Borrowings under our credit and repurchase facilities are as follows ($ in thousands):

V = Variable Note Rate; F = Fixed Note Rate

(1)

The debt carrying value for the Structured Business at September 30, 2022 and December 31, 2021 was net of unamortized deferred finance costs of $9.2 million and $7.7 million, respectively. The debt carrying value for the Agency Business at September 30, 2022 and December 31, 2021 was net of unamortized deferred finance costs of $0.6 million and $4.4 million, respectively.

(2)	These facilities are subject to margin call provisions associated with changes in interest spreads.

(3)	The commitment amount under this repurchase facility expires six months after the lender provides written notice. We then have an additional six months to repurchase the underlying loans.

(4)	A portion of this facility was used to finance a $1.0 million fixed rate SFR permanent loan reported through our Agency Business.

(5)	At September 30, 2022 and December 31, 2021, this facility was collateralized by B Piece bonds with a carrying value of $34.5 million and $47.6 million, respectively.

During 2022, several of our credit and repurchase facilities, in both our Structured Business and Agency Business, converted from a LIBOR-based interest rate to a SOFR-based interest rate for new financings. Existing financings generally remain at a LIBOR-based interest rate.

Joint Repurchase Facility. We amended this facility twice in the second quarter of 2022. The facility size was increased from $2.50 billion to $3.00 billion, is shared between the Structured Business and the Agency Business and is used to finance both structured and Private Label loans. The interest rate under the facility is determined on a loan-by-loan basis and may include a floor equal to a pro rata share of the floors included in our originated loans. The facility has a maximum advance rate of 80% on all loans and includes a $150.0 million over advance available that bears interest at a rate of the applicable benchmark plus 7.00%. The over advance is available through March 2023, is being amortized on a monthly basis through its expiration and had $100.0 million remaining at September 30, 2022. If the estimated market value of the loans financed in this facility decrease, we may be required to pay down borrowings under this facility.

Structured Business

At September 30, 2022 and December 31, 2021, the weighted average interest rate for the credit and repurchase facilities of our Structured Business, including certain fees and costs, such as structuring, commitment, non-use and warehousing fees, was 5.66% and 2.51%, respectively. The leverage on our loan and investment portfolio financed through our credit and repurchase facilities, excluding the securities repurchase facilities, working capital facility and the $1.0 million master security agreement was 76% and 77% at September 30, 2022 and December 31, 2021, respectively.

In September 2022, we entered into a $42.7 million credit facility to finance a bridge loan that matures in August 2025, with two 1-year extension options, and has an interest rate of SOFR plus 2.20%.

In September 2022, we entered into a $24.4 million credit facility to finance a construction loan that matures in December 2024, with two 1-year extension options,and has an interest rate of SOFR plus 1.91%.

In July 2022, we amended a $200.0 million credit facility to increase the facility size to $400.0 million, extend the maturity to July 2023 and amend the interest rate on multifamily properties to SOFR plus 1.86%.

In July 2022, we amended a $50.0 million credit facility to extend the maturity to April 2023, with two 1-year extension options, and amend the interest rate to SOFR plus 2.10%.

In June 2022, we entered into a $500.0 million repurchase facility to finance SFR loans that has an interest rate of SOFR plus 2.76% and a maximum advance rate of 82.5%.

In April 2022, we amended a $325.0 million repurchase facility to increase the facility size to $450.0 million, extend the maturity to October 2023 and amend the interest rate for new loans after December 31, 2021 to daily SOFR or term SOFR at our election at loan inception.

In April 2022, we amended a $30.0 million working capital facility to increase the facility size to $35.0 million, extend the maturity to April 2023 and amend the interest rate from a LIBOR-based rate to SOFR plus 3.00%.

In March 2022, we entered into a $200.0 million repurchase facility that matures in March 2024, with a one year extension option. This facility has an interest rate of SOFR plus 2.55% and an advance rate equal to the lessor of: (1) 75% of the principal balance; (2) 60% of the project cost; or (3) 60% of the underlying property value.

