CLOs and Consolidated Variable Interest Entities (Tables)

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. Subordinated debt obligations owned by Tiptree are not included in these tables as these amounts are eliminated in consolidation.



	June 30, 2014		December 31, 2013
Assets:
Restricted cash	$	140,862	$	67,604
Investment in loans	1,565,916		1,298,155
Investment in trading securities	21,472		19,366
Due from brokers	14,640		15,945
Accrued interest receivable	3,963		4,108
Deferred debt issuance costs	11,844		9,261
Other assets	212		177
Total assets of consolidated CLOs	$	1,758,909	$	1,414,616

Liabilities:
Notes payable	$	1,459,153	$	1,154,097
Due to brokers	53,337		11,479
Accrued interest payable	9,138		9,745
Other liabilities	465		285
Total liabilities of consolidated CLOs	$	1,522,093	$	1,175,606

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



	Three months ended June 30,						Six months ended June 30,
	2014			2013			2014			2013
Income:
Realized loss	$	(5,377	)	$	(5,502	)	$	(12,332	)	$	(6,165	)
Unrealized gain loans	(1,695		)	(6,685		)	(1,477		)	(3,569		)
Interest income	19,921			17,843			38,644			31,953
Total income attributable to consolidated CLOs	$	12,849		$	5,656		$	24,835		$	22,219

Expenses:
Interest expense	$	14,882		$	11,109		$	28,344		$	20,720
Other expense	115			308			645			518
Total expenses attributable to consolidated CLOs	$	14,997		$	11,417		$	28,989		$	21,238

The tables below summarize the debt obligations of the CLOs consolidated by the Company as of June 30, 2014 and December 31, 2013. Subordinated debt obligations owned by Tiptree are not included in these tables as these amounts are eliminated in consolidation:



	June 30, 2014
	Aggregate principal amount		Spread over three months LIBOR			Unamortized discount		Carrying amount
Description
Telos 5 (maturity April 2025)
Class A	$	252,000	1.55	%		$	251	$	251,749
Class B-1	39,000		N/A		⁽¹⁾	349		38,651
Class B-2	7,500		2.15	%		70		7,430
Class C	32,750		3.00	%		531		32,219
Class D	19,750		3.65	%		1,097		18,653
Class E	18,000		5.00	%		1,691		16,309
Class F	7,750		5.50	%		1,066		6,684
Subordinated	10,500		N/A			1,028		9,472

Telos 4 (maturity July 2024)
Class A	$	214,000	1.30	%		$	918	$	213,082
Class B	46,500		1.80	%		1,975		44,525
Class C	29,000		2.75	%		1,343		27,657
Class D	19,250		3.50	%		1,501		17,749
Class E	16,000		5.00	%		1,906		14,094
Class X	2,800		0.95	%		—		2,800
Subordinated	10,700		N/A			493		10,207




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	%	547		25,953
Class D	18,000		4.25	%	790		17,210
Class E	15,000		5.50	%	1,460		13,540
Class F	6,000		5.50	%	718		5,282
Subordinated	34,350		N/A		1,349		33,001

Telos 2 (maturity April 2022)
Class A-1	$	161,470	0.26	%	$	19,377	$	142,093
Class A-2	40,000		0.40	%	8,263		31,737
Class B	27,500		0.55	%	7,157		20,343
Class C	22,000		0.95	%	9,069		12,931
Class D	22,000		2.20	%	11,490		10,510
Class E	16,000		5.00	%	13,028		2,972
Subordinated	2,000		N/A		1,614		386

Telos 1 (maturity October 2021)
Class A-1D	$	24,666	0.27	%	$	2,870	$	21,796
Class A-1R	9,250		0.29	%	1,077		8,173
Class A-1T	33,915		0.27	%	3,946		29,969
Class A-2	60,000		0.40	%	12,068		47,932
Class B	27,200		0.49	%	6,887		20,313
Class C	22,000		0.85	%	8,831		13,169
Class D	22,000		1.70	%	11,094		10,906
Class E	16,000		4.25	%	12,676		3,324
Subordinated	40,223		N/A		25,391		14,832
	$	1,633,074			$	173,921	$	1,459,153

(1) Tranche B-1 Notes in Telos 5 have a fixed rate of 4.45% over the life of the CLO.



	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

- 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.

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