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Debt Obligations (Tables)

9 Months Ended

Sep. 30, 2018

Debt Obligations

Schedule of face amount and gain on extinguishment of the company's CDO bonds repurchased by bond class

Borrowings and the corresponding collateral under our Debt Fund are as follows ($ in thousands):

		Debt									Collateral (3)
											Loans						Cash
		Face			Carrying			Wtd. Avg.						Carrying			Restricted
Period		Value			Value (1)			Rate (2)			UPB			Value			Cash (4)
September 30, 2018		$	70,000		$	68,099			6.50	%	$	98,696		$	98,261		$	—

December 31, 2017 $ 70,000 $ 68,084 5.79 %   $ 96,995 $ 96,564 $ 3,005

(1) Debt carrying value is net of $1.9 million of deferred financing fees at both September 30, 2018 and December 31, 2017.

(2) At September 30, 2018 and December 31, 2017, the aggregate weighted average note rate, including certain fees and costs, was 7.08% and 6.05%, respectively.

(3) At both September 30, 2018 and December 31, 2017, there was no collateral at risk of default or deemed to be a “credit risk.”

(4) Represents restricted cash held for reinvestment.  Excludes restricted cash related to interest payments, delayed fundings and expenses.

Schedule of face value, unamortized discount and net carrying value of the liability and equity components

The UPB, unamortized discount and net carrying amount of the liability and equity components of our convertible notes were as follows (in thousands):

		Liability												Equity
		Component												Component
					Unamortized Debt			Unamortized Deferred			Net Carrying			Net Carrying
Period		UPB			Discount			Financing Fees			Value			Value
September 30, 2018		$	280,816		$	9,285		$	7,878		$	263,653		$	9,436
December 31, 2017		$	243,750		$	5,742		$	6,721		$	231,287		$	6,733

Credit Facilities and Repurchase Agreements

Debt Obligations

Schedule of borrowings

The following table outlines borrowings under our credit facilities and repurchase agreements ($ in thousands):

												September 30, 2018									December 31, 2017
												Debt			Collateral			Wtd.			Debt			Collateral			Wtd.
		Current		Extended								Carrying			Carrying			Avg. Note			Carrying			Carrying			Avg. Note
Structured Business		Maturity		Maturity		Note Rate						Value (1)			Value			Rate			Value (1)			Value			Rate
$375 million repurchase facility		Mar. 2020		Mar. 2021		L+	1.75	%	to	3.50	%	$	334,582		$	470,650			4.53	%	$	102,350		$	145,850		3.90	%
$100 million repurchase facility		June 2019		June 2020		L+	1.75	%	to	2.00	%		94,024			132,107			4.09	%		2,445			6,600		3.61	%
$75 million credit facility		Dec. 2018		N/A		L+	1.75	%	to	2.50	%		20,355			30,469			4.07	%		—			—		—
$75 million credit facility		June 2019		N/A		L+	2.00	%					14,482			21,000			4.32	%		8,999			16,000		3.61	%
$50 million credit facility		Feb. 2019		N/A		L+	2.00	%					28,557			35,700			4.32	%		32,538			40,700		3.61	%
$50 million credit facility		Sept. 2019		Sept. 2021		L+	2.50	%	to	3.25	%		—			—			—			3,581			4,625		4.88	%
$25.5 million credit facility		Oct. 2019		N/A		L+	2.50	%					15,773			34,000			4.83	%		13,920			18,753		4.12	%
$25 million working capital facility		June 2019		N/A		L+	2.25	%					—			—			—			10,000			—		4.12	%
$23.2 million credit facility		Feb. 2020		Feb. 2021		L+	2.30	%					23,068			30,900			4.62	%		—			—		—
$20 million credit facility		Mar. 2020		Mar. 2021		L+	2.50	%					19,904			41,650			4.83	%		—			—		—
$17.4 million credit facility		June 2020		June 2021		L+	2.40	%					12,405			15,844			4.73	%		—			—		—
$8 million credit facility		Aug. 2021		N/A		L+	2.50	%					7,941			10,000			4.83			—			—		—
$7.5 million credit facility (2)		Sept. 2018		N/A		L+	2.75	%					—			—			—			7,432			9,340		4.37	%
Repurchase facility - securities (3)		N/A		N/A		L+	2.35	%	to	3.25	%		102,701			—			4.97	%		53,938			—		4.45	%
$3 million master security agreement		Oct. 2020		N/A			2.96	%	to	3.42	%		1,337			—			3.20	%		1,834			—		3.21	%
$2.2 million master security agreement		Mar. 2021		N/A			4.60	%					1,854			—			4.66	%		—			—		—
Structured Business total												$	676,983		$	822,320			4.53	%	$	237,037		$	241,868		4.02	%
Agency Business
$500 million ASAP agreement (4)		N/A		N/A		L+	1.05	%				$	96,617		$	96,617			3.31	%	$	121,880		$	121,880		2.61	%
$250 million credit facility (5)		June 2019		N/A		L+	1.25	%					102,180			102,182			3.51	%		23,785			23,785		2.86	%
$200 million repurchase facility		Aug. 2019		N/A		L+	1.275	%					73,573			73,573			3.54	%		24,827			24,873		2.91	%
$150 million credit facility		Jan . 2019		N/A		L+	1.30	%					136,567			136,644			3.56	%		21,802			21,821		2.96	%
$150 million credit facility		July 2019		N/A		L+	1.30	%					83,666			83,783			3.56	%		99,242			99,357		2.91	%
Agency Business total												$	492,603		$	492,799			3.50	%	$	291,536		$	291,716		2.78	%
Consolidated total												$	1,169,586		$	1,315,119			4.10	%	$	528,573		$	533,584		3.34	%

