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Fair Value Measurement (Tables) | 3 Months Ended
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Mar. 31, 2022
Fair Value Disclosures [Abstract] |
Summary of assets and liabilities measured at fair value on recurring basis | The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis by the above fair value hierarchy levels as of March 31, 2022:
(Dollars in millions) | Level I |  | Level II |  | Level III |  | Total
Assets |  |  |  |  |  |  |
Investments of Consolidated Funds: |  |  |  |  |  |  |
Equity securities | $ | — |  |  | $ | — |  |  | $ | 11.3 |  |  | $ | 11.3 |
Bonds | — |  |  | — |  |  | 565.2 |  |  | 565.2 |
Loans | — |  |  | — |  |  | 5,612.5 |  |  | 5,612.5 |
| — |  |  | — |  |  | 6,189.0 |  |  | 6,189.0 |
Investments in CLOs | — |  |  | — |  |  | 560.4 |  |  | 560.4 |
Other investments(1) | 1.5 |  |  | 44.9 |  |  | 76.0 |  |  | 122.4 |
Foreign currency forward contracts | — |  |  | 2.1 |  |  | — |  |  | 2.1 |
Subtotal | $ | 1.5 |  |  | $ | 47.0 |  |  | $ | 6,825.4 |  |  | $ | 6,873.9 |
Investments measured at net asset value(2) |  |  |  |  |  |  | 238.4 |
Total |  |  |  |  |  |  | $ | 7,112.3 |
Liabilities |  |  |  |  |  |  |
Loans payable of Consolidated Funds(3) | $ | — |  |  | $ | — |  |  | $ | 5,682.1 |  |  | $ | 5,682.1 |
Foreign currency forward contracts | — |  |  | 1.3 |  |  | — |  |  | 1.3 |
Total(4) | $ | — |  |  | $ | 1.3 |  |  | $ | 5,682.1 |  |  | $ | 5,683.4 |
(1)The Level III balance excludes a $54.9 million corporate investment in equity securities which the Company has elected to account for under the measurement alternative for equity securities without readily determinable fair values pursuant to ASC 321, Investments – Equity Securities. As a non-recurring fair value measurement, the fair value of these equity securities is excluded from the tabular Level III rollforward disclosures. (2)Balance represents Fund Investments that the Company reports based on the most recent available information which typically has a lag of up to 90 days, of which $223.6 million relates to investments of consolidated funds. (3)Senior and subordinated notes issued by CLO vehicles are valued based on the more observable fair value of the CLO financial assets, less (i) the fair value of any beneficial interests held by the Company and (ii) the carrying value of any beneficial interests that represent compensation for services. (4)Total liabilities balance excludes a $33.7 million revolving credit balance related to loans payable of consolidated funds. The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis by the above fair value hierarchy levels as of December 31, 2021:
(Dollars in millions) | Level I |  | Level II |  | Level III |  | Total
Assets |  |  |  |  |  |  |
Investments of Consolidated Funds: |  |  |  |  |  |  |
Equity securities | $ | — |  |  | $ | — |  |  | $ | 17.9 |  |  | $ | 17.9 |
Bonds | — |  |  | — |  |  | 599.5 |  |  | 599.5 |
Loans | — |  |  | — |  |  | 5,898.1 |  |  | 5,898.1 |
| — |  |  | — |  |  | 6,515.5 |  |  | 6,515.5 |
Investments in CLOs | — |  |  | — |  |  | 361.1 |  |  | 361.1 |
Other investments(1) | 1.5 |  |  | 45.6 |  |  | 78.7 |  |  | 125.8 |
Foreign currency forward contracts | — |  |  | 1.4 |  |  | — |  |  | 1.4 |
Subtotal | $ | 1.5 |  |  | $ | 47.0 |  |  | $ | 6,955.3 |  |  | $ | 7,003.8 |
Investments measured at net asset value(2) |  |  |  |  |  |  | 161.7 |
Total |  |  |  |  |  |  | $ | 7,165.5 |
Liabilities |  |  |  |  |  |  |
Loans payable of Consolidated Funds(3) | $ | — |  |  | $ | — |  |  | $ | 5,811.0 |  |  | $ | 5,811.0 |
Foreign currency forward contracts | — |  |  | 0.7 |  |  | — |  |  | 0.7 |
Total(4) | $ | — |  |  | $ | 0.7 |  |  | $ | 5,811.0 |  |  | $ | 5,811.7 |
(1)The Level III balance excludes a corporate investment in equity securities which the Company has elected to account for under the measurement alternative for equity securities without readily determinable fair values pursuant to ASC 321, Investments – Equity Securities. In December 2021, the Company remeasured this investment to a fair value of $54.9 million due to an observable price change. As a non-recurring fair value measurement, the fair value of these equity securities is excluded from the tabular Level III rollforward disclosures. (2)Balance represents Fund Investments that the Company reports based on the most recent available information which typically has a lag of up to 90 days, of which $145.5 million relates to investments of consolidated funds. (3)Senior and subordinated notes issued by CLO vehicles are valued based on the more observable fair value of the CLO financial assets, less (i) the fair value of any beneficial interests held by the Company and (ii) the carrying value of any beneficial interests that represent compensation for services. (4)Total liabilities balance excludes a $79.0 million revolving credit balance related to loans payable of consolidated funds.
