5	(1.3	)	404.0
Accounts receivable of CIP	155.7		0.1	5.5	—		161.3
Investments of CIP	5,063.5		53.4	730.2	(84.3	)	5,762.8
Total assets	5,598.0		58.5	757.2	(184.3	)	6,229.4

Debt of CIP	5,302.9		—	—	(153.3	)	5,149.6
Other liabilities of CIP	277.4		0.4	6.9	(3.8	)	280.9
Total liabilities	5,580.3		0.4	6.9	(157.1	)	5,430.5
Retained earnings	20.3		—	—	—		20.3
Retained earnings appropriated for investors in CIP	17.6		—	—	—		17.6
Accumulated other comprehensive income, net of tax	(20.2	)	—	—	—		(20.2	)
Equity attributable to nonredeemable noncontrolling interests in consolidated entities	—		58.1	750.3	(27.2	)	781.2
Total liabilities and equity	5,598.0		58.5	757.2	(184.3	)	6,229.4

____________


(1)	See footnote (1) to the Summary Balance Sheet Impact of CIP table as of December 31, 2013.



	As of December 31, 2013
$ in millions	CLOs - VIEs		Other VIEs	VOEs	Adjustments⁽¹⁾		Impact of CIP
Accounts receivable	—		—	—	(3.4	)	(3.4	)
Investments	—		—	—	(55.3	)	(55.3	)
Cash and cash equivalents of CIP	542.3		5.6	35.7	—		583.6
Accounts receivable of CIP	56.3		0.2	1.8	—		58.3
Investments of CIP	4,237.3		40.4	512.2	(55.2	)	4,734.7
Total assets	4,835.9		46.2	549.7	(113.9	)	5,317.9

Debt of CIP	4,270.4		—	—	(88.7	)	4,181.7
Other liabilities of CIP	461.4		0.9	3.0	(3.5	)	461.8
Total liabilities	4,731.8		0.9	3.0	(92.2	)	4,643.5
Retained Earnings	12.5		—	—	—		12.5
Retained earnings appropriated for investors in CIP	104.3		—	—	—		104.3
Accumulated other comprehensive income, net of tax	(12.7	)	—	—	—		(12.7	)
Equity attributable to nonredeemable noncontrolling interests in consolidated entities	—		45.3	546.7	(21.7	)	570.3
Total liabilities and equity	4,835.9		46.2	549.7	(113.9	)	5,317.9

____________


(1)	Adjustments include the elimination of intercompany transactions between the company and its CIP, primarily the elimination of the company's equity at risk recorded as investments by the company (before consolidation) against either equity (private equity and real estate partnership funds) or subordinated debt (CLOs) of the funds.

Summary of Income Statement Impact of CIP



	Year ended December 31, 2014
$ in millions	CLOs - VIEs		Other VIEs		VOEs		Adjustments⁽²⁾		Impact of CIP
Total operating revenues	—		0.2		0.4		(35.8	)	(35.2	)
Total operating expenses	61.5		1.1		7.8		(35.8	)	34.6
Operating income	(61.5	)	(0.9	)	(7.4	)	—		(69.8	)
Equity in earnings of unconsolidated affiliates	—		—		—		(4.0	)	(4.0	)
Interest and dividend income	—		—		—		(3.3	)	(3.3	)
Other gains and losses, net	—		—		—		(4.8	)	(4.8	)
Interest and dividend income of CIP	220.4		—		—		(13.9	)	206.5
Interest expense of CIP	(151.2	)	—		—		17.3		(133.9	)
Other gains/(losses) of CIP, net	(93.2	)	(1.0	)	102.3		12.3		20.4
Income from continuing operations before income taxes	(85.5	)	(1.9	)	94.9		3.6		11.1
Income tax provision	—		—		—		—		—
Income from continuing operations, net of income taxes	(85.5	)	(1.9	)	94.9		3.6		11.1
Income from discontinued operations, net of income taxes	—		—		—		—		—
Net income	(85.5	)	(1.9	)	94.9		3.6		11.1
(Gains)/losses attributable to noncontrolling interests in consolidated entities, net	85.7		2.2		(91.2	)	—		(3.3	)
Net income attributable to common shareholders	0.2		0.3		3.7		3.6		7.8



