BORROWINGS

The Company accounts 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, and all of its other borrowings 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 March 31, 2016 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 2007-1 secured notes	$	1,431,783	$	1,537,984	2.47	%	1871	$	1,530,018
CLO 2007-1 subordinated notes(3)	134,468		74,058		4.53		1871	143,694
CLO 2007-A subordinated notes(3)	15,096		15,640		6.59		563	43,222
CLO 2012-1 secured notes	367,500		372,968		2.70		3181	365,848
CLO 2012-1 subordinated notes(3)	18,000		8,960		14.06		3181	17,919
CLO 2013-1 secured notes	458,500		461,576		2.34		3393	481,092
CLO 2013-2 secured notes	339,250		340,151		2.80		3585	349,842
CLO 9 secured notes	463,750		460,374		2.63		3850	459,889
CLO 9 subordinated notes(3)	15,000		8,879		14.62		3850	14,875
CLO 10 secured notes	368,000		370,038		2.87		3546	381,593
CLO 11 secured notes	507,750		500,174		2.68		4032	500,785
CLO 11 subordinated notes(3)	28,250		20,623		16.84		4032	27,862
CLO 13 secured notes	370,000		374,429		2.84		4308	379,157
CLO 13 subordinated notes(3)	4,000		2,834		—		4308	4,099
Total collateralized loan obligation secured debt	4,521,347		4,548,688					4,699,895
8.375% Senior notes	258,750		289,350		8.38		9360	—
7.500% Senior notes	115,043		123,267		7.50		9485	—
Junior subordinated notes	283,517		248,903		5.57		7493	—
Total borrowings	$	5,178,657	$	5,210,208				$	4,699,895


(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 secured 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 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, 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 2007-1 secured notes	$	1,544,032	$	1,630,293	2.10	%	1962	$	1,732,855
CLO 2007-1 subordinated notes(3)	134,468		74,954		11.66		1962	150,912
CLO 2007-A subordinated notes(3)	15,096		17,060		14.49		654	48,856
CLO 2011-1 senior debt	249,301		249,301		1.67		1689	310,498
CLO 2012-1 secured notes	367,500		365,383		2.59		3272	361,684
CLO 2012-1 subordinated notes(3)	18,000		10,845		15.82		3272	17,715
CLO 2013-1 secured notes	458,500		450,280		2.05		3484	479,391
CLO 2013-2 secured notes	339,250		334,187		2.52		3676	347,989
CLO 9 secured notes	463,750		454,103		2.33		3941	463,574
CLO 9 subordinated notes(3)	15,000		9,972		15.92		3941	14,994
CLO 10 secured notes	368,000		363,977		2.75		3637	384,991
CLO 11 secured notes	507,750		491,699		2.38		4123	501,286
CLO 11 subordinated notes(3)	28,250		23,306		5.28		4123	27,890
CLO 13 secured notes	370,000		364,986		2.84		4399	323,781
CLO 13 subordinated notes(3)	4,000		3,400		—		4399	3,500
Total collateralized loan obligation secured debt	4,882,897		4,843,746					5,169,916
8.375% Senior notes	258,750		289,660		8.38		9451	—
7.500% Senior notes	115,043		123,346		7.50		9576	—
Junior subordinated notes	283,517		248,498		5.43		7584	—
Total borrowings	$	5,540,207	$	5,505,250				$	5,169,916


(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 secured 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 were calculated based on annualized cash distributions during the year, 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, there were no gains (losses) attributable to changes in instrument specific credit risk for both the three months ended March 31, 2016 and March 31, 2015.

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 2007‑1 and CLO 2007‑A were no longer in their reinvestment periods as of March 31, 2016. 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, CLO 2013-2, CLO 9, CLO 10, CLO 11 and CLO 13 will end their reinvestment periods during December 2016, July 2017, January 2018, October 2018, December 2018, April 2019 and January 2020, 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 November 2015, the Company called CLO 2005-2 and repaid all senior and mezzanine notes totaling $140.2 million par amount. 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 7 to these condensed 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 the three months ended March 31, 2016, $112.2 million of original CLO 2007-1 senior notes were repaid. During the three months ended March 31, 2015, $169.8 million of original CLO 2005-1, CLO 2005-2 and CLO 2007-1 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 March 2016, the Company called CLO 2011-1 and repaid all senior notes totaling $249.3 million par amount. During the three months ended March 31, 2015, $1.5 million of original CLO 2011-1 senior notes were repaid.

On December 16, 2015, the Company closed CLO 13, a $412.0 million secured financing transaction maturing on January 16, 2028. The Company issued $370.0 million par amount of senior secured notes to unaffiliated investors, $350.0 million of which was floating rate with a weighted-average coupon of three-month LIBOR plus 2.19% and $20.0 million of which was fixed rate with a weighted-average coupon of 3.83%. The Company also issued $4.0 million of subordinated notes to unaffiliated investors. The investments that are owned by CLO 13 collateralize the CLO 13 debt, and as a result, those investments are not available to the Company, its creditors or shareholders.

During June 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.

CLO Warehouse Facility

On March 2, 2015, CLO 11 entered into a $570.0 million CLO warehouse facility ("CLO 11 Warehouse"), which matured upon the closing of CLO 11 on May 7, 2015. 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 on May 7, 2015, the aggregate amount outstanding under the CLO 11 Warehouse was repaid.

On July 22, 2015, CLO 13 entered into a $350.0 million CLO warehouse facility ("CLO 13 Warehouse"), which matured upon the closing of CLO 13 on December 16, 2015. The CLO 13 Warehouse was used to purchase assets for the CLO transaction in advance of its closing date upon which the proceeds of the CLO closing will be used to repay the CLO 13 Warehouse in full. Debt issued under the CLO 13 Warehouse was non-recourse to the Company beyond the assets of CLO 13 and bore interest at rates ranging from LIBOR plus 1.50% to 2.25%. Upon the closing of CLO 13 on December 16, 2015, the aggregate amount outstanding under the CLO 13 Warehouse was repaid.