In January 2022, we entered into a $150.0 million repurchase facility to finance bridge and construction loans that matures in January 2024, with a one year extension option. This facility has interest rates of SOFR plus 1.75% to 3.50% depending on the type of loan financed with a SOFR floor determined on a loan-by-loan basis and a maximum advance rate of 80%. In March 2022, we increased the facility by $50.0 million to $200.0 million.

Collateralized Loan Obligations (“CLOs”)

We account for CLO transactions on our consolidated balance sheet as financing facilities. Our CLOs are VIEs for which we are the primary beneficiary and are consolidated in our financial statements. The investment grade tranches are treated as secured financings and are non-recourse to us.

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


	Debt						Collateral (3)
							Loans				Cash
			Carrying		Wtd. Avg.				Carrying		Restricted
September 30, 2022	Face Value		Value (1)		Rate (2)		UPB		Value		Cash (4)
CLO 19	$	872,812	$	866,167	5.41	%	$	1,011,208	$	1,005,469	$	—
CLO 18		1,652,812		1,645,166	4.85	%		1,955,828		1,946,621		5,820
CLO 17		1,714,125		1,707,143	4.89	%		1,965,875		1,957,961		79,316
CLO 16		1,237,500		1,231,414	4.52	%		1,380,996		1,375,305		73,793
CLO 15		674,412		671,073	4.58	%		705,978		703,432		98,361
CLO 14		655,475		652,194	4.53	%		726,999		724,512		39,129
CLO 13		668,000		665,924	4.62	%		577,034		575,568		214,042
CLO 12		534,193		532,915	4.70	%		502,703		500,976		117,167
Total CLOs	$	8,009,329	$	7,971,996	4.79	%	$	8,826,621	$	8,789,844	$	627,628


December 31, 2021
CLO 17	$	1,714,125	$	1,705,549	1.81	%	$	1,914,280	$	1,903,997	$	118,520
CLO 16		1,237,500		1,230,093	1.44	%		1,444,573		1,436,743		—
CLO 15		674,412		669,723	1.49	%		785,761		782,682		15,750
CLO 14		655,475		650,947	1.45	%		717,396		715,154		53,342
CLO 13		668,000		665,006	1.54	%		740,369		738,265		48,543
CLO 12		534,193		531,939	1.62	%		557,249		555,974		35,635
CLO 10		441,000		439,553	1.57	%		485,460		483,995		57,706
Total CLOs	$	5,924,705	$	5,892,810	1.59	%	$	6,645,088	$	6,616,810	$	329,496

(1)	Debt carrying value is net of $37.3 million and $31.9 million of deferred financing fees at September 30, 2022 and December 31, 2021, respectively.

(2)	At September 30, 2022 and December 31, 2021, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 4.99% and 1.86%, respectively.

(3)	At September 30, 2022 and December 31, 2021, there were no collateral deemed a “credit risk” as defined by the CLO indentures.

(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 totaling $274.3 million and $133.7 million at September 30, 2022 and December 31, 2021, respectively.

CLO 19. In May 2022, we completed CLO 19, issuing nine tranches of CLO notes through a wholly-owned subsidiary totaling $1.05 billion. Of the total CLO notes issued, $872.8 million were investment grade notes issued to third-party investors and $177.2 million were below investment grade notes retained by us. As of the CLO closing date, the notes were secured by a portfolio of loan obligations with a face value of $976.9 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has an approximate two-year replacement period that allows the principal proceeds and sale proceeds (if any) of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $73.1 million for the purpose of acquiring additional loan obligations for a period of up to 180 days from the CLO closing date, which we subsequently utilized, resulting in the issuer owning loan obligations with a face value of $1.05 billion, representing leverage of 83%. The notes sold to third parties had an initial weighted average interest rate of 2.36% plus term SOFR and interest payments on the notes are payable monthly.