	Year ended December 31, 2013
$ in millions	CLOs - VIEs		Other VIEs		VOEs		Adjustments⁽²⁾		Impact of CIP
Total operating revenues	—		—		0.5		(38.4	)	(37.9	)
Total operating expenses	65.8		0.8		6.7		(38.4	)	34.9
Operating income	(65.8	)	(0.8	)	(6.2	)	—		(72.8	)
Equity in earnings of unconsolidated affiliates	—		—		—		(2.5	)	(2.5	)
Interest and dividend income	—		—		—		(5.5	)	(5.5	)
Other gains and losses, net	—		—		—		(11.8	)	(11.8	)
Interest and dividend income of CIP	199.8		—		—		(9.8	)	190.0
Interest expense of CIP	(138.6	)	—		—		15.3		(123.3	)
Other gains/ (losses) of CIP, net	3.0		1.7		54.3		2.9		61.9
Income from continuing operations before income taxes	(1.6	)	0.9		48.1		(11.4	)	36.0
Income tax provision	—		—		—		—		—
Income from continuing operations, net of income taxes	(1.6	)	0.9		48.1		(11.4	)	36.0
Income from discontinued operations, net of income taxes	—		—		—		—		—
Net income	(1.6	)	0.9		48.1		(11.4	)	36.0
(Gains)/losses attributable to noncontrolling interests in consolidated entities, net	1.4		(0.9	)	(45.2	)	—		(44.7	)
Net income attributable to common shareholders	(0.2	)	—		2.9		(11.4	)	(8.7	)

____________

(2) See footnote (2) to the Summary of Income Statement Impact of CIP Year-ended December 31, 2012 table.



	Year ended December 31, 2012
$ in millions	CLOs - VIEs		VIEs		VOEs		Adjustments⁽²⁾		Impact of CIP
Total operating revenues	—		—		—		(41.0	)	(41.0	)
Total operating expenses	48.2		0.9		23.4		(41.0	)	31.5
Operating income	(48.2	)	(0.9	)	(23.4	)	—		(72.5	)
Equity in earnings of unconsolidated affiliates	—		—		—		0.5		0.5
Interest and dividend income	—		—		—		(12.3	)	(12.3	)
Other gains and losses, net	—		—		—		(8.7	)	(8.7	)
Interest and dividend income of CIP	260.7		—		—		(2.2	)	258.5
Interest expense of CIP	(182.8	)	—		—		14.5		(168.3	)
Other gains and losses of CIP, net	(112.2	)	2.4		13.7		(1.6	)	(97.7	)
Income from continuing operations, net of income taxes	(82.5	)	1.5		(9.7	)	(9.8	)	(100.5	)
Income tax provision	—		—		—		—		—
Income from continuing operations, net of income taxes	(82.5	)	1.5		(9.7	)	(9.8	)	(100.5	)
Income from discontinued operations, net of income taxes	—		—		—		—		—
Net income/(loss)	(82.5	)	1.5		(9.7	)	(9.8	)	(100.5	)
(Gains)/losses attributable to noncontrolling interests in consolidated entities, net	82.2		(1.5	)	9.1		—		89.8
Net income attributable to common shareholders	(0.3	)	—		(0.6	)	(9.8	)	(10.7	)

____________

(2)

Adjustments include the elimination of intercompany transactions between the company and its CIP, primarily the elimination of management fees expensed by the funds and recorded as operating revenues (before consolidation) by the company. These also include the reclassification of the company's gain or loss (representing the changes in the market value of the company's holding in the consolidated CLOs) from other comprehensive income into other gains/losses upon consolidation.

The carrying values of investments held and notes issued by CIP are also their fair values. The following tables present the fair value hierarchy levels of investments held and notes issued by CIP, which are measured at fair value as of December 31, 2014 and December 31, 2013:



	As of December 31, 2014
$ 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	4,883.9		—	4,883.9	—
Bonds	88.9		—	88.9	—
Equity securities	6.4		—	6.4	—
Private equity fund assets:
Equity securities	337.9		9.7	—	328.2
Debt securities	35.7		—	—	35.7
Investments in other private equity funds	410.0		—	—	410.0
Total assets at fair value	5,762.8		9.7	4,979.2	773.9
Liabilities:
CLO notes	(5,149.6	)	—	—	(5,149.6	)
Total liabilities at fair value	(5,149.6	)	—	—	(5,149.6	)



