BORROWINGS

As described in Note 2 to these condensed consolidated financial statements, as a result of the Merger Transaction and new accounting basis established for assets and liabilities, all borrowings were adjusted to reflect estimated fair value as of the Effective Date. In addition, effective May 1, 2014, the Successor Company elected to account for its collateralized loan obligation secured notes at estimated fair value, with changes in estimated fair value recorded in the condensed consolidated statements of operations. Prior to the Effective Date, all liabilities were carried at amortized cost.

As of January 1, 2015, the Company adopted the measurement alternative issued by the FASB whereby the financial liabilities of its consolidated CLOs were measured using the fair value of the financial assets of its consolidated CLOs, which was determined to be more observable.

Certain information with respect to the Company’s borrowings as of June 30, 2015 is summarized in the following table (dollar amounts in thousands):



	Par		Carrying Value(1)		Weighted Average Borrowing Rate		Weighted Average Remaining Maturity (in days)	Collateral(2)
CLO 2005-1 secured notes(3)	$	142,354	$	144,804	2.28	%	666	$	47,752
CLO 2005-2 secured notes	195,433		198,911		1.19		880	276,947
CLO 2007-1 secured notes	1,998,284		2,051,331		1.70		2146	2,146,491
CLO 2007-1 subordinated notes(4)	134,468		111,080		15.19		2146	144,441
CLO 2007-A subordinated notes(4)	15,096		23,309		19.08		838	64,867
CLO 2011-1 senior debt	371,681		371,681		1.63		1873	355,962
CLO 2012-1 secured notes	367,500		368,211		2.38		3456	384,263
CLO 2012-1 subordinated notes(4)	18,000		13,208		17.18		3456	18,821
CLO 2013-1 secured notes	458,500		456,926		2.01		3668	506,827
CLO 2013-2 secured notes	339,250		339,536		2.26		3860	365,069
CLO 9 secured notes	463,750		456,318		2.28		4125	483,080
CLO 9 subordinated notes(4)	15,000		13,382		4.09		4125	15,625
CLO 10 secured notes	368,000		365,979		2.54		3821	389,217
CLO 11 secured notes	507,750		503,297		2.33		4307	472,008
CLO 11 subordinated notes(4)	28,250		24,863		—		4307	26,261
Total collateralized loan obligation secured debt	5,423,316		5,442,836					5,697,631
8.375% Senior notes	258,750		290,269		8.38		9635	—
7.500% Senior notes	115,043		123,506		7.50		9760	—
Junior subordinated notes	283,517		247,738		5.41		7768	—
Total borrowings	$	6,080,626	$	6,104,349				$	5,697,631


(1)	Carrying value represents estimated fair value for the collateralized loan obligation secured debt and amortized cost for all other borrowings.


(2)	Collateral for borrowings consists of the estimated fair value of certain corporate loans, securities and equity investments at estimated fair value. For purposes of this table, collateral for CLO senior, mezzanine and subordinated notes are calculated pro rata based on the par amount for each respective CLO.


(3)	Collateral also includes restricted cash of $111.3 million. The Company called CLO 2005-1 in July 2015.


(4)	Subordinated notes do not have a contractual coupon rate, but instead receive a pro rata amount of the net distributions from each respective CLO. Accordingly, weighted average borrowing rates for the subordinated notes were calculated based on annualized cash distributions during the year, if any.

Certain information with respect to the Company’s borrowings as of December 31, 2014 is summarized in the following table (dollar amounts in thousands):



	Par		Carrying Value(1)		Weighted Average Borrowing Rate		Weighted Average Remaining Maturity (in days)	Collateral(2)
CLO 2005-1 senior secured notes	$	192,384	$	192,260	1.84	%	847	$	224,716
CLO 2005-2 senior secured notes	242,928		242,365		0.68		1061	381,362
CLO 2006-1 senior secured notes	166,841		166,710		1.28		1333	400,165
CLO 2007-1 senior secured notes	1,906,409		1,891,228		0.80		2327	2,182,078
CLO 2007-1 mezzanine notes	489,723		486,575		3.84		2327	560,538
CLO 2007-1 subordinated notes(3)	134,468		119,112		13.75		2327	153,912
CLO 2007-A subordinated notes(3)	15,096		25,921		88.02		1019	66,044
CLO 2011-1 senior debt	402,515		402,515		1.58		1323	508,625
CLO 2012-1 senior secured notes	367,500		364,063		2.33		3637	365,662
CLO 2012-1 subordinated notes(3)	18,000		12,986		16.86		3637	17,910
CLO 2013-1 senior secured notes	458,500		441,153		1.96		3849	477,691
CLO 2013-2 senior secured notes	339,250		331,383		2.21		4041	357,722
CLO 9 senior secured notes	463,750		449,349		2.28		4306	474,072
CLO 9 subordinated notes(3)	15,000		13,531		—		4306	15,334
CLO 10 senior notes	368,000		361,948		2.50		4002	343,090
Total collateralized loan obligation secured debt	5,580,364		5,501,099					6,528,921
8.375% Senior notes	258,750		290,861		8.38		9816	—
7.500% Senior notes	115,043		123,663		7.50		9941	—
Junior subordinated notes	283,517		246,907		5.39		7949	—
Total borrowings	$	6,237,674	$	6,162,530				$	6,528,921


