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Debt Obligations (Tables) | 6 Months Ended
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Jun. 30, 2021
Debt Obligations |
Schedule of senior unsecured notes | ​ A summary of our senior unsecured notes is as follows (in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Senior | ​ | ​ | ​ | ​ | ​ | June 30, 2021 | ​ | ​ | December 31, 2020 |
Unsecured | ​ | Issuance | ​ | ​ | ​ | ​ | ​ | ​ | Carrying | ​ | Wtd. Avg. | ​ | ​ | ​ | ​ | ​ | Carrying | ​ | Wtd. Avg. |
Notes |  | Date |  | Maturity |  | UPB |  | Value (1) |  | Rate (2) | ​ |  | UPB |  | Value (1) |  | Rate (2) |
5.00% Notes (3) | ​ | Apr. 2021 | ​ | Apr. 2026 | ​ | $ | 175,000 | ​ | $ | 172,130 | ​ | 5.00 | % | ​ | $ | — | ​ | $ | — | ​ | — | %
8.00% Notes (3) |  | Apr. 2020 |  | Apr. 2023 |  | ​ | 70,750 | ​ | ​ | 69,997 |  | 8.00 | % | ​ | ​ | 70,750 | ​ | ​ | 69,793 |  | 8.00 | %
4.50% Notes (3) |  | Mar. 2020 |  | Mar. 2027 |  |  | 275,000 | ​ |  | 272,234 |  | 4.50 | % | ​ |  | 275,000 | ​ |  | 271,994 |  | 4.50 | %
4.75% Notes (4) |  | Oct. 2019 |  | Oct. 2024 |  |  | 110,000 | ​ |  | 108,842 |  | 4.75 | % | ​ |  | 110,000 | ​ |  | 108,668 |  | 4.75 | %
5.75% Notes (4) |  | Mar. 2019 |  | Apr. 2024 |  |  | 90,000 | ​ |  | 88,942 |  | 5.75 | % | ​ |  | 90,000 | ​ |  | 88,751 |  | 5.75 | %
5.625% Notes (4) |  | Mar. 2018 |  | May 2023 |  |  | 125,000 | ​ |  | 123,929 |  | 5.63 | % | ​ |  | 125,000 | ​ |  | 123,637 |  | 5.63 | %
​ | ​ | ​ | ​ | ​ | ​ | $ | 845,750 | ​ | $ | 836,074 |  | 5.23 | % | ​ | $ | 670,750 | ​ | $ | 662,843 |  | 5.29 | %
(1) | At June 30, 2021 and December 31, 2020, the carrying value is net of deferred financing fees of $9.7 million and $7.9 million, respectively.
(2) | At June 30, 2021 and December 31, 2020, the aggregate weighted average note rate, including certain fees and costs, was 5.56% and 5.65%, respectively.
(3) | These notes can be redeemed by us prior to three months before the maturity date, at a redemption price equal to 100% of the aggregate principal amount, plus a “make-whole” premium and accrued and unpaid interest. We have the right to redeem the notes three months prior to or after the maturity date, at a redemption price equal to 100% of the aggregate principal amount, plus accrued and unpaid interest.
(4) | These notes can be redeemed by us at any time prior to the maturity date, at a redemption price equal to 100% of the aggregate principal amount, plus a “make-whole” premium and accrued and unpaid interest. We have the right to redeem the notes on or after the maturity date, at a redemption price equal to 100% of the aggregate principal amount, plus accrued and unpaid interest.
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 Debt | ​ | Unamortized Deferred | ​ | Net Carrying | ​ | Net Carrying
Period |  | UPB |  | Discount |  | Financing Fees |  | Value |  | Value
June 30, 2021 | ​ | $ | 278,300 | ​ | $ | 4,031 | ​ | $ | 3,352 | ​ | $ | 270,917 | ​ | $ | 9,962
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31, 2020 | ​ | $ | 278,300 | ​ | $ | 5,636 | ​ | $ | 4,691 | ​ | $ | 267,973 | ​ | $ | 9,962
​
Credit and Repurchase Facilities |
Debt Obligations |
Schedule of borrowings | Borrowings under our credit and repurchase facilities are as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | June 30, 2021 | ​ | December 31, 2020
​ | ​ | ​ | ​ | ​ | ​ | Note | ​ | Debt | ​ | Collateral | ​ | ​ | ​ | Debt | ​ | Collateral
​ | ​ | Current | ​ | Extended | ​ | Rate | ​ | Carrying | ​ | Carrying | ​ | Wtd. Avg. | ​ | Carrying | ​ | Carrying
​ | ​ | Maturity | ​ | Maturity | ​ | Type | ​ | Value (1) | ​ | Value | ​ | Note Rate | ​ | Value (1) | ​ | Value
Structured Business | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
$1.8B joint repurchase facility | ​ | Mar. 2022 | ​ | Mar. 2023 | ​ | V | ​ | $ | 660,685 | ​ | $ | 947,249 | ​ | ​ | 2.51 | % | $ | 681,006 | ​ | $ | 1,054,562
$725M repurchase facility | ​ | June 2022 | ​ | Mar. 2023 | ​ | V | ​ |  | 335,477 | ​ |  | 466,109 | ​ | ​ | 2.10 | % |  | 191,622 | ​ | ​ | 259,559
$250M repurchase facility | ​ | Mar. 2023 | ​ | Mar. 2026 | ​ | V | ​ | ​ | 104,251 | ​ | ​ | 260,922 | ​ | ​ | 1.87 | % | ​ | — | ​ | ​ | —
$198.7M repurchase facility (2) | ​ | Dec. 2021 | ​ | N/A | ​ | V | ​ | ​ | 139,441 | ​ | ​ | 164,583 | ​ | ​ | 3.04 | % | ​ | 71,627 | ​ | ​ | 87,242
$187.3M loan specific credit facilities | ​ | Aug. 2021 to Jan. 2024 | ​ | N/A | ​ | V/F | ​ |  | 187,059 | ​ |  | 251,550 | ​ | ​ | 3.04 | % |  | 148,615 | ​ | ​ | 198,550
$150M credit facility | ​ | Oct. 2022 | ​ | Oct. 2023 | ​ | V | ​ | ​ | 8,576 | ​ | ​ | 15,132 | ​ | ​ | 3.90 | % | ​ | 23,606 | ​ | ​ | 31,809
$100M credit facility | ​ | Aug. 2021 | ​ | N/A | ​ | V | ​ | ​ | 58,625 | ​ | ​ | 83,800 | ​ | ​ | 1.88 | % | ​ | 39,346 | ​ | ​ | 47,912
$100M credit facility | ​ | Oct. 2022 | ​ | N/A | ​ | V | ​ | ​ | 9,936 | ​ | ​ | 13,773 | ​ | ​ | 4.06 | % | ​ | — | ​ | ​ | —
$100M repurchase facility | ​ | Sept. 2021 | ​ | N/A | ​ | V | ​ |  | 48,847 | ​ |  | 61,211 | ​ | ​ | 1.88 | % |  | 31,780 | ​ | ​ | 40,551
$50M credit facility | ​ | April 2022 | ​ | N/A | ​ | V | ​ | ​ | 22,407 | ​ | ​ | 28,009 | ​ | ​ | 2.13 | % | ​ | 15,992 | ​ | ​ | 21,300
$30M working capital facility | ​ | Nov. 2021 | ​ | N/A | ​ | V | ​ |  | — | ​ |  | — | ​ | ​ | — | ​ |  | 30,000 | ​ | ​ | —
$25M credit facility | ​ | June 2022 | ​ | June 2023 | ​ | V | ​ | ​ | 12,583 | ​ | ​ | 18,314 | ​ | ​ | 2.38 | % | ​ | 9,323 | ​ | ​ | 14,340
