CORPORATE LOANS

The Company accounts for all of its corporate loans at estimated fair value. The following table summarizes the Company’s corporate loans as of June 30, 2016 and December 31, 2015 (amounts in thousands):



	June 30, 2016						December 31, 2015
	Par		Amortized Cost		Estimated Fair Value		Par		Amortized Cost		Estimated Fair Value
Corporate loans, at estimated fair value	$	4,091,360	$	4,073,416	$	3,891,823	$	5,722,646	$	5,619,815	$	5,188,610
Total	$	4,091,360	$	4,073,416	$	3,891,823	$	5,722,646	$	5,619,815	$	5,188,610

Net Realized and Unrealized Gains (Losses)

Realized gains or losses are measured by the difference between the net proceeds from the repayment or sale and the amortized cost basis of the asset without regard to unrealized gains or losses previously recognized. Unrealized gains or losses are computed as the difference between the estimated fair value of the asset and the amortized cost basis of such asset. Unrealized gains or losses primarily reflect the change in asset values, including the reversal of previously recorded unrealized gains or losses when gains or losses are realized. The following tables present the Company’s realized and unrealized gains (losses) from corporate loans (amounts in thousands):



	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Net realized gains (losses)	$	(180,238	)	$	(6,079	)	$	(210,952	)	$	(22,261	)
Net (increase) decrease in unrealized losses	190,503			(27,450		)	235,426			54,824
Net realized and unrealized gains (losses)	$	10,265		$	(33,529	)	$	24,474		$	32,563

For the corporate loans measured at estimated fair value under the fair value option of accounting, $170.2 million of net gains and $27.5 million of losses were attributable to changes in instrument specific credit risk for the three months ended June 30, 2016 and June 30, 2015, respectively. For the six months ended June 30, 2016 and June 30, 2015, $197.7 million of net gains and $14.3 million of net losses were attributable to changes in instrument specific credit risk, respectively. Gains and losses attributable to changes in instrument specific credit risk were determined by excluding the non-credit components of gains and losses, such as those due to changes in interest rates and general market conditions. In addition, gains and losses attributable to those loans on non-accrual status or specifically identified as more volatile based on financial or operating performance, restructuring or other factors, were considered instrument specific.

Non-Accrual Loans

A loan is considered past due if any required principal and interest payments have not been received as of the date such payments were required to be made under the terms of the loan agreement. A loan may be placed on non-accrual status regardless of whether or not such loan is considered past due. As of June 30, 2016, the Company held a total par value and estimated fair value of $90.1 million and $37.4 million, respectively, of non-accrual loans carried at estimated fair value. As of December 31, 2015, the Company held a total par value and estimated fair value of $435.2 million and $127.5 million, respectively, of non-accrual loans. As of both June 30, 2016 and December 31, 2015, there were no corporate loans past due 90 or more days and still accruing.

Defaulted Loans

As of June 30, 2016, the Company held one corporate loan that was in default with a total estimated fair value of $6.3 million from one issuer. As of December 31, 2015, the Company held one corporate loan that was in default with a total estimated fair value of $113.6 million from one issuer.

Concentration Risk

The Company’s corporate loan portfolio has certain credit risk concentrated in a limited number of issuers. As of June 30, 2016, approximately 21% of the total estimated fair value of the Company’s corporate loan portfolio was concentrated in twenty issuers, with the three largest concentrations of corporate loans in loans issued by Infor (US) Inc., iPayment Investors L.P. and Dell Inc., which combined represented $159.9 million, or approximately 4% of the aggregate estimated fair value of the Company’s corporate loans. As of December 31, 2015, approximately 31% of the total estimated fair value of the Company’s corporate loan portfolio was concentrated in twenty issuers, with the three largest concentrations of corporate loans in loans issued by U.S. Foods Inc., Texas Competitive Electric Holdings Company LLC and PQ Corp, which combined represented $434.6 million, or approximately 8% of the aggregate estimated fair value of the Company’s corporate loans.

Pledged Assets

Note 6 to these condensed consolidated financial statements describes the Company’s borrowings under which the Company has pledged assets for borrowings. The following table summarizes the corporate loans, at estimated fair value, pledged as collateral as of June 30, 2016 and December 31, 2015 (amounts in thousands):



	June 30, 2016		December 31, 2015
Pledged as collateral for collateralized loan obligation secured debt	$	3,639,211	$	4,917,123
Total	$	3,639,211	$	4,917,123