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Consolidated Sponsored Investment Products | 12 Months Ended
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Dec. 31, 2015
Organization, Consolidation and Presentation of Financial Statements [Abstract] |
Consolidated Sponsored Investment Products | Consolidated Sponsored Investment Products Sponsored Investment Products In the normal course of its business, the Company sponsors various investment products. The Company consolidates, as a consolidated sponsored investment product, an investment product when it owns a majority of the voting interest in the entity or it is the primary beneficiary of an investment product that is a VIE. The consolidation and deconsolidation of these investment products have no impact on net income attributable to stockholders. The Company’s risk with respect to these investments is limited to its investment in these products. The Company has no right to the benefits from, and does not bear the risks associated with these investment products, beyond the Company’s investments in, and fees generated from these products. The Company does not consider cash and investments held by consolidated sponsored investment products or any other VIE to be assets of the Company other than its direct investment in these products. As of December 31, 2015 and December 31, 2014, the Company consolidated twelve sponsored investment products, respectively. During the year ended December 31, 2015, the Company consolidated three additional sponsored investment products and deconsolidated three sponsored investment products because it no longer has a majority voting interest. The following table presents the balances of the consolidated sponsored investment products that were reflected in the Consolidated Balance Sheets as of December 31, 2015 and 2014:
| As of December 31,
| 2015 |  | 2014
($ in thousands)
Total cash | $ | 11,866 |  |  | $ | 8,687 |
Total investments | 323,335 |  |  | 236,652 |
All other assets | 8,549 |  |  | 6,960 |
Total liabilities | (15,387 | ) |  | (12,556 | )
Redeemable noncontrolling interest | (73,864 | ) |  | (23,071 | )
The Company’s net interests in consolidated sponsored investment products | $ | 254,499 |  |  | $ | 216,672 |
The Company's net interest as a percentage of total investments of consolidated sponsored investment products | 78.7 | % |  | 91.6 | %
Fair Value Measurements of Consolidated Sponsored Investment Products The assets and liabilities of the consolidated sponsored investment products measured at fair value on a recurring basis by fair value hierarchy level were as follows:
As of December 31, 2015 |  |  |  |  |  |  |
| Level 1 |  | Level 2 |  | Level 3 |  | Total
($ in thousands) |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Debt securities | $ | — |  |  | $ | 151,156 |  |  | $ | 1,397 |  |  | $ | 152,553 |
Equity securities | 162,986 |  |  | 7,796 |  |  | — |  |  | 170,782 |
Derivatives | 33 |  |  | 738 |  |  | — |  |  | 771 |
Total assets measured at fair value | $ | 163,019 |  |  | $ | 159,690 |  |  | $ | 1,397 |  |  | $ | 324,106 |
Liabilities |  |  |  |  |  |  |
Derivatives | $ | 128 |  |  | $ | 844 |  |  | $ | — |  |  | $ | 972 |
Short sales | 5,334 |  |  | 75 |  |  | — |  |  | 5,409 |
Total liabilities measured at fair value | $ | 5,462 |  |  | $ | 919 |  |  | $ | — |  |  | $ | 6,381 |
As of December 31, 2014 |  |  |  |  |  |  |
| Level 1 |  | Level 2 |  | Level 3 |  | Total
($ in thousands) |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Debt securities | $ | — |  |  | $ | 135,050 |  |  | $ | 1,065 |  |  | $ | 136,115 |
Equity securities | 82,417 |  |  | 18,120 |  |  | — |  |  | 100,537 |
Derivatives | 154 |  |  | 227 |  |  | — |  |  | 381 |
Total assets measured at fair value | $ | 82,571 |  |  | $ | 153,397 |  |  | $ | 1,065 |  |  | $ | 237,033 |
Liabilities |  |  |  |  |  |  |
Derivatives | $ | 191 |  |  | $ | — |  |  | $ | — |  |  | $ | 191 |
Short sales | 7,491 |  |  | 674 |  |  | — |  |  | 8,165 |
Total liabilities measured at fair value | $ | 7,682 |  |  | $ | 674 |  |  | $ | — |  |  | $ | 8,356 |
The following is a discussion of the valuation methodologies used for the assets and liabilities of the Company’s consolidated sponsored investment products measured at fair value. Investments of consolidated sponsored investment products represent the underlying debt, equity and other securities held in sponsored products, which are consolidated by the Company. Equity securities are valued at the official closing price on the exchange on which the securities are traded and are categorized within Level 1. Level 2 investments include most debt securities, which are valued based on quotations received from independent pricing services or from dealers who make markets in such securities and certain equity securities, including non-US securities, for which closing prices are not readily available or are deemed to not reflect readily available market prices and are valued using an independent pricing service. Pricing services do not provide pricing for all securities, and therefore indicative bids from dealers are utilized, which are based on pricing models used by market makers in the security and are also included within Level 2. Level 3 investments include debt securities that are not widely traded, are illiquid or are priced by dealers based on pricing models used by market makers in the security. The following table is a reconciliation of assets of consolidated sponsored investment products for Level 3 investments for which significant unobservable inputs were used to determine fair value.
| Year Ended December 31,
| 2015 |  | 2014
(in thousands) |  |  |
Level 3 Debt Securities (a) |  |  |
Balance at beginning of period | $ | 1,065 |  |  | $ | — |
Purchases | 913 |  |  | 1,119 |
Sales | (370 | ) |  | — |
Paydowns | (10 | ) |  | (3 | )
Change in unrealized loss, net | (113 | ) |  | (51 | )
Change in realized loss, net | (141 | ) |  | — |
Transfers from Level 2 | 151 |  |  | — |
Transfers to Level 2 | (98 | ) |  | — |
Balance at end of period | $ | 1,397 |  |  | $ | 1,065 |
(a) | None of the securities were internally fair valued at December 31, 2015 or December 31, 2014.
For the year ended December 31, 2015, securities held by consolidated sponsored investment products with an end of period value of $8.4 million were transferred from Level 2 to Level 1 because certain non-US securities quoted market prices were no longer adjusted based on third-party factors derived from model-based valuation techniques for which the significant assumptions were observable in the market. Securities with an end of period market value of $0.2 million and $1.5 million were transferred from Level 1 to Level 2 during the years ended December 31, 2015 and December 31, 2014, respectively, because certain non-US securities' quoted market prices were adjusted based on third-party factors derived from model-based valuation techniques for which the significant assumptions were observable in the market or an exchange price for preferred shares was no longer available. Derivatives The Company has certain consolidated sponsored investment products which include derivative instruments as part of their investment strategies to contribute to the achievement of defined investment objectives. These derivatives may include futures contracts, swaps contracts, options contracts and forward contracts. Derivative instruments in an asset position are classified as other assets of consolidated sponsored investment products in the Consolidated Balance Sheets. Derivative instruments in a liability position are classified as liabilities of consolidated sponsored investment products within the Consolidated Balance Sheets. The change in fair value of such derivatives is recorded in realized and unrealized gain (loss) on investments of consolidated sponsored investment products, net, in the Consolidated Statements of Operations. In connection with entering into these derivative contracts, these funds may be required to pledge to the broker an amount of cash equal to the “initial margin” requirements that varies based on the type of derivative. The cash pledged or on deposit is recorded in the Consolidated Balance Sheets of the Company as Cash pledged or on deposit of consolidated sponsored investment products. The fair value of such derivatives at December 31, 2014 was immaterial. The Company's consolidated sponsored investment products were party to the following derivative instruments for the year ended December 31, 2015:
| Volume
($ in thousands) |  |  |
Purchased options | $ | 3,015 |  |  | (a)
Written options | 755 |  |  | (b)
Futures contracts long/short | 278 |  |  | (c)
Forward foreign currency exchange purchase contracts | 5,591 |  |  | (d)
Forward foreign currency exchange sale contracts | 29,069 |  |  | (e)
Interest rate swaps | 69,094 |  |  | (f)
Other swaps | 35,180 |  |  | (f), (g)
(a) Represents average premiums paid for the period. (b) Represents average premiums received for the period. (c) Represents average unrealized gains/losses for the period. (d) Represents average value payable at trade date. (e) Represents average value at receivable at settlement date. (f) Represents notional value of holdings as of the end of the period.
