Debt Obligations (Tables)

9 Months Ended

Sep. 30, 2014

Repurchase agreements and credit facilities

	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	%	—