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Debt Obligations (Tables) | 6 Months Ended
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Jun. 30, 2020
Debt Obligations |
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
June 30, 2020 | ​ | $ | 278,490 | ​ | $ | 7,242 | ​ | $ | 6,004 | ​ | $ | 265,244 | ​ | $ | 9,962
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31, 2019 | ​ | $ | 300,914 | ​ | $ | 9,235 | ​ | $ | 7,527 | ​ | $ | 284,152 | ​ | $ | 9,962
​
Summary of senior unsecured notes | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Senior | ​ | ​ | ​ | ​ | ​ | June 30, 2020 | ​ | ​ | December 31, 2019 |
Unsecured | ​ | Issuance | ​ | ​ | ​ | ​ | ​ | ​ | Carrying | ​ | Wtd. Avg. | ​ | ​ | ​ | ​ | ​ | Carrying | ​ | Wtd. Avg. |
Notes |  | Date |  | Maturity |  | UPB |  | Value (1) |  | Rate (2) | ​ |  | UPB |  | Value (1) |  | Rate (2) |
8.00% Notes |  | Apr. 2020 |  | Apr. 2023 |  | $ | 70,750 | ​ | $ | 69,593 |  | 8.00 | % | ​ | $ | — | ​ | $ | — |  | — | ​
4.50% Notes |  | Mar. 2020 |  | Mar. 2027 |  |  | 275,000 | ​ |  | 271,763 |  | 4.50 | % | ​ |  | — | ​ |  | — |  | — | ​
4.75% Notes |  | Oct. 2019 |  | Oct. 2024 |  |  | 110,000 | ​ |  | 108,492 |  | 4.75 | % | ​ |  | 110,000 | ​ |  | 108,370 |  | 4.75 | %
5.75% Notes |  | Mar. 2019 |  | Apr. 2024 |  |  | 90,000 | ​ |  | 88,559 |  | 5.75 | % | ​ |  | 90,000 | ​ |  | 88,369 |  | 5.75 | %
5.625% Notes |  | Mar. 2018 |  | May 2023 |  |  | 125,000 | ​ |  | 123,350 |  | 5.63 | % | ​ |  | 125,000 | ​ |  | 123,060 |  | 5.63 | %
​ | ​ | ​ | ​ | ​ | ​ | $ | 670,750 | ​ | $ | 661,757 |  | 5.36 | % | ​ | $ | 325,000 | ​ | $ | 319,799 |  | 5.44 | %
(1) | At June 30, 2020 and December 31, 2019, the carrying value is net of deferred financing fees of $9.0 million and $5.2 million, respectively.
(2) | At June 30, 2020 and December 31, 2019, the aggregate weighted average note rate, including certain fees and costs, was 5.65% and 5.82%, respectively.
