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Debt Obligations (Tables) | 6 Months Ended
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Jun. 30, 2015
Credit facilities and repurchase agreements |
Debt Obligations |
Schedule of borrowings |
|  | June 30, 2015 |  | December 31, 2014 |
|  | Debt |  | Collateral |  | Weighted |  | Debt |  | Collateral |  | Weighted |
|  | Carrying |  | Carrying |  | Average |  | Carrying |  | Carrying |  | Average |
|  | Value |  | Value |  | Note Rate |  | Value |  | Value |  | Note Rate |
$150 million warehouse repurchase facility |  | $ | 111,680,600 |  | $ | 172,521,052 |  | 2.43 | % | $ | — |  | $ | — |  | — |
$100 million warehousing credit facility |  | 58,643,095 |  | 87,617,486 |  | 2.37 | % | 92,520,637 |  | 128,593,000 |  | 2.45 | %
$75 million warehousing credit facility |  | 68,491,000 |  | 95,390,000 |  | 2.40 | % | 42,975,000 |  | 58,000,000 |  | 2.45 | %
$75 million warehousing credit facility |  | 48,802,500 |  | 70,725,000 |  | 2.22 | % | 29,890,563 |  | 45,422,236 |  | 2.20 | %
$25 million term credit facility |  | 20,120,000 |  | 25,200,000 |  | 2.22 | % | — |  | — |  | — |
$15 million term credit facility |  | 15,000,000 |  | — |  | 7.60 | % | 15,000,000 |  | — |  | 7.50 | %
Total credit facilities and repurchase agreements |  | $ | 322,737,195 |  | $ | 451,453,538 |  | 2.61 | % | $ | 180,386,200 |  | $ | 232,015,236 |  | 2.84 | %
Collateralized loan obligations |
Debt Obligations |
Schedule of borrowings | The following table outlines borrowings and the corresponding collateral under our CLOs as of June 30, 2015:
|  | Debt |  | Collateral |  |  |
|  |  |  |  |  | Loans |  | Cash |  |  |
|  | Face |  | Carrying |  | Unpaid |  | Carrying |  | Restricted |  | Collateral |
|  | Value |  | Value |  | Principal |  | Value |  | Cash (1) |  | At-Risk (2) |
CLO III |  | $ | 281,250,000 |  | $ | 281,250,000 |  | $ | 329,677,445 |  | $ | 328,347,258 |  | $ | 40,878,834 |  | $ | — |
CLO IV |  | 219,000,000 |  | 219,000,000 |  | 293,816,979 |  | 292,822,017 |  | 6,183,021 |  | — |
Total CLOs |  | $ | 500,250,000 |  | $ | 500,250,000 |  | $ | 623,494,424 |  | $ | 621,169,275 |  | $ | 47,061,855 |  | $ | — |
The following table outlines borrowings and the corresponding collateral under our CLOs as of December 31, 2014:
|  | Debt |  | Collateral |  |  |
|  |  |  |  |  | Loans |  | Cash |  |  |
|  | Face |  | Carrying |  | Unpaid |  | Carrying |  | Restricted |  | Collateral |
|  | Value |  | Value |  | Principal |  | Value |  | Cash (1) |  | At-Risk (2) |
CLO II |  | $ | 177,000,000 |  | $ | 177,000,000 |  | $ | 252,353,210 |  | $ | 251,658,406 |  | $ | 7,284,919 |  | $ | — |
CLO III |  | 281,250,000 |  | 281,250,000 |  | 315,390,280 |  | 313,932,084 |  | 59,245,183 |  | — |
Total CLOs |  | $ | 458,250,000 |  | $ | 458,250,000 |  | $ | 567,743,490 |  | $ | 565,590,490 |  | $ | 66,530,102 |  | $ | — |
CLO II – Issued two investment grade tranches in January 2013 with a stated maturity date in February 2023. Interest was variable based on three-month LIBOR; the weighted average note rate was 2.56%. CLO III — Issued three investment grade tranches in April 2014 with a replacement period through October 2016 and a stated maturity date in May 2024. Interest is variable based on three-month LIBOR; the weighted average note rate was 2.62% and 2.60% at June 30, 2015 and December 31, 2014, respectively. CLO IV — Issued three investment grade tranches in February 2015 with a replacement period through September 2017 and a stated maturity date in March 2025. Interest is variable based on three-month LIBOR; the weighted average note rate was 2.47% at June 30, 2015.
| (1) |  | 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.
| (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.