Changes in Level III financial assets measured at fair value | The changes in financial instruments measured at fair value for which the Company has used Level III inputs to determine fair value are as follows (Dollars in millions):
| Financial Assets
| Three Months Ended March 31, 2022
| Investments of Consolidated Funds |  |  |  |  |  |
| Equity securities |  | Bonds |  | Loans |  |  |  |  |  | Investments in CLOs |  | Other investments | Total
Balance, beginning of period | $ | 17.9 |  |  | $ | 599.5 |  |  | $ | 5,898.1 |  |  |  |  |  |  | $ | 361.1 |  |  | $ | 78.7 |  |  | $ | 6,955.3 |
Purchases | 0.1 |  |  | 182.5 |  |  | 766.0 |  |  |  |  |  |  | 227.6 |  |  | 0.9 |  |  | 1,177.1 |
Sales and distributions | (6.8) |  |  | (186.9) |  |  | (731.0) |  |  |  |  |  |  | (14.1) |  |  | (2.0) |  |  | (940.8) |
Settlements | — |  |  | (0.3) |  |  | (162.8) |  |  |  |  |  |  | — |  |  | — |  |  | (163.1) |
Realized and unrealized gains (losses), net |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 0.4 |  |  | (13.8) |  |  | (53.9) |  |  |  |  |  |  | (9.6) |  |  | (1.6) |  |  | (78.5) |
Included in other comprehensive income | (0.3) |  |  | (15.8) |  |  | (103.9) |  |  |  |  |  |  | (4.6) |  |  | — |  |  | (124.6) |
Balance, end of period | $ | 11.3 |  |  | $ | 565.2 |  |  | $ | 5,612.5 |  |  |  |  |  |  | $ | 560.4 |  |  | $ | 76.0 |  |  | $ | 6,825.4 |
Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date | $ | 0.3 |  |  | $ | (14.5) |  |  | $ | (59.4) |  |  |  |  |  |  | $ | (9.6) |  |  | $ | (1.6) |  |  | $ | (84.8) |
Changes in unrealized gains (losses) included in other comprehensive income related to financial assets still held at the reporting date | $ | (0.2) |  |  | $ | (10.8) |  |  | $ | (87.0) |  |  |  |  |  |  | $ | (4.6) |  |  | $ | — |  |  | $ | (102.6) |
| Financial Assets
| Three Months Ended March 31, 2021
| Investments of Consolidated Funds |  |  |  |  |  |
| Equity securities |  | Bonds |  | Loans |  |  |  |  |  | Investments in CLOs |  | Other investments(1) |  | Total
Balance, beginning of period | $ | 9.4 |  |  | $ | 550.4 |  |  | $ | 5,497.1 |  |  |  |  |  |  | $ | 489.4 |  |  | $ | 81.4 |  |  | $ | 6,627.7 |
Purchases | 0.1 |  |  | 151.0 |  |  | 755.3 |  |  |  |  |  |  | 29.0 |  |  | — |  |  | 935.4 |
Sales and distributions | (0.6) |  |  | (155.4) |  |  | (676.2) |  |  |  |  |  |  | (54.8) |  |  | (15.2) |  |  | (902.2) |
Settlements | — |  |  | (3.6) |  |  | (238.3) |  |  |  |  |  |  | — |  |  | — |  |  | (241.9) |
Realized and unrealized gains (losses), net |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 0.9 |  |  | 4.4 |  |  | 87.2 |  |  |  |  |  |  | (4.0) |  |  | 9.4 |  |  | 97.9 |
Included in other comprehensive income | (0.3) |  |  | (21.6) |  |  | (154.1) |  |  |  |  |  |  | 3.3 |  |  | — |  |  | (172.7) |
Balance, end of period | $ | 9.5 |  |  | $ | 525.2 |  |  | $ | 5,271.0 |  |  |  |  |  |  | $ | 462.9 |  |  | $ | 75.6 |  |  | $ | 6,344.2 |
Changes in unrealized gains (losses) included in earnings related to financial assets still held at the reporting date | $ | 0.7 |  |  | $ | 3.2 |  |  | $ | 79.1 |  |  |  |  |  |  | $ | (4.0) |  |  | $ | 9.1 |  |  | $ | 88.1 |
Changes in unrealized gains (losses) included in other comprehensive income related to financial assets still held at the reporting date | $ | (0.3) |  |  | $ | (16.6) |  |  | $ | (134.3) |  |  |  |  |  |  | $ | 3.3 |  |  | $ | — |  |  | $ | (147.9) |
(1) The beginning balance of Other Investments has been revised to reflect the exclusion of Fund Investments measured at fair value using the NAV per share practical expedient from the fair value hierarchy.
