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Debt Obligations (Tables) | 9 Months Ended
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Sep. 30, 2017
Debt Obligations |
Schedule of principal balance, unamortized discount and net carrying value of the liability and equity components |
|  | Liability |  | Equity |
|  | Component |  | Component |
Period |  | Principal Balance |  | Unamortized Debt Discount |  | Unamortized Deferred Financing Fees |  | Net Carrying Value |  | Net Carrying Value |
September 30, 2017 |  | $ | 100,000,000 |  | $ | 1,809,470 |  | $ | 2,809,409 |  | $ | 95,381,121 |  | $ | 2,531,926 |
December 31, 2016 |  | $ | 86,250,000 |  | $ | 2,119,436 |  | $ | 3,470,526 |  | $ | 80,660,038 |  | $ | 2,178,647 |
Credit Facilities and Repurchase Agreements |
Debt Obligations |
Schedule of borrowings |
|  |  |  |  |  |  |  | September 30, 2017 |  | December 31, 2016 |
|  | Current Maturity |  | Extended Maturity |  | Note Rate |  | Debt Carrying Value (1) |  | Collateral Carrying Value |  | Wtd. Avg. Note Rate |  | Debt Carrying Value (1) |  | Collateral Carrying Value |  | Wtd. Avg. Note Rate |
Structured Business |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
$150 million repurchase facility |  | Oct. 2018 |  | Oct. 2019 |  | L + 2.25% to 3.50% |  | $ | 149,157,816 |  | $ | 253,150,000 |  | 3.63 | % | $ | 106,051,080 |  | $ | 183,827,574 |  | 3.12 | %
$100 million repurchase facility |  | June 2019 |  | N/A |  | L + 2.00% |  | 2,407,564 |  | 6,600,000 |  | 3.28 | % | 21,598,322 |  | 34,850,000 |  | 2.96 | %
$75 million credit facility |  | Dec. 2017 |  | N/A |  | L + 2.125% to 2.50% |  | 12,096,267 |  | 28,088,500 |  | 3.40 | % | 38,703,886 |  | 63,158,500 |  | 2.94 | %
$75 million credit facility |  | June 2018 |  | N/A |  | L + 2.00% |  | 16,206,619 |  | 42,300,000 |  | 3.28 | % | 23,276,773 |  | 31,725,000 |  | 2.81 | %
$50 million credit facility |  | Feb. 2018 |  | Feb. 2019 |  | L + 2.00% |  | 25,000,000 |  | 31,250,000 |  | 3.28 | % | 46,373,641 |  | 58,000,000 |  | 2.81 | %
$50 million credit facility |  | Sept. 2019 |  | Sept. 2021 |  | L + 2.50% to 3.25% |  | 3,563,565 |  | 4,625,000 |  | 4.54 | % | 7,956,000 |  | 9,885,000 |  | 4.08 | %
$25.5 million credit facility |  | Oct. 2019 |  | N/A |  | L + 2.50% |  | 13,909,625 |  | 18,753,364 |  | 3.78 | % | — |  | — |  | — |
$10 million credit facility |  | Mar. 2018 |  | N/A |  | L + 2.50% |  | 10,000,000 |  | — |  | 3.78 | % | — |  | — |  | — |
$3 million master security agreement |  | Oct. 2020 |  | N/A |  | 2.96% to 3.42% |  | 1,997,894 |  | — |  | 3.21 | % | 2,532,966 |  | — |  | 3.21 | %
Total |  |  |  |  |  |  |  | $ | 234,339,350 |  | $ | 384,766,864 |  | 3.58 | % | $ | 246,492,668 |  | $ | 381,446,074 |  | 3.02 | %
Agency Business |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
$500 million ASAP agreement |  | N/A |  | N/A |  | L + 1.05% |  | $ | 49,508,743 |  | $ | 49,508,743 |  | 2.28 | % | $ | 142,556,962 |  | $ | 142,556,962 |  | 1.65 | %
$150 million credit facility (2) |  | Jan. 2018 |  | N/A |  | L + 1.40% |  | 80,709,289 |  | 80,786,203 |  | 2.63 | % | 268,530,211 |  | 268,571,797 |  | 2.05 | %
$150 million credit facility (3) |  | July 2018 |  | N/A |  | L + 1.35% |  | 131,409,000 |  | 131,559,000 |  | 2.64 | % | 210,009,449 |  | 210,138,900 |  | 2.05 | %
$100 million credit facility (4) |  | June 2018 |  | N/A |  | L + 1.30% |  | 64,881,000 |  | 64,881,000 |  | 2.53 | % | 39,047,500 |  | 39,047,500 |  | 1.95 | %
$100 million repurchase facility |  | Aug. 2018 |  | N/A |  | L + 1.35% |  | 1,479,155 |  | 1,542,000 |  | 2.58 | % | — |  | — |  | — |
Total |  |  |  |  |  |  |  | $ | 327,987,187 |  | $ | 328,276,946 |  | 2.56 | % | $ | 660,144,122 |  | $ | 660,315,159 |  | 1.96 | %
Consolidated total |  |  |  |  |  |  |  | $ | 562,326,537 |  | $ | 713,043,810 |  | 2.99 | % | $ | 906,636,790 |  | $ | 1,041,761,233 |  | 2.25 | %
| (1) |  | The debt carrying value for the Structured Business at September 30, 2017 and December 31, 2016 was net of unamortized deferred finance costs of $1.6 million and $1.9 million, respectively. The debt carrying value for the Agency Business at both September 30, 2017 and December 31, 2016 was net of unamortized deferred finance costs of $0.3 million.
| (2) |  | The committed amount under the facility was temporarily increased to $200.0 million, which expired in April 2017, and again to $225.0 million, which expired in August 2017.
| (3) |  | The committed amount under the facility was temporarily increased to $350.0 million, which expired in February 2017.
| (4) |  | The committed amount under the facility was temporarily increased to $250.0 million, which expires in January 2018.
CLOs |
Debt Obligations |
Schedule of borrowings |
|  |  |  |  |  |  |  | Collateral (3) |
|  | Debt |  | Loans |  | Cash |
September 30, 2017 |  | Face Value |  | Carrying Value (1) |  | Wtd. Avg. Rate (2) |  | Unpaid Principal |  | Carrying Value |  | Restricted Cash (4) |
CLO VIII |  | $ | 282,874,000 |  | $ | 278,296,193 |  | 2.58 | % | $ | 324,190,963 |  | $ | 322,527,190 |  | $ | 40,809,037 |
CLO VII |  | 279,000,000 |  | 275,035,774 |  | 3.27 | % | 313,857,643 |  | 312,693,431 |  | 35,142,358 |
CLO VI |  | 250,250,000 |  | 247,207,545 |  | 3.76 | % | 303,821,532 |  | 302,750,497 |  | 21,178,468 |
CLO V |  | 267,750,000 |  | 265,690,976 |  | 3.72 | % | 312,933,082 |  | 311,904,481 |  | 37,066,918 |
Total CLOs |  | $ | 1,079,874,000 |  | $ | 1,066,230,488 |  | 3.32 | % | $ | 1,254,803,220 |  | $ | 1,249,875,599 |  | $ | 134,196,781 |
December 31, 2016 |  | Face Value |  | Carrying Value (1) |  | Wtd. Avg. Rate |  | Unpaid Principal |  | Carrying Value |  | Restricted Cash (3) |
CLO VI |  | $ | 250,250,000 |  | $ | 246,442,883 |  | 3.30 | % | $ | 324,569,105 |  | $ | 323,350,928 |  | $ | 430,895 |
CLO V |  | 267,750,000 |  | 264,864,114 |  | 3.26 | % | 344,679,286 |  | 343,747,570 |  | 5,320,715 |
CLO IV |  | 219,000,000 |  | 217,134,112 |  | 3.06 | % | 291,319,123 |  | 290,429,019 |  | 8,680,878 |
Total CLOs |  | $ | 737,000,000 |  | $ | 728,441,109 |  | 3.21 | % | $ | 960,567,514 |  | $ | 957,527,517 |  | $ | 14,432,488 |
| (1) |  | Debt carrying value is net of $13.6 million and $8.6 million of deferred financing fees at September 30, 2017 and December 31, 2016, respectively.
| (2) |  | At September 30, 2017 and December 31, 2016, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 3.88% and 3.71%, respectively.
| (3) |  | As of September 30, 2017 and December 31, 2016, there was no collateral at risk of default or deemed to be a “credit risk” as defined by the CLO indenture.
| (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.
Collateralized Debt Obligations and Collateralized Loan Obligations |
Debt Obligations |
Summary of the company's CLO compliance tests as of the most recent determination dates | A summary of our CLO compliance tests as of the most recent determination dates in October 2017 is as follows:
Cash Flow Triggers |  | CLO V |  | CLO VI |  | CLO VII |  | CLO VIII |
Overcollateralization (1) |  |  |  |  |  |  |  |  |
Current |  | 130.72% |  | 129.87% |  | 129.03% |  | 129.03% |
Limit |  | 129.72% |  | 128.87% |  | 128.03% |  | 128.03% |
Pass / Fail |  | Pass |  | Pass |  | Pass |  | Pass |
Interest Coverage (2) |  |  |  |  |  |  |  |  |
Current |  | 211.97% |  | 240.15% |  | 287.79% |  | 360.90% |
Limit |  | 120.00% |  | 120.00% |  | 120.00% |  | 120.00% |
Pass / Fail |  | 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.
Summary of the Company's CLO overcollateralization ratios |
Determination (1) |  | CLO V |  | CLO VI |  | CLO VII |  | CLO VIII |
October 2017 |  | 130.72 | % | 129.87 | % | 129.03 | % | 129.03 | %
July 2017 |  | 130.72 | % | 129.87 | % | 129.03 | % | — |
April 2017 |  | 130.72 | % | 129.87 | % | — |  | — |
January 2017 |  | 130.72 | % | 129.87 | % | — |  | — |
October 2016 |  | 130.72 | % | 129.87 | % | — |  | — |
| (1) |  | The table above 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.

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