CLOs and Consolidated Variable Interest Entities (Tables)

12 Months Ended

Dec. 31, 2013

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of assets and liabilities of the consolidated CLOs

The table below represents the assets and liabilities of the consolidated CLOs that are included in the Company’s consolidated balance sheet as of the dates indicated:



	Year Ended December 31,
	2013		2012
Assets:
Restricted cash	$	67,604	$	75,105
Investment in loans	1,298,155		741,743
Investment in trading securities	19,366		18,970
Due from brokers	15,945		9,034
Accrued interest receivable	4,108		6,660
Deferred debt issuance costs	9,261		—
Other assets	177		148
Total assets	$	1,414,616	$	851,660

Liabilities:
Notes payable	$	1,154,097	$	571,752
Due to brokers	11,479		43,396
Accrued interest payable	9,745		4,858
Other liabilities	285		304
Total liabilities	$	1,175,606	$	620,310

The following table represents revenue and expenses of the consolidated CLOs included in the Company’s consolidated statements of operations for the periods indicated:



	Year ended December 31,
	2013			2012
Income:
Realized gain (loss) trading securities	$	—		$	3,158
Realized gain (loss) loans	(20,491		)	—
Unrealized gain (loss) loans	311			9,638
Interest income	72,867			56,949
Other income	—			1,667
Total income	$	52,687		$	71,412

Expenses:
Interest expense	$	46,845		$	36,371
Other expense	1,423			1,512
Total expense	$	48,268		$	37,883

The tables below summarize the debt obligations of the CLOs consolidated by the Company as of December 31, 2013 and 2012:



	December 31, 2013
	Aggregate Principal amount		Spread over three Months LIBOR		Unamortized Discount		Carrying Amount
Description
Telos 4 (maturity July 2024)
Class A	$	214,000	1.30	%	$	962	$	213,038
Class B	46,500		1.80	%	2,066		44,434
Class C	29,000		2.75	%	1,401		27,599
Class D	19,250		3.50	%	1,562		17,688
Class E	16,000		5.00	%	1,976		14,024
Class X	3,500		0.95	%	—		3,500
Subordinated	10,700		N/A		516		10,184

Telos 3 (maturity October 2024)
Class A	225,000		1.42	%	—		225,000
Class B	36,500		2.25	%	—		36,500
Class C	26,500		3.00	%	570		25,930
Class D	18,000		4.25	%	822		17,178
Class E	15,000		5.50	%	1,512		13,488



Class F	6,000		5.50	%	743		5,257
Subordinated	29,000		N/A		1,322		27,678

Telos 2 (maturity April 2022)
Class A-1	221,836		0.26	%	28,216		193,620
Class A-2	40,000		0.40	%	8,717		31,283
Class B	27,500		0.55	%	7,532		19,968
Class C	22,000		0.95	%	9,473		12,527
Class D	22,000		2.20	%	11,900		10,100
Class E	16,000		5.00	%	13,155		2,845
Subordinated	2,000		N/A		1,654		346

Telos 1 (maturity October 2021)
Class A-1D	39,270		0.27	%	4,867		34,403
Class A-1R	14,726		0.29	%	1,826		12,900
Class A-1T	53,996		0.27	%	6,693		47,303
Class A-2	60,000		0.40	%	12,781		47,219
Class B	27,200		0.49	%	7,277		19,923
Class C	22,000		0.85	%	9,261		12,739
Class D	22,000		1.70	%	11,548		10,452
Class E	16,000		4.25	%	12,861		3,139
Subordinated	40,223		N/A		26,391		13,832
	$	1,341,701			$	187,604	$	1,154,097



	December 31, 2012
	Aggregate Principal amount		Spread over three Months LIBOR		Unamortized Discount		Carrying Amount
Description
Telos 2 (maturity April 2022)
Class A-1	$	241,000	0.26	%	$	33,980	$	207,020
Class A-2	40,000		0.40	%	9,592		30,408
Class B	27,500		0.55	%	8,248		19,252
Class C	22,000		0.95	%	10,223		11,777
Class D	22,000		2.20	%	12,633		9,367
Class E	16,000		5.00	%	13,340		2,660
Subordinated	2,000		N/A		1,719		281

Telos 1 (maturity October 2021)
Class A-1D	80,000		0.27	%	11,097		68,903
Class A-1R	30,000		0.29	%	4,163		25,837
Class A-1T	110,000		0.27	%	15,258		94,742
Class A-2	60,000		0.40	%	14,163		45,837
Class B	27,200		0.49	%	8,026		19,174
Class C	22,000		0.85	%	10,065		11,935
Class D	22,000		1.70	%	12,371		9,629
Class E	16,000		4.25	%	13,148		2,852
Subordinated	40,223		N/A		28,145		12,078
	$	777,923			$	206,171	$	571,752

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References+ Details