XML 62 R20.htm IDEA: XBRL DOCUMENT
v3.23.2

Fair Value | 6 Months Ended
--- | ---
Jun. 30, 2023
Fair Value Disclosures [Abstract] |
Fair Value | 11. Fair Value Recurring Fair Values Financial assets and financial liabilities carried at fair value on a recurring basis include financial instruments for which the fair value option was elected, but exclude financial assets under the NAV practical expedient. Fair value is categorized into a three tier hierarchy that is prioritized based upon the level of transparency in inputs used in the valuation techniques, as follows. Level 1—Quoted prices (unadjusted) in active markets for identical assets or liabilities. Level 2—Observable inputs other than Level 1 prices, such as quoted prices for similar assets or liabilities, quoted prices in non-active markets, or valuation techniques utilizing inputs that are derived principally from or corroborated by observable data directly or indirectly for substantially the full term of the financial instrument. Level 3—At least one assumption or input is unobservable and it is significant to the fair value measurement, requiring significant management judgment or estimate. Marketable Equity Securities Marketable equity securities with long positions of $96.5 million at June 30, 2023 and $155.9 million at December 31, 2022, included within equity investments of Corporate and Other (Note 4), and short positions of $45.6 million at June 30, 2023 and $40.9 million at December 31, 2022, included in other liabilities (Note 7), consist of publicly traded equity securities held predominantly by sponsored liquid strategy funds consolidated by the Company. The equity securities of the consolidated funds comprise listed stocks primarily in the U.S. and to a lesser extent, in Europe, and primarily in the technology, media and telecommunications sectors. These marketable equity securities are valued based upon listed prices in active markets and classified as Level 1 of the fair value hierarchy. Equity Investment of Consolidated Fund A consolidated credit fund has equity interests in pooling entities that hold a portfolio of loans, invested alongside other managed credit funds. The fund's equity interests in the pooling entities had a fair value of $95.4 million at June 30, 2023 and $46.8 million at December 31, 2022, classified as Level 3 of the fair value hierarchy. Fair value of the fund's equity interests in the pooling entities is based upon its share of expected cash flows from the loan assets held by the pooling entities. In estimating fair value of the underlying loans, the pooling entities considered the prevailing market yields at which a third party might expect to receive on equivalent loans with similar credit risk. Based upon a comparison to market yields, it was determined that the transacted price or par value of the loans held by the pooling entities approximated their fair value at June 30, 2023 and at December 31, 2022. Derivatives The Company's derivative instruments generally consist of: (i) foreign currency put options, forward contracts and costless collars to hedge the foreign currency exposure of certain foreign-denominated investments or investments in foreign subsidiaries (in GBP and EUR), with notional amounts and termination dates based upon the anticipated return of capital from these investments; and (ii) interest rate caps and swaps to limit the exposure to changes in interest rates on various floating rate debt obligations (indexed to SOFR or Euribor). These derivative contracts may be designated as qualifying hedge accounting relationships, specifically as net investment hedges and cash flow hedges, respectively. The derivative instruments are subject to master netting arrangements with counterparties that allow the Company to offset the settlement of derivative assets and liabilities in the same currency by instrument type or, in the event of default by the counterparty, to offset all derivative assets and liabilities with the same counterparty. Notwithstanding the conditions for right of offset may have been met, the Company presents derivative assets and liabilities with the same counterparty on a gross basis on the consolidated balance sheets. The Company had no outstanding derivatives at June 30, 2023. At December 31, 2022, fair value of derivative assets was $11.8 million, included in other assets, and there were no derivatives in a liability position. All derivative positions were non-designated hedges. At December 31, 2022, derivative notional amounts aggregated to the equivalent of $321.1 million for foreign exchange contracts, and there were no outstanding interest rate contracts. Realized and unrealized gains and losses on derivative instruments are recorded in other gain (loss) on the consolidated statement of operations as follows:
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In thousands) |  | 2023 |  | 2022 |  | 2023 |  | 2022 |  |