(g) | Includes credit default, total return, inflation and variance swaps.
The following is a summary of the consolidated sponsored investment products' derivative instruments as of December 31, 2015. For financial reporting purposes, the Company does not offset derivative assets and derivative liabilities that are subject to netting arrangements in its Consolidated Balance Sheets.
| Fair Value
| Assets |  | Liabilities
($ in thousands) |  |  |
Futures contracts | $ | 77 |  |  | $ | 128 |
Forward foreign currency exchange contracts | 388 |  |  | 287 |
Swaps | 897 |  |  | 502 |
Purchased options | 2,071 |  |  | 63 |
Purchased swaptions | 803 |  |  | — |
Written options | — |  |  | 654 |
Total derivative assets and liabilities in the Consolidated Balance Sheets | 4,236 |  |  | 1,634 |
Derivatives not subject to a master netting agreement | (978 | ) |  | (281 | )
Total assets and liabilities subject to a master netting agreement | $ | 3,258 |  |  | $ | 1,353 |
The following is a summary of the Company's consolidated sponsored investment products' assets and liabilities, net of amounts available for offset under a master netting arrangement and net of any related cash collateral received:
| As of December 31, 2015
| Amount Subject to a Master Netting Arrangement |  | Derivatives Available for Offset |  | Collateral Pledged or Received |  | Net Amount
($ in thousands) |  |  |  |  |  |  |
Derivative assets | $ | 3,258 |  |  | $ | (1,140 | ) |  | $ | (1,784 | ) |  | $ | 334 |
Derivative liabilities | 1,353 |  |  | (1,140 | ) |  | (209 | ) |  | 4 |
The Company's consolidated sponsored investment products have counterparty risk associated with these derivative assets and liabilities. Multiple counterparties are utilized to mitigate this risk, and the maximum exposure to a single bank does not exceed 33.1% of the total derivative assets or 43.3% of the total derivative liabilities. The following is a summary of the net gains (losses) recognized in income by primary risk exposure:
| Year Ended December 31,
| 2015
($ in thousands) |
Interest rate contracts | $ | (80 | )
Foreign currency exchange contracts | 181 |
Equity contracts | 312 |
Commodity contracts | 324 |
Credit contracts | 8 |
Total | $ | 745 |
Short Sales Some of the Company’s consolidated sponsored investment products may engage in short sales, which are transactions in which a security is sold, which is not owned or is owned but there is no intention to deliver, in anticipation that the price of the security will decline. Short sales are recorded in the Consolidated Balance Sheets within other liabilities of consolidated sponsored investment products. Borrowings One of the Company’s consolidated sponsored investment products employs leverage in the form of using proceeds from short sales, which allows it to use its long positions as collateral in order to purchase additional securities. The use of these proceeds from short sales is secured by the assets of the consolidated sponsored investment product, which are held with the custodian in a separate account. This consolidated sponsored investment product is permitted to borrow up to 33.33% of its total assets.

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- Definition The entire disclosure for the information summarizing investments in and advances to majority-owned subsidiaries, other controlled companies, and other affiliates. It reflects specified information about ownership, financial results from, and financial position in such entities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -Section S99 -Paragraph 6 -Subparagraph (SX 210.12-14) -URI http://asc.fasb.org/extlink&oid=50485924&loc=d3e611322-123010 + Details
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