Changes in Level III financial liabilities measured at fair value |
| Financial Liabilities
| Loans Payable of Consolidated Funds
| Three Months Ended March 31,
| 2022 |  | 2021
Balance, beginning of period | $ | 5,811.0 |  |  | $ | 5,563.0 |
Borrowings | 1,108.4 |  |  | 105.4 |
Paydowns | (415.4) |  |  | (144.4) |
Sales | (669.5) |  |  | — |
Realized and unrealized (gains) losses, net |  |  |
Included in earnings | (46.2) |  |  | 77.0 |
Included in other comprehensive income | (106.2) |  |  | (160.3) |
Balance, end of period | $ | 5,682.1 |  |  | $ | 5,440.7 |
Changes in unrealized (gains) losses included in earnings related to financial liabilities still held at the reporting date | $ | (49.8) |  |  | $ | 77.0 |
Changes in unrealized (gains) losses included in other comprehensive income related to financial liabilities still held at the reporting date | $ | (102.6) |  |  | $ | (158.3) |
Summary of quantitative information about Level III inputs | The following table summarizes quantitative information about the Company’s Level III inputs as of March 31, 2022:
| Fair Value at |  | Valuation Technique(s) |  | Unobservable Input(s) |  | Range (Weighted Average)
(Dollars in millions) | March 31, 2022 |  |  |
Assets |  |  |  |  |  |  |
Investments of Consolidated Funds: |  |  |  |  |  |  |
Equity securities | $ | 11.3 |  |  | Consensus Pricing |  | Indicative Quotes ($ per share) |  | 0.00 - 0.42 (0.42)
Bonds | 565.2 |  |  | Consensus Pricing |  | Indicative Quotes (% of Par) |  | 86 - 112 (96)
Loans | 5,580.0 |  |  | Consensus Pricing |  | Indicative Quotes (% of Par) |  | 25 - 105 (97)
| 32.5 |  |  | Discounted Cash Flow |  | Discount Rates |  | 5% - 8% (6%)
| 6,189.0 |  |  |  |  |  |  |
Investments in CLOs: |  |  |  |  |  |  |
Senior secured notes | 470.7 |  |  | Consensus Pricing with Discounted Cash Flow |  | Indicative Quotes (% of Par) |  | 84 - 100 (98)
|  |  |  |  | Discount Margins (Basis Points) |  | 20 - 1,430 (236)
|  |  |  |  | Default Rates |  | 1% - 2% (1%)
|  |  |  |  | Recovery Rates |  | 50% - 70% (60%)
Subordinated notes and preferred shares | 89.7 |  |  | Consensus Pricing with Discounted Cash Flow |  | Indicative Quotes (% of Par) |  | 39 - 85 (69)
|  |  |  |  | Discount Rates |  | 14% - 22% (19%)
|  |  |  |  | Default Rates |  | 1% - 2% (1%)
|  |  |  |  | Recovery Rates |  | 50% - 70% (60%)
Other investments: |  |  |  |  |  |  |
BDC preferred shares | 73.3 |  |  | Market Yield Analysis |  | Market Yield |  | 9% - 9% (9%)
Aviation subordinated notes | 2.7 |  |  | Discounted Cash Flow |  | Discount Rates |  | 21% - 21% (21%)
Total | $ | 6,825.4 |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |
Loans payable of Consolidated Funds: |  |  |  |  |  |  |
Senior secured notes | $ | 5,470.1 |  |  | Other (1) |  | N/A |  | N/A
Subordinated notes and preferred shares | 212.0 |  |  | Consensus Pricing with Discounted Cash Flow |  | Indicative Quotes (% of Par) |  | 32 - 108 (55)
|  |  |  |  | Discount Rates |  | 15% - 25% (21%)
|  |  |  |  | Default Rates |  | 2% - 2% (2%)
|  |  |  |  | Recovery Rates |  | 50% - 70% (60%)