Collateralized debt obligations |
Debt Obligations |
Schedule of borrowings | The following table outlines borrowings and the corresponding collateral under our CDO as of June 30, 2015:
|  | Debt |  | Collateral |  |  |
|  |  |  | Loans |  | Cash |  |  |
|  | Face |  | Carrying |  | Unpaid |  | Carrying |  | Restricted |  | Collateral |
|  | Value |  | Value |  | Principal (1) |  | Value (1) |  | Cash (2) |  | At-Risk (3) |
CDO III |  | $ | 71,099,881 |  | $ | 79,262,601 |  | $ | 172,349,012 |  | $ | 141,601,623 |  | $ | 22,087,981 |  | $ | 127,683,921 |
The following table outlines borrowings and the corresponding collateral under our CDOs as of December 31, 2014:
|  | Debt |  | Collateral |  |  |
|  |  |  | Loans |  | Cash |  |  |
|  | Face |  | Carrying |  | Unpaid |  | Carrying |  | Restricted |  | Collateral |
|  | Value |  | Value |  | Principal (1) |  | Value (1) |  | Cash (2) |  | At-Risk (3) |
CDO I |  | $ | 69,972,159 |  | $ | 75,402,789 |  | $ | 222,903,486 |  | $ | 174,460,160 |  | $ | 5,232,226 |  | $ | 180,691,292 |
CDO II |  | 97,906,092 |  | 103,484,624 |  | 192,522,685 |  | 143,824,571 |  | 69,412,808 |  | 106,139,494 |
CDO III |  | 144,192,804 |  | 152,507,713 |  | 202,758,120 |  | 171,457,394 |  | 64,771,797 |  | 147,049,346 |
Total CDOs |  | $ | 312,071,055 |  | $ | 331,395,126 |  | $ | 618,184,291 |  | $ | 489,742,125 |  | $ | 139,416,831 |  | $ | 433,880,132 |
CDO I — Issued four investment grade tranches in January 2005 with a stated maturity date in February 2040. Interest was variable based on three-month LIBOR; the weighted average note rate was 3.23% at December 31, 2014. CDO II — Issued nine investment grade tranches in January 2006 with stated maturity date in April 2038. Interest was variable based on three-month LIBOR; the weighted average note rate was 6.22% at December 31, 2014. CDO III — Issued ten investment grade tranches in December 2006 with a stated maturity date in January 2042. Interest is variable based on three-month LIBOR; the weighted average note rate was 1.42% and 0.98% at June 30, 2015 and December 31, 2014, respectively.
| (1) |  | Amounts include loans to real estate assets consolidated by us 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.
Notes payable |
Debt Obligations |
Schedule of borrowings |
|  | June 30, 2015 |  | December 31, 2014 |
|  | Debt |  | Collateral |  | Debt |  | Collateral |
|  | Carrying |  | Carrying |  | Carrying |  | Carrying |
|  | Value |  | Value |  | Value |  | Value |
Junior loan participation, secured by our 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, secured by our interest in a first mortgage loan with a principal balance of $28.8 million, expiration January 2016, interest is based on a portion of the interest received from the loan which has a fixed rate of 15.0% |  | 1,000,000 |  | 1,000,000 |  | — |  | — |
Total notes payable |  | $ | 2,300,000 |  | $ | 2,300,000 |  | $ | 1,300,000 |  | $ | 1,300,000 |
Collateralized debt obligations and collateralized loan obligations |
Debt Obligations |
Summary of the company's CLO compliance tests as of the most recent determination dates | The chart below is a summary of our CLO compliance tests as of the most recent determination dates in July 2015:
Cash Flow Triggers |  | CLO III |  | CLO IV |
Overcollateralization (1) |  |  |  |  |
Current |  | 133.33 | % | 136.99 | %
Limit |  | 132.33 | % | 135.99 | %
Pass / Fail |  | Pass |  | Pass |
Interest Coverage (2) |  |  |  |  |
Current |  | 266.20 | % | 365.63 | %
Limit |  | 120.00 | % | 120.00 | %
Pass / Fail |  | 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 CDO and CLO overcollateralization ratios |
Determination Date |  | CDO III |  | CLO III |  | CLO IV |
July 2015 (1) |  | — |  | 133.33 | % | 136.99 | %
April 2015 |  | 115.97 | % | 133.33 | % | 136.99 | %
January 2015 |  | 111.34 | % | 133.33 | % | — |
October 2014 |  | 110.65 | % | 133.33 | % | — |
July 2014 |  | 109.20 | % | 133.33 | % | — |
| (1) |  | CDO III was redeemed in July 2015.

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