BORROWINGS

The Company accounts for its collateralized loan obligation secured notes at estimated fair value, with changes in estimated fair value recorded in the 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 December 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 2012-1 secured notes	$	367,500	$	378,978	3.01	%	2906	$	333,931
CLO 2012-1 subordinated notes(3)	18,000		9,613		15.40		2906	16,356
CLO 2012-1 subordinated notes to affiliates(3)	19,663		10,501		—		2906	17,867
CLO 2013-1 secured notes	458,500		470,354		2.59		3118	450,836
CLO 2013-1 subordinated notes to affiliates(3)	23,063		14,970		—		3118	22,678
CLO 2013-2 secured notes	339,250		343,208		2.88		3310	323,644
CLO 2013-2 subordinated notes to affiliates(3)	30,959		19,074		—		3310	29,535
CLO 9 secured notes	463,750		471,824		2.89		3575	437,048
CLO 9 subordinated notes(3)	15,000		10,170		15.58		3575	14,136
CLO 9 subordinated notes to affiliates(3)	33,400		22,646		6.11		3575	31,477
CLO 10 secured notes	368,000		377,369		3.18		3271	356,393
CLO 10 subordinated notes to affiliates(3)	39,146		22,416		7.53		3271	37,912
CLO 15 secured notes	370,500		370,632		3.06		4309	376,971
CLO 15 subordinated notes(3)	12,100		11,430		—		4309	12,311
CLO 16 secured notes	644,300		640,386		3.16		4403	596,916
CLO 16 subordinated notes(3)	4,500		3,977		—		4403	4,169
Total collateralized loan obligation secured debt	3,207,631		3,177,548					3,062,180
CLO warehouse facility(4)	20,000		20,000		2.25		305	101,976
7.500% Senior notes	115,043		123,008		7.50		9210	—
Junior subordinated notes	283,517		250,154		3.34		7218	—
Total borrowings	$	3,626,191	$	3,570,710				$	3,164,156


(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 to unaffiliated and affiliated parties 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 cash distributions during the year, if any.


(4)	Represents a $200.0 million CLO warehouse facility.

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 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 were calculated based on annualized 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 the years ended December 31, 2016 and 2015. For the eight months ended December 31, 2014, $27.0 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 consolidated statements of operations for the 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 2013-1, CLO 2013-2, CLO 9, CLO 10, CLO 15 and CLO 16 will end their reinvestment periods during July 2017, January 2018, October 2018, December 2018, October 2020 and January 2021, 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 August 2016, the Company called CLO 2007-1 and repaid all senior and mezzanine notes totaling $945.6 million par amount. In addition, during October 2016, the remaining $134.5 million par amount of CLO 2007-1 subordinated notes owned by third parties were deemed repaid in full, whereby the Company distributed assets held as collateral in CLO 2007-1 to the subordinated note holders. During November 2015, the Company called CLO 2005-2 and repaid all senior and mezzanine notes totaling $140.2 million par amount. In addition, during July 2015, the Company called CLO 2005-1 and repaid all senior and mezzanine notes totaling $142.4 million par amount. Furthermore, 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 consolidated financial statements, the Company used pay-fixed, receive-variable interest rate swaps to hedge interest rate risk associated with its CLOs. In connection with the repayment of CLO 2007-1 notes and CLO 2006-1 notes, the related interest rate swaps, with contractual notional amounts of $142.3 million and $84.0 million, respectively, were terminated.

During the year ended December 31, 2016, excluding the amounts repaid for called CLOs, $2.0 million of original CLO 13 secured notes were repaid. Comparatively, during the year ended December 31, 2015, excluding the amounts repaid for called CLOs, $887.1 million of original CLO 2007-1 senior notes were repaid.

CLO 2011-1 and CLO 2016-1 do not have reinvestment periods and all principal proceeds from holdings in the respective CLOs are used to amortize the transaction. During the year ended December 31, 2016, $348.4 million par amount of original CLO 2016-1 secured and subordinated notes were repaid in full. In addition, during December 2016, the remaining $8.2 million par amount of CLO 2016-1 subordinated notes owned by third parties were deemed repaid in full, whereby the Company distributed assets held as collateral in CLO 2016-1 to subordinated note holders. During March 2016, the Company called CLO 2011-1 and repaid all senior debt totaling $249.3 million par amount. Comparatively, during the year ended December 31, 2015, $153.2 million of original CLO 2011-1 senior notes were repaid.

CLO Transactions

During the year ended December 31, 2016, the Company issued $7.0 million par amount of CLO 13 class F notes for proceeds of $5.9 million.

During December 2016, the Company declared a distribution in kind on its common shares of certain subordinated notes to its Parent as the sole holder of its common shares and distributed an aggregate $106.5 million par amount of CLO 2012-1, CLO 2013-1, CLO 2013-2, CLO 9, CLO 10, CLO 11 and CLO 13 subordinated notes. These notes were previously owned by the Company and eliminated in consolidation. Following the distribution, certain of the subordinated notes were held by an affiliate of the Manager and reflected as collateralized loan obligation junior secured notes to affiliates, at estimated fair value, on the Company's consolidated balance sheets. However, for certain CLOs, specifically CLO 11 and CLO 13, it was determined that the Company no longer met the consolidation criteria and therefore de-consolidated these two CLOs, resulting in a reduction of consolidated CLO liabilities of approximately $967.3 million.

