Debt Obligations (Tables)

9 Months Ended

Sep. 30, 2022

Debt Obligations

Schedule of 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.

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 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

Repurchase agreements and credit facilities

Debt Obligations

Schedule of borrowings

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

				September 30, 2022						December 31, 2021
			Note	Debt		Collateral				Debt		Collateral
	Current	Extended	Rate	Carrying		Carrying		Wtd. Avg.		Carrying		Carrying
	Maturity	Maturity	Type	Value (1)		Value		Note Rate		Value (1)		Value
Structured Business
$2.5B joint repurchase facility (2)	Mar. 2024	Mar. 2025	V	$	1,826,527	$	2,353,627	5.60	%	$	1,486,380	$	1,877,930
$1B repurchase facility (2)	Aug. 2023	N/A	V		708,834		982,702	5.13	%		675,415		937,880
$500M repurchase facility	(3)	N/A	V		108,373		131,723	5.82	%		—		—
$450M repurchase facility	Mar. 2023	Mar. 2026	V		349,278		455,727	5.08	%		397,272		511,269
$450M repurchase facility	Oct. 2023	Oct. 2024	V		250,358		323,188	4.92	%		293,700		385,337
$400M credit facility	July 2023	N/A	V		64,391		82,500	4.66	%		177,406		236,538
$399M repurchase facility (2)(4)	Dec. 2022	N/A	V		345,154		465,188	5.30	%		241,450		289,956
$225M credit facility	Oct. 2023	Oct. 2024	V		68,352		108,881	5.58	%		27,826		42,270
$200M repurchase facility	Mar. 2024	Mar. 2025	V		21,365		33,157	5.61	%		—		—
$200M repurchase facility	Jan. 2024	Jan. 2025	V		179,471		229,041	5.05	%		—		—
$140M loan specific credit facilities	May 2023 to Aug. 2025	May 2023 to Aug. 2027	V/F		139,641		198,700	3.57	%		153,727		214,300
$50M credit facility	Apr. 2023	Apr. 2025	V		29,190		36,500	5.21	%		29,194		36,500
$35M working capital facility	Apr. 2023	N/A	V		—		—	—			—		—
$25M credit facility	Oct. 2024	N/A	V		6,159		7,745	5.72	%		1,235		1,900
$25M credit facility	Jan. 2023	Jan. 2024	V		—		—	—			10,218		14,773
$1M master security agreement	Dec. 2022	N/A	F		161		—	4.01	%		635		—
Repurchase facility - securities (2)(5)	N/A	N/A	V		24,365		—	5.74	%		30,849		—
Structured Business total				$	4,121,619	$	5,408,679	5.36	%	$	3,525,307	$	4,548,653
Agency Business
$750M ASAP agreement	N/A	N/A	V	$	46,210	$	46,505	3.61	%	$	182,130	$	182,140
$500M joint repurchase facility (2)	Mar. 2024	Mar. 2025	V		94,975		121,452	5.14	%		395,317		475,360
$500M repurchase facility	Nov. 2022	N/A	V		132,201		132,219	4.52	%		236,429		236,527
$200M credit facility	Mar. 2023	N/A	V		111,335		111,431	4.44	%		115,304		115,351
$150M credit facility	July 2023	N/A	V		103,549		103,662	4.44	%		16,544		16,657
$50M credit facility	Sept. 2023	N/A	V		22,621		22,621	4.44	%		9,295		9,295
$1M repurchase facility (2)(4)	Dec. 2022	N/A	V		622		932	5.32	%		1,253		1,477
Agency Business total				$	511,513	$	538,822	4.52	%	$	956,272	$	1,036,807
Consolidated total				$	4,633,132	$	5,947,501	5.27	%	$	4,481,579	$	5,585,460

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.

Collateralized loan obligations

Debt Obligations

Schedule of borrowings

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.

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

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.

Schedule of company's CLO overcollateralization ratios

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.