Debt Obligations (Tables)

12 Months Ended

Dec. 31, 2019

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.