XML 47 R37.htm IDEA: XBRL DOCUMENT v3.8.0.1
Debt Obligations (Tables)
 3 Months Ended
Mar. 31, 2018
Debt Obligations  
Schedule of face amount and gain on extinguishment of the company's CDO bonds repurchased by bond class

 

Borrowings and the corresponding collateral under our Debt Fund are as follows ($ in thousands):

 

March 31, 2018

 

Debt

 

Collateral (3)

 

 

 

 

 

 

 

Loans

 

Cash

 

Face Value

 

Carrying
Value (1)

 

Wtd. Avg.
Rate (2)

 

UPB

 

Carrying Value

 

Restricted
Cash (4)

 

 

 

 

 

 

 

 

 

 

 

 

 

$
70,000

 

$
68,176

 
6.12

%

$
97,700

 

$
97,256

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2017

 

$
70,000

 

$
68,084

 
5.79

%

$
96,995

 

$
96,564

 

$
3,005

 

 

 

(1)

Debt carrying value is net of $1.8 million and $1.9 million of deferred financing fees at March 31, 2018 and December 31, 2017, respectively.

(2)

At March 31, 2018 and December 31, 2017, the aggregate weighted average note rate, including certain fees and costs, was 6.51% and 6.05%, respectively.

(3)

At both March 31, 2018 and December 31, 2017, there was no collateral at risk of default or deemed to be a “credit risk.”

(4)

Represents restricted cash held for reinvestment.  Does not include restricted cash related to interest payments, delayed fundings and expenses.

 

Schedule of face value, unamortized discount and net carrying value of the liability and equity components

 

The UPB, unamortized discount and net carrying amount of the liability and equity components of the notes were as follows (in thousands):

 

 

 

Liability

 

Equity

 

 

 

Component

 

Component

 

Period

 

UPB

 

Unamortized Debt
Discount

 

Unamortized Deferred
Financing Fees

 

Net Carrying
Value

 

Net Carrying
Value

 

March 31, 2018

 

$
243,750

 

$
5,155

 

$
6,018

 

$
232,577

 

$
6,733

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2017

 

$
243,750

 

$
5,742

 

$
6,721

 

$
231,287

 

$
6,733

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Facilities and Repurchase Agreements  
Debt Obligations  
Schedule of borrowings

 

The following table outlines borrowings under our credit facilities and repurchase agreements ($ in thousands):

 

 

 

 

 

 

 

 

 

March 31, 2018

 

December 31, 2017

 

 

 

Current
Maturity

 

Extended
Maturity

 

Note Rate

 

Debt Carrying
Value (1)

 

Collateral
Carrying Value

 

Wtd.
Avg. Note
Rate

 

Debt Carrying
Value (1)

 

Collateral
Carrying Value

 

Wtd. Avg.
 Note Rate

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Structured Business

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$300 million repurchase facility

 

Mar. 2020

 

Mar. 2021

 

L + 1.75%
to 3.50%

 

$
115,226

 

$
163,000

 
3.96

%

$
102,350

 

$
145,850

 
3.90

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$100 million repurchase facility

 

June 2019

 

N/A

 

L + 2.00%

 
37,871

 
50,827

 
3.94

%
2,445

 
6,600

 
3.61

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$75 million credit facility

 

Dec. 2018

 

N/A

 

L + 2.00%
to 2.50%

 
13,212

 
18,500

 
4.06

%

—

 

—

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$75 million credit facility

 

June 2018

 

N/A

 

L + 2.00%

 
9,000

 
16,000

 
3.94

%
8,999

 
16,000

 
3.61

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$50 million credit facility

 

Feb. 2019

 

N/A

 

L + 2.00%

 
38,027

 
48,800

 
3.94

%
32,538

 
40,700

 
3.61

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$50 million credit facility

 

Sept. 2019

 

Sept. 2021

 

L + 2.50% to 3.25%

 
3,599

 
4,625

 
5.20

%
3,581

 
4,625

 
4.88

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$25.5 million credit facility

 

Oct. 2019

 

N/A

 

L + 2.50%

 
13,940

 
18,753

 
4.44

%
13,920

 
18,753

 
4.12

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$23.2 million credit facility