Foreign currency contracts: |  |  |  |  |  |  |  |  |  |
Realized and unrealized gain in earnings on non-designated contracts (1) |  | $ | — |  |  | $ | 3,560 |  |  | $ | 4,053 |  |  | $ | 5,070 |  |  |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |
Realized and unrealized gain in earnings on non-designated contracts |  | — |  |  | 965 |  |  | — |  |  | 1,026 |  |  |
__________ (1) Amount in 2023 relates to foreign currency contract entered into on behalf of a sponsored fund, which has no net impact to the Company's earnings, as discussed in Note 16. The Company's foreign currency and interest rate contracts are generally traded over-the-counter, and are valued using a third-party service provider. Quotations on over-the-counter derivatives are not adjusted and are generally valued using observable inputs such as contractual cash flows, yield curve, foreign currency rates and credit spreads, and are classified as Level 2 of the fair value hierarchy. Although credit valuation adjustments, such as the risk of default, rely on Level 3 inputs, these inputs are not significant to the overall valuation of the derivatives. As a result, derivative valuations in their entirety are classified as Level 2 of the fair value hierarchy. Warrants As discussed in Note 10, the Company had issued five warrants to Wafra in July 2020. Each warrant entitles Wafra to purchase up to 1,338,000 shares of the Company's class A common stock at staggered strike prices between $9.72 and $24.00 each, exercisable through July 17, 2026. No warrants have been exercised to-date. The warrants are carried at fair value effective May 2022 when they were reclassified from equity to liability, with subsequent changes in fair value recorded in other gain (loss) on the consolidated statements of operations. The warrants were valued at $29.0 million at June 30, 2023 and $17.7 million at December 31, 2022 using a Black-Scholes option pricing model, applying the following inputs: (a) estimated volatility for DBRG's class A common stock of 37.3% (40.8% at December 31, 2022); (b) closing stock price of DBRG's class A common stock on the last trading day of the quarter; (c) the strike price for each warrant; (d) remaining term to expiration of the warrants; and (e) risk free rate of 4.48% per annum (4.16% per annum at December 31, 2022), derived from the daily U.S. Treasury yield curve rates to correspond to the remaining term to expiration of the warrants. Fair value of the warrant liability, classified as Level 3 fair value, increased $11.3 million during the six months ended June 30, 2023. Contingent Consideration In connection with the acquisition of InfraBridge, contingent consideration is payable if prescribed fundraising targets for InfraBridge's new global infrastructure funds are met. In measuring the contingent consideration, the Company applied a probability-weighted approach to the likelihood of meeting various fundraising targets and discounted the estimated future contingent consideration payment at 4.9% to derive a present value amount. The contingent consideration of $11.1 million at June 30, 2023 is classified as Level 3 of the fair value hierarchy, with increase in fair value of $0.2 million during the six months ended June 30, 2023 recorded in other gain (loss). Fair Value Option Loans Receivable At June 30, 2023, there was no outstanding balance on loans receivable, which had been carried at fair value under the fair value option. Previously, loans receivable consisted of two unsecured promissory notes, one in connection with the 2022 sale of the Company's Wellness Infrastructure business (Note 2) and one held by DataBank, presented within Corporate and Other and in the Operating segment, respectively. Both loans receivable had bullet repayment of principal and accrued paid-in-kind ("PIK") interest. Fair value of loans receivable included accrued interest, which was recorded in other income, while changes in fair value was recorded in other gain (loss). At December 31, 2022, fair value of loans receivable was $137.9 million, with unpaid principal balance, inclusive of PIK interest, of $167.8 million, classified as Level 3 in the fair value hierarchy. In March 2023, the Wellness Infrastructure note was fully written down, taking into consideration foreclosure of certain assets within the Wellness Infrastructure portfolio by its mezzanine lender. In April 2023, the DataBank note was fully repaid. At December 31, 2022, loan fair values were based upon a discounted cash flow projection of principal and interest, which at the time of valuation, were expected to be collected, discounted at 10.0% and 10.5%. Changes in Level 3 Fair Value The following table presents changes in recurring Level 3 fair value assets held for investment. Realized and unrealized gains (losses) are included in other gain (loss).
|  |  |  | Fair Value Option |  | Equity Investment of Consolidated Fund |
(In thousands) |  |  |  | Loans Receivable |  |  |  |
Fair value at December 31, 2021 |  |  |  | $ | 82,930 |  |  |  |  | $ | — |  |
Originations and drawdowns |  |  |  | 371,415 |  |  |  |  | — |  |
Change in accrued interest and capitalization of paid-in-kind interest |  |  |  | 1,217 |  |  |  |  | — |  |
Paydowns |  |  |  | (133,268) |  |  |  |  | — |  |
Unrealized gain (loss) in earnings, net |  |  |  | (21,676) |  |  |  |  | — |  |
Fair value at June 30, 2022 |  |  |  | $ | 300,618 |  |  |  |  | $ | — |  |
Net unrealized gain (loss) in earnings on instruments held at June 30, 2022 |  |  |  | $ | (21,676) |  |  |  |  | $ | — |  |
Fair value at December 31, 2022 |  |  |  | $ | 137,945 |  |  |  |  | $ | 46,770 |  |
Contributions |  |  |  | — |  |  |  |  | 49,549 |  |
Change in consolidated fund's share of equity investment (1) |  |  |  | — |  |  |  |  | 526 |  |
Capitalization of paid-in-kind interest |  |  |  | 544 |  |  |  |  | — |  |
Paydown of loan receivable or underlying loan assets held by equity investment of consolidated fund |  |  |  | (6,804) |  |  |  |  | (2,294) |  |
Unrealized and realized gain (loss) in earnings, net |  |  |  | (131,685) |  |  |  |  | 832 |  |
Fair value at June 30, 2023 |  |  |  | $ | — |  |  |  |  | $ | 95,383 |  |
Net unrealized gain (loss) in earnings on instruments held at June 30, 2023 |  |  |  | $ | (133,307) |  |  |  |  | $ | 832 |  |
__________ (1) Represents reallocation of investment value when relative ownership of the pooling entity across its fund owners change following additional capital contributions. Investment Carried at Fair Value Using Net Asset Value The Company holds an investment in a non-traded healthcare REIT, valued at $34.5 million at June 30, 2023 and at December 31, 2022, presented within Corporate and Other in Note 4. The Company has no commitment for any further investment in the non-traded REIT in the future. The investment is valued based upon NAV beginning October 2021 when the investee, a healthcare real estate investor/manager, was acquired in conjunction with a merger of its co-sponsored non-traded REITs. The transaction diluted the Company's equity interest in the investee, which was previously accounted for as an equity method investment. Redemption of the Company's partnership interest in the non-traded healthcare REIT is restricted until the earliest of (1) the second anniversary of the issuance to the Company of such partnership units, (2) change in control of the general partner, and (3) initial public offering of the equity of the non-traded healthcare REIT, which may be subject to further restriction on redemption by the underwriters. Nonrecurring Fair Values The Company measures fair value of certain assets on a nonrecurring basis: (i) on the acquisition date for business combinations; and (ii) when events or changes in circumstances indicate that the carrying value of the assets may not be recoverable. Adjustments to fair value generally result from an application of the lower of amortized cost or fair value for assets held for disposition or otherwise, a write-down of asset values due to impairment. There were no assets carried at nonrecurring fair value at June 30, 2023 and December 31, 2022. Fair Value of Financial Instruments Reported at Cost Fair value of financial instruments reported at amortized cost, excluding those held for disposition, are presented below.
|  | Fair Value Measurements |  | Carrying Value
(In thousands) |  | Level 1 |  | Level 2 |  | Level 3 |  | Total |
June 30, 2023 |  |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Corporate debt |  |  |  |  |  |  |  |  |  |
Secured fund fee revenue notes |  | $ | — |  |  | $ | 250,547 |  |  | $ | — |  |  | $ | 250,547 |  |  | $ | 293,219 |
Exchangeable senior notes |  | — |  |  | 124,117 |  |  | — |  |  | 124,117 |  |  | 77,242 |
Non-recourse investment-level debt |  | — |  |  | 4,183,782 |  |  | 515,828 |  |  | 4,699,610 |  |  | 5,025,845 |
December 31, 2022 |  |  |  |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Corporate debt |  |  |  |  |  |  |  |  |  |
Secured fund fee revenue notes |  | $ | — |  |  | $ | 250,547 |  |  | $ | — |  |  | $ | 250,547 |  |  | $ | 292,171 |
Convertible and exchangeable senior notes |  |  |  | 304,513 |  |  | — |  |  | 304,513 |  |  | 276,741 |
Non-recourse investment-level debt |  | — |  |  | 3,268,508 |  |  | 944,984 |  |  | 4,213,492 |  |  | 4,587,228 |
Debt—Senior notes and secured fund fee revenue notes were valued using their last traded price. Fair value of investment-level debt were estimated by either discounting expected future cash outlays at interest rates available to the respective borrower subsidiaries for similar instruments, or with respect to securitized debt, based upon indicative bond prices quoted by brokers in the secondary market. Other—The carrying values of cash and cash equivalents, accounts receivable, due from and to affiliates, interest payable and accounts payable generally approximate fair value due to their short term nature, and credit risk, if any, is negligible.

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration