|
FAIR VALUE OPTION (Tables)
|
6 Months Ended |
|
Jun. 30, 2012
|
| Summary of Financial Instruments for Which Fair Value Option Has Been Elected |
The following
table summarizes the financial instruments for which the fair value
option has been elected:
|
|
|
|
|
|
|
|
|
| |
|
As of
June 30,
2012 |
|
|
As of
December 31,
2011 |
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| |
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| |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
Loans and
Receivables
|
|
$ |
104,207 |
|
|
$ |
8,555 |
|
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
11,427,207 |
|
|
|
7,901,020 |
|
|
Corporate Bonds
|
|
|
228,741 |
|
|
|
153,653 |
|
|
Other
|
|
|
70,564 |
|
|
|
77,295 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
11,830,719 |
|
|
$ |
8,140,523 |
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|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
Liabilities of Consolidated
CLO Vehicles
|
|
|
|
|
|
|
|
|
|
Senior Secured
Notes
|
|
$ |
10,534,253 |
|
|
$ |
7,449,766 |
|
|
Subordinated
Notes
|
|
|
701,648 |
|
|
|
630,236 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
11,235,901 |
|
|
$ |
8,080,002 |
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|
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|
| Realized and Net Change in Unrealized Gains (Losses) on Financial Instruments on Financial Instruments on Which Fair Value Option was Elected |
The following
table presents the realized and net change in unrealized gains
(losses) on financial instruments on which the fair value option
was elected:
|
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|
|
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|
|
|
|
|
|
|
|
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|
|
| |
|
Three Months Ended
June 30, |
|
| |
|
2012 |
|
|
2011 |
|
| |
|
Realized
Gains
(Losses) |
|
|
Net Change
in
Unrealized
Gains (Losses) |
|
|
Realized
Gains
(Losses) |
|
|
Net
Change
in Unrealized
Gains (Losses) |
|
| |
|
|
|
|
| |
|
|
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans and
Receivables
|
|
$ |
— |
|
|
$ |
(402 |
) |
|
$ |
— |
|
|
$ |
(287 |
) |
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
(63,992 |
) |
|
|
12,481 |
|
|
|
22,880 |
|
|
|
(83,940 |
) |
|
Corporate Bonds
|
|
|
311 |
|
|
|
(3,386 |
) |
|
|
102 |
|
|
|
(1,293 |
) |
|
Other
|
|
|
1,419 |
|
|
|
6,626 |
|
|
|
— |
|
|
|
(1,247 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(62,262 |
) |
|
$ |
15,319 |
|
|
$ |
22,982 |
|
|
$ |
(86,767 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities of Consolidated
CLO Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Secured
Notes
|
|
$ |
1 |
|
|
$ |
(21,509 |
) |
|
$ |
(2,319 |
) |
|
$ |
(92,519 |
) |
|
Subordinated
Notes
|
|
|
— |
|
|
|
42,247 |
|
|
|
— |
|
|
|
(43,647 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1 |
|
|
$ |
20,738 |
|
|
$ |
(2,319 |
) |
|
$ |
(136,166 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended
June 30, |
|
| |
|
2012 |
|
|
2011 |
|
| |
|
Realized
Gains
(Losses) |
|
|
Net
Change
in Unrealized
Gains (Losses) |
|
|
Realized
Gains
(Losses) |
|
|
Net
Change
in Unrealized
Gains (Losses) |
|
| |
|
|
|
|
| |
|
|
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans and
Receivables
|
|
$ |
— |
|
|
$ |
(396 |
) |
|
$ |
— |
|
|
$ |
(287 |
) |
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
(24,718 |
) |
|
|
301,712 |
|
|
|
65,112 |
|
|
|
(33,721 |
) |
|
Corporate Bonds
|
|
|
718 |
|
|
|
9,295 |
|
|
|
2,149 |
|
|
|
(1,322 |
) |
|
Other
|
|
|
1,539 |
|
|
|
10,107 |
|
|
|
480 |
|
|
|
4,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(22,461 |
) |
|
$ |
320,718 |
|
|
$ |
67,741 |
|
|
$ |
(31,202 |
) |
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Liabilities
|
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|
Liabilities of Consolidated
CLO Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Secured
Notes
|
|
$ |
(43 |
) |
|
$ |
(114,712 |
) |
|
$ |
(7,714 |
) |
|
$ |
(332,477 |
) |
|
Subordinated
Notes
|
|
|
— |
|
|
|
7,764 |
|
|
|
— |
|
|
|
(67,704 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(43 |
) |
|
$ |
(106,948 |
) |
|
$ |
(7,714 |
) |
|
$ |
(400,181 |
) |
|
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|
|
|
|
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|
| Information for Financial Instruments on Which Fair Value Option was Elected |
The following
table presents information for those financial instruments for
which the fair value option was elected:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
As of June 30,
2012 |
|
|
As of December 31,
2011 |
|
| |
|
|
|
|
For Financial
Assets |
|
|
|
|
|
For Financial
Assets |
|
| |
|
|
|
|
Past Due
(a) |
|
|
|
|
|
Past Due
(a) |
|
| |
|
Excess
(Deficiency)
of Fair Value
Over Principal |
|
|
Fair
Value |
|
|
Excess
(Deficiency)
of Fair Value
Over Principal |
|
|
Excess
(Deficiency)
of Fair Value
Over Principal |
|
|
Fair
Value |
|
|
Excess
(Deficiency)
of Fair Value
Over Principal |
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Loans and
Receivables
|
|
$ |
1,738 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(162 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
(837,123 |
) |
|
|
61,771 |
|
|
|
(71,836 |
) |
|
|
(674,496 |
) |
|
|
17,574 |
|
|
|
(29,384 |
) |
|
Corporate Bonds
|
|
|
(7,505 |
) |
|
|
— |
|
|
|
— |
|
|
|
(9,360 |
) |
|
|
7,560 |
|
|
|
(2,656 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(842,890 |
) |
|
$ |
61,771 |
|
|
$ |
(71,836 |
) |
|
$ |
(684,018 |
) |
|
$ |
25,134 |
|
|
$ |
(32,040 |
) |
|
|
|
|
|
|
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|
| (a) |
Past due Corporate Loans
and Corporate Bonds within CLO assets are classified as past due if
contractual payments are more than one day past due. |
|