CORPORATE LOANS AND ALLOWANCE FOR LOAN LOSSES (Tables)

3 Months Ended

Mar. 31, 2013

CORPORATE LOANS AND ALLOWANCE FOR LOAN LOSSES

The following table summarizes the Company’s corporate loans as of March 31, 2013 (amounts in thousands):

	March 31, 2013
	Corporate Loans			Corporate Loans Held for Sale			Corporate Loans, at Estimated Fair Value			Total Corporate Loans
Principal(1)	$	6,022,573		$	171,321		$	59,539		$	6,253,433
Net unamortized discount	(128,618		)	(45,131		)	(20,202		)	(193,951		)
Total amortized cost	5,893,955			126,190			39,337			6,059,482
Lower of cost or fair value adjustment	—			(18,795		)	—			(18,795		)
Allowance for loan losses	(206,227		)	—			—			(206,227		)
Unrealized gains	—			—			3,704			3,704
Net carrying value	$	5,687,728		$	107,395		$	43,041		$	5,838,164

(1) Principal amount is net of cumulative charge-offs and other adjustments totaling $38.3 million as of March 31, 2013.

The following table summarizes the Company’s corporate loans as of December 31, 2012 (amounts in thousands):

	December 31, 2012
	Corporate Loans			Corporate Loans Held for Sale			Corporate Loans, at Estimated Fair Value			Total Corporate Loans
Principal(1)	$	6,143,599		$	231,231		$	56,931		$	6,431,761
Net unamortized discount	(136,438		)	(88,895		)	(23,277		)	(248,610		)
Total amortized cost	6,007,161			142,336			33,654			6,183,151
Lower of cost or fair value adjustment	—			(14,047		)	—			(14,047		)
Allowance for loan losses	(223,472		)	—			—			(223,472		)
Unrealized gains	—			—			2,225			2,225
Net carrying value	$	5,783,689		$	128,289		$	35,879		$	5,947,857

(1) Principal amount is net of cumulative charge-offs and other adjustments totaling $51.6 million as of December 31, 2012.

Schedule of changes in the allowance for loan losses

The following table summarizes the changes in the allowance for loan losses for the Company’s corporate loan portfolio during the three months ended March 31, 2013 and 2012 (amounts in thousands):

	For the three months ended March 31, 2013			For the three months ended March 31, 2012
Allowance for loan losses:
Beginning balance	$	223,472		$	191,407
Provision for loan losses	11,068			46,498
Charge-offs	(28,313		)	(2,098		)
Ending balance	$	206,227		$	235,807

Schedule of ending balances of allowances for loan losses

The following table summarizes the ending balances of the allowance and corporate loans portfolio by basis of impairment method as of March 31, 2013 and December 31, 2012 (amounts in thousands):

	March 31, 2013		December 31, 2012
Allowance for loan losses:
Ending balance: individually evaluated for impairment	$	206,227	$	223,472
Ending balance: collectively evaluated for impairment	—		—
Ending balance: loans acquired with deteriorated credit quality	—		—
	$	206,227	$	223,472
Corporate loans (recorded investment)(1):
Ending balance: individually evaluated for impairment	$	5,914,332	$	6,029,059
Ending balance: collectively evaluated for impairment	—		—
Ending balance: loans acquired with deteriorated credit quality	—		—
	$	5,914,332	$	6,029,059

(1) Recorded investment is defined as amortized cost plus accrued interest.

Schedule of investment and unpaid principal balance in impaired loans, as well as the related allowance for credit losses

The following table summarizes the Company’s recorded investment and unpaid principal balance in impaired loans, as well as the related allowance for credit losses as of March 31, 2013 and December 31, 2012 (amounts in thousands):

	March 31, 2013						December 31, 2012
	Recorded Investment(1)		Unpaid Principal Balance		Related Allowance		Recorded Investment(1)		Unpaid Principal Balance		Related Allowance
With no related allowance recorded	$	—	$	—	$	—	$	6,490	$	19,931	$	—
With an allowance recorded	522,121		551,785		86,944		438,947		464,214		94,863
Total	$	522,121	$	551,785	$	86,944	$	445,437	$	484,145	$	94,863

(1) Recorded investment is defined as amortized cost plus accrued interest.

