Note 10 - Asset-backed Securities Issued

12 Months Ended

Dec. 31, 2019

Notes to Financial Statements

Asset Backed Securities Issued [Text Block]

10.

Asset-backed Securities Issued

In

March 2019,

the Company deconsolidated CLO III, CLO IV, and CLO V, and as a result,

no

longer carried the ABS issued on its Consolidated Statements of Financial Condition as of

December 31, 2019.

See Note

1

 for additional information on deconsolidation.  The table below sets forth the outstanding debt obligations of CLO III, CLO IV, and CLO V as of

December 31, 2018

:

(In thousands)	As of December 31, 2018
	Outstanding Principal Balance			Interest Rate Spread to LIBOR	Weighted Average Remaining Maturity (years)
Class A Senior Secured Floating Rate Notes	$	769,750		0.85% - 1.37%		10.04
Class B Senior Secured Floating Rate Notes		143,700		1.30% - 1.90%		10.04
Class C Senior Secured Deferrable Floating Rate Notes		71,500		1.80% - 2.65%		9.99
Class D Senior Secured Deferrable Floating Rate Notes		68,350		2.60% - 4.15%		10.01
Class E Senior Secured Deferrable Floating Rate Notes		60,800		5.70% - 6.80%		10.03
Total secured notes sold to investors	$	1,114,100
Senior Subordinated Notes		7,221		6.90%		11.00
Less: Debt issuance costs		(8,979	)
Total asset-backed securities issued	$	1,112,342

The secured notes and subordinated notes are limited recourse obligations payable solely from cash flows of the CLOs loan portfolios and related collection and payment accounts pledged as security. Payment on Class A notes rank senior in right of payment to the other secured notes and the subordinated notes. Payment on the Class B, Class C, Class D and Class E notes generally rank subordinate in right of payment to any other class of notes which has an earlier alphabetical designation. Payment of interest on the Class C, Class D, Class E, and senior subordinated notes is payable only to the extent proceeds are available under the applicable payment priority provisions. To the extent proceeds are

not

available, interest on the Class C, Class D, Class E, and senior subordinated notes will be deferred. The secured notes are secured by the CLOs loan portfolio and the funds on deposit in various related collection and payment accounts. The terms of the debt securitization subject the loans included in the CLOs loan portfolio to a number of collateral quality, portfolio profile, interest coverage and overcollateralization tests. The subordinated notes are subordinated in right of payment to all other classes of notes and are unsecured.

The net loans collateralizing asset-backed securities for CLO III, CLO IV, and CLO V was

$1,161.5

 million as of 

December 31, 2018.