CLO 18. In February 2022, we completed CLO 18, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $1.86 billion. Of the total CLO notes issued, $1.65 billion were investment grade notes issued to third-party investors and $210.1 million were below investment grade notes retained by us. As of the CLO closing date, the notes were secured by a portfolio of loan obligations with a face value of $1.70 billion, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has an approximate two-and-a-half-year replacement period that allows the principal proceeds and sale proceeds (if any) of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $347.3 million for the purpose of acquiring additional loan obligations for a period of up to 180 days from the CLO closing date, which we subsequently utilized, resulting in the issuer owning loan obligations with a face value of $2.05 billion, representing leverage of 81%. We retained a residual interest in the portfolio with a notional amount of $397.2 million, including the $210.1 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.81% plus compounded SOFR and interest payments on the notes are payable monthly.

CLO 10. In February 2022, we unwound CLO 10, redeeming $441.0 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets within CLO 18, as well as with cash held by CLO 10, and expensed $1.4 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income.

Senior Unsecured Notes

A summary of our senior unsecured notes is as follows (in thousands):


Senior			September 30, 2022						December 31, 2021
Unsecured	Issuance				Carrying		Wtd. Avg.				Carrying		Wtd. Avg.
Notes	Date	Maturity	UPB		Value (1)		Rate (2)		UPB		Value (1)		Rate (2)
5.00% Notes (3)	Dec. 2021	Dec. 2028	$	180,000	$	177,344	5.00	%	$	180,000	$	177,105	5.00	%
4.50% Notes (3)	Aug. 2021	Sept. 2026		270,000		266,718	4.50	%		270,000		266,090	4.50	%
5.00% Notes (3)	Apr. 2021	Apr. 2026		175,000		172,761	5.00	%		175,000		172,302	5.00	%
8.00% Notes (3)	Apr. 2020	Apr. 2023		70,750		70,510	8.00	%		70,750		70,202	8.00	%
4.50% Notes (3)	Mar. 2020	Mar. 2027		275,000		272,839	4.50	%		275,000		272,477	4.50	%
4.75% Notes (4)	Oct. 2019	Oct. 2024		110,000		109,281	4.75	%		110,000		109,018	4.75	%
5.75% Notes (4)	Mar. 2019	Apr. 2024		90,000		89,417	5.75	%		90,000		89,135	5.75	%
5.625% Notes (4)	Mar. 2018	May 2023		125,000		124,657	5.63	%		125,000		124,216	5.63	%
			$	1,295,750	$	1,283,527	5.05	%	$	1,295,750	$	1,280,545	5.05	%

(1)	At September 30, 2022 and December 31, 2021, the carrying value is net of deferred financing fees of $12.2 million and $15.2 million, respectively.

(2)	At both September 30, 2022 and December 31, 2021, the aggregate weighted average note rate, including certain fees and costs, was 5.34%.

(3)

These notes can be redeemed by us prior to three months before the maturity date, at a redemption price equal to 100% of the aggregate principal amount, plus a “make-whole” premium and accrued and unpaid interest. We have the right to redeem the notes within three months prior to the maturity date at a redemption price equal to 100% of the aggregate principal amount, plus accrued and unpaid interest.

(4)

These notes can be redeemed by us at any time prior to the maturity date, at a redemption price equal to 100% of the aggregate principal amount, plus a “make-whole” premium and accrued and unpaid interest. We have the right to redeem the notes on the maturity date at a redemption price equal to 100% of the aggregate principal amount, plus accrued and unpaid interest.

Subsequent Event. In October 2022, we issued $150.0 million aggregate principal amount of 8.50% senior unsecured notes due in 2027 in a private offering. We received net proceeds of $147.5 million from the issuance, after deducting discounts and fees. We used $47.5 million of the net proceeds, which includes accrued interest and other fees, to repurchase a portion of our 5.625% senior unsecured notes due in May 2023 and used the remaining proceeds for general corporate purposes.