 

Feb. 2020

 

Feb. 2021

 

L + 2.30%

 
23,072

 
30,900

 
4.24

%

—

 

—

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$20 million credit facility

 

Mar. 2020

 

Mar. 2021

 

L + 2.50%

 
19,884

 
41,650

 
4.44

%

—

 

—

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$10 million working capital facility

 

June 2018

 

N/A

 

L + 2.50%

 

—

 

—

 

—

 
10,000

 

—

 
4.12

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$7.5 million credit facility

 

Aug. 2018

 

N/A

 

L + 2.75%

 
7,444

 
9,340

 
4.70

%
7,432

 
9,340

 
4.37

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Repurchase facility - securities

 

N/A

 

N/A

 

L + 2.50%
to 3.50%

 
60,390

 

—

 
4.84

%
53,938

 

—

 
4.45

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$3 million master security agreement

 

Oct. 2020

 

N/A

 

2.96% to 3.42%

 
1,670

 

—

 
3.20

%
1,834

 

—

 
3.21

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$2.2 million master security agreement

 

Mar. 2021

 

N/A

 

4.60%

 
1,390

 

—

 
4.66

%

—

 

—

 

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Structured Business total

 

 

 

 

 

 

 

$
344,725

 

$
402,395

 
4.21

%

$
237,037

 

$
241,868

 
4.02

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency Business

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$500 million ASAP agreement (2)

 

N/A

 

N/A

 

L + 1.05%

 

$
40,470

 

$
40,470

 
2.93

%

$
121,880

 

$
121,880

 
2.61

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$150 million credit facility

 

Jan. 2019

 

N/A

 

L + 1.30%

 
139,763

 
139,955

 
3.18

%
21,802

 
21,821

 
2.96

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$150 million credit facility

 

July 2018

 

N/A

 

L + 1.35%

 
76,144

 
76,206

 
3.23

%
99,242

 
99,357

 
2.91

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$100 million credit facility (3)

 

June 2018

 

N/A

 

L + 1.30%

 
5,000

 
5,000

 
3.18

%
23,785

 
23,785

 
2.86

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$100 million repurchase facility

 

Aug. 2018

 

N/A

 

L + 1.35%

 
19,961

 
19,990

 
3.23

%
24,827

 
24,873

 
2.91

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agency Business total

 

 

 

 

 

 

 

$
281,338

 

$
281,621

 
3.16

%

$
291,536

 

$
291,716

 
2.78

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Consolidated total

 

 

 

 

 

 

 

$
626,063

 

$
684,016

 
3.74

%

$
528,573

 

$
533,584

 
3.34

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

The debt carrying value for the Structured Business at March 31, 2018 and December 31, 2017 was net of unamortized deferred finance costs of $3.4 million and $2.2 million, respectively. The debt carrying value for the Agency Business at March 31, 2018 and December 31, 2017 was net of unamortized deferred finance costs of $0.3 million and $0.2 million, respectively.

(2)

The note rate under this agreement is subject to a LIBOR Floor of 35 basis points.

(3)

The committed amount under the facility was temporarily increased to $250.0 million, which expired in January 2018.

 

CLOs  
Debt Obligations  
Schedule of borrowings

 

The following table outlines borrowings and the corresponding collateral under our CLOs ($ in thousands):

 

 

 

Debt

 

Collateral (3)

 

 

 

 

 

 

 

 

 

Loans

 

Cash

 

March 31, 2018

 

Face Value

 

Carrying Value
(1)

 

Wtd. Avg.
Rate (2)

 

UPB

 

Carrying Value

 

Restricted
Cash (4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CLO IX

 

$
356,400

 

$
351,323

 
3.29

%

$
461,000

 

$
459,526

 

$

—

 

CLO VIII

 
282,874

 
278,910

 
3.24

%
314,564

 
313,405

 
47,586

 

CLO VII

 
279,000

 
275,622

 
3.93

%
323,578

 
322,438

 
35,617

 

CLO VI

 
250,250

 
247,730

 
4.42

%
306,140

 
305,175

 
16,485

 

