Securitizations and Variable Interest Entities

Collateralized Loan Obligations

In February 2013, Salus completed a CLO securitization with a notional aggregate principal amount of $175.5 of the asset-based loans that it had originated through that date. In September 2013, Salus increased the CLO securitization to a notional aggregate principal amount of $331.1 of the asset-based loans that it had originated through that date. 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-based loans” under Investments in the Consolidated Balance Sheet as of September 30, 2014 and 2013 were asset-based loans of $455.9 and $337.8, respectively, that serve as collateral to the unaffiliated obligations of the CLO of $192.0, net of discount of $1.0 and $181.8, net of discount of $1.1, respectively. The unaffiliated obligations of the CLO are included within “Debt” in the Consolidated Balance Sheet as of September 30, 2014 and 2013. At September 30, 2014 and 2013, the asset-based loans receivable included $292.0 and $302.1, respectively, of seller’s interest.

The table below summarizes select information related to the CLO vehicle in which Salus held a variable interest at September 30, 2014 and 2013.



	September 30,
	2014		2013
Maximum loss exposure	$	455.9	$	337.8

Asset-based loans receivable	$	455.9	$	337.8
Cash and other assets	35.5		156.7
Total assets of consolidated VIE	$	491.4	$	494.5

Long-term debt	$	484.0	$	485.0
Other liabilities	6.7		2.9
Total liabilities of consolidated VIE	$	490.7	$	487.9