CLOs and Consolidated Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2014

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of assets and liabilities of the consolidated CLOs

The table below represents the assets and liabilities of the consolidated CLOs that are included in the Company’s consolidated balance sheet as of the dates indicated. Subordinated debt obligations owned by Tiptree are not included in these tables as these amounts are eliminated in consolidation.



	March 31, 2014		December 31, 2013
Assets:
Restricted cash	$	108,897	$	67,604
Investment in loans	1,240,805		1,298,155
Investment in trading securities	20,166		19,366
Due from brokers	8,565		15,945
Accrued interest receivable	2,988		4,108
Deferred debt issuance costs	9,038		9,261
Other assets	140		177
Total assets of consolidated CLOs	$	1,390,599	$	1,414,616

Liabilities:
Notes payable	$	1,128,113	$	1,154,097
Due to brokers	30,760		11,479
Accrued interest payable	8,151		9,745
Other liabilities	301		285
Total liabilities of consolidated CLOs	$	1,167,325	$	1,175,606

The following table represents revenue and expenses of the consolidated CLOs included in the Company’s consolidated statements of operations for the periods indicated:



	Three months ended March 31,
	2014			2013
Income:
Realized loss loans	$	(6,955	)	$	(663	)
Unrealized gain loans	218			3,116
Interest income	18,723			14,111
Total income attributable to consolidated CLOs	$	11,986		$	16,564

Expenses:
Interest expense	$	13,462		$	9,611
Other expense	530			210
Total expenses attributable to consolidated CLOs	$	13,992		$	9,821

The tables below summarize the debt obligations of the CLOs consolidated by the Company as of March 31, 2014 and December 31, 2013:



	March 31, 2014
	Aggregate Principal Amount		Spread over three Months LIBOR		Unamortized Discount		Carrying Amount
Description
Telos 4 (maturity July 2024)
Class A	$	214,000	1.30	%	$	940	$	213,060
Class B	46,500		1.80	%	2,021		44,479
Class C	29,000		2.75	%	1,372		27,628
Class D	19,250		3.50	%	1,532		17,718
Class E	16,000		5.00	%	1,942		14,058
Class X	3,500		0.95	%	—		3,500
Subordinated	10,700		N/A		504		10,196

Telos 3 (maturity October 2024)
Class A	225,000		1.42	%	—		225,000
Class B	36,500		2.25	%	—		36,500
Class C	26,500		3.00	%	559		25,941
Class D	18,000		4.25	%	806		17,194
Class E	15,000		5.50	%	1,486		13,514
Class F	6,000		5.50	%	731		5,269
Subordinated	34,350		N/A		1,385		32,965

Telos 2 (maturity April 2022)
Class A-1	193,442		0.26	%	23,909		169,533
Class A-2	40,000		0.40	%	8,491		31,509
Class B	27,500		0.55	%	7,346		20,154
Class C	22,000		0.95	%	9,273		12,727
Class D	22,000		2.20	%	11,699		10,301
Class E	16,000		5.00	%	13,095		2,905
Subordinated	2,000		N/A		1,634		366

Telos 1 (maturity October 2021)
Class A-1D	35,017		0.27	%	4,210		30,807
Class A-1R	13,131		0.29	%	1,579		11,552
Class A-1T	48,149		0.27	%	5,790		42,359
Class A-2	60,000		0.40	%	12,426		47,574



Class B	27,200		0.49	%	7,083		20,117
Class C	22,000		0.85	%	9,048		12,952
Class D	22,000		1.70	%	11,324		10,676
Class E	16,000		4.25	%	12,772		3,228
Subordinated	40,223		N/A		25,892		14,331
	$	1,306,962			$	178,849	$	1,128,113



	December 31, 2013
	Aggregate Principal amount		Spread over three Months LIBOR		Unamortized Discount		Carrying Amount
Description
Telos 4 (maturity July 2024)
Class A	$	214,000	1.30	%	$	962	$	213,038
Class B	46,500		1.80	%	2,066		44,434
Class C	29,000		2.75	%	1,401		27,599
Class D	19,250		3.50	%	1,562		17,688
Class E	16,000		5.00	%	1,976		14,024
Class X	3,500		0.95	%	—		3,500
Subordinated	10,700		N/A		516		10,184

Telos 3 (maturity October 2024)
Class A	225,000		1.42	%	—		225,000
Class B	36,500		2.25	%	—		36,500
Class C	26,500		3.00	%	570		25,930
Class D	18,000		4.25	%	822		17,178
Class E	15,000		5.50	%	1,512		13,488
Class F	6,000		5.50	%	743		5,257
Subordinated	29,000		N/A		1,322		27,678

Telos 2 (maturity April 2022)
Class A-1	221,836		0.26	%	28,216		193,620
Class A-2	40,000		0.40	%	8,717		31,283
Class B	27,500		0.55	%	7,532		19,968
Class C	22,000		0.95	%	9,473		12,527
Class D	22,000		2.20	%	11,900		10,100
Class E	16,000		5.00	%	13,155		2,845
Subordinated	2,000		N/A		1,654		346

Telos 1 (maturity October 2021)



Class A-1D	39,270		0.27	%	4,867		34,403
Class A-1R	14,726		0.29	%	1,826		12,900
Class A-1T	53,996		0.27	%	6,693		47,303
Class A-2	60,000		0.40	%	12,781		47,219
Class B	27,200		0.49	%	7,277		19,923
Class C	22,000		0.85	%	9,261		12,739
Class D	22,000		1.70	%	11,548		10,452
Class E	16,000		4.25	%	12,861		3,139
Subordinated	40,223		N/A		26,391		13,832
	$	1,341,701			$	187,604	$	1,154,097

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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