Borrowings under our credit and repurchase facilities are as follows ($ in thousands):

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.

Generally, our credit and repurchase facilities have extension options that are at the discretion of the banking institutions in which we have long standing relationships with. These facilities typically renew annually and also include a “wind-down” feature.

Joint Repurchase Facility. We amended this facility three times in 2021 to increase the facility size to $2.00 billion, which is shared between the Structured Business and the Agency Business, and to extend the maturity to March 2022 with a one year extension option. This facility is used to finance structured loans and Private Label loans. The interest rate under the facility is determined on a loan-by-loan basis and may include a LIBOR floor equal to a pro rata share of the LIBOR floors included in our originated loans. The facility has a maximum advance rate of 80% on all loans and has a $50.0 million over advance available that bears interest at a rate of LIBOR plus 5.75%, which over advance availability matures in June 2022. If the estimated market value of the loans financed in this facility decrease, we may be required to pay down borrowings under this facility.

Structured Business

At June 30, 2021 and December 31, 2020, the weighted average interest rate for the credit and repurchase facilities of our Structured Business, including certain fees and costs, such as structuring, commitment, non-use and warehousing fees, was 2.73% and 2.97%, respectively. The leverage on our loan and investment portfolio financed through our credit and repurchase facilities, excluding the securities repurchase facilities, working capital facility and the master security agreements, was 69% at both June 30, 2021 and December 31, 2020.

During the second quarter of 2021, we amended our $400.0 million credit facility twice to increase the facility size to $725.0 million and extend the maturity to June 2022.

In May 2021, we amended our $200.0 million credit facility increasing the facility size to $250.0 million.

In March 2021, we entered into a $200.0 million repurchase facility to finance bridge loans that has interest rates of LIBOR plus 1.75% - 2.75% and matures in March 2023. The facility has a maximum advance rate of 80%.

In March 2021, we amended our $50.0 million credit facility increasing the facility size to $150.0 million and decreased the all in floor rate 0.15%.

In March 2021, we entered into an $18.2 million credit facility used to finance a hotel bridge loan. The facility bears interest at the prime rate with a 3.25% floor and matures in December 2022.

In February 2021, we entered into a $21.6 million credit facility used to finance a multifamily bridge loan. The facility bears interest at a 3.00% fixed rate and matures in January 2024.

In January 2021, we amended our $400.0 million repurchase facility to extend the maturity to December 2021. The interest rate on new loans in 2021 is LIBOR plus 1.75% with a 0.35% LIBOR floor if utilization is above $250.0 million and LIBOR plus 2.00% with a 0.35% LIBOR floor if utilization is below $250.0 million. For existing loans, the interest rate will remain at LIBOR plus 2.00% to 2.20% with a LIBOR floor reduced to 0.35%.

Agency Business

In March 2021, we amended our $150.0 million credit facility to increase the facility size to $200.0 million, extend the maturity to March 2022, increase the interest rate 0.20% and add a 0.25% LIBOR floor.

Collateralized Loan Obligations (“CLOs”)

We account for CLO transactions on our consolidated balance sheet as financing facilities. Our CLOs are VIEs for which we are the primary beneficiary and are consolidated in our financial statements. The investment grade tranches are treated as secured financings, and are non-recourse to us.

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.

CLO XV. In June 2021, we completed CLO XV, issuing eight tranches of CLO notes through two newly-formed wholly-owned subsidiaries totaling $747.8 million. Of the total CLO notes issued, $674.4 million were investment grade notes issued to third party investors and $73.4 million were below investment grade notes retained by us. As of the CLO closing date, the notes were secured by a portfolio of loan obligations with a face value of $653.0 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has an approximate two-and-a-half-year replacement period that allows the principal proceeds and sale proceeds (if any) of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $162.0 million for the purpose of acquiring additional loan obligations for a period of up to 180 days from the CLO closing date, resulting in the issuer owning loan obligations with a face value of $815.0 million, representing leverage of 83%. We retained a residual interest in the portfolio with a notional amount of $140.6 million, including the $73.4 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.37% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO XIV. In March 2021, we completed CLO XIV, issuing eight tranches of CLO notes through two newly-formed wholly-owned subsidiaries totaling $724.2 million. Of the total CLO notes issued, $655.5 million were investment grade notes issued to third party investors and $68.7 million were below investment grade notes retained by us. As of the CLO closing date, the notes were secured by a portfolio of loan obligations with a face value of $635.2 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has a two-and-a-half- year replacement period that allows the principal proceeds and sale proceeds (if any) of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $149.8 million for the purpose of acquiring additional loan obligations for a period of up to 180 days from the CLO closing date, which we subsequently utilized, resulting in the issuer owning loan obligations with a face value of $785.0 million, representing leverage of 84%. We retained a residual interest in the portfolio with a notional amount of $129.5 million, including the $68.7 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.33% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO IX. In March 2021, we unwound CLO IX, redeeming $356.2 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets primarily within CLO XIV, as well as with cash held by CLO IX, and expensed $1.4 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of operations.

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.

In April 2021, we issued $175.0 million aggregate principal amount of 5.00% senior unsecured notes due in 2026 in a private offering. We received net proceeds of $172.3 million from the issuance, after deducting the underwriting discount and other offering expenses. We are using the net proceeds to make investments related to our business and for general corporate purposes.

