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Debt Obligations (Tables) | 9 Months Ended
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Sep. 30, 2014
Repurchase agreements and credit facilities |
Debt Obligations |
Schedule of borrowings |
|  | September 30, 2014 |  | December 31, 2013 |
|  | Debt |  | Collateral |  | Weighted |  | Debt |  | Collateral |  | Weighted |
|  | Carrying |  | Carrying |  | Average |  | Carrying |  | Carrying |  | Average |
|  | Value |  | Value |  | Note Rate |  | Value |  | Value |  | Note Rate |
$100 million warehousing credit facility |  | $ | 41,789,610 |  | $ | 58,500,000 |  | 2.44 | % | $ | 33,300,540 |  | $ | 45,705,813 |  | 2.46 | %
$75 million warehousing credit facility |  | 3,225,000 |  | 5,000,000 |  | 2.44 | % | 30,838,180 |  | 46,774,000 |  | 2.70 | %
$60 million warehousing credit facility |  | 11,291,500 |  | 17,022,236 |  | 2.19 | % | 15,063,750 |  | 21,800,000 |  | 2.20 | %
$33 million warehousing credit facility |  | — |  | — |  | — |  | 33,000,000 |  | 55,000,000 |  | 2.45 | %
$20 million revolving credit facility |  | — |  | — |  | — |  | 20,000,000 |  | — |  | 8.50 | %
$15 million term credit facility |  | 15,000,000 |  | — |  | 7.50 | % | — |  | — |  | — |
Repurchase agreement |  | — |  | — |  | — |  | 12,497,000 |  | 15,536,049 |  | 1.75 | %
Repurchase agreement |  | — |  | — |  | — |  | 14,425,553 |  | 18,944,735 |  | 2.00 | %
Total credit facilities and repurchase agreements |  | $ | 71,306,110 |  | $ | 80,522,236 |  | 3.49 | % | $ | 159,125,023 |  | $ | 203,760,597 |  | 3.16 | %
Collateralized debt obligations |
Debt Obligations |
Schedule of borrowings | The following table outlines borrowings and the corresponding collateral under the Company’s collateralized debt obligations as of September 30, 2014:
|  | Debt |  | Collateral |  |  |
|  |  |  | Loans |  | Cash |  |  |
|  | Face |  | Carrying |  | Unpaid |  | Carrying |  | Restricted |  | Collateral |
|  | Value |  | Value |  | Principal (1) |  | Value (1) |  | Cash (2) |  | At-Risk (3) |
CDO I |  | $ | 90,984,854 |  | $ | 96,469,891 |  | $ | 234,132,391 |  | $ | 185,525,965 |  | $ | 14,996,753 |  | $ | 191,226,061 |
CDO II |  | 102,626,199 |  | 108,260,762 |  | 264,844,518 |  | 214,562,939 |  | 2,865,954 |  | 120,282,351 |
CDO III |  | 158,610,361 |  | 167,002,626 |  | 269,114,359 |  | 237,838,404 |  | 12,133,115 |  | 156,782,558 |
Total CDOs |  | $ | 352,221,414 |  | $ | 371,733,279 |  | $ | 768,091,268 |  | $ | 637,927,308 |  | $ | 29,995,822 |  | $ | 468,290,970 |
The following table outlines borrowings and the corresponding collateral under the Company’s collateralized debt obligations as of December 31, 2013:
|  | Debt |  | Collateral |  |  |
|  |  |  | Loans |  | Cash |  |  |
|  | Face |  | Carrying |  | Unpaid |  | Carrying |  | Restricted |  | Collateral |
|  | Value |  | Value |  | Principal (1) |  | Value (1) |  | Cash (2) |  | At-Risk (3) |
CDO I |  | $ | 126,753,077 |  | $ | 132,399,560 |  | $ | 284,758,473 |  | $ | 237,194,618 |  | $ | 79,986 |  | $ | 179,466,954 |
CDO II |  | 196,046,587 |  | 201,847,417 |  | 362,150,693 |  | 312,859,875 |  | 1,719,760 |  | 187,213,841 |
CDO III |  | 296,754,194 |  | 305,376,004 |  | 395,783,494 |  | 365,236,505 |  | 23,607,813 |  | 240,503,823 |
Total CDOs |  | $ | 619,553,858 |  | $ | 639,622,981 |  | $ | 1,042,692,660 |  | $ | 915,290,998 |  | $ | 25,407,559 |  | $ | 607,184,618 |
| (1) |  | Amounts include loans to real estate assets consolidated by the Company that were reclassified to real estate owned and held-for-sale, net on the Consolidated Financial Statements.