$1M master security agreements | ​ | Dec. 2022 | ​ | N/A | ​ | F | ​ | ​ | 944 | ​ | ​ | — | ​ | ​ | 4.01 | % | ​ | 1,441 | ​ | ​ | —
Repurchase facilities - securities (3) | ​ | N/A | ​ | N/A | ​ | V | ​ | ​ | 34,567 | ​ | ​ | — | ​ | ​ | 3.55 | % | ​ | 38,487 | ​ | ​ | —
Structured Business total | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | 1,623,398 | ​ | $ | 2,310,652 | ​ | ​ | 2.48 | % | $ | 1,282,845 | ​ | $ | 1,755,825
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Agency Business | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
$750M ASAP agreement | ​ | N/A | ​ | N/A | ​ | V | ​ | $ | 76,943 | ​ | $ | 76,943 | ​ | ​ | 1.40 | % | $ | 301,455 | ​ | $ | 302,491
$400M repurchase facility | ​ | Oct. 2021 | ​ | N/A | ​ | V | ​ | ​ | 119,382 | ​ | ​ | 119,398 | ​ | ​ | 1.60 | % | ​ | 174,515 | ​ | ​ | 174,555
$200M joint repurchase facility | ​ | Mar. 2022 | ​ | N/A | ​ | V | ​ | ​ | 104,876 | ​ | ​ | 135,934 | ​ | ​ | 1.85 | % | ​ | 42,808 | ​ | ​ | 56,186
$200M credit facility | ​ | Mar. 2022 | ​ | N/A | ​ | V | ​ | ​ | 71,656 | ​ | ​ | 95,575 | ​ | ​ | 1.60 | % | ​ | 294,732 | ​ | ​ | 296,698
$150M credit facility | ​ | Aug 2021 | ​ | N/A | ​ | V | ​ | ​ | 15,073 | ​ | ​ | 15,073 | ​ | ​ | 1.65 | % | ​ | 49,632 | ​ | ​ | 49,754
$100M credit facility | ​ | Aug. 2021 | ​ | N/A | ​ | V | ​ | ​ | 2,592 | ​ | ​ | 2,600 | ​ | ​ | 1.65 | % | ​ | 88,896 | ​ | ​ | 88,911
$1.3M repurchase facility (2) | ​ | Dec. 2021 | ​ | N/A | ​ | V | ​ | ​ | 1,268 | ​ | ​ | 1,487 | ​ | ​ | 3.00 | % | ​ | — | ​ | ​ | —
Agency Business total | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | 391,790 | ​ | $ | 447,010 | ​ | ​ | 1.64 | % | $ | 952,038 | ​ | $ | 968,595
Consolidated total | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | 2,015,188 | ​ | $ | 2,757,662 | ​ | ​ | 2.32 | % | $ | 2,234,883 | ​ | $ | 2,724,420
V = Variable Note Rate; F = Fixed Note Rate ​
(1) | The debt carrying value for the Structured Business at June 30, 2021 and December 31, 2020 was net of unamortized deferred finance costs of $4.0 million and $3.3 million, respectively. The debt carrying value for the Agency Business at June 30, 2021 and December 31, 2020 was net of unamortized deferred finance costs of $2.2 million and $0.6 million, respectively.
(2) | A portion of this repurchase facility was used to finance a fixed rate SFR permanent loan reported through our Agency Business.
(3) | These repurchase facilities are subject to margin call provisions associated with changes in interest spreads. As of June 30, 2021 and December 31, 2020, these facilities were collateralized by our B Piece bonds with a carrying value of $53.1 million and $58.5 million, respectively, and an SFR bond with a carrying value of $10.0 million at December 31, 2020.
