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INVESTMENT SECURITIES
 3 Months Ended
Mar. 31, 2016
Investments, Debt and Equity Securities [Abstract]  
INVESTMENT SECURITIES
NOTE 6 - INVESTMENT SECURITIES
Components of investment securities are as follows (in thousands):
 
March 31,
2016
 
December 31,
2015
Available-for-sale securities
$
17,706

 
$
19,509

Trading securities
1,442

 
1,451

Trading securities - Pelium
25,610

 
24,712

Total investment securities, at fair value
$
44,758

 
$
45,672

    
Available-for-sale securities.  The following table discloses the pre-tax unrealized gains (losses) relating to the Company’s investments in available-for-sale securities (in thousands):
 
Cost or
Amortized Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair Value
As of March 31, 2016:
 
 
 
 
 
 
 
CLO securities
$
7,912

 
$
111

 
$
(229
)
 
$
7,794

Equity securities
12,784

 


 
(2,872
)
 
9,912

Total
$
20,696

 
$
111

 
$
(3,101
)
 
$
17,706

 
 
 
 
 
 
 
 
As of December 31, 2015:
 

 
 

 
 

 
 

CLO securities
$
7,585

 
$
928

 
$
(66
)
 
$
8,447

Equity securities
12,784

 
12

 
(1,734
)
 
11,062

Total
$
20,369

 
$
940

 
$
(1,800
)
 
$
19,509


CLO securities.  The CLO securities represent the Company’s retained equity interests in 14 and 15 CLO issuers that CVC Credit Partners has sponsored and manages at March 31, 2016 and December 31, 2015, respectively (see Note 7).  The fair value of these retained interests is impacted by the fair value of the investments held by the respective CLO issuers, which are sensitive to interest rate fluctuations and credit quality determinations. For the three months ended March 31, 2016, the Company adjusted its assumptions with respect to the fair value calculations of its CLO securities based on a change in market conditions, principally to increase the discount rate to 15%, which resulted in an impairment charge of $98,000. In 2015, the Company adjusted its assumptions by increasing the constant default rate in year one and two and decreasing the prepayment speed in year one which resulted in an impairment charge of $331,000.
Equity securities.  The Company holds 715,396 shares of RSO common stock and 18,972 shares of TBBK common stock.  This investment is pledged as collateral for one of the Company’s secured corporate credit facilities. The Company also holds approximately 10,808 shares of DIF with a fair value of $104,000. The Company has an investment of $1.7 million in the CIF, an interval fund, whose registration statement with respect to the offer and sale of its shares of beneficial interest was declared effective by the SEC on April 17, 2015.
Trading securities. The Company had net gains on trading securities of $22,000 and $5,000, which included unrealized gains of $22,000 and $20,000 for the three months ended March 31, 2016 and 2015, respectively. These gains are reflected in Financial Fund Management Revenues on the consolidated statements of operations. Pelium, a consolidated VIE which holds securities with a fair value of $25.6 million at March 31, 2016, recorded realized gains of $405,000 and unrealized losses of $326,000 during the three months ended March 31, 2016 and realized gains of $683,000 and unrealized gains of $474,000 during the three months ended March 31, 2015.
Unrealized losses on available-for-sale securities, along with their related fair value, and aggregated by the length of time the investments were in a continuous unrealized loss position, are as follows (in thousands, except number of securities):
 
Less than 12 Months
 
More than 12 Months
 
Fair Value
 
Unrealized
Losses
 
Number of Securities
 
Fair Value
 
Unrealized
Losses
 
Number of Securities
March 31, 2016
 
 
 
 
 
 
 
 
 
 
 
CLO securities
$
4,292

 
$
(170
)
 
8

 
$
727

 
$
(59
)
 
2

Equity securities
1,823

 
(68
)
 
2

 
8,048

 
(2,804
)
 
1

Total
$
6,115

 
$
(238
)
 
10

 
$
8,775

 
$
(2,863
)
 
3

December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
CLO securities
$
2,033

 
$
(38
)
 
3

 
$
805

 
$
(28
)
 
2

Equity securities
1,814

 
(10
)
 
2

 
9,128

 
(1,724
)
 
1

Total
$
3,847

 
$
(48
)
 
5

 
$
9,933

 
$
(1,752
)
 
3



The unrealized losses in RSO common stock reflected in the above table are considered to be temporary impairments due to market factors and not reflective of credit deterioration. Further, because of its intent and ability to hold its investment in RSO, the Company does not consider the unrealized losses to be other-than-temporary impairments. Unrealized losses related to Pelium fund investments, along with the related fair value and aggregated by the length of time the investments were in a continuous unrealized loss position, are as follows (in thousands, except number of securities):


 
Less than 12 Months
 
More than 12 Months
 
Fair Value
 
Unrealized
Losses
 
Number of Securities
 
Fair Value
 
Unrealized
Losses
 
Number of Securities
March 31, 2016:
 
 
 
 
 
 
 
 
 
 
 
CDO Securities
$
6,128

 
$
(1,043
)
 
16

 
$
2,166

 
$
(615
)
 
10

CMBS
3,355

 
(1,272
)
 
6

 
—

 
—

 
—

Other
—

 
—

 
—

 
—

 
—

 
—

Total
$
9,483

 
$
(2,315
)
 
22

 
$
2,166

 
$
(615
)
 
10

 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
CDO Securities
$
10,156

 
$
(3,312
)
 
18

 
$
1,183

 
$
(503
)
 
7

CMBS
2,940

 
(1,278
)
 
5

 
—

 
—

 
—

Other
2,857

 
(143
)
 
2

 
—

 
—

 
—

Total
$
15,953

 
$
(4,733
)
 
25

 
$
1,183

 
$
(503
)
 
7