| (2) |  | Represents restricted cash held for principal repayments in the CDOs. Does not include restricted cash related to interest payments, delayed fundings and expenses.
| (3) |  | Amounts represent the face value of collateral in default, as defined by the CDO indenture, as well as assets deemed to be “credit risk.” Credit risk assets are reported by each of the CDOs and are generally defined as one that, in the CDO collateral manager’s reasonable business judgment, has a significant risk of declining in credit quality or, with a passage of time, becoming a defaulted asset.
Collateralized loan obligations |
Debt Obligations |
Schedule of borrowings | The following table outlines borrowings and the corresponding collateral under the Company’s collateralized loan obligations as of September 30, 2014:
|  | Debt |  | Collateral |  |  |
|  |  |  | Loans |  | Cash |  |  |
|  | Face |  | Carrying |  | Unpaid |  | Carrying |  | Restricted |  | Collateral |
|  | Value |  | Value |  | Principal |  | Value |  | Cash (1) |  | At-Risk (2) |
CLO I |  | $ | 87,500,000 |  | $ | 87,500,000 |  | $ | 96,029,510 |  | $ | 95,787,645 |  | $ | 29,057,140 |  | $ | — |
CLO II |  | 177,000,000 |  | 177,000,000 |  | 225,975,410 |  | 225,266,447 |  | 33,662,719 |  | — |
CLO III |  | 281,250,000 |  | 281,250,000 |  | 340,258,087 |  | 338,578,446 |  | 34,299,996 |  | — |
Total CLOs |  | $ | 545,750,000 |  | $ | 545,750,000 |  | $ | 662,263,007 |  | $ | 659,632,538 |  | $ | 97,019,855 |  | $ | — |
The following table outlines borrowings and the corresponding collateral under the Company’s collateralized loan obligations as of December 31, 2013:
|  | Debt |  | Collateral |  |  |
|  |  |  |  |  | Loans |  | Cash |  |  |
|  | Face |  | Carrying |  | Unpaid |  | Carrying |  | Restricted |  | Collateral |
|  | Value |  | Value |  | Principal |  | Value |  | Cash (1) |  | At-Risk (2) |
CLO I |  | $ | 87,500,000 |  | $ | 87,500,000 |  | $ | 114,414,154 |  | $ | 113,940,857 |  | $ | 10,672,496 |  | $ | — |
CLO II |  | 177,000,000 |  | 177,000,000 |  | 255,016,564 |  | 253,989,391 |  | 4,621,675 |  | — |
Total CLOs |  | $ | 264,500,000 |  | $ | 264,500,000 |  | $ | 369,430,718 |  | $ | 367,930,248 |  | $ | 15,294,171 |  | $ | — |
| (1) |  | Represents restricted cash held for principal repayments in the CLOs. Does not include restricted cash related to interest payments, delayed fundings and expenses.
| (2) |  | Amounts represent the face value of collateral in default, as defined by the CLO indenture, as well as assets deemed to be “credit risk.” Credit risk assets are reported by each of the CLOs and are generally defined as one that, in the CLO collateral manager’s reasonable business judgment, has a significant risk of declining in credit quality or, with a passage of time, becoming a defaulted asset.