CLO V

 
267,750

 
266,253

 
4.38

%
341,921

 
341,059

 
8,079

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total CLOs

 

$
1,436,274

 

$
1,419,838

 
3.81

%

$
1,747,203

 

$
1,741,603

 

$
107,767

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CLO IX

 

$
356,400

 

$
351,042

 
2.97

%

$
372,350

 

$
371,236

 

$
88,650

 

CLO VIII

 
282,874

 
278,606

 
2.92

%
364,838

 
363,339

 
162

 

CLO VII

 
279,000

 
275,331

 
3.61

%
346,524

 
345,220

 
13,476

 

CLO VI

 
250,250

 
247,470

 
4.10

%
314,382

 
313,582

 
10,618

 

CLO V

 
267,750

 
265,973

 
4.06

%
347,797

 
346,803

 
2,203

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total CLOs

 

$
1,436,274

 

$
1,418,422

 
3.48

%

$
1,745,891

 

$
1,740,180

 

$
115,109

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

Debt carrying value is net of $16.4 million and $17.9 million of deferred financing fees at March 31, 2018 and December 31, 2017, respectively.

(2)

At March 31, 2018 and December 31, 2017, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 4.37% and 4.08%, respectively.

(3)

As of March 31, 2018 and December 31, 2017, there was no collateral at risk of default or deemed to be a “credit risk” as defined by the CLO indenture.

(4)

Represents restricted cash held for principal repayments as well as for reinvestment in the CLOs.  Does not include restricted cash related to interest payments, delayed fundings and expenses.

 

Summary of the company's CLO compliance tests as of the most recent determination dates

 

A summary of our CLO compliance tests as of the most recent determination dates in April 2018 is as follows:

 

Cash Flow Triggers

 

CLO V

 

CLO VI

 

CLO VII

 

CLO VIII

 

CLO IX

 

 

 

 

 

 

 

 

 

 

 

 

 

Overcollateralization (1)

 

 

 

 

 

 

 

 

 

 

 

Current

 
130.72

%
129.87

%
129.03

%
129.03

%
134.69

%

Limit

 
129.72

%
128.87

%
128.03

%
128.03

%
133.68

%

Pass / Fail

 

Pass

 

Pass

 

Pass

 

Pass

 

Pass

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Coverage (2)

 

 

 

 

 

 

 

 

 

 

 

Current

 
190.24

%
203.07

%
211.84

%
329.34

%
259.18

%

Limit

 
120.00

%
120.00

%
120.00

%
120.00

%
120.00

%

Pass / Fail

 

Pass

 

Pass

 

Pass

 

Pass

 

Pass

 

 

 

(1)

The overcollateralization ratio divides the total principal balance of all collateral in the CLO by the total principal balance of the bonds associated with the applicable ratio.  To the extent an asset is considered a defaulted security, the asset’s principal balance for purposes of the overcollateralization test is the lesser of the asset’s market value or the principal balance of the defaulted asset multiplied by the asset’s recovery rate which is determined by the rating agencies.  Rating downgrades of CLO collateral will generally not have a direct impact on the principal balance of a CLO asset for purposes of calculating the CLO overcollateralization test unless the rating downgrade is below a significantly low threshold (e.g. CCC-) as defined in each CLO vehicle.

(2)

The interest coverage ratio divides interest income by interest expense for the classes senior to those retained by us.

 

Summary of the Company's CLO overcollateralization ratios

Determination (1)

 

CLO V

 

CLO VI

 

CLO VII

 

CLO VIII

 

CLO IX

 

April 2018

 
130.72

%
129.87

%
129.03

%
129.03

%
134.69

%

January 2018

 
130.72

%
129.87

%
129.03

%
129.03

%
134.68

%

October 2017

 
130.72

%
129.87

%
129.03

%
129.03

%

—

 

July 2017

 
130.72

%
129.87

%
129.03

%

—

 

—

 

April 2017

 
130.72

%
129.87

%

—

 

—

 

—

 

 

 

(1)

The table above represents the quarterly trend of our overcollateralization ratio, however, the CLO determination dates are monthly and we were in compliance with this test for all periods presented.