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In addition, such depreciation could cause our clients to withdraw their funds in favor of investments offering higher returns or lower risk, which would cause our revenues and net income to decline further.
−Removed: Our model for assessing the impact of market risk on our results uses June 30, 2020 ending AUM and management fee rates as the basis for management fee revenue calculations.
−Removed: With respect to performance fee revenue, we assume that relative investment performance is the same as in the past four quarters ended June 30, 2020.
+Added: Our model for assessing the impact of market risk on our results uses September 30, 2020 ending AUM and management fee rates as the basis for management fee revenue calculations.
+Added: On July 24 2020, we completed the sale of all of our equity interests in Copper Rock to Spouting Rock.
+Added: Accordingly, Copper Rock is not included in AUM as of September 30, 2020.
+Added: On July 26, 2020, we entered into a purchase and sale agreement to sell our interests in Barrow Hanley to Perpetual.
+Added: The transaction is expected to close in the fourth quarter of 2020.
+Added: Barrow Hanley will be included in our AUM until the transaction closes.With respect to performance fee revenue, we assume that relative investment performance is the same as in the past four quarters ended September 30, 2020.
Therefore, market-driven changes in performance fees, which are typically based on relative performance versus market indices, reflect changes in the underlying AUM used in the calculation rather than differences in relative performance as a result of a changed market environment.
−Removed: The basis for the analysis is performance fees earned for the twelve months ended June 30, 2020.
+Added: The basis for the analysis is performance fees earned for the twelve months ended September 30, 2020.
Our profit sharing economic structure results in a sharing of market risk between us and our employees.
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Any change in pre-tax profit is tax-affected at our statutory combined state and federal rate of approximately 27% to calculate profit after tax.
−Removed: The value of our assets under management was $181.0 billion as of June 30, 2020.
+Added: The value of our assets under management was $184.8 billion as of September 30, 2020.
A 10% increase or decrease in the value of our assets under management, if proportionally distributed over all of our investment strategies, asset classes and client relationships, would cause an annualized increase or decrease in our gross management fee revenues of approximately $72.1 million based on our current weighted average fee rate of approximately 39.0 basis points, including our equity-accounted Affiliate.
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Of these assets, approximately 70% are in accounts for which performance fees, or management fee adjustments, are calculated based on investment return that differs from the relative benchmark returns.
−Removed: Assuming the market change does not impact our relative performance, a 10% increase or decrease in AUM would have a $0.6 million impact to our gross performance fees based on our trailing twelve month performance fees of $6.2 million as of June 30, 2020.
+Added: Assuming the market change does not impact our relative performance, a 10% increase or decrease in AUM would have a $0.9 million impact to our gross performance fees based on our trailing twelve month performance fees of $9.3 million as of September 30, 2020.
The combined impact on our management fees and performance fees would have a direct impact on our earnings and result in an annual change of approximately $26.6 million in our post-tax economic net income, given our current cost structure and operating model.
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and emerging markets securities).
−Removed: A 10% increase or decrease in equity markets would cause our $144.0 billion of equity assets under management to increase or decrease by $14.4 billion, resulting in a change in annualized
−Removed: management fee revenue of $52.3 million and an annual change in post-tax economic net income of approximately $19.9 million, given our current cost structure, operating model, and weighted average fee rate of 36 basis points at the mix of strategies as of June 30, 2020.
+Added: A 10% increase or decrease in equity markets would cause our $148.2 billion of equity assets under management to increase or decrease by $14.8 billion, resulting in a change in annualized management fee revenue of $52.3 million and an annual change in post-tax economic net income of approximately $19.9 million, given our current cost structure, operating model, and weighted average fee rate of 35 basis points at the mix of strategies as of September 30, 2020.
Approximately $12.5 billion, or 8%, of our equity markets-based AUM are in accounts subject to performance fees.
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A 10% increase or decrease in foreign exchange rates against the U.S.
−Removed: dollar would cause our $87.0 billion of foreign currency denominated AUM to increase or decrease by $8.7 billion, resulting in a change in annualized management fee revenue of $33.9 million and an annual change in post-tax economic net income of $13.1 million, based on weighted average fees earned on our foreign currency denominated AUM of 39 basis points at the mix of strategies as of June 30, 2020.
+Added: dollar would cause our $91.2 billion of foreign currency denominated AUM to increase or decrease by $9.1 billion, resulting in a change in annualized management fee revenue of $35.8 million and an annual change in post-tax economic net income of $13.9 million, based on weighted average fees earned on our foreign currency denominated AUM of 39 basis points at the mix of strategies as of September 30, 2020.
Approximately $11.5 billion, or 13%, of our foreign currency denominated AUM are in accounts subject to performance fees.
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Based on our fixed income weighted average fee rates of 19 basis points, annualized management fees would change by $2.4 million and post-tax economic net income would change by $0.9 million annually.
−Removed: There are currently no material fixed income assets earning performance fees as of June 30, 2020.
+Added: There are currently no material fixed income assets earning performance fees as of September 30, 2020.
While the analysis above assumes that market changes occur in a uniform manner across the relevant portfolio, because of our declining fee rates for larger relationships and differences in our fee rates across asset classes, a change in the composition of our assets under management, in particular an increase in the proportion of our total assets under management attributable to strategies, clients or relationships with lower effective fee rates, could have a material negative impact on our overall weighted average fee rate.
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Interest on borrowings under the Credit Facility is based upon variable interest rates.
−Removed: Borrowings under our Credit Facility were $130 million as of June 30, 2020.
+Added: Borrowings under our Credit Facility were $80.0 million as of September 30, 2020.
We currently do not hedge against interest rate risk.
−Removed: As of June 30, 2020, a hypothetical 10% change in interest rates would have resulted in a $0.3 million change to our interest expense during the six months ended June 30, 2020.
+Added: As of September 30, 2020, a hypothetical 10% change in interest rates would have resulted in a $0.3 million change to our interest expense during the nine months ended September 30, 2020.
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.