|
FAIR VALUE OPTION (Tables)
|
9 Months Ended |
|
Sep. 30, 2013
|
| 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:
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|
|
|
|
|
|
|
| |
|
September 30,
2013 |
|
|
December 31,
2012 |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
Loans and
Receivables
|
|
$ |
98,077 |
|
|
$ |
30,663 |
|
|
Equity and Preferred
Securities
|
|
|
65,614 |
|
|
|
16,147 |
|
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
8,800,348 |
|
|
|
11,053,513 |
|
|
Corporate Bonds
|
|
|
146,086 |
|
|
|
162,456 |
|
|
Other
|
|
|
14,348 |
|
|
|
18,285 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
9,124,473 |
|
|
$ |
11,281,064 |
|
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|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
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|
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Liabilities of Consolidated
CLO Vehicles
|
|
|
|
|
|
|
|
|
|
Senior Secured
Notes
|
|
$ |
8,641,507 |
|
|
$ |
10,695,136 |
|
|
Subordinated
Notes
|
|
|
605,380 |
|
|
|
846,471 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
9,246,887 |
|
|
$ |
11,541,607 |
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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
September 30, |
|
| |
|
2013 |
|
|
2012 |
|
| |
|
Realized
Gains (Losses) |
|
|
Net Change
in Unrealized
Gains (Losses) |
|
|
Realized
Gains (Losses) |
|
|
Net Change
in Unrealized
Gains (Losses) |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans and
Receivables
|
|
$ |
— |
|
|
$ |
(897 |
) |
|
$ |
(308 |
) |
|
$ |
30 |
|
|
Equity and Preferred
Securities
|
|
|
(622 |
) |
|
|
1,206 |
|
|
|
— |
|
|
|
— |
|
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
(14,533 |
) |
|
|
90,412 |
|
|
|
(2,522 |
) |
|
|
163,390 |
|
|
Corporate Bonds
|
|
|
156 |
|
|
|
1,262 |
|
|
|
(268 |
) |
|
|
708 |
|
|
Other
|
|
|
280 |
|
|
|
(4,075 |
) |
|
|
886 |
|
|
|
1,382 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(14,719 |
) |
|
$ |
87,908 |
|
|
$ |
(2,212 |
) |
|
$ |
165,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
Liabilities of Consolidated
CLO Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Secured
Notes
|
|
$ |
(2,833 |
) |
|
$ |
(127,864 |
) |
|
$ |
60 |
|
|
$ |
(289,500 |
) |
|
Subordinated
Notes
|
|
|
— |
|
|
|
19,158 |
|
|
|
— |
|
|
|
(104,325 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,833 |
) |
|
$ |
(108,706 |
) |
|
$ |
60 |
|
|
$ |
(393,825 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
| |
|
Nine Months Ended
September 30, |
|
| |
|
2013 |
|
|
2012 |
|
| |
|
Realized
Gains (Losses) |
|
|
Net Change
in Unrealized
Gains (Losses) |
|
|
Realized
Gains (Losses) |
|
|
Net Change
in Unrealized
Gains (Losses) |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans and
Receivables
|
|
$ |
43 |
|
|
$ |
(1,101 |
) |
|
$ |
(308 |
) |
|
$ |
(366 |
) |
|
Equity and Preferred
Securities
|
|
|
(2,020 |
) |
|
|
1,487 |
|
|
|
— |
|
|
|
— |
|
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
28,541 |
|
|
|
125,284 |
|
|
|
(27,240 |
) |
|
|
465,102 |
|
|
Corporate Bonds
|
|
|
3,809 |
|
|
|
(4,596 |
) |
|
|
450 |
|
|
|
10,003 |
|
|
Other
|
|
|
1,706 |
|
|
|
(2,963 |
) |
|
|
2,425 |
|
|
|
11,489 |
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
$ |
32,079 |
|
|
$ |
118,111 |
|
|
$ |
(24,673 |
) |
|
$ |
486,228 |
|
|
|
|
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Liabilities
|
|
|
|
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|
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|
|
Liabilities of Consolidated
CLO Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Secured
Notes
|
|
$ |
(2,833 |
) |
|
$ |
(419,817 |
) |
|
$ |
17 |
|
|
$ |
(335,598 |
) |
|
Subordinated
Notes
|
|
|
— |
|
|
|
97,167 |
|
|
|
— |
|
|
|
(38,920 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,833 |
) |
|
$ |
(322,650 |
) |
|
$ |
17 |
|
|
$ |
(374,518 |
) |
|
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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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
September 30,
2013 |
|
|
December 31,
2012 |
|
| |
|
|
|
|
For Financial
Assets
Past Due
(a) |
|
|
|
|
|
For Financial
Assets
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
|
|
$ |
(1,223 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(292 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
Assets of Consolidated CLO
Vehicles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Loans
|
|
|
(351,515 |
) |
|
|
52,986 |
|
|
|
(143,727 |
) |
|
|
(586,450 |
) |
|
|
35,322 |
|
|
|
(73,291 |
) |
|
Corporate Bonds
|
|
|
(1,216 |
) |
|
|
— |
|
|
|
— |
|
|
|
(984 |
) |
|
|
831 |
|
|
|
(44 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(353,954 |
) |
|
$ |
52,986 |
|
|
$ |
(143,727 |
) |
|
$ |
(587,726 |
) |
|
$ |
36,153 |
|
|
$ |
(73,335 |
) |
|
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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. |
|