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Debt Obligations (Tables)

6 Months Ended

Jun. 30, 2020

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.