Convertible Senior Unsecured Notes

In August 2022, we issued $287.5 million in aggregate principal amount of 7.50% convertible senior notes (the “7.50% Convertible Notes”) through a private placement offering. The 7.50% Convertible Notes pay interest semiannually in arrears and are scheduled to mature in August 2025, unless earlier converted or repurchased by the holders pursuant to their terms. The initial conversion rate was 59.8480 shares of common stock per $1,000 of principal representing a conversion price of $16.71 per share of common stock. We received proceeds of $279.3 million, net of discounts and fees. We used $203.1 million of the net proceeds to repurchase a portion of our 4.75% convertible senior notes (the “4.75% Convertible Notes”), which included $5.2 million of accrued interest and repurchase premiums, and expensed $3.3 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income. At September 30, 2022, the 7.50% Convertible Notes had a conversion rate of 59.8480 shares of common stock per $1,000 of principal, which represented a conversion price of $16.71 per share of common stock.

At September 30, 2022, we had a $66.1 million remaining aggregate principal amount of our 4.75% Convertible Notes after the August 2022 repurchase noted above. The remaining 4.75% Convertible Notes matured on November 1, 2022 and were fully settled.

Our convertible senior unsecured notes are not redeemable by us prior to their maturities and are convertible by the holder into, at our election, cash, shares of our common stock, or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rates are subject to adjustment upon the occurrence of certain specified events and the holders may require us to repurchase all, or any portion, of their notes for cash equal to 100% of the principal amount, plus accrued and unpaid interest, if we undergo a fundamental change specified in the agreements.

On January 1, 2022, we adopted ASU 2020-06, see Note 2 for details, which no longer allows for the allocation of proceeds between debt and equity components, eliminates the amortization of the debt discount and requires the if-converted method to calculate diluted earnings per share, regardless of the settlement intent.

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


	Liability								Equity
	Component								Component
			Unamortized Debt		Unamortized Deferred		Net Carrying		Net Carrying
Period	UPB		Discount		Financing Fees		Value		Value
September 30, 2022	$	353,608	$	—	$	7,568	$	346,040	$	—

December 31, 2021	$	264,000	$	2,520	$	2,095	$	259,385	$	8,684

During the three months ended September 30, 2022, we incurred interest expense on the notes totaling $5.8 million, of which $5.0 million and $0.8 million related to the cash coupon and deferred financing fees, respectively. During the nine months ended September 30, 2022, we incurred interest expense on the notes totaling $13.4 million, of which $11.3 million and $2.1 million related to the cash coupon and deferred financing fees, respectively. During the three months ended September 30, 2021, we incurred interest expense on the notes totaling $4.5 million, of which $3.1 million, $0.8 million and $0.6 million related to the cash coupon, amortization of the debt discount and of the deferred financing fees, respectively. During the nine months ended September 30, 2021, we incurred total interest expense on the notes of $14.1 million, of which $9.7 million, $2.4 million and $2.0 million related to the cash coupon, amortization of the debt discount and of the deferred financing fees, respectively. Including the amortization of the deferred financing fees and debt discount, our weighted average total cost of the notes was 7.92% and 6.71% at September 30, 2022 and December 31, 2021, respectively, or 5.73% at December 31, 2021 excluding the amortization of the debt discount (which ceased on January 1, 2022 with the adoption of ASU 2020-06).

Junior Subordinated Notes

The carrying values of borrowings under our junior subordinated notes were $142.9 million and $142.4 million at September 30, 2022 and December 31, 2021, respectively, which is net of a deferred amount of $9.8 million and $10.2 million, respectively, (which is amortized into interest expense over the life of the notes) and deferred financing fees of $1.6 million and $1.7 million, respectively. These notes have maturities ranging from March 2034 through April 2037 and pay interest quarterly at a floating rate based on LIBOR. The weighted average note rate was 6.62% and 3.03% at September 30, 2022 and December 31, 2021, respectively. Including certain fees and costs, the weighted average note rate was 6.70% and 3.12% at September 30, 2022 and December 31, 2021, respectively.