Convertible Senior Unsecured Notes

In 2019, we issued $264.0 million in aggregate principal amount of 4.75% convertible senior notes (the “4.75% Convertible Notes”) through a private placement offering, which includes the exercised purchaser’s total over-allotment option of $34.0 million. The 4.75% Convertible Notes pay interest semiannually in arrears and are scheduled to mature in November 2022, unless earlier converted or repurchased by the holders pursuant to their terms. The initial conversion rate was 56.1695 shares of common stock per $1,000 of principal representing a conversion price of $17.80 per share of common stock. We received proceeds totaling $256.5 million, net of the underwriter’s discount and fees, which is being amortized through interest expense over the life of such notes. We used the net proceeds from the issuance primarily for the exchange of $228.7 million of our 5.25% convertible senior notes (the “5.25% Convertible Notes”) for a combination of $233.1 million in cash (which included accrued interest) and 4,478,315 shares of our common stock. The remaining net proceeds were used for general corporate purposes. As of June 30, 2021, the 4.75% Convertible Notes had a conversion rate of 56.5332 shares of common stock per $1,000 of principal, which represented a conversion price of $17.69 per share of common stock.

At June 30, 2021, there were $0.5 million and $13.8 million aggregate principal amount remaining of our 5.25% Convertible Notes issued on July 3, 2018 and 5.25% Convertible Notes issued on July 20, 2018, respectively. At June 30, 2021, the conversion rates of the 5.25% Convertible Notes issued on July 3, 2018 and 5.25% Convertible Notes issued on July 20, 2018 were 91.9605 shares and 82.2763 shares, respectively, of common stock per $1,000 of principal, which represented a conversion price of $10.87 per share and $12.15 per share of common stock, respectively. On July 1, 2021, the 5.25% Convertible Notes matured and were fully settled with cash totaling $14.3 million and 386,459 shares of common stock.

Our convertible senior unsecured notes are not redeemable by us prior to their maturities and are convertible by the holder into, at our election, cash, shares of our common stock, or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rates are subject to adjustment upon the occurrence of certain specified events and the holders may require us to repurchase all, or any portion, of their notes for cash equal to 100% of the principal amount, plus accrued and unpaid interest, if we undergo a fundamental change specified in the agreements. We intend to settle the principal balance of our convertible debt in cash and have not assumed share settlement of the principal balance for purposes of computing earnings per share (“EPS”). At the time of issuance, there was no precedent or policy that would indicate that we would settle the principal in shares or the conversion spread in cash.

Accounting guidance requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component reflects the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of the issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the term of the notes, which was 1.27 years and 1.77 years at June 30, 2021 and December 31, 2020, respectively, on a weighted average basis.

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

During both the three months ended June 30, 2021 and 2020, we incurred interest expense on the notes totaling $4.8 million, of which $3.3 million, $0.8 million and $0.7 million related to the cash coupon, amortization of the debt discount and of the deferred financing fees, respectively. During the six months ended June 30, 2021, we incurred total interest expense on the notes of $9.6 million, of which $6.6 million, $1.6 million and $1.4 million related to the cash coupon, amortization of the debt discount and of the deferred financing fees, respectively. During the six months ended June 30, 2020, we incurred interest expense on the notes totaling $10.0 million, of which $6.7 million, $1.7 million and $1.6 million related to the cash coupon, amortization of the debt discount and of the deferred financing fees, respectively. Including the amortization of the deferred financing fees and debt discount, our weighted average total cost of the notes was 6.75% at both June 30, 2021 and December 31, 2020.

Junior Subordinated Notes

The carrying values of borrowings under our junior subordinated notes were $142.0 million and $141.7 million at June 30, 2021 and December 31, 2020, respectively, which is net of a deferred amount of $10.5 million and $10.8 million, respectively, (which is amortized into interest expense over the life of the notes) and deferred financing fees of $1.8 million for both periods. These notes have maturities ranging from March 2034 through April 2037 and pay interest quarterly at a floating rate based on LIBOR. The weighted average note rate was 2.96% and 3.06% at June 30, 2021 and December 31, 2020, respectively. Including certain fees and costs, the weighted average note rate was 3.04% and 3.15% at June 30, 2021 and December 31, 2020, respectively.

Debt Covenants

Credit Facilities, Repurchase Agreements and Unsecured Debt. The credit facilities, repurchase agreements and unsecured debt (senior and convertible notes) contain various financial covenants, including, but not limited to, minimum liquidity requirements, minimum net worth requirements, as well as certain other debt service coverage ratios, debt to equity ratios and minimum servicing portfolio tests. We were in compliance with all financial covenants and restrictions at June 30, 2021.

CLOs. Our CLO vehicles contain interest coverage and asset overcollateralization covenants that must be met as of the waterfall distribution date in order for us to receive such payments. If we fail these covenants in any of our CLOs, all cash flows from the applicable CLO would be diverted to repay principal and interest on the outstanding CLO bonds and we would not receive any residual payments until that CLO regained compliance with such tests. Our CLOs were in compliance with all such covenants as of June 30, 2021, as well as on the most recent determination dates in July 2021. In the event of a breach of the CLO covenants that could not be cured in the near-term, we would be required to fund our non-CLO expenses, including employee costs, distributions required to maintain our REIT status, debt costs, and other expenses with (i) cash on hand, (ii) income from any CLO not in breach of a covenant test, (iii) income from real property and loan assets, (iv) sale of assets, or (v) accessing the equity or debt capital markets, if available. We have the right to cure covenant breaches which would resume normal residual payments to us by purchasing non-performing loans out of the CLOs. However, we may not have sufficient liquidity available to do so at such time.

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.

Our CLO overcollateralization ratios as of the determination dates subsequent to each quarter are as follows:


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.

The ratio will fluctuate based on the performance of the underlying assets, transfers of assets into the CLOs prior to the expiration of their respective replenishment dates, purchase or disposal of other investments, and loan payoffs. No payment due under the junior subordinated indentures may be paid if there is a default under any senior debt and the senior lender has sent notice to the trustee. The junior subordinated indentures are also cross-defaulted with each other.