On December 15, 2016, the Company closed CLO 16, a $711.3 million secured financing transaction maturing on January 20, 2029. The Company issued $644.3 million par amount of senior secured notes to unaffiliated investors, $634.8 million of which was floating rate with a weighted-average coupon of three-month LIBOR plus 2.04% and $9.5 million of which was fixed rate with a coupon of 4.80%. The Company also issued $4.5 million par amount of subordinated notes to unaffiliated investors. The investments that are owned by CLO 16 collateralize the CLO 16 debt, and as a result, those investments are not available to the Company, its creditors or shareholders.

On September 14, 2016, the Company closed CLO 15, a $410.8 million secured financing transaction maturing on October 18, 2028. The Company issued $370.5 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 2.05%. The Company also issued $12.1 million par amount of subordinated notes to unaffiliated investors. The investments that are owned by CLO 15 collateralize the CLO 15 debt, and as a result, those investments are not available to the Company, its creditors or shareholders.

On June 7, 2016, the Company closed CLO 2016-1, a $426.4 million secured financing transaction maturing on June 7, 2018, which was funded during the third quarter of 2016. The Company issued $330.9 million par amount of senior secured notes to unaffiliated investors at a rate of three-month LIBOR plus 1.70% and $25.7 million par amount of subordinated notes to unaffiliated investors. The investments that are owned by CLO 2016-1 collateralize the CLO 2016-1 debt, and as a result, those investments are not available to the Company, its creditors or shareholders.

During May 2016, the Company declared a distribution in kind on its common shares of certain subordinated notes to its Parent as the sole holder of its common shares and distributed an aggregate $96.5 million par amount of CLO 9, CLO 10, CLO 11 and CLO 13 subordinated notes. These notes were previously owned by the Company and eliminated in consolidation. Following the distribution, the subordinated notes were held by an affiliate of the Manager and reflected as collateralized loan obligation junior secured notes to affiliates, at estimated fair value, on the Company's consolidated balance sheets.

During April 2016, the remaining $15.1 million par amount of CLO 2007-A subordinated notes owned by third parties were deemed repaid in full, whereby the Company distributed assets held as collateral in CLO 2007-A to the subordinated note holders.

During the year ended December 31, 2015, the Company issued $30.0 million par amount of CLO 2005-2 class E notes for proceeds of $30.2 million and $35.0 million par amount of CLO 2007-1 class D and E notes for proceeds of $35.1 million.

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.

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 November 1, 2016, CLO 17 entered into a $200.0 million CLO warehouse facility ("CLO 17 Warehouse"), which will mature upon the closing of CLO 17. The CLO 17 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 17 Warehouse in full. Debt issued under the CLO 17 warehouse was non-recourse to the Company beyond the assets of CLO 17 and bore interest rates ranging from three-month LIBOR plus 1.25% to 2.20%. Upon the closing of CLO 17, the aggregate amount outstanding under the CLO 17 Warehouse will be 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 were 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 three-month 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. As mentioned above, the Company de-consolidated CLO 13 as of December 31, 2016.

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 three-month 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. As mentioned above, the Company de-consolidated CLO 11 as of December 31, 2016.

Senior Notes

On November 15, 2016, the Company redeemed $258.8 million aggregate principal amount of 8.375% Senior Notes due 2041 (the "Notes due 2041"), in accordance with the optional redemption provisions provided in the documents governing the Notes due 2041. The transaction resulted in the Company recording a gain of $29.8 million.

Contractual Obligations

The table below summarizes the Company’s contractual obligations (excluding interest) under borrowing agreements as of December 31, 2016 (amounts in thousands):



	Payments Due by Period
	Total		Less than 1 year		1 - 3 years		3 - 5 years		More than 5 years
CLO 2012-1 notes	$	405,163	$	—	$	—	$	—	$	405,163
CLO 2013-1 notes	481,563		—		—		—		481,563
CLO 2013-2 notes	370,209		—		—		—		370,209
CLO 9 notes	512,149		—		—		—		512,149
CLO 10 notes	407,147		—		—		—		407,147
CLO 15 notes	382,600		—		—		—		382,600
CLO 16 notes	648,800		—		—		—		648,800
CLO warehouse facility	20,000		20,000		—		—		—
Senior notes	115,043		—		—		—		115,043
Junior subordinated notes	283,517		—		—		—		283,517
Total	$	3,626,191	$	20,000	$	—	$	—	$	3,606,191

The remaining contractual maturities in the table above were allocated assuming no prepayments and represent the principal amount of all notes, excluding any discount and accounting adjustments. Expected maturities may differ from contractual maturities because the Company, as the borrower, may have the right to call or prepay certain obligations, with or without call or prepayment penalties.