Schedule of average recorded investment in impaired loans and interest income recognized

The following table summarizes the Company’s average recorded investment in impaired loans and interest income recognized for the three months ended March 31, 2013 and 2012 (amounts in thousands):

	For the three months ended March 31, 2013				For the three months ended March 31, 2012
	Average Recorded Investment(1)		Interest Income Recognized		Average Recorded Investment(1)		Interest Income Recognized
With no related allowance recorded	$	3,245	$	—	$	—	$	—
With an allowance recorded	480,534		4,274		68,860		803
Total	$	483,779	$	4,274	$	68,860	$	803

(1) Recorded investment is defined as amortized cost plus accrued interest.

Schedule of recorded investment in non-accrual loans

The following table summarizes the Company’s recorded investment in non-accrual loans as of March 31, 2013 and December 31, 2012 (amounts in thousands):

	March 31, 2013		December 31, 2012
Loans held for investment(1)	$	561,550	$	445,437
Loans held for sale	75,608		90,840
Loans at estimated fair value	1,172		—
Total non-accrual loans	$	638,330	$	536,277

(1) Includes $522.1 million of impaired loans held for investment.

Schedule of recorded investment in corporate loans

The following table summarizes how the Company determines internally assigned grades related to credit quality based on a combination of concern as to probability of default and the seniority of the loan in the issuer’s capital structure as of March 31, 2013 and December 31, 2012 (amounts in thousands):

Internally Assigned Grade	Capital Hierarchy	Recorded Investment March 31, 2013(1)		Recorded Investment December 31, 2012(1)
High	Senior Secured Loan	$	228,938	$	525,562
	Second Lien Loan	288,237		287,892
	Subordinated	10,452		10,621
		$	527,627	$	824,075
Moderate	Senior Secured Loan	$	882,390	$	826,107
	Second Lien Loan	27,517		27,585
	Subordinated	—		38,374
		$	909,907	$	892,066
Low	Senior Secured Loan	$	3,794,317	$	3,716,831
	Second Lien Loan	55,405		68,917
	Subordinated	104,955		81,733
		$	3,954,677	$	3,867,481
	Total Unallocated	$	5,392,211	$	5,583,622
	Total Allocated	522,121		445,437
	Total Loans Held for Investment	$	5,914,332	$	6,029,059

(1) Recorded investment is defined as amortized cost plus accrued interest.

Schedule of loans by class modified as troubled debt restructurings

	Three months ended March 31, 2013					Three months ended March 31, 2012
	Number of loans	Pre-modification outstanding recorded investment(1)		Post-modification outstanding recorded investment(1)(2)		Number of loans	Pre-modification outstanding recorded investment(1)		Post-modification outstanding recorded investment(1)
Troubled debt restructurings:
Loans held for investment	2	$	68,358	$	39,430	—	$	—	$	—
Loans held for sale	—	—		—		—	—		—
Loans at estimated fair value	1	1,670		1,229		—	—		—
Total	3	$	70,028	$	40,659	—	$	—	$	—

(1) Recorded investment is defined as amortized cost plus accrued interest.

(2) Excludes equity received from the TDRs with an estimated fair value of $2.1 million.

Schedule of amortized cost of corporate loans held for investment and corporate loans held for sale pledged as collateral

The following table summarizes the amortized cost of corporate loans and corporate loans held for sale pledged as collateral as of March 31, 2013 and December 31, 2012 (amounts in thousands):

	As of March 31, 2013		As of December 31, 2012
Pledged as collateral for collateralized loan obligation secured debt and junior secured notes to affiliates	$	5,836,459	$	5,804,026
Total	$	5,836,459	$	5,804,026