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v3.19.3.a.u2

Debt Obligations (Tables) | 12 Months Ended
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Dec. 31, 2019
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):
|  |  |  |  |  |  |  |  |  | Collateral (3)
|  | Debt |  | Loans |  | Cash
|  | Face |  | Carrying |  | Wtd. Avg. |  |  |  |  | Carrying |  | Restricted
Period |  | Value |  | Value (1) |  | Rate (2) |  | UPB |  | Value |  | Cash (4)
December 31, 2019 |  | $ | 70,000 |  | $ | 68,629 |  | 5.99 | % | $ | 70,755 |  | $ | 68,629 |  | $ | 29,245
December 31, 2018 |  | $ | 70,000 |  | $ | 68,183 |  | 6.75 | % | $ | 69,186 |  | $ | 68,924 |  | $ | 30,814
| (1) |  | Debt carrying value is net of $1.4 million and $1.8 million of deferred financing fees at December 31, 2019 and 2018, respectively.
| (2) |  | At December 31, 2019 and 2018, the aggregate weighted average note rate, including certain fees and costs, was 7.17% and 7.49%, respectively.
| (3) |  | At both December 31, 2019 and 2018, 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 are as follows (in thousands):
|  | Liability |  | Equity
|  | Component |  | Component
|  |  |  | Unamortized |  | Unamortized Deferred |  | Net Carrying |  | Net Carrying
Period |  | UPB |  | Debt Discount |  | Financing Fees |  | Value |  | Value
December 31, 2019 |  | $ | 300,914 |  | $ | 9,235 |  | $ | 7,527 |  | $ | 284,152 |  | $ | 9,962
December 31, 2018 |  | $ | 270,057 |  | $ | 8,229 |  | $ | 7,060 |  | $ | 254,768 |  | $ | 9,436
Credit Facilities and Repurchase Agreements |
Debt Obligations |
Schedule of borrowings | Borrowings under our credit facilities and repurchase agreements are as follows ($ in thousands):
|  | December 31, 2019 |  | December 31, 2018 |
|  |  |  | Debt |  | Collateral |  |  |  |  |  | Debt |  | Collateral |  |  |
|  |  |  | Carrying |  | Carrying |  | Wtd. Avg. |  |  |  | Carrying |  | Carrying |  | Wtd. Avg. |
|  | UPB |  | Value (1) |  | Value |  | Note Rate |  | UPB |  | Value (1) |  | Value |  | Note Rate |
Structured Business |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
$400 million joint repurchase facility |  | $ | 225,051 |  | $ | 224,658 |  | $ | 339,378 |  | 4.06 | % | $ | 336,428 |  | $ | 334,696 |  | $ | 467,680 |  | 4.75 | %
$300 million repurchase facility |  |  | 218,891 |  |  | 218,418 |  |  | 291,292 |  | 3.76 | % |  | — |  |  | — |  |  | — |  | — |
$200 million repurchase facility |  |  | 40,612 |  |  | 40,530 |  |  | 48,086 |  | 4.22 | % |  | — |  |  | — |  |  | — |  | — |
$128.7 million loan specific credit facilities |  |  | 128,677 |  |  | 128,274 |  |  | 184,116 |  | 4.13 | % |  | 85,044 |  |  | 84,701 |  |  | 124,844 |  | 4.93 | %
$100 million repurchase facility |  |  | 45,962 |  |  | 45,843 |  |  | 63,800 |  | 3.56 | % |  | 71,017 |  |  | 70,837 |  |  | 98,597 |  | 4.31 | %
$75 million credit facility |  |  | 4,690 |  |  | 4,570 |  |  | 7,000 |  | 3.56 | % |  | 10,237 |  |  | 10,237 |  |  | 16,889 |  | 4.31 | %
$75 million credit facility |  |  | — |  |  | — |  |  | — |  | — |  |  | — |  |  | — |  |  | — |  | — |
$50 million credit facility |  |  | 14,948 |  |  | 14,933 |  |  | 17,650 |  | 3.81 | % |  | 14,160 |  |  | 14,159 |  |  | 17,700 |  | 4.57 | %