Credit Facilities and Repurchase Agreements |
Debt Obligations |
Schedule of borrowings | Borrowings under our credit facilities and repurchase agreements are as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | June 30, 2020 | ​ | December 31, 2019 | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Debt | ​ | Collateral | ​ | ​ | ​ | Debt | ​ | Collateral | ​ | ​ |
​ | ​ | Current | ​ | Extended | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Carrying | ​ | Carrying | ​ | Wtd. Avg. | ​ | Carrying | ​ | Carrying | ​ | Wtd. Avg. | ​
​ |  | Maturity |  | Maturity |  | Note Rate |  | Value (1) |  | Value |  | Note Rate |  | Value (1) |  | Value |  | Note Rate |
Structured Business | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
$500 million joint repurchase facility | ​ | Mar. 2022 | ​ | N/A | ​ | L + | 1.75 | % | to | ​ | 3.50 | % | $ | 321,553 | ​ | $ | 480,258 | ​ | ​ | 2.74 | % | $ | 224,658 | ​ | $ | 339,378 | ​ | 4.06 | %
$400 million repurchase facility | ​ | June 2021 | ​ | Mar. 2023 | ​ | L + | 2.20 | %; | ​ | L floor | 0.75 | % |  | 199,901 | ​ |  | 279,130 | ​ | ​ | 2.99 | % |  | 218,418 | ​ |  | 291,292 | ​ | 3.76 | %
$200 million repurchase facility | ​ | Feb. 2021 | ​ | N/A | ​ | L + | 2.40 | % | ​ | ​ | ​ | ​ | ​ | 48,448 | ​ | ​ | 57,169 | ​ | ​ | 2.60 | % | ​ | 40,530 | ​ | ​ | 48,086 | ​ | 4.22 | %
$144.3 million loan specific credit facilities | ​ | Nov. 2020 to May 2022 | ​ | June 2021 to Dec. 2021 | ​ | L + | 2.10 | % | to | ​ | 2.50 | % |  | 144,048 | ​ |  | 193,209 | ​ | ​ | 2.69 | % |  | 128,274 | ​ |  | 184,116 | ​ | 4.13 | %
$125 million credit facility | ​ | Aug. 2020 | ​ | May 2023 | ​ | L+ | 2.30 | % | to | 3.00%; L floor | 0.50 | % | ​ | 25,613 | ​ | ​ | 31,790 | ​ | ​ | 2.84 | % | ​ | 4,570 | ​ | ​ | 7,000 | ​ | 3.56 | %
$100 million repurchase facility (2) | ​ | Aug. 2020 | ​ | June 2021 | ​ | L + | 1.75 | % | to | ​ | 1.95 | % |  | 50,297 | ​ |  | 66,486 | ​ | ​ | 1.94 | % |  | 45,843 | ​ |  | 63,800 | ​ | 3.56 | %
$50 million credit facility | ​ | April 2021 | ​ | April 2022 | ​ | L + | 2.00 | % | ​ | ​ | ​ | ​ |  | 8,800 | ​ |  | 11,000 | ​ | ​ | 2.19 | % |  | 14,933 | ​ |  | 17,650 | ​ | 3.81 | %
$50 million credit facility | ​ | Oct. 2022 | ​ | Oct. 2023 | ​ | L + | 2.50 | % | ​ | ​ | ​ | ​ | ​ | 19,345 | ​ | ​ | 28,042 | ​ | ​ | 4.06 | % | ​ | 12,191 | ​ | ​ | 16,499 | ​ | 4.32 | %
$50 million credit facility | ​ | Sept. 2020 | ​ | Sept. 2021 | ​ | L + | 2.50 | % | to | ​ | 3.25 | % | ​ | 5,274 | ​ | ​ | 6,600 | ​ | ​ | 2.70 | % | ​ | 5,254 | ​ | ​ | 6,600 | ​ | 4.32 | %
$25 million credit facility | ​ | June 2022 | ​ | June 2023 | ​ | L + | 2.25 | % | ​ | ​ | ​ | ​ | ​ | 19,644 | ​ | ​ | 30,900 | ​ | ​ | 2.45 | % | ​ | 19,651 | ​ | ​ | 28,572 | ​ | 4.07 | %
$25 million working capital facility | ​ | Aug. 2020 | ​ | N/A | ​ | L + | 2.25 | % | ​ | ​ | ​ | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​
$2.8 million master security agreements | ​ | Dec. 2022 | ​ | N/A | ​ | ​ | 2.97 | % | to | ​ | 4.60 | % | ​ | 2,249 | ​ | ​ | — | ​ | ​ | 4.12 | % | ​ | 3,267 | ​ | ​ | — | ​ | 4.08 | %
Repurchase facilities - securities (3) | ​ | N/A | ​ | N/A | ​ | L + | 2.25 | % | to | ​ | 5.00 | % | ​ | 56,968 | ​ | ​ | — | ​ | ​ | 5.11 | % | ​ | 217,105 | ​ | ​ | — | ​ | 3.90 | %