Notes payable |
Debt Obligations |
Schedule of borrowings |
|  | September 30, 2014 |  | December 31, 2013 |
|  | Debt |  | Collateral |  | Debt |  | Collateral |
|  | Carrying |  | Carrying |  | Carrying |  | Carrying |
|  | Value |  | Value |  | Value |  | Value |
Junior loan participation, secured by the Company’s interest in a first mortgage loan with a principal balance of $1.3 million, participation interest was based on a portion of the interest received from the loan which has a fixed rate of 9.57% |  | $ | 1,300,000 |  | $ | 1,300,000 |  | $ | 1,300,000 |  | $ | 1,300,000 |
Junior loan participation, maturity of October 2018, secured by the Company’s interest in a mezzanine loan with a principal balance of $3.0 million, participation interest is a fixed rate of 13.00% |  | — |  | — |  | 750,000 |  | 750,000 |
Junior loan participation, maturity of September 2014, secured by the Company’s interest in a mezzanine loan with a principal balance of $3.0 million, participation interest is a fixed rate of 15.00% |  | — |  | — |  | 450,000 |  | 450,000 |
Total notes payable |  | $ | 1,300,000 |  | $ | 1,300,000 |  | $ | 2,500,000 |  | $ | 2,500,000 |
Collateralized debt obligations and collateralized loan obligations |
Debt Obligations |
Summary of the company's CDO and CLO compliance tests as of the most recent determination dates | The chart below is a summary of the Company’s CDO and CLO compliance tests as of the most recent determination dates in October 2014:
Cash Flow Triggers |  | CDO I |  | CDO II |  | CDO III |  | CLO I |  | CLO II |  | CLO III |
Overcollateralization (1) |  |  |  |  |  |  |  |  |  |  |  |  |
Current |  | 173.33 | % | 161.20 | % | 110.65 | % | 142.96 | % | 146.89 | % | 133.33 | %
Limit |  | 145.00 | % | 127.30 | % | 105.60 | % | 137.86 | % | 144.25 | % | 132.33 | %
Pass / Fail |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass |
Interest Coverage (2) |  |  |  |  |  |  |  |  |  |  |  |  |
Current |  | 631.39 | % | 397.36 | % | 1083.81 | % | 213.63 | % | 298.52 | % | 288.49 | %
Limit |  | 160.00 | % | 147.30 | % | 105.60 | % | 120.00 | % | 120.00 | % | 120.00 | %
Pass / Fail |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass |
| (1) |  | The overcollateralization ratio divides the total principal balance of all collateral in the CDO and 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 CDO and CLO collateral will generally not have a direct impact on the principal balance of a CDO and CLO asset for purposes of calculating the CDO and CLO overcollateralization test unless the rating downgrade is below a significantly low threshold (e.g. CCC-) as defined in each CDO and CLO vehicle.
| (2) |  | The interest coverage ratio divides interest income by interest expense for the classes senior to those retained by the Company.
Summary of the Company's CDO and CLO overcollateralization ratios |
Determination Date |  | CDO I |  | CDO II |  | CDO III |  | CLO I |  | CLO II |  | CLO III |
October 2014 |  | 173.33 | % | 161.20 | % | 110.65 | % | 142.96 | % | 146.89 | % | 133.33 | %
July 2014 |  | 171.01 | % | 153.44 | % | 109.20 | % | 142.96 | % | 146.89 | % | 133.33 | %
April 2014 |  | 184.35 | % | 138.15 | % | 108.74 | % | 142.96 | % | 146.89 | % | — |
January 2014 |  | 167.15 | % | 137.87 | % | 107.80 | % | 142.96 | % | 146.89 | % | — |
October 2013 |  | 166.88 | % | 133.77 | % | 106.64 | % | 142.96 | % | 146.89 | % | — |

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- Definition Tabular disclosure of information pertaining to short-term and long-debt instruments or arrangements, including but not limited to identification of terms, features, collateral requirements and other information necessary to a fair presentation. + References No definition available. + Details
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