	As of December 31, 2013
$ 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	4,035.8		—	4,035.8	—
Bonds	133.1		—	133.1	—
Equity securities	14.1		—	14.1	—
Private equity fund assets:
Equity securities	106.0		47.3	—	58.7
Investments in other private equity funds	442.2		—	—	442.2
Debt securities issued by the U.S. Treasury	3.5		3.5	—	—
Total assets at fair value	4,734.7		50.8	4,183.0	500.9
Liabilities:
CLO notes	(4,181.7	)	—	—	(4,181.7	)
Total liabilities at fair value	(4,181.7	)	—	—	(4,181.7	)

The following table shows a reconciliation of the beginning and ending fair value measurements for level 3 assets and liabilities using significant unobservable inputs:



	Year ended December 31, 2014				Year ended December 31, 2013
$ in millions	Level 3 Assets		Level 3 Liabilities		Level 3 Assets		Level 3 Liabilities
Beginning balance	500.9		(4,181.7	)	602.9		(3,899.4	)
Purchases	302.3		—		31.5		—
Sales	(138.7	)	—		(148.0	)	—
Issuances	1.8		(1,995.5	)	3.8		(1,323.9	)
Settlements	—		706.8		—		850.4
Deconsolidation of CIP	—		339.0		(18.4	)	239.5
Gains and losses included in the Consolidated Statements of Income*	107.6		(18.2	)	35.7		(44.3	)
Transfers to Level 2**	—		—		(6.1	)	—
Foreign exchange	—		—		(0.5	)	(4.0	)
Ending balance	773.9		(5,149.6	)	500.9		(4,181.7	)

____________


*	Included in gains and losses of CIP in the Consolidated Statement of Income for the year ended December 31, 2014 are $60.2 million in net unrealized gains attributable to investments still held at December 31, 2014 by CIP (year ended December 31, 2013: $9.6 million net unrealized losses attributable to investments still held at December 31, 2013).

During the year ended December 31, 2014, $0.0 million (year ended December 31, 2013: $6.1 million) of equity securities held by consolidated private equity funds were transferred from Level 3 to Level 2 due to the legal lock up requirements of public offering of securities in the underlying companies. For transfers due to public offerings, the company's policy is to use the fair value of the transferred security on the offering date.

Unforeseen events might occur that would subsequently change the fair values of the investments and debt of CIP, but the impact to the company of such changes would be limited to the change in the fair values of the company's minimal investments in these products. The impact of any gains or losses resulting from valuation changes in the investments and debt of CIP attributable to the interests of third parties are offset by changes in gains and losses attributable to noncontrolling interests in consolidated entities in the Consolidated Financial Statements and therefore do not have a material effect on the financial condition, operating results (including earnings per share), liquidity or capital resources attributable to the company's common shareholders.

Fair value of consolidated CLOs

The company elected the fair value option for collateral assets held and notes issued by its consolidated CLOs to eliminate the measurement and recognition inconsistency that would otherwise arise from measuring assets and liabilities and recognizing the related gains and losses on different accounting bases.

The collateral assets held by consolidated CLOs are primarily invested in senior secured bank loans, bonds, and equity securities. Bank loan investments, which comprise the majority of consolidated CLO portfolio collateral, are senior secured corporate loans from a variety of industries, including but not limited to the aerospace and defense, broadcasting, technology, utilities, household products, healthcare, oil and gas, and finance industries. Bank loan investments mature at various dates between 2015 and 2022, pay interest at Libor or Euribor plus a spread of up to 15.0%, and typically range in S&P credit rating categories from BBB down to unrated. Interest income on bank loans and bonds is recognized based on the unpaid principal balance and stated interest rate of these investments on an accrual basis. At December 31, 2014, the unpaid principal balance exceeded the fair value of the senior secured bank loans and bonds by approximately $56.2 million (December 31, 2013: $6.3 million excess). Less than 0.1% of the collateral assets are in default as of December 31, 2014 (December 31, 2013: 0.8% of the collateral assets were in default). CLO investments are valued based on price quotations provided by third party pricing sources. These third party sources aggregate indicative price quotations daily to provide the company with a price for the CLO investments. The company has developed internal controls to review the reasonableness and completeness of these price quotations on a daily basis. If necessary, price quotations are challenged through the third-party pricing source price challenge process. For the years ended December 31, 2014 and 2013, there were no price quotation challenges by the company.