Structured Business total | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | 902,140 | ​ | $ | 1,184,584 | ​ | ​ | 2.91 | % | $ | 934,694 | ​ | $ | 1,002,993 | ​ | 3.94 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Agency Business | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
$750 million ASAP agreement | ​ | N/A | ​ | N/A | ​ | L + | 1.05 | %; | ​ | L floor | 0.35 | % | $ | 41,553 | ​ | $ | 41,553 | ​ | ​ | 1.40 | % | $ | 148,725 | ​ | $ | 148,725 | ​ | 2.81 | %
$600 million joint repurchase facility | ​ | Mar. 2021 | ​ | Mar. 2022 | ​ | L + | 1.50 | % | to | ​ | 2.75 | % | ​ | 2,464 | ​ | ​ | 5,462 | ​ | ​ | 2.91 | % | ​ | 299,824 | ​ | ​ | 300,446 | ​ | 3.26 | %
$300 million repurchase facility | ​ | Oct. 2020 | ​ | N/A | ​ | L + | 1.15 | % | ​ | ​ | ​ | ​ | ​ | 75,905 | ​ | ​ | 75,925 | ​ | ​ | 1.31 | % | ​ | 187,698 | ​ | ​ | 187,742 | ​ | 2.91 | %
$150 million credit facility | ​ | Mar. 2021 | ​ | N/A | ​ | L + | 1.15 | % | ​ | ​ | ​ | ​ | ​ | 85,770 | ​ | ​ | 85,913 | ​ | ​ | 1.31 | % | ​ | 89,657 | ​ | ​ | 89,673 | ​ | 2.91 | %
$150 million credit facility | ​ | Aug. 2020 | ​ | N/A | ​ | L + | 1.15 | % | ​ | ​ | ​ | ​ | ​ | 95,761 | ​ | ​ | 95,761 | ​ | ​ | 1.31 | % | ​ | 17,690 | ​ | ​ | 17,792 | ​ | 2.91 | %
$100 million credit facility | ​ | June 2021 | ​ | N/A | ​ | L + | 1.15 | %; | ​ | L floor | 0.50 | % | ​ | 32,020 | ​ | ​ | 32,020 | ​ | ​ | 1.65 | % | ​ | — | ​ | ​ | — | ​ | — | ​
Agency Business total | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | 333,473 | ​ | $ | 336,634 | ​ | ​ | 1.37 | % | $ | 743,594 | ​ | $ | 744,378 | ​ | 3.03 | %
Consolidated total | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | 1,235,613 | ​ | $ | 1,521,218 | ​ | ​ | 2.49 | % | $ | 1,678,288 | ​ | $ | 1,747,371 | ​ | 3.54 | %
(1) | The debt carrying value for the Structured Business at June 30, 2020 and December 31, 2019 was net of unamortized deferred finance costs of $4.0 million and $2.1 million, respectively. The debt carrying value for the Agency Business at June 30, 2020 and December 31, 2019 was net of unamortized deferred finance costs of $1.2 million and $0.2 million, respectively.
(2) | This facility was scheduled to mature in July 2020, which was extended to August 2020, and we are currently in negotiations with this lender to renew this facility, which could reflect changes in facility size, pricing and advance rates.
(3) | These repurchase facilities are subject to margin call provisions associated with changes in interest spreads. As of June 30, 2020 and December 31, 2019, these facilities were collateralized by our CLO bonds retained and consolidated by us with a principal balance of $275.7 million and $234.9 million, respectively, B Piece bonds held-to-maturity with a carrying value of $63.2 million and $68.7 million, respectively, and SFR bonds with a carrying value of $20.0 million at both June 30, 2020 and December 31, 2019. During the six months ended June 30, 2020, we significantly reduced the UPB of these facilities by $160.1 million through a debt restructuring and the use of proceeds from our senior notes issued in the second quarter of 2020 and have further reduced this debt to approximately $42.0 million in July 2020.
