XML 40 R27.htm IDEA: XBRL DOCUMENT
v3.3.1.900

Consolidated Investment Product | 12 Months Ended
--- | ---
Dec. 31, 2015
Organization, Consolidation and Presentation of Financial Statements [Abstract] |
Consolidated Investment Product | Consolidated Investment Product During 2015, the Company contributed $40.0 million to a SPE that was created specifically to accumulate bank loan assets for securitization as a potential CLO that will be managed by its Newfleet affiliate. The SPE is a VIE and the Company consolidates the SPE's assets and liabilities as a consolidated investment product within its financial statements as it is the primary beneficiary of the VIE. The Company determined that it is the primary beneficiary of the VIE as the Company has the power to direct the activities that most significantly impact the economic performance of th entity and has the obligation to absorb losses, or the rights to receive benefits from, the VIE that could potentially be significant to the VIE. The following table presents the balances of the consolidated investment product that were reflected in the Consolidated Balance Sheet as of December 31, 2015. There was no consolidated investment product at December 31, 2014.
| As of December 31,
| 2015
($ in thousands) |
Total cash equivalents | $ | 8,297 |
Total investments | 199,485 |
Other assets | 1,467 |
Debt | (152,597 | )
Securities purchased payable | (18,487 | )
The Company’s net interests in the consolidated investment product | $ | 38,165 |
Fair Value Measurements of Consolidated Investment Product The assets and liabilities of the consolidated investment product measured at fair value on a recurring basis as of December 31, 2015 by fair value hierarchy level were as follows:
| Level 1 |  | Level 2 |  | Level 3 |  | Total
($ in thousands) |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Cash equivalents | $ | 8,297 |  |  | $ | — |  |  | $ | — |  |  | $ | 8,297 |
Bank loans | — |  |  | 199,485 |  |  | — |  |  | 199,485 |
Total Assets Measured at Fair Value | $ | 8,297 |  |  | $ | 199,485 |  |  | $ | — |  |  | $ | 207,782 |
The following is a discussion of the valuation methodologies used for the assets and liabilities of the Company’s consolidated investment product measured at fair value. Cash equivalents represent investments in money market funds. Cash investments in actively traded money market funds are valued using published net asset values and are classified as Level 1. Bank loans represent the underlying debt securities held in the sponsored product which are consolidated by the Company. Bank loan investments include debt securities, which are valued based on quotations received from 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. The estimated fair value of debt at December 31, 2015, which has a variable interest rate, approximates its carrying value and is classified as Level 2. The securities purchase payable at December 31, 2015 approximates fair value due to the short-term nature of the instruments. Debt of Consolidated Investment Product On August 17, 2015, the SPE, entered into a three-year term $160.0 million financing transaction with a bank lending counterparty (the “Financing Facility”). The proceeds of the Financing Facility are intended to be used to purchase and warehouse commercial bank loan assets pending the securitization of such assets as a CLO. The size of the Financing Facility may be increased subject to the occurrence of certain events and the mutual consent of the parties. The Financing Facility is secured by all the assets of the SPE and initially bears interest at a rate of three-month LIBOR plus 1.25% per annum (with such interest rate, upon completion of the initial nine-month ramp-up period, increasing to three-month LIBOR plus 2.0% per annum). The Financing Facility contains standard covenants and event of default provisions (including loan-to-value ratio triggers) and foreclosure remedies upon such default in favor of the lender thereunder. The $40.0 million the Company contributed to the SPE serves as first loss protection for the bank lending counterparty under the Financing Facility. In the event of default, the recourse to the Company is limited to its investment in the SPE. At December 31, 2015 $152.6 million was outstanding under the Financing Facility.

X
- References No definition available. + Details
Name: | us-gaap_OrganizationConsolidationAndPresentationOfFinancialStatementsAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for a variable interest entity (VIE), including but not limited to, judgments and assumptions in determining whether to consolidate and in identifying the primary beneficiary, gain (loss) recognized on the initial consolidation of the VIE, terms of arrangements, amounts and classification of the VIE's assets and liabilities, and the entity's maximum exposure to loss. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI http://asc.fasb.org/extlink&oid=52262685&loc=SL6759159-111685 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=52262685&loc=d3e5728-111685 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=52262685&loc=d3e5710-111685 + Details
Name: | us-gaap_VariableInterestEntityDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration