Debt Obligations (Tables)

9 Months Ended

Sep. 30, 2017

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.