| FAIR VALUE MEASUREMENTS OF FINANCIAL INSTRUMENTS |
| 8. |
FAIR VALUE MEASUREMENTS
OF FINANCIAL INSTRUMENTS |
The following
tables summarize the valuation of the Partnership’s financial
assets and liabilities by the fair value hierarchy as of
June 30, 2012 and December 31, 2011,
respectively:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
June 30,
2012 |
|
| |
|
Level I |
|
|
Level II |
|
|
Level
III |
|
|
Total |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments of Consolidated
Blackstone Funds (a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Funds
|
|
$ |
— |
|
|
$ |
3,590 |
|
|
$ |
713,287 |
|
|
$ |
716,877 |
|
|
Equity
Securities
|
|
|
83,439 |
|
|
|
28,506 |
|
|
|
212,309 |
|
|
|
324,254 |
|
|
Partnership and LLC
Interests
|
|
|
183 |
|
|
|
490 |
|
|
|
547,915 |
|
|
|
548,588 |
|
|
Debt Instruments
|
|
|
— |
|
|
|
720,111 |
|
|
|
21,363 |
|
|
|
741,474 |
|
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
— |
|
|
|
10,426,445 |
|
|
|
1,000,762 |
|
|
|
11,427,207 |
|
|
Corporate Bonds
|
|
|
— |
|
|
|
191,512 |
|
|
|
37,229 |
|
|
|
228,741 |
|
|
Freestanding Derivatives
— Foreign Currency Contracts
|
|
|
— |
|
|
|
38,247 |
|
|
|
— |
|
|
|
38,247 |
|
|
Freestanding Derivatives
— Interest Rate Contracts
|
|
|
— |
|
|
|
8,203 |
|
|
|
— |
|
|
|
8,203 |
|
|
Other
|
|
|
328 |
|
|
|
16,495 |
|
|
|
7,291 |
|
|
|
24,114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments of
Consolidated Blackstone Funds
|
|
|
83,950 |
|
|
|
11,433,599 |
|
|
|
2,540,156 |
|
|
|
14,057,705 |
|
|
Blackstone’s Treasury
Cash Management Strategies
|
|
|
281,089 |
|
|
|
457,597 |
|
|
|
200 |
|
|
|
738,886 |
|
|
Money Market
Funds
|
|
|
135,663 |
|
|
|
— |
|
|
|
— |
|
|
|
135,663 |
|
|
Freestanding
Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate
Contracts
|
|
|
609 |
|
|
|
51,400 |
|
|
|
— |
|
|
|
52,009 |
|
|
Foreign Currency
Contracts
|
|
|
— |
|
|
|
173 |
|
|
|
— |
|
|
|
173 |
|
|
Loans and
Receivables
|
|
|
— |
|
|
|
— |
|
|
|
104,207 |
|
|
|
104,207 |
|
|
Other
Investments
|
|
|
2,977 |
|
|
|
6,352 |
|
|
|
21,162 |
|
|
|
30,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
504,288 |
|
|
$ |
11,949,121 |
|
|
$ |
2,665,725 |
|
|
$ |
15,119,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities of Consolidated
CLO Vehicles (a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Secured
Notes
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
10,534,253 |
|
|
$ |
10,534,253 |
|
|
Subordinated
Notes
|
|
|
— |
|
|
|
— |
|
|
|
701,648 |
|
|
|
701,648 |
|
|
Freestanding Derivatives
— Foreign Currency Contracts
|
|
|
— |
|
|
|
31,133 |
|
|
|
— |
|
|
|
31,133 |
|
|
Freestanding Derivatives
— Interest Rate Contracts
|
|
|
— |
|
|
|
4,103 |
|
|
|
— |
|
|
|
4,103 |
|
|
Freestanding
Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate
Contracts
|
|
|
235 |
|
|
|
2,330 |
|
|
|
— |
|
|
|
2,565 |
|
|
Foreign Currency
Contracts
|
|
|
— |
|
|
|
125 |
|
|
|
— |
|
|
|
125 |
|
|
Credit Default
Swaps
|
|
|
— |
|
|
|
110 |
|
|
|
— |
|
|
|
110 |
|
|
Securities Sold, Not Yet
Purchased
|
|
|
— |
|
|
|
88,153 |
|
|
|
— |
|
|
|
88,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
235 |
|
|
$ |
125,954 |
|
|
$ |
11,235,901 |
|
|
$ |
11,362,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
December 31,
2011 |
|
| |
|
Level I |
|
|
Level II |
|
|
Level
III |
|
|
Total |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments of Consolidated
Blackstone Funds (a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Funds
|
|
$ |
— |
|
|
$ |
5,119 |
|
|
$ |
723,951 |
|
|
$ |
729,070 |
|
|
Equity
Securities
|
|
|
113,007 |
|
|
|
608 |
|
|
|
232,172 |
|
|
|
345,787 |
|
|
Partnership and LLC
Interests
|
|
|
— |
|
|
|
— |
|
|
|
492,911 |
|
|
|
492,911 |
|
|
Debt Instruments
|
|
|
— |
|
|
|
594,276 |
|
|
|
12,783 |
|
|
|
607,059 |
|
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
— |
|
|
|
7,259,204 |
|
|
|
635,944 |
|
|
|
7,895,148 |
|
|
Corporate Bonds
|
|
|
— |
|
|
|
150,653 |
|
|
|
3,000 |
|
|
|
153,653 |
|
|
Freestanding Derivatives
— Foreign Currency Contracts
|
|
|
— |
|
|
|
22,016 |
|
|
|
— |
|
|
|
22,016 |
|
|
Freestanding Derivatives
— Interest Rate Contracts
|
|
|
— |
|
|
|
7,270 |
|
|
|
— |
|
|
|
7,270 |
|
|
Other
|
|
|
28,900 |
|
|
|
21,973 |
|
|
|
3,008 |
|
|
|
53,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments of
Consolidated Blackstone Funds
|
|
|
141,907 |
|
|
|
8,061,119 |
|
|
|
2,103,769 |
|
|
|
10,306,795 |
|
|
Blackstone’s Treasury
Cash Management Strategies
|
|
|
176,297 |
|
|
|
509,362 |
|
|
|
200 |
|
|
|
685,859 |
|
|
Money Market
Funds
|
|
|
257,423 |
|
|
|
— |
|
|
|
— |
|
|
|
257,423 |
|
|
Freestanding
Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate
Contracts
|
|
|
159 |
|
|
|
609 |
|
|
|
— |
|
|
|
768 |
|
|
Foreign Currency
Contracts
|
|
|
— |
|
|
|
1,016 |
|
|
|
— |
|
|
|
1,016 |
|
|
Derivative Instruments Used
as Fair Value Hedges
|
|
|
— |
|
|
|
67,668 |
|
|
|
— |
|
|
|
67,668 |
|
|
Loans and
Receivables
|
|
|
— |
|
|
|
— |
|
|
|
8,555 |
|
|
|
8,555 |
|
|
Other
Investments
|
|
|
8,066 |
|
|
|
360 |
|
|
|
19,964 |
|
|
|
28,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
583,852 |
|
|
$ |
8,640,134 |
|
|
$ |
2,132,488 |
|
|
$ |
11,356,474 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities of Consolidated
CLO Vehicles (a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Secured
Notes
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,449,766 |
|
|
$ |
7,449,766 |
|
|
Subordinated
Notes
|
|
|
— |
|
|
|
— |
|
|
|
630,236 |
|
|
|
630,236 |
|
|
Freestanding Derivatives
— Foreign Currency Contracts
|
|
|
— |
|
|
|
7,687 |
|
|
|
— |
|
|
|
7,687 |
|
|
Freestanding Derivatives
— Interest Rate Contracts
|
|
|
— |
|
|
|
10,867 |
|
|
|
— |
|
|
|
10,867 |
|
|
Freestanding
Derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate
Contracts
|
|
|
1,105 |
|
|
|
186 |
|
|
|
— |
|
|
|
1,291 |
|
|
Foreign Currency
Contracts
|
|
|
— |
|
|
|
103 |
|
|
|
— |
|
|
|
103 |
|
|
Securities Sold, Not Yet
Purchased
|
|
|
— |
|
|
|
143,825 |
|
|
|
— |
|
|
|
143,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,105 |
|
|
$ |
162,668 |
|
|
$ |
8,080,002 |
|
|
$ |
8,243,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Pursuant to GAAP
consolidation guidance, the Partnership is required to consolidate
all VIEs in which it has been identified as the primary
beneficiary, including its investments in CLO vehicles and other
funds in which a consolidated entity of the Partnership, as the
general partner of the fund, is presumed to have control. While the
Partnership is required to consolidate certain funds, including CLO
vehicles, for GAAP purposes, the Partnership has no ability to
utilize the assets of these funds and there is no recourse to the
Partnership for their liabilities since these are client assets and
liabilities. |
The following
table summarizes the fair value transfers between Level I and Level
II:
|
|
|
|
|
|
|
|
|
| |
|
Three Months Ended |
|
|
Six Months Ended |
|
| |
|
June 30,
2012 |
|
|
June 30,
2012 |
|
|
Transfers from Level I into
Level II (a)
|
|
$ |
15,924 |
|
|
$ |
45,440 |
|
|
Transfers from Level II
into Level I (b)
|
|
$ |
529 |
|
|
$ |
801 |
|
| (a) |
Transfers out of Level I