Debt Covenants

Credit and Repurchase Facilities and Unsecured Debt. The credit and repurchase facilities and unsecured debt (senior and convertible notes) contain various financial covenants, including, but not limited to, minimum liquidity requirements, minimum net worth requirements, minimum unencumbered asset requirements, as well as certain other debt service coverage ratios, debt to equity ratios and minimum servicing portfolio tests. We were in compliance with all financial covenants and restrictions at September 30, 2022.

CLOs. Our CLO vehicles contain interest coverage and asset overcollateralization covenants that must be met as of the waterfall distribution date in order for us to receive such payments. If we fail these covenants in any of our CLOs, all cash flows from the applicable CLO would be diverted to repay principal and interest on the outstanding CLO bonds and we would not receive any residual payments until that CLO regained compliance with such tests. Our CLOs were in compliance with all such covenants at September 30, 2022, as well as on the most recent determination dates in October 2022. In the event of a breach of the CLO covenants that could not be cured in the near-term, we would be required to fund our non-CLO expenses, including employee costs, distributions required to maintain our REIT status, debt costs, and other expenses with (1) cash on hand, (2) income from any CLO not in breach of a covenant test, (3) income from real property and loan assets, (4) sale of assets, or (5) accessing the equity or debt capital markets, if available. We have the right to cure covenant breaches which would resume normal residual payments to us by purchasing non-performing loans out of the CLOs. However, we may not have sufficient liquidity available to do so at such time.

Our CLO compliance tests as of the most recent determination dates in October 2022 are as follows:


Cash Flow Triggers	CLO 12		CLO 13		CLO 14		CLO 15		CLO 16		CLO 17		CLO 18		CLO 19
Overcollateralization (1)
Current	118.87	%	119.76	%	119.76	%	120.85	%	121.21	%	122.51	%	124.03	%	120.30	%
Limit	117.87	%	118.76	%	118.76	%	119.85	%	120.21	%	121.51	%	123.03	%	119.30	%
Pass / Fail	Pass		Pass		Pass		Pass		Pass		Pass		Pass		Pass

Interest Coverage (2)
Current	156.50	%	122.03	%	154.90	%	140.54	%	152.50	%	146.23	%	167.42	%	130.68	%
Limit	120.00	%	120.00	%	120.00	%	120.00	%	120.00	%	120.00	%	120.00	%	120.00	%
Pass / Fail	Pass		Pass		Pass		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.

Our CLO overcollateralization ratios as of the determination dates subsequent to each quarter are as follows:


Determination (1)	CLO 12		CLO 13		CLO 14		CLO 15		CLO 16		CLO 17		CLO 18		CLO 19
October 2022	118.87	%	119.76	%	119.76	%	120.85	%	121.21	%	122.51	%	124.03	%	120.30	%
July 2022	118.87	%	119.76	%	119.76	%	120.85	%	121.21	%	122.51	%	124.03	%	120.30	%
April 2022	118.87	%	119.76	%	119.76	%	120.85	%	121.21	%	122.51	%	124.03	%	—
January 2022	118.87	%	119.76	%	119.76	%	120.85	%	121.21	%	122.51	%	—		—
October 2021	118.87	%	119.76	%	119.76	%	120.85	%	121.21	%	—		—		—

(1)	This table 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.

The ratio will fluctuate based on the performance of the underlying assets, transfers of assets into the CLOs prior to the expiration of their respective replenishment dates, purchase or disposal of other investments, and loan payoffs. No payment due under the junior subordinated indentures may be paid if there is a default under any senior debt and the senior lender has sent notice to the trustee. The junior subordinated indentures are also cross-defaulted with each other.