Affiliate CLOs

[TJS-RA]

I am working on a company that has issued a collateral loan obligation (CLOs) comprised of various tranches with different levels of risk that are rated by Egan-Jones, etc. I am fairly certain that these should go on Schedule D - Part 1 as an Other Loan-Backed & Structured security under "Industrial & Misc."

To build on this, about 51% of the CLO was issued to affiliates of the Company. Should This portion of the CLO be classified as Other Loan-Backed & Structured under "Parent, Subsidiaries & Affiliates?" Is there perhaps a magic percentage as to when you include the security under one category or the other?

[BarryW]

To your first question, I believe Other Loan-Backed and Structured Securities sounds like the correct classification.

As to your second question, the Annual Statement Instructions tell us to look SSAP 97 for the definition of parent, subsidiary, affiliate and control. Along those lines, I think you also have to consider who really issued the CLOs. Is it the company or is it a special-purpose vehicle or trust established/sponsored by the company?

At any rate, i think you have to consider the definitions in SSAP 97 to make the classification