CLOs |
Debt Obligations |
Schedule of borrowings | Borrowings and the corresponding collateral under our CLOs are as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Debt | ​ | Collateral (3)
​ | ​ | ​ | ​ | Loans | ​ | Cash
​ |  | ​ |  | Carrying |  | Wtd. Avg. |  | ​ |  | Carrying |  | Restricted
June 30, 2021 | ​ | Face Value | ​ | Value (1) | ​ | Rate (2) | ​ | UPB | ​ | Value | ​ | Cash (4)
CLO XV | ​ | $ | 674,412 | ​ | $ | 668,823 | ​ | 1.42 | % | $ | 674,753 | ​ | $ | 674,753 | ​ | $ | 128,015
CLO XIV | ​ | ​ | 655,475 | ​ | ​ | 650,116 | ​ | 1.45 | % | ​ | 766,872 | ​ | ​ | 766,872 | ​ | ​ | —
CLO XIII | ​ | ​ | 668,000 | ​ | ​ | 664,396 | ​ | 1.54 | % | ​ | 770,086 | ​ | ​ | 770,086 | ​ | ​ | 17,749
CLO XII | ​ | ​ | 534,193 | ​ | ​ | 531,295 | ​ | 1.62 | % | ​ | 614,751 | ​ | ​ | 614,751 | ​ | ​ | 15,412
CLO XI | ​ | ​ | 533,000 | ​ | ​ | 530,470 | ​ | 1.56 | % | ​ | 643,450 | ​ | ​ | 643,450 | ​ | ​ | 884
CLO X | ​ |  | 441,000 | ​ |  | 438,988 | ​ | 1.57 | % |  | 534,261 | ​ |  | 534,261 | ​ |  | 16,000
Total CLOs | ​ | $ | 3,506,080 | ​ | $ | 3,484,088 | ​ | 1.52 | % | $ | 4,004,173 | ​ | $ | 4,004,173 | ​ | $ | 178,060
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31, 2020 |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
CLO XIII | ​ | $ | 668,000 | ​ | $ | 663,804 | ​ | 1.58 | % | $ | 768,664 | ​ | $ | 768,664 | ​ | $ | 43
CLO XII | ​ | ​ | 534,193 | ​ | ​ | 530,673 | ​ | 1.66 | % | ​ | 628,935 | ​ | ​ | 628,935 | ​ | ​ | 2,005
CLO XI | ​ |  | 533,000 | ​ |  | 529,859 | ​ | 1.61 | % |  | 555,157 | ​ |  | 555,157 | ​ |  | 92,395
CLO X | ​ | ​ | 441,000 | ​ | ​ | 438,442 | ​ | 1.61 | % | ​ | 522,132 | ​ | ​ | 522,132 | ​ | ​ | 25,537
CLO IX | ​ | ​ | 356,150 | ​ | ​ | 354,531 | ​ | 1.53 | % | ​ | 457,903 | ​ | ​ | 457,903 | ​ | ​ | 18,703
Total CLOs | ​ | $ | 2,532,343 | ​ | $ | 2,517,309 | ​ | 1.60 | % | $ | 2,932,791 | ​ | $ | 2,932,791 | ​ | $ | 138,683
(1) | Debt carrying value is net of $22.0 million and $15.0 million of deferred financing fees at June 30, 2021 and December 31, 2020, respectively.
(2) | At June 30, 2021 and December 31, 2020, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 1.80% and 1.93%, respectively.
(3) | As of June 30, 2021 and December 31, 2020, there were no collateral deemed a “credit risk” as defined by the CLO indentures.
(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 $38.1 million and $49.5 million at June 30, 2021 and December 31, 2020, respectively.
Schedule of 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 2021 are as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Cash Flow Triggers |  | CLO X |  | CLO XI |  | CLO XII |  | CLO XIII |  | CLO XIV |  | CLO XV | ​
Overcollateralization (1) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Current |  | 126.98 | % | 121.95 | % | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | %
Limit |  | 125.98 | % | 120.95 | % | 117.87 | % | 118.76 | % | 118.76 | % | 119.85 | %
Pass / Fail |  | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest Coverage (2) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Current |  | 449.62 | % | 370.22 | % | 355.36 | % | 389.99 | % | 434.76 | % | 240.42 | %
Limit |  | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | %
Pass / Fail |  | Pass | ​ | 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.
​
Schedule of company's CLO overcollateralization ratios | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Determination (1) |  | CLO X |  | CLO XI |  | CLO XII |  | CLO XIII |  | CLO XIV |  | CLO XV | ​
July 2021 | ​ | 126.98 | % | 121.95 | % | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | %
April 2021 | ​ | 126.98 | % | 121.95 | % | 118.87 | % | 119.76 | % | 119.76 | % | — | ​
January 2021 | ​ | 126.98 | % | 121.95 | % | 118.87 | % | 119.76 | % | — | ​ | — | ​
October 2020 | ​ | 126.98 | % | 121.95 | % | 118.87 | % | 119.76 | % | — | ​ | — | ​
July 2020 | ​ | 126.98 | % | 121.95 | % | 118.87 | % | 119.76 | % | — | ​ | — | ​
(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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