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Debt Obligations (Tables) | 12 Months Ended
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Dec. 31, 2021
Debt Obligations |
Schedule of senior unsecured notes | A summary of our senior unsecured notes is as follows (in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Senior | ​ | ​ | ​ | ​ | ​ | December 31, 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) | ​ | Dec. 2021 | ​ | Dec. 2028 | ​ | $ | 180,000 | ​ | $ | 177,105 | ​ | ​ | 5.00 | % | $ | — | ​ | $ | — | ​ | ​ | — | %
4.50% Notes (3) | ​ | Aug. 2021 | ​ | Sept. 2026 | ​ | ​ | 270,000 | ​ | ​ | 266,090 | ​ | ​ | 4.50 | % | ​ | — | ​ | ​ | — | ​ | ​ | — | %
5.00% Notes (3) | ​ | Apr. 2021 | ​ | Apr. 2026 | ​ | ​ | 175,000 | ​ | ​ | 172,302 | ​ | ​ | 5.00 | % | ​ | — | ​ | ​ | — | ​ | ​ | — | %
8.00% Notes (3) | ​ | Apr. 2020 | ​ | Apr. 2023 | ​ | ​ | 70,750 | ​ | ​ | 70,202 | ​ | ​ | 8.00 | % | ​ | 70,750 | ​ | ​ | 69,793 | ​ | ​ | 8.00 | %
4.50% Notes (3) | ​ | Mar. 2020 | ​ | Mar. 2027 | ​ | ​ | 275,000 | ​ | ​ | 272,477 | ​ | ​ | 4.50 | % | ​ | 275,000 | ​ | ​ | 271,994 | ​ | ​ | 4.50 | %
4.75% Notes (4) | ​ | Oct. 2019 | ​ | Oct. 2024 | ​ | ​ | 110,000 | ​ | ​ | 109,018 | ​ | ​ | 4.75 | % | ​ | 110,000 | ​ | ​ | 108,668 | ​ | ​ | 4.75 | %
5.75% Notes (4) | ​ | Mar. 2019 | ​ | Apr. 2024 | ​ | ​ | 90,000 | ​ | ​ | 89,135 | ​ | ​ | 5.75 | % | ​ | 90,000 | ​ | ​ | 88,751 | ​ | ​ | 5.75 | %
5.625% Notes (4) | ​ | Mar. 2018 | ​ | May 2023 | ​ | ​ | 125,000 | ​ | ​ | 124,216 | ​ | ​ | 5.63 | % | ​ | 125,000 | ​ | ​ | 123,637 | ​ | ​ | 5.63 | %
​ | ​ | ​ | ​ | ​ | ​ | $ | 1,295,750 | ​ | $ | 1,280,545 | ​ | ​ | 5.05 | % | $ | 670,750 | ​ | $ | 662,843 | ​ | ​ | 5.29 | %
(1) | At December 31, 2021 and 2020, the carrying value is net of deferred financing fees of $15.2 million and $7.9 million, respectively.
(2) | At December 31, 2021 and 2020, the aggregate weighted average note rate, including certain fees and costs, was 5.34% 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 within three months prior to 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 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
December 31, 2021 | ​ | $ | 264,000 | ​ | $ | 2,520 | ​ | $ | 2,095 | ​ | $ | 259,385 | ​ | $ | 8,684
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31, 2020 | ​ | $ | 278,300 | ​ | $ | 5,636 | ​ | $ | 4,691 | ​ | $ | 267,973 | ​ | $ | 9,962
Repurchase agreements and credit facilities |
Debt Obligations |
Schedule of borrowings | Borrowings under our credit and repurchase facilities are as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 31, 2021 | ​ | December 31, 2020 |
​ | ​ | ​ | ​ | ​ | Debt | ​ | Collateral | ​ | ​ | ​ | ​ | ​ | ​ | Debt | ​ | Collateral | ​ | ​ |
​ | ​ | ​ | ​ | ​ | Carrying | ​ | Carrying | ​ | Wtd. Avg. | ​ | ​ | ​ | ​ | Carrying | ​ | Carrying | ​ | Wtd. Avg. |
​ |  | UPB |  | Value(1) |  | Value |  | Note Rate |  | UPB |  | Value(1) |  | Value |  | Note Rate |
Structured Business | ​ | ​ |  |  | ​ |  |  | ​ |  |  |  |  | ​ |  |  | ​ |  |  | ​ |  |  |  | ​
$2.00B joint repurchase facility | ​ | $ | 1,490,434 | ​ | $ | 1,486,380 | ​ | $ | 1,877,930 | ​ | 2.56 | % | $ | 682,958 | ​ | $ | 681,006 | ​ | $ | 1,054,562 | ​ | 2.55 | %
$1.00B repurchase facility | ​ |  | 676,608 | ​ |  | 675,415 | ​ |  | 937,880 | ​ | 2.04 | % |  | 192,193 | ​ |  | 191,622 | ​ |  | 259,559 | ​ | 2.99 | %
$450M repurchase facility | ​ |  | 397,842 | ​ | ​ | 397,272 | ​ | ​ | 511,269 | ​ | 1.89 | % |  | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​
$398.7M repurchase facility (2) | ​ |  | 242,034 | ​ |  | 241,450 | ​ |  | 289,956 | ​ | 3.04 | % |  | 71,656 | ​ |  | 71,627 | ​ |  | 87,242 | ​ | 2.73 | %
$325M repurchase facility | ​ |  | 294,145 | ​ | ​ | 293,700 | ​ | ​ | 385,337 | ​ | 1.76 | % |  | 31,780 | ​ | ​ | 31,780 | ​ | ​ | 40,551 | ​ | 1.92 | %