In addition, the company's internal valuation committee conducts an annual due diligence review of all independent third-party pricing sources to review the provider's valuation methodology as well as ensure internal controls exist over the valuation of the CLO investments. In the event that the third-party pricing source is unable to price an investment, other relevant factors, data and information are considered, including: i) information relating to the market for the investment, including price quotations for and trading in the investment, interest in similar investments, the market environment, investor attitudes towards the investment and interests in similar investments; ii) the characteristics of and fundamental analytical data relating to the investment, including, for senior secured corporate loans, the cost, size, current interest rate, period until next interest rate reset, maturity and base lending rate, the terms and conditions of the senior secured corporate loan and any related agreements, and the position of the senior secured corporate loan in the borrower's debt structure; iii) the nature, adequacy and value of the senior secured corporate loan's collateral, including the CLO's rights, remedies and interests with respect to the collateral; iv) for senior secured corporate loans, the creditworthiness of the borrower, based on an evaluation of its financial condition, financial statements and information about the business, cash flows, capital structure and future prospects; v) the reputation and financial condition of the agent and any intermediate participants in the senior secured corporate loan; and vi) general economic and market conditions affecting the fair value of the senior secured corporate loan.

Notes issued by consolidated CLOs mature at various dates between 2020 and 2026 and have a weighted average maturity of 9.7 years. The notes are issued in various tranches with different risk profiles. The interest rates are generally variable rates based on Libor or Euribor plus a pre-defined spread, which varies from 0.21% for the more senior tranches to 6.10% for the more subordinated tranches. At December 31, 2014, the outstanding balance on the notes issued by consolidated CLOs exceeds their fair value by approximately $0.2 billion (December 31, 2013: $0.2 billion excess). The investors in this debt are not affiliated with the company and have no recourse to the general credit of the company for this debt. Notes issued by CLOs are recorded at fair value using an income approach, driven by cash flows expected to be received from the portfolio collateral assets. Fair value is determined using current information, notably market yields and projected cash flows of collateral assets based on forecasted default and recovery rates that a market participant would use in determining the current fair value of the notes, taking into account the overall credit quality of the issuers and the company's past experience in managing similar securities. Market yields, default rates and recovery rates used in the company's estimate of fair value vary based on the nature of the investments in the underlying collateral pools. In periods of rising market yields, default rates and lower debt recovery rates, the fair value, and therefore the carrying value, of the notes may be adversely affected. The current liquidity constraints within the market for CLO products require the use of certain unobservable inputs for CLO valuation. Once the undiscounted cash flows of the collateral assets have been determined, the company applies appropriate discount rates that a market participant would use to determine the discounted cash flow valuation of the notes.

Fair value of consolidated private equity funds

Consolidated private equity funds are generally structured as partnerships. Generally, the investment strategy of underlying holdings in these partnerships is to seek capital appreciation through direct investments in public or private companies with compelling business models or ideas or through investments in partnership investments that also invest in similar private or public companies. Various strategies may be used. Companies targeted could be distressed organizations, targets of leveraged buyouts or fledgling companies in need of venture capital. Investors in CIP generally may not redeem their investment until the partnership liquidates. Generally, the partnerships have a life that ranges from seven to twelve years unless dissolved earlier. The general partner may extend the partnership term up to a specified period of time as stated in the Partnership Agreement. Some partnerships allow the limited partners to cause an earlier termination upon the occurrence of certain events as specified in the Partnership Agreement.

For private equity partnerships, fair value is determined by reviewing each investment for the sale of additional securities of an issuer to sophisticated investors or for investee financial conditions and fundamentals. Publicly traded portfolio investments are carried at market value as determined by their most recent quoted sale, or if there is no recent sale, at their most recent bid price. For these investments held by CIP, level 1 classification indicates that fair values have been determined using unadjusted quoted prices in active markets for identical assets that the partnership has the ability to access. Level 2 classification may indicate that fair values have been determined using quoted prices in active markets but give effect to certain lock-up restrictions surrounding the holding period of the underlying investments.

The fair value of level 3 investments held by CIP are derived from inputs that are unobservable and which reflect the limited partnerships' own determinations about the assumptions that market participants would use in pricing the investments, including assumptions about risk. These inputs are developed based on the partnership's own data, which is adjusted if information indicates that market participants would use different assumptions. The partnerships which invest directly into private equity portfolio companies (direct private equity funds) take into account various market conditions, subsequent rounds of financing, liquidity, financial condition, purchase multiples paid in other comparable third-party transactions, the price of securities of other companies comparable to the portfolio company, and operating results and other financial data of the portfolio company, as applicable.

