Assets and Liabilities of Consolidated CLOs

The CLOs are considered variable interest entities (VIE) and the Company consolidates entities when it is determined to be the primary beneficiary under current VIE accounting guidance.

On January 18, 2017, the Company sold its ownership in the subordinated notes of a CLO. As a result of the sale, the Company determined that it no longer had the controlling interest in such entity. The Company, therefore, deconsolidated its ownership in the subordinated notes of the CLO and is no longer reporting the assets and liabilities of the CLO in its condensed consolidated balance sheet as of September 30, 2017, or the revenue and expenses of the CLO in its condensed consolidated statement of operations for the three and nine months ended September 30, 2017.

On August 10, 2017, the Company’s ownership in the subordinated notes of a CLO was redeemed for cash as part of the complete liquidation of the CLO. The operations of the CLO were consolidated in the Company’s condensed consolidated financial statements through the redemption date.

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



	As of
	September 30, 2017		December 31, 2016
Assets:
Cash and cash equivalents	$	20,586	$	45,589
Loans, at fair value ⁽¹⁾	343,382		928,240
Other assets	8,806		15,666
Total assets of consolidated CLOs	$	372,774	$	989,495
Liabilities:
Debt	$	326,716	$	912,034
Other liabilities and accrued expenses	27,621		19,935
Total liabilities of consolidated CLOs	$	354,337	$	931,969

Net	$	18,437	$	57,526


(1)	The unpaid principal balance for these loans is $352,958 and $952,225 and the difference between their fair value and UPB is $9,576 and $23,985 at September 30, 2017 and December 31, 2016, respectively.

The Company’s beneficial interests and maximum exposure to loss related to the consolidated CLOs are limited to (i) ownership in the subordinated notes and related participations in management fees of the CLOs and (ii) accrued management fees. Although these beneficial interests are eliminated upon consolidation, the application of the measurement alternative results in the net amount of the CLOs shown above to be equivalent to the beneficial interests retained by the Company as illustrated in the below table:



Beneficial interests:	As of
	September 30, 2017		December 31, 2016
Subordinated notes and related participations in management fees	$	18,128	$	56,820
Accrued management fees	309		706
Total beneficial interests	$	18,437	$	57,526

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



	Three Months Ended September 30,					Nine Months Ended September 30,
	2017		2016			2017		2016
Income:
Net realized and unrealized gains (losses)	$	1,889	$	(1,422	)	$	3,457	$	(2,913	)
Interest income	5,327		13,978			20,567		37,626
Total revenue	7,216		12,556			24,024		34,713
Expenses:
Interest expense	4,580		8,267			13,629		22,667
Other expense	53		257			1,002		1,997
Total expense	4,633		8,524			14,631		24,664

Net income (loss) attributable to consolidated CLOs	$	2,583	$	4,032		$	9,393	$	10,049

As summarized in the table below, the application of the measurement alternative results in the consolidated net income summarized above to be equivalent to the Company’s own economic interests in the CLOs which are eliminated upon consolidation:



Economic interests:	Three Months Ended September 30,				Nine Months Ended September 30,
	2017		2016		2017		2016
Distributions received and realized and unrealized gains (losses) on the subordinated notes held by the Company, net	$	2,272	$	3,289	$	8,355	$	7,880
Management fee income	311		743		1,038		2,169
Total economic interests	$	2,583	$	4,032	$	9,393	$	10,049