$225M credit facility | ​ |  | 28,213 | ​ | ​ | 27,826 | ​ | ​ | 42,270 | ​ | 2.79 | % |  | 23,857 | ​ | ​ | 23,606 | ​ | ​ | 31,809 | ​ | 4.06 | %
$200M credit facility | ​ |  | 177,599 | ​ |  | 177,406 | ​ |  | 236,538 | ​ | 1.70 | % |  | 39,389 | ​ |  | 39,346 | ​ |  | 47,912 | ​ | 2.24 | %
$153.9M loan specific credit facilities | ​ |  | 153,937 | ​ |  | 153,727 | ​ |  | 214,300 | ​ | 3.14 | % |  | 148,798 | ​ |  | 148,615 | ​ |  | 198,550 | ​ | 3.03 | %
$50M credit facility | ​ |  | 29,200 | ​ | ​ | 29,194 | ​ | ​ | 36,500 | ​ | 2.13 | % |  | 16,002 | ​ | ​ | 15,992 | ​ | ​ | 21,300 | ​ | 2.17 | %
$30M working capital facility | ​ |  | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​ |  | 30,000 | ​ | ​ | 30,000 | ​ | ​ | — | ​ | 3.55 | %
$25M credit facility | ​ |  | 1,235 | ​ | ​ | 1,235 | ​ | ​ | 1,900 | ​ | 4.06 | % |  | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​
$25M credit facility | ​ | ​ | 10,285 | ​ | ​ | 10,218 | ​ | ​ | 14,773 | ​ | 2.38 | % | ​ | 9,539 | ​ | ​ | 9,323 | ​ | ​ | 14,340 | ​ | 2.43 | %
$1M master security agreement | ​ |  | 635 | ​ | ​ | 635 | ​ | ​ | — | ​ | 4.01 | % |  | 1,441 | ​ | ​ | 1,441 | ​ | ​ | — | ​ | 4.10 | %
Repurchase facility - securities (3) | ​ |  | 30,849 | ​ | ​ | 30,849 | ​ | ​ | — | ​ | 3.40 | % |  | 38,487 | ​ | ​ | 38,487 | ​ | ​ | — | ​ | 3.47 | %
Structured Business total | ​ | $ | 3,533,016 | ​ | $ | 3,525,307 | ​ | $ | 4,548,653 | ​ | 2.34 | % | $ | 1,286,100 | ​ | $ | 1,282,845 | ​ | $ | 1,755,825 | ​ | 2.73 | %
Agency Business | ​ |  |  | ​ |  |  | ​ |  |  |  |  | ​ |  |  | ​ |  |  | ​ |  |  |  |  | ​
$750M ASAP agreement | ​ | $ | 182,130 | ​ | $ | 182,130 | ​ | $ | 182,140 | ​ | 1.40 | % | $ | 301,455 | ​ | $ | 301,455 | ​ | $ | 302,491 | ​ | 1.40 | %
$500M joint repurchase facility | ​ |  | 399,470 | ​ | ​ | 395,317 | ​ | ​ | 475,360 | ​ | 2.11 | % |  | 43,132 | ​ | ​ | 42,808 | ​ | ​ | 56,186 | ​ | 2.07 | %
$500M repurchase facility | ​ |  | 236,527 | ​ | ​ | 236,429 | ​ | ​ | 236,527 | ​ | 1.58 | % |  | 174,555 | ​ | ​ | 174,515 | ​ | ​ | 174,555 | ​ | 1.64 | %
$200M credit facility | ​ |  | 115,351 | ​ | ​ | 115,304 | ​ | ​ | 115,351 | ​ | 1.60 | % |  | 294,815 | ​ | ​ | 294,732 | ​ | ​ | 296,698 | ​ | 1.30 | %
$150M credit facility | ​ |  | 16,657 | ​ | ​ | 16,544 | ​ | ​ | 16,657 | ​ | 1.51 | % |  | 49,754 | ​ | ​ | 49,632 | ​ | ​ | 49,754 | ​ | 1.65 | %
$50M credit facility | ​ | ​ | 9,295 | ​ | ​ | 9,295 | ​ | ​ | 9,295 | ​ | 1.40 | % | ​ | 88,911 | ​ | ​ | 88,896 | ​ | ​ | 88,911 | ​ | 1.65 | %
$1.3M repurchase facility (2) | ​ |  | 1,253 | ​ | ​ | 1,253 | ​ | ​ | 1,477 | ​ | 3.00 | % |  | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​
Agency Business total | ​ | $ | 960,683 | ​ | $ | 956,272 | ​ | $ | 1,036,807 | ​ | 1.75 | % | $ | 952,622 | ​ | $ | 952,038 | ​ | $ | 968,595 | ​ | 1.48 | %
Consolidated total | ​ | $ | 4,493,699 | ​ | $ | 4,481,579 | ​ | $ | 5,585,460 | ​ | 2.21 | % | $ | 2,238,722 | ​ | $ | 2,234,883 | ​ | $ | 2,724,420 | ​ | 2.20 | %
(1) | The debt carrying value for the Structured Business at December 31, 2021 and 2020 was net of unamortized deferred finance costs of $7.7 million and $3.3 million, respectively. The debt carrying value for the Agency Business at December 31, 2021 and 2020 was net of unamortized deferred finance costs of $4.4 million and $0.6 million, respectively.
(2) | A portion of this repurchase facility was used to finance a $1.3 million 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 December 31, 2021 and 2020, these facilities were collateralized by B Piece bonds with a carrying value of $47.6 million and $57.8 million, respectively, and an SFR bond with a carrying value of $10.0 million at December 31, 2020, which are held by our Agency Business.
