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Fair Value Measurement (Tables)

3 Months Ended

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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