$50 million credit facility |  |  | 12,349 |  |  | 12,191 |  |  | 16,499 |  | 4.32 | % |  | — |  |  | — |  |  | — |  | — |
$50 million credit facility |  |  | 5,280 |  |  | 5,254 |  |  | 6,600 |  | 4.32 | % |  | — |  |  | — |  |  | — |  | — |
$25 million credit facility |  |  | 19,936 |  |  | 19,651 |  |  | 28,572 |  | 4.07 | % |  | — |  |  | — |  |  | — |  | — |
$25 million working capital facility |  |  | — |  |  | — |  |  | — |  | — |  |  | — |  |  | — |  |  | — |  | — |
$20 million credit facility |  |  | — |  |  | — |  |  | — |  | — |  |  | 20,000 |  |  | 19,912 |  |  | 41,650 |  | 5.07 | %
$8 million credit facility |  |  | — |  |  | — |  |  | — |  | — |  |  | 8,000 |  |  | 7,946 |  |  | 10,000 |  | 5.07 | %
$3.3 million master security agreements |  |  | 3,267 |  |  | 3,267 |  |  | — |  | 4.08 | % |  | 2,846 |  |  | 2,846 |  |  | — |  | 4.06 | %
Repurchase facilities-securities (2) |  |  | 217,105 |  |  | 217,105 |  |  | — |  | 3.90 | % |  | 118,112 |  |  | 118,112 |  |  | — |  | 5.07 | %
Structured Business total |  | $ | 936,768 |  | $ | 934,694 |  | $ | 1,002,993 |  | 3.94 | % | $ | 665,844 |  | $ | 663,446 |  | $ | 777,360 |  | 4.78 | %
Agency Business |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
$750 million ASAP agreement |  | $ | 148,725 |  | $ | 148,725 |  | $ | 148,725 |  | 2.81 | % | $ | 104,619 |  | $ | 104,619 |  | $ | 104,619 |  | 3.55 | %
$500 million repurchase facility |  |  | 187,742 |  |  | 187,698 |  |  | 187,742 |  | 2.91 | % |  | 130,917 |  |  | 130,906 |  |  | 130,917 |  | 3.78 | %
$300 million joint repurchase facility |  |  | 300,446 |  |  | 299,824 |  |  | 300,446 |  | 3.26 | % |  | — |  |  | — |  |  | — |  | — |
$250 million credit facility |  |  | — |  |  | — |  |  | — |  | — |  |  | 26,651 |  |  | 26,651 |  |  | 26,651 |  | 3.75 | %
$150 million credit facility |  |  | 89,673 |  |  | 89,657 |  |  | 89,673 |  | 2.91 | % |  | 113,685 |  |  | 113,666 |  |  | 113,685 |  | 3.80 | %
$150 million credit facility |  |  | 17,792 |  |  | 17,690 |  |  | 17,792 |  | 2.91 | % |  | 96,419 |  |  | 96,339 |  |  | 96,419 |  | 3.80 | %
Agency Business total |  | $ | 744,378 |  | $ | 743,594 |  | $ | 744,378 |  | 3.03 | % | $ | 472,291 |  | $ | 472,181 |  | $ | 472,291 |  | 3.74 | %
Consolidated total |  | $ | 1,681,146 |  | $ | 1,678,288 |  | $ | 1,747,371 |  | 3.54 | % | $ | 1,138,135 |  | $ | 1,135,627 |  | $ | 1,249,651 |  | 4.35 | %
| (1) |  | The debt carrying value for the Structured Business at December 31, 2019 and 2018 was net of unamortized deferred finance costs of $2.1 million and $2.4 million, respectively. The debt carrying value for the Agency Business at December 31, 2019 and 2018 was net of unamortized deferred finance costs of $0.2 million and $0.1 million, respectively.
(2)As of December 31, 2019 and 2018, these facilities were collateralized by CLO bonds retained by us with a principal balance of $234.9 million and $114.2 million, respectively, B Piece bonds with a carrying value of $68.7 million and $76.4 million, respectively, and SFR bonds with a carrying value of $20.0 million at December 31, 2019.