CLOs |
Debt Obligations |
Schedule of borrowings | Borrowings and the corresponding collateral under our CLOs are as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Debt | ​ | Collateral (3)
​ | ​ | ​ | ​ | Loans | ​ | Cash
​ |  | ​ |  | Carrying |  | Wtd. Avg. |  | ​ |  | Carrying |  | Restricted
June 30, 2020 | ​ | Face Value | ​ | Value (1) | ​ | Rate (2) | ​ | UPB | ​ | Value | ​ | Cash (4)
CLO XIII | ​ | $ | 668,000 | ​ | $ | 663,209 | ​ | 1.60 | % | $ | 760,567 | ​ | $ | 756,806 | ​ | $ | —
CLO XII | ​ | ​ | 534,193 | ​ | ​ | 530,052 | ​ | 1.68 | % | ​ | 621,887 | ​ | ​ | 619,639 | ​ | ​ | —
CLO XI | ​ | ​ | 533,000 | ​ | ​ | 529,258 | ​ | 1.63 | % | ​ | 641,273 | ​ | ​ | 639,020 | ​ | ​ | 4,632
CLO X | ​ | ​ | 441,000 | ​ | ​ | 437,899 | ​ | 1.63 | % | ​ | 540,012 | ​ | ​ | 538,165 | ​ | ​ | 4,256
CLO IX | ​ |  | 356,400 | ​ |  | 354,106 | ​ | 1.55 | % |  | 462,387 | ​ |  | 461,126 | ​ |  | 10,049
Total CLOs | ​ | $ | 2,532,593 | ​ | $ | 2,514,524 | ​ | 1.62 | % | $ | 3,026,126 | ​ | $ | 3,014,756 | ​ | $ | 18,937
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Debt | ​ | Collateral (3)
​ | ​ | ​ | ​ | 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
(1) | Debt carrying value is net of $18.1 million and $17.3 million of deferred financing fees at June 30, 2020 and December 31, 2019, respectively.
(2) | At June 30, 2020 and December 31, 2019, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 1.97% and 3.63%, respectively.
(3) | As of June 30, 2020, there was one loan with a UPB of $46.5 million deemed at risk of default or a “credit risk” as defined by the CLO indenture, which we repurchased from the respective CLOs in July 2020. As of December 31, 2019, there was no collateral deemed a credit risk.
(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 $71.1 million and $58.6 million at June 30, 2020 and December 31, 2019, respectively.
Summary of the company's CLO compliance tests as of the most recent determination dates | Our CLO compliance tests as of the most recent determination dates in July 2020 are as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Cash Flow Triggers |  | CLO IX |  | CLO X |  | CLO XI | ​ | CLO XII | ​ | CLO XIII | ​
Overcollateralization (1) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Current |  | 134.68 | % | 126.98 | % | 121.95 | % | 118.87 | % | 119.76 | %
Limit |  | 133.68 | % | 125.98 | % | 120.95 | % | 117.87 | % | 118.76 | %
Pass / Fail |  | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest Coverage (2) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Current |  | 474.64 | % | 459.96 | % | 402.23 | % | 380.51 | % | 363.03 | %
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 IX |  | CLO X | ​ | CLO XI | ​ | CLO XII |  | CLO XIII | ​
July 2020 | ​ | 134.68 | % | 126.98 | % | 121.95 | % | 118.87 | % | 119.76 | %
April 2020 | ​ | 134.68 | % | 126.98 | % | 121.95 | % | 118.87 | % | 119.76 | %
January 2020 | ​ | 134.68 | % | 126.98 | % | 121.95 | % | 118.87 | % | — | ​
October 2019 | ​ | 134.68 | % | 126.98 | % | 121.95 | % | — | ​ | — | ​
July 2019 | ​ | 134.68 | % | 126.98 | % | 121.95 | % | — | ​ | — | ​
(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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