The partnerships which invest into other private equity funds (funds-of-funds) take into account information received from those underlying funds, including their reported net asset values and evidence as to their fair value approach, including consistency of their fair value application. These investments do not trade in active markets and represent illiquid long-term investments that generally require future capital commitments. The partnerships' reported share of the underlying net asset values of the underlying funds is used as a practical expedient, as allowed by ASC Topic 820, in arriving at fair value.

Quantitative Information about Level 3 Fair Value Measurements

The following tables show significant unobservable inputs used in the fair value measurement of level 3 assets and liabilities at December 31, 2014 and December 31, 2013:



Assets and Liabilities *	Fair Value at December 31, 2014 ($ in millions)	Valuation Technique	Unobservable Inputs	Range	Weighted Average (by fair value)
Private Equity Funds --Equity Securities	273.2	Market Comparable	Revenue Multiple	2 - 4x	4.0x
			Discount	25 - 36%	30.9%
			Published valuation and/or broker quotes for similar types of assets	$27-104 million	$45.9 million
CLO Notes	(5,149.6)	Discounted Cash Flow- USD	Assumed Default Rate**	0.4% - 2.3%	<1yr: 0.4% >1yr: 2.3%
			Spread over Libor ***	102 - 801bps	228 bps



Assets and Liabilities *	Fair Value at December 31, 2013 ($ in millions)	Valuation Technique	Unobservable Inputs	Range	Weighted Average (by fair value)
Private Equity Funds --Equity Securities	58.7	Market Comparable	Revenue Multiple	1 - 5x	3.0x
			Discount	n/a	24.0%
CLO notes	(4,181.7)	Discounted Cash Flow- USD	Assumed Default Rate**	1% - 2%	<1yr: 1.4% >1yr: 2.0%
			Spread over Libor ***	123 - 864bps	208 bps

____________

Certain equity securities held by consolidated private equity funds are valued using recent private market transactions (December 31, 2014: $85.0 million; December 31, 2013: $5.8 million) and third party appraisals (December 31, 2014: 5.7 million ; December 31, 2013: none). At December 31, 2014, certain tranches of the consolidated CLOs are valued using third party pricing information. Quantitative unobservable inputs for such valuations were not developed or adjusted by the company. Investments in other private equity funds as of December 31, 2014 of $410.0 million (as of December 31, 2013: $442.2 million) are also excluded from the table above as they are valued using the NAV practical expedient. The NAVs that have been provided are derived from the fair values of the underlying investments as of the consolidation date.


**	Assumed default rates listed in the table above apply to CLOs established prior to 2012. At December 31, 2014, a default rate of 2.0% was assumed for CLOs established after January 1, 2012 (December 31, 2013: 1.4% assumed rate).


***	Lower spreads relate to the more senior tranches in the CLO note structure; higher spreads relate to the less senior tranches.

The table below summarizes as of December 31, 2014 and December 31, 2013, the nature of investments that are valued using the NAV as a practical expedient and any related liquidation restrictions or other factors which may impact the ultimate value realized:

December 31, 2014

December 31, 2013

Fair Value

(in millions)

Total Unfunded Commitments

Weighted Average Remaining Term ⁽²⁾

Fair Value

(in millions)

Total Unfunded Commitments

Weighted Average Remaining Term ⁽²⁾

Private equity funds ⁽¹⁾

$410.0

$196.3

2.6 years

442.2

152.2

2.8 years


(1)	These investments are not subject to redemption; however, for certain funds, the investors may sell or transfer their interest, which may require approval by the general partner of the underlying funds.


(2)	These investments are expected to be returned through distributions as a result of liquidations of the funds' underlying assets over the weighted average periods indicated.

The following narrative will indicate the sensitivity of inputs illustrating the impact of significant increases to the inputs. A directionally-opposite impact would apply for significant decreases in these inputs:

•

For investments held by consolidated private equity funds, significant increases in discounts in isolation would result in significantly lower fair value measurements, while significant increases in revenue multiple assumptions in isolation would result in significantly higher fair value measurements. An increase in discount assumptions would result in a directionally opposite change in the assumptions for revenue multiple resulting in lower fair value measurements.


•	For CLO notes, a change in the assumption used for spreads is generally accompanied by a directionally similar change in default rate. Significant increases in any of these inputs in isolation would result in significantly lower fair value measurements.