(1) The debt carrying value for the Structured Business at September 30, 2018 and December 31, 2017 was net of unamortized deferred finance costs of $2.6 million and $2.2 million, respectively. The debt carrying value for the Agency Business at both September 30, 2018 and December 31, 2017 was net of unamortized deferred finance costs of $0.2 million.

(2) In September 2018, the loan collateralizing this facility paid off and we simultaneously repaid this facility.

(3) As of September 30, 2018 and December 31, 2017, this facility was collateralized by CLO bonds retained by us with a principal balance of $114.2 million and $61.0 million, respectively, and B Piece bonds with a carrying value of $50.5 million and $27.8 million, respectively. 

(4) The note rate under this agreement is subject to a LIBOR Floor of 35 basis points.

(5) The committed amount under the facility was temporarily increased $150.0 million to $250.0 million, which expires in January 2019.

CLOs

Debt Obligations

Schedule of borrowings

The following table outlines borrowings and the corresponding collateral under our CLOs ($ in thousands):

		Debt								Collateral (3)
										Loans						Cash
		Face			Carrying			Wtd. Avg.					Carrying			Restricted
September 30, 2018		Value			Value (1)			Rate (2)		UPB			Value			Cash (4)
CLO X		$	441,000		$	436,132		3.76	%	$	510,303		$	508,357		$	42,032
CLO IX			356,400			351,934		3.67	%		417,089			415,776			3,911
CLO VIII			282,874			279,538		3.62	%		304,078			303,302			39,409
CLO VII			279,000			276,221		4.31	%		285,134			284,322			43,885
CLO VI			250,250			248,264		4.81	%		276,083			275,086			40,342
Total CLOs		$	1,609,524		$	1,592,089		3.98	%	$	1,792,687		$	1,786,843		$	169,579

December 31, 2017
CLO IX		$	356,400		$	351,042		2.97	%	$	372,350		$	371,236		$	88,650
CLO VIII			282,874			278,606		2.92	%		364,838			363,339			162
CLO VII			279,000			275,331		3.61	%		346,524			345,220			13,476
CLO VI			250,250			247,470		4.10	%		314,382			313,582			10,618
CLO V			267,750			265,973		4.06	%		347,797			346,803			2,203
Total CLOs		$	1,436,274		$	1,418,422		3.48	%	$	1,745,891		$	1,740,180		$	115,109

(1) Debt carrying value is net of $17.4 million and $17.9 million of deferred financing fees at September 30, 2018 and December 31, 2017, respectively.

(2) At September 30, 2018 and December 31, 2017, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 4.49% and 4.08%, respectively.

(3) As of September 30, 2018 and December 31, 2017, 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.

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 2018 is as follows:

Cash Flow Triggers		CLO VI		CLO VII		CLO VIII		CLO IX		CLO X
Overcollateralization (1)
Current		129.87	%	129.03	%	129.03	%	134.68	%	126.98	%
Limit		128.87	%	128.03	%	128.03	%	133.68	%	125.98	%
Pass / Fail		Pass		Pass		Pass		Pass		Pass
Interest Coverage (2)
Current		208.68	%	212.40	%	268.75	%	276.05	%	236.32	%
Limit		120.00	%	120.00	%	120.00	%	120.00	%	120.00	%
Pass / Fail		Pass		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 VI		CLO VII		CLO  VIII		CLO  IX		CLO X
October 2018		129.87	%	129.03	%	129.03	%	134.68	%	126.98	%
July 2018		129.87	%	129.03	%	129.03	%	134.68	%	126.98	%
April 2018		129.87	%	129.03	%	129.03	%	134.69	%	—
January 2018		129.87	%	129.03	%	129.03	%	134.68	%	—
October 2017		129.87	%	129.03	%	129.03	%	—		—

(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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