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Debt Obligations (Tables)

6 Months Ended

Jun. 30, 2021

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.