Securitizations and Variable Interest Entities

Collateralized Loan Obligations (CLOs)

In February 2013, Salus completed a CLO securitization with a notional aggregate principal amount of $175.5 of the asset-backed loans that it had originated through that date as part of a facility that could issue up to $250.0 of collateralized loan obligations. Salus' continuing involvement with the trust created as part of the securitization include servicing the receivables; retaining an undivided interest (seller's interest) in the receivables; and holding certain retained interests in subordinate securities, subordinate interests in accrued interest and fees on the securitized receivables, and cash reserve accounts. Salus continues to consolidate the loans transferred into the trust as it has determined that it is the primary beneficiary of the variable-interest entity represented by the trust, as result of it holding subordinate interest and servicing the receivables. Neither the Company nor Salus provided guarantees or recourse to the securitization trust other than standard representations and warranties. Included within "Asset-backed loans" under Investments in the Condensed Consolidated Balance Sheet as of June 30, 2013 were asset-based loans of $212.0 that serve as collateral to the obligations of the CLO of $225.0, of which $57.5 are held by unaffiliated entities. The unaffiliated obligations of the CLO are included within "Debt" in the Condensed Consolidated Balance Sheet as of June 30, 2013. At June 30, 2013, the asset-backed loans receivable included $62.5 of seller's interest.

The table below summarizes select information related to the CLO vehicle in which Salus held a variable interest at June 30, 2013.



	June 30, 2013
Maximum loss exposure	$	212.0
Asset-backed loans receivable	$	212.0
Cash and other assets	21.0
Total assets of consolidated VIE	233.0
Long-term debt	225.0
Other liabilities	2.9
Total liabilities of consolidated VIE	$	227.9