represent those financial instruments for which restrictions exist
and adjustments were made to an otherwise observable price to
reflect fair value at the reporting date. |
| (b) |
Transfers into Level I
represent those financial instruments for which an unadjusted
quoted price in an active market became available for the identical
asset. |
The following
table summarizes the quantitative inputs and assumptions used for
items categorized in Level III of the fair value hierarchy as of
June 30, 2012. The disclosure below excludes financial
instruments for which fair value is based on unobservable but
non-quantitative inputs. Such items include financial instruments
for which the determination of fair value is based on prices from
prior transactions or third party pricing information without
adjustment and financial instruments for which fair value is
determined by net asset value.
|
|
|
|
|
|
|
|
|
|
|
| |
|
Fair Value at
June
30, 2012 |
|
|
Valuation
Techniques
|
|
Unobservable
Inputs
|
|
Ranges |
|
Financial
Assets
|
|
|
|
|
|
|
|
|
|
|
|
Equity
Securities
|
|
$ |
124,105 |
|
|
Discounted Cash Flows
|
|
Discount Rate
Revenue CAGR
Exit Multiple
|
|
8.1% - 25.0%
1.6% -
83.4%
5.8x - 17.0x
|
|
|
|
|
|
|
|
|
1,931 |
|
|
Market Comparable
Companies
|
|
Book Value Multiple EBITDA Multiple |
|
0.8x
6.5x - 8.3x
|
|
|
|
|
|
|
Partnership and LLC
Interests
|
|
|
533,520 |
|
|
Discounted Cash Flows
|
|
Discount Rate
Revenue CAGR
Exit Multiple
Exit Capitalization
Rate
|
|
3.1% - 22.5%
-5.6% - 62.0%
4.5x - 14.8x
1.0% - 9.5%
|
|
|
|
|
|
|
Debt Instruments
|
|
|
8,499 |
|
|
Discounted Cash Flows
|
|
Discount Rate
Exit Capitalization
Rate
Default Rate
Recovery Rate
Recovery Lag
Pre-payment Rate
Reinvestment Rate
|
|
10.7% - 48.0%
7.5%
2.0%
70.0%
12 months
20.0%
3.2%
|
|
|
|
|
|
|
|
|
772 |
|
|
Market Comparable
Companies
|
|
EBITDA Multiple |
|
3.5x - 8.3x |
|
|
|
|
|
|
Assets of Consolidated CLO
Vehicles
|
|
|
128,694 |
|
|
Discounted Cash
Flows
|
|
Discount Rate |
|
6.0% - 18.0% |
|
|
|
|
|
|
|
|
86,555 |
|
|
Market Comparable
Companies
|
|
EBITDA Multiple
Liquidity
Discount
|
|
2.0x - 10.6x
1.0% - 25.0%
|
|
|
|
|
|
|
Loans and
Receivables
|
|
|
104,207 |
|
|
Discounted Cash
Flows
|
|
Discount Rate |
|
6.8% - 23.3% |
|
|
|
|
|
|
Financial
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CLOs
|
|
$ |
11,235,901 |
|
|
Discounted Cash
Flows
|
|
Default Rate
Recovery Rate
Recovery Lag
Pre-payment Rate
Reinvestment
Rate
Discount Rate
|
|
2.0% - 5.0%
30.0% - 70.0%
12 months
5.0% - 20.0%
3.2%
1.1% - 80.0%
|
|
|
|
| CAGR |
|
Compound annual growth rate. |
| EBITDA |
|
Earnings before interest, taxes, depreciation and
amortization. |
| Exit Multiple |
|
Ranges include the last twelve months EBITDA, forward
EBITDA and price/earnings exit multiples. |
The significant
unobservable inputs used in the fair value measurement of the
assets and obligations of consolidated CLO vehicles are discount
rates, default rates, recovery rates, recovery lag, pre-payment
rates and reinvestment rates. Increases (decreases) in any of the
discount rates, default rates, recovery lag and pre-payment rates
in isolation would result in a lower (higher) fair value
measurement. Increases (decreases) in any of the recovery rates and
reinvestment rates in isolation would result in a higher (lower)
fair value measurement. Generally, a change in the assumption used
for default rates may be accompanied by a directionally similar
change in the assumption used for recovery lag and a directionally
opposite change in the assumption used for recovery rates and
pre-payment rates.
The significant
unobservable inputs used in the fair value measurement of equity
securities, partnership and LLC interests, debt instruments, assets
of consolidated CLO vehicles and loans and receivables are discount
rates, exit capitalization rates, exit multiples, book value
multiples, EBITDA multiples, liquidity discount and revenue
compound annual growth rates. Increases (decreases) in any of
discount rates and exit capitalization rates in isolation can
result in a lower (higher) fair value measurement. Increases
(decreases) in any of exit multiples, book value mulitples and
revenue compound annual growth rates in isolation can result in a
higher (lower) fair value measurement.
Since
December 31, 2011, there have been no changes in valuation
techniques within Level II and Level III that have had a
material impact on the valuation of financial
instruments.
The following
tables summarize the changes in financial assets and liabilities
measured at fair value for which the Partnership has used Level III
inputs to determine fair value and does not include gains or losses
that were reported in Level III in prior years or for instruments
that were transferred out of Level III prior to the end of the
current reporting period. Total realized and unrealized gains and
losses recorded for Level III investments are reported in
Investment Income (Loss) and Net Gains from Fund Investment
Activities in the Condensed Consolidated Statements of
Operations.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level III Financial
Assets at Fair Value
Three Months
Ended June 30, |
|
| |
|
2012 |
|
|
2011 |
|
| |
|
Investments
of
Consolidated
Funds |
|
|
Loans
and
Receivables |
|
|
Other
Investments |
|
|
Total |
|
|
Investments
of
Consolidated
Funds |
|
|
Loans
and
Receivables |
|
|
Other
Investments |
|
|
Total |
|
|
Balance, Beginning of
Period
|
|
$ |
2,390,276 |
|
|
$ |
105,004 |
|
|
$ |
21,791 |
|
|
$ |
2,517,071 |
|
|
$ |
1,741,692 |
|
|
$ |
14,034 |
|
|
$ |
20,970 |
|
|
$ |
1,776,696 |
|
|
Transfer In Due to
Consolidation and Acquisition (a)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
9,570 |
|
|
|
— |
|
|
|
— |
|
|
|
9,570 |
|
|
Transfer Out Due to
Deconsolidation
|
|
|
(1,599 |
) |
|
|
|
|
|
|
|
|
|
|
(1,599 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfer In to Level
III (b)
|
|
|
171,916 |
|
|
|
— |
|
|
|
— |
|
|
|
171,916 |
|
|
|
4,607 |
|
|
|
— |
|
|
|
— |
|
|
|
4,607 |
|
|
Transfer Out of Level
III (b)
|
|
|
(59,315 |
) |
|
|
— |
|
|
|
— |
|
|
|
(59,315 |
) |
|
|
(112,780 |
) |
|
|
— |
|
|
|
— |
|
|
|
(112,780 |
) |
|
Purchases
|
|
|
232,684 |
|
|
|
39,657 |
|
|
|
100 |
|
|
|
272,441 |
|
|
|
308,430 |
|
|
|
119,861 |
|
|
|
117,200 |
|
|
|
545,491 |
|
|
Sales
|
|
|
(173,516 |
) |
|
|
(41,872 |
) |
|
|
(541 |
) |
|
|
(215,929 |
) |
|
|
(154,861 |
) |
|
|
(7,719 |
) |
|
|
(531 |
) |
|
|
(163,111 |
) |
|
Settlements
|
|
|
— |
|
|
|
(186 |
) |
|
|
— |
|
|
|
(186 |
) |
|
|
4,933 |
|
|
|
(71 |
) |
|
|
— |
|
|
|
4,862 |
|
|
Realized Gains (Losses),
Net
|
|
|
(12,264 |
) |
|
|
— |
|
|
|
541 |
|
|
|
(11,723 |
) |
|
|
(3,764 |
) |
|
|
— |
|
|
|
531 |
|
|
|
(3,233 |
) |
|
Changes in Unrealized Gains
(Losses) Included in Earnings Related to Investments Still Held at
the Reporting Date
|
|
|
(8,026 |
) |
|
|
1,604 |
|
|
|
(529 |
) |
|
|
(6,951 |
) |
|
|
40,026 |
|
|
|
1,003 |
|
|
|
543 |
|
|
|
41,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, End of
Period
|
|
$ |
2,540,156 |
|
|
$ |
104,207 |
|
|
$ |
21,362 |
|
|
$ |
2,665,725 |
|
|
$ |
1,837,853 |
|
|
$ |
127,108 |
|
|
$ |
138,713 |
|
|
$ |
2,103,674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level III Financial
Assets at Fair Value
Six Months
Ended June 30, |
|
| |
|
2012 |
|
|
2011 |
|
| |
|
Investments
of
Consolidated
Funds |
|
|
Loans
and
Receivables |
|
|
Other
Investments |
|
|
Total |
|
|
Investments
of
Consolidated
Funds |
|
|
Loans
and
Receivables |
|
|
Other
Investments |
|
|
Total |
|
|
Balance, Beginning of
Period
|
|
$ |
2,103,769 |
|
|
$ |
8,555 |
|
|
$ |
20,164 |
|
|
$ |
2,132,488 |
|
|
$ |
1,602,371 |
|
|
$ |
131,290 |
|
|
$ |
19,672 |
|
|
$ |
1,753,333 |
|
|
Transfer In Due to
Consolidation and Acquisition (a)
|
|
|
122,565 |
|
|
|
— |
|
|
|
— |
|
|
|
122,565 |
|
|
|
9,570 |
|
|
|
— |
|
|
|
— |
|
|
|
9,570 |
|
|
Transfer Out Due to
Deconsolidation
|
|
|
(1,599 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1,599 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfer In to Level III
(b)
|
|
|
253,608 |
|
|
|
— |
|
|
|
— |
|
|
|
253,608 |
|
|
|
11,162 |
|
|
|
— |
|
|
|
— |
|
|
|
11,162 |
|
|
Transfer Out of Level III
(b)
|
|
|
(103,280 |
) |
|
|
— |
|
|
|
— |
|
|
|
(103,280 |
) |
|
|
(134,243 |
) |
|
|
— |
|
|
|
— |
|
|
|
(134,243 |
) |
|
Purchases
|
|
|
320,312 |
|
|
|
142,908 |
|
|
|
100 |
|
|
|
463,320 |
|
|
|
436,529 |
|
|
|
126,090 |
|
|
|
117,200 |
|
|
|
679,819 |
|
|
Sales
|
|
|
(229,623 |
) |
|
|
(49,251 |
) |
|
|
(541 |
) |
|
|
(279,415 |
) |
|
|
(217,826 |
) |
|
|
(129,900 |
) |
|
|
(531 |
) |
|
|
(348,257 |
) |
|
Settlements
|
|
|
— |
|
|
|
(46 |
) |
|
|
— |
|
|
|
(46 |
) |
|
|
— |
|
|
|
(1,441 |
) |
|
|
— |
|
|
|
(1,441 |
) |
|
Realized Gains (Losses),
Net
|
|
|
(9,093 |
) |
|
|
— |
|
|
|
639 |
|
|
|
(8,454 |
) |
|
|
4,087 |
|
|
|
— |
|
|
|
531 |
|
|
|
4,618 |
|
|
Changes in Unrealized Gains
(Losses) Included in Earnings Related to Investments Still Held at
the Reporting Date
|
|
|
83,497 |
|
|
|
2,041 |
|
|
|
1,000 |
|
|
|
86,538 |
|
|
|
126,203 |
|
|
|
1,069 |
|
|
|
1,841 |
|
|
|
129,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, End
of
Period
|
|
$ |
2,540,156 |
|
|
$ |
104,207 |
|
|
$ |
21,362 |
|
|
$ |
2,665,725 |
|
|
$ |
1,837,853 |
|
|
$ |
127,108 |
|
|
$ |
138,713 |
|
|
$ |
2,103,674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level III Financial
Liabilities at Fair Value
Three Months
Ended June 30, |
|
| |
|
2012 |
|
|
2011 |
|
| |
|
Collateralized
Loan
Obligations
Senior
Notes |
|
|
Collateralized
Loan
Obligations
Subordinated
Notes |
|
|
Total |
|
|
Collateralized
Loan
Obligations
Senior
Notes |
|
|
Collateralized
Loan
Obligations
Subordinated
Notes |
|
|
Total |
|
|
Balance, Beginning of
Period
|
|
$ |
10,984,018 |
|
|
$ |
857,772 |
|
|
$ |
11,841,790 |
|
|
$ |
6,023,892 |
|
|
$ |
567,436 |
|
|
$ |
6,591,328 |
|
|
Transfer In Due to
Consolidation and Acquisition (a)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,829,899 |
|
|
|
95,567 |
|
|
|
1,925,466 |
|
|
Issuances
|
|
|
227 |
|
|
|
— |
|
|
|
227 |
|
|
|
204 |
|
|
|
— |
|
|
|
204 |
|
|
Settlements
|
|
|
(140,736 |
) |
|
|
(238 |
) |
|
|
(140,974 |
) |
|
|
(73,830 |
) |
|
|
(228 |
) |
|
|
(74,058 |
) |
|
Realized Gains (Losses),
Net
|
|
|
(1 |
) |
|
|
— |
|
|
|
(1 |
) |
|
|
2,319 |
|
|
|
— |
|
|
|
2,319 |
|
|
Changes in Unrealized Gains
(Losses) Included in Earnings Related to Liabilities Still Held at
the Reporting Date
|
|
|
(309,255 |
) |
|
|
(155,886 |
) |
|
|
(465,141 |
) |
|
|
77,043 |
|
|
|
43,874 |
|
|
|
120,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, End of
Period
|
|
$ |
10,534,253 |
|
|
$ |
701,648 |
|
|
$ |
11,235,901 |
|
|
$ |
7,859,527 |
|
|
$ |
706,649 |
|
|
$ |
8,566,176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level III Financial
Liabilities at Fair Value
Six Months
Ended June 30, |
|
| |
|
2012 |
|
|
2011 |
|
| |
|
Collateralized
Loan
Obligations
Senior
Notes |
|
|
Collateralized
Loan
Obligations
Subordinated
Notes |
|
|
Total |
|
|
Collateralized
Loan
Obligations
Senior
Notes |
|
|
Collateralized
Loan
Obligations
Subordinated
Notes |
|
|
Total |
|
|
Balance, Beginning of
Period
|
|
$ |
7,449,766 |
|
|
$ |
630,236 |
|
|
$ |
8,080,002 |
|
|
$ |
5,877,957 |
|
|
$ |
555,632 |
|
|
$ |
6,433,589 |
|
|
Transfer In Due to
Consolidation and Acquisition (a)
|
|
|
3,419,084 |
|
|
|
149,225 |
|
|
|
3,568,309 |
|
|
|
1,829,899 |
|
|
|
95,567 |
|
|
|
1,925,466 |
|
|
Issuances
|
|
|
4,620 |
|
|
|
838 |
|
|
|
5,458 |
|
|
|
404 |
|
|
|
— |
|
|
|
404 |
|
|
Settlements
|
|
|
(272,609 |
) |
|
|
(2,984 |
) |
|
|
(275,593 |
) |
|
|
(235,273 |
) |
|
|
(12,481 |
) |
|
|
(247,754 |
) |
|
Realized Gains (Losses),
Net
|
|
|
43 |
|
|
|
— |
|
|
|
43 |
|
|
|
7,715 |
|
|
|
— |
|
|
|
7,715 |
|
|
Changes in Unrealized Gains
(Losses) Included in Earnings Related to Liabilities Still Held at
the Reporting Date
|
|
|
(66,651 |
) |
|
|
(75,667 |
) |
|
|
(142,318 |
) |
|
|
378,825 |
|
|
|
67,931 |
|
|
|
446,756 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, End of
Period
|
|
$ |
10,534,253 |
|
|
$ |
701,648 |
|
|
$ |
11,235,901 |
|
|
$ |
7,859,527 |
|
|
$ |
706,649 |
|
|
$ |
8,566,176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Represents the transfer
into Level III of financial assets and liabilities held by CLO
vehicles as a result of the acquisition of management contracts on
May 16, 2011 and the Harbourmaster acquisition on
January 5, 2012. |
| (b) |
Transfers in and out of
Level III financial assets and liabilities were due to changes in
the observability of inputs used in the valuation of such assets
and liabilities. |
|