CLOs |
Debt Obligations |
Schedule of borrowings | Borrowings and the corresponding collateral under our CLOs are as follows ($ in thousands):
|  |  |  |  |  |  |  |  |  | Collateral (3)
|  | Debt |  | Loans |  | Cash
|  |  |  |  | Carrying |  | Wtd. Avg. |  |  |  |  | Carrying |  | Restricted
December 31, 2019 |  | Face Value |  | Value (1) |  | Rate (2) |  | UPB |  | Value |  | Cash (4)
CLO XII |  | $ | 534,193 |  | $ | 529,448 |  | 3.30 | % | $ | 596,366 |  | $ | 593,652 |  | $ | 17,800
CLO XI |  |  | 533,000 |  |  | 528,690 |  | 3.25 | % |  | 624,443 |  |  | 621,508 |  |  | 15,550
CLO X |  |  | 441,000 |  |  | 437,391 |  | 3.26 | % |  | 509,887 |  |  | 507,854 |  |  | 37,287
CLO IX |  |  | 356,400 |  |  | 353,473 |  | 3.17 | % |  | 407,696 |  |  | 406,463 |  |  | 47,230
CLO VIII |  |  | 282,874 |  |  | 281,119 |  | 3.12 | % |  | 359,186 |  |  | 357,914 |  |  | 544
Total CLOs |  | $ | 2,147,467 |  | $ | 2,130,121 |  | 3.23 | % | $ | 2,497,578 |  | $ | 2,487,391 |  | $ | 118,411
|  | Debt |  | Collateral (3)
|  |  |  |  |  |  |  |  |  | Loans |  | Cash
|  |  |  |  | Carrying |  | Wtd. Avg. |  |  |  |  | Carrying |  | Restricted
December 31, 2018 |  | Face Value |  | Value (1) |  | Rate (2) |  | UPB |  | Value |  | Cash (4)
CLO X |  | $ | 441,000 |  | $ | 436,384 |  | 4.01 | % | $ | 539,007 |  | $ | 536,869 |  | $ | 20,993
CLO IX |  |  | 356,400 |  |  | 352,244 |  | 3.92 | % |  | 440,906 |  |  | 439,691 |  |  | 20,094
CLO VIII |  |  | 282,874 |  |  | 279,857 |  | 3.87 | % |  | 354,713 |  |  | 353,574 |  |  | 10,287
CLO VII |  |  | 279,000 |  |  | 276,527 |  | 4.56 | % |  | 325,057 |  |  | 324,195 |  |  | 30,725
CLO VI |  |  | 250,250 |  |  | 248,536 |  | 5.05 | % |  | 279,348 |  |  | 278,364 |  |  | 41,404
Total CLOs |  | $ | 1,609,524 |  | $ | 1,593,548 |  | 4.22 | % | $ | 1,939,031 |  | $ | 1,932,693 |  | $ | 123,503
| (1) |  | Debt carrying value is net of $17.3 million and $16.0 million of deferred financing fees at December 31, 2019 and 2018, respectively.
| (2) |  | At December 31, 2019 and 2018, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 3.63% and 4.73%, respectively.
| (3) |  | As of December 31, 2019 and 2018, 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 totaling $58.6 million and $25.1 million at December 31, 2019 and 2018, respectively.
Summary of the company's CLO compliance tests as of the most recent determination dates |
Cash Flow Triggers |  | CLO VIII |  | CLO IX |  | CLO X |  | CLO XI |  | CLO XII |
Overcollateralization (1) |  |  |  |  |  |  |  |  |  |  |
Current |  | 129.03 | % | 134.68 | % | 126.98 | % | 121.95 | % | 118.87 | %
Limit |  | 128.03 | % | 133.68 | % | 125.98 | % | 120.95 | % | 117.87 | %
Pass / Fail |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass |
Interest Coverage (2) |  |  |  |  |  |  |  |  |  |  |
Current |  | 285.83 | % | 250.76 | % | 250.52 | % | 229.31 | % | 187.58 | %
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 VIII |  | CLO IX |  | CLO X |  | CLO XI |  | CLO XII |
January 2020 |  | 129.03 | % | 134.68 | % | 126.98 | % | 121.95 | % | 118.87 | %
October 2019 |  | 129.03 | % | 134.68 | % | 126.98 | % | 121.95 | % | — |
July 2019 |  | 129.03 | % | 134.68 | % | 126.98 | % | 121.95 | % | — |
April 2019 |  | 129.03 | % | 134.69 | % | 126.98 | % | — |  | — |
January 2019 |  | 129.03 | % | 134.68 | % | 126.98 | % | — |  | — |
| (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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