Total | $ | 5,682.1 |  |  |  |  |  |  |
(1) Senior and subordinated notes issued by CLO vehicles are classified based on the more observable fair value of the CLO financial assets, less (i) the fair value of any beneficial interests held by the Company and (ii) the carrying value of any beneficial interests that represent compensation for services. The following table summarizes quantitative information about the Company’s Level III inputs as of December 31, 2021:
| Fair Value at |  | Valuation Technique(s) |  | Unobservable Input(s) |  | Range (Weighted Average)
(Dollars in millions) | December 31, 2021 |  |  |
Assets |  |  |  |  |  |  |
Investments of Consolidated Funds: |  |  |  |  |  |  |
Equity securities | $ | 17.9 |  |  | Consensus Pricing |  | Indicative Quotes ($ per share) |  | 0.00 - 84.22 (0.63)
Bonds | 599.5 |  |  | Consensus Pricing |  | Indicative Quotes (% of Par) |  | 93 - 107 (99)
Loans | 5,766.0 |  |  | Consensus Pricing |  | Indicative Quotes (% of Par) |  | 35 - 106 (98)
| 65.1 |  |  | Discounted Cash Flow |  | Discount Rates |  | 4% - 8% (5%)
| 67.0 |  |  | Market Yield Analysis |  | Market Yields |  | 3% - 8% (5%)
| 6,515.5 |  |  |  |  |  |  |
Investments in CLOs: |  |  |  |  |  |  |
Senior secured notes | 289.7 |  |  | Discounted Cash Flow with Consensus Pricing |  | Indicative Quotes (% of Par) |  | 86 - 101 (99)
|  |  |  |  | Discount Margins (Basis Points) |  | 50 - 1,330 (245)
|  |  |  |  | Default Rates |  | 1% - 2% (1%)
|  |  |  |  | Recovery Rates |  | 50% - 70% (60%)
Subordinated notes and preferred shares | 71.5 |  |  | Discounted Cash Flow with Consensus Pricing |  | Indicative Quotes (% of Par) |  | 46 - 97 (63)
|  |  |  |  | Discount Rate |  | 14% - 22% (19%)
|  |  |  |  | Default Rates |  | 1% - 2% (1%)
|  |  |  |  | Recovery Rates |  | 50% - 70% (60%)
Other investments: |  |  |  |  |  |  |
BDC preferred shares | 72.5 |  |  | Market Yield Analysis |  | Market Yield |  | 7% - 7% (7%)
Aviation subordinated notes | 6.1 |  |  | Discounted Cash Flow |  | Discount Rates |  | 18% - 18% (18%)
Total | $ | 6,955.3 |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |
Loans payable of Consolidated Funds: |  |  |  |  |  |  |
Senior secured notes | $ | 5,561.1 |  |  | Other (1) |  | N/A |  | N/A
Subordinated notes and preferred shares | 249.9 |  |  | Discounted Cash Flow with Consensus Pricing |  | Indicative Quotes (% of Par) |  | 40 - 97 (61)
|  |  |  |  | Discount Rates |  | 14% - 22% (19%)
|  |  |  |  | Default Rates |  | 1% - 2% (1%)
|  |  |  |  | Recovery Rates |  | 50% - 70% (60%)
Total | $ | 5,811.0 |  |  |  |  |  |  |
(1) Senior and subordinated notes issued by CLO vehicles are classified based on the more observable fair value of the CLO financial assets, less (i) the fair value of any beneficial interests held by the Company and (ii) the carrying value of any beneficial interests that represent compensation for services.

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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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