(1)	Carrying value represents estimated fair value for the collateralized loan obligation secured debt and amortized cost for all other borrowings.


(2)	Collateral for borrowings consists of the estimated fair value of certain corporate loans, securities and equity investments at estimated fair value. For purposes of this table, collateral for CLO senior, mezzanine and subordinated notes are calculated pro rata based on the par amount for each respective CLO.


(3)	Subordinated notes do not have a contractual coupon rate, but instead receive a pro rata amount of the net distributions from each respective CLO. Accordingly, weighted average borrowing rates for the subordinated notes are based on cash distributions during the year ended December 31, 2014, if any.

CLO Debt

For the CLO secured notes, which the Company measured based on the estimated fair value of the financial assets of its CLOs as of January 1, 2015, no gains (losses) were attributable to changes in instrument specific credit risk for the three and six months ended June 30, 2015. For the two months ended June 30, 2014, $0.3 million of net unrealized gains were attributable to changes in instrument specific credit risk related to the Company's CLO subordinated notes. For subordinated notes, which have no stated interest rate but are entitled to residual value upside of the transactions, the valuation is based on the performance of the underlying collateral held in the CLO and thus considered instrument specific. Prior to the Effective Date, the Company’s CLO secured notes were carried at amortized cost. Accordingly, no changes in estimated fair value on the CLO secured notes were recorded on the Company’s condensed consolidated statements of operations for the one month and four months ended April 30, 2014.

The indentures governing the Company’s CLO transactions stipulate the reinvestment period during which the collateral manager, which is an affiliate of the Company’s Manager, can generally sell or buy assets at its discretion and can reinvest principal proceeds into new assets. CLO 2007‑A, CLO 2005‑1, CLO 2005‑2 and CLO 2007‑1 were no longer in their reinvestment periods as of June 30, 2015. As a result, principal proceeds from the assets held in each of these transactions are generally used to amortize the outstanding balance of senior notes outstanding. CLO 2012-1, CLO 2013-1 and CLO 2013-2, CLO 9, CLO 10 and CLO 11 will end their reinvestment periods during December 2016, July 2017, January 2018, October 2018, December 2018 and April 2019, respectively.

Pursuant to the terms of the indentures governing our CLO transactions, the Company has the ability to call its CLO transactions after the end of the respective non-call periods. During July 2015, the Company called CLO 2005-1 and repaid all senior and mezzanine notes totaling $142.4 million par amount. In addition, during February 2015, the Company called CLO 2006-1 and repaid aggregate senior and mezzanine notes totaling $181.8 million par amount. As described below in Note 9 to these consolidated financial statements, the Company used a pay-fixed, receive-variable interest rate swap to hedge interest rate risk associated with CLO 2006-1. In connection with the repayment of CLO 2006-1 notes, the related interest rate swap, with a contractual notional amount of $84.0 million, was terminated. During July 2014, the Company called CLO 2007-A and subsequently repaid aggregate senior and mezzanine notes totaling $494.9 million in 2014.

During the three and six months ended June 30, 2015, $375.6 million and $545.4 million, respectively, of original CLO 2005-1, CLO 2005-2 and CLO 2007-1 senior notes were repaid. Comparatively, during the two months ended June 30, 2014, $196.9 million of original CLO 2005-2, CLO 2006-1 and CLO 2007-1 senior notes were repaid. During the one and four months ended April 30, 2014, $128.2 million and $182.6 million, respectively, of original CLO 2007-A, CLO 2005-1, CLO 2005-2 and CLO 2006-1 senior notes were repaid. CLO 2011-1 does not have a reinvestment period and all principal proceeds from holdings in CLO 2011-1 are used to amortize the transaction. During the three and six months ended June 30, 2015, $29.3 million and $30.8 million, respectively, of original CLO 2011-1 senior notes were repaid. Comparatively, during the two months ended June 30, 2014, zero original CLO 2011-1 senior notes were repaid, while during both the one and four months ended April 30, 2014, $39.4 million of original CLO 2011-1 senior notes were repaid.

During both the three and six months ended June 30, 2015, the Company issued $15.0 million par amount of CLO 2005-2 class E notes for proceeds of $15.1 million and $35.0 million par amount of CLO 2007-1 class D and E notes for proceeds of $35.1 million. Subsequently, in July 2015, the Company issued $15.0 million par amount of CLO 2005-2 class E notes for proceeds of $15.1 million.

On May 7, 2015, the Company closed CLO 11, a $564.5 million secured financing transaction maturing on April 15, 2027. The Company issued $507.8 million par amount of senior secured notes to unaffiliated investors, all of which was floating rate with a weighted-average coupon of three-month LIBOR plus 2.06%. The Company also issued $28.3 million of subordinated notes to unaffiliated investors. The investments that are owned by CLO 11 collateralize the CLO 11 debt, and as a result, those investments are not available to the Company, its creditors or shareholders.

On December 18, 2014, the Company closed CLO 10, a $415.6 million secured financing transaction maturing on December 15, 2025. The Company issued $368.0 million par amount of senior secured notes to unaffiliated investors, of which $343.0 million was floating rate with a weighted-average coupon of three-month LIBOR plus 2.09% and $25.0 million was fixed rate with a weighted-average coupon of 4.90%. The investments that are owned by CLO 10 collateralize the CLO 10 debt, and as a result, those investments are not available to the Company, its creditors or shareholders.

On September 16, 2014, the Company closed CLO 9, a $518.0 million secured financing transaction maturing on October 15, 2026. The Company issued $463.8 million par amount of senior secured notes to unaffiliated investors, all of which was floating rate with a weighted-average coupon of three-month LIBOR plus 2.01%. The Company also issued $15.0 million of subordinated notes to unaffiliated investors. The investments that are owned by CLO 9 collateralize the CLO 9 debt, and as a result, those investments are not available to the Company, its creditors or shareholders.

During the two months ended June 30, 2014, the Company issued $15.0 million par amount of CLO 2006-1 class E notes for proceeds of $15.0 million and $37.5 million par amount of CLO 2007-1 class E notes for proceeds of $37.6 million.

During the four months ended April 30, 2014, the Company issued: (i) $61.1 million par amount of CLO 2007-A class D and E notes for proceeds of $61.3 million, (ii) $72.0 million par amount of CLO 2005-1 class D through F notes for proceeds of $71.5 million, (iii) $21.9 million par amount of CLO 2007-1 class E notes for proceeds of $21.9 million, (iv) $29.8 million par amount of CLO 2007-A class G notes for proceeds of $30.2 million and (v) $29.8 million par amount of CLO 2007-A class H notes for proceeds of $30.1 million.

On January 23, 2014, the Company closed CLO 2013-2, a $384.0 million secured financing transaction maturing on January 23, 2026. The Company issued $339.3 million par amount of senior secured notes to unaffiliated investors, of which $319.3 million was floating rate with a weighted-average coupon of three-month LIBOR plus 2.16% and $20.0 million was fixed rate at 3.74%. The investments that are owned by CLO 2013-2 collateralize the CLO 2013-2 debt, and as a result, those investments are not available to the Company, its creditors or shareholders.

CLO Warehouse Facility

On March 2, 2015, CLO 11 entered into a $570.0 million CLO warehouse facility, which matured upon the closing of CLO 11 on May 7, 2015 ("CLO 11 Warehouse"). The CLO 11 Warehouse was used to purchase assets for the CLO transaction in advance of its closing date upon which the proceeds of the CLO closing were used to repay the CLO 11 Warehouse in full. Debt issued under the CLO 11 Warehouse was non-recourse to the Company beyond the assets of CLO 11 and bore interest at rates ranging from LIBOR plus 1.25% to 1.75%. Upon the closing of CLO 11, the aggregate amount outstanding under the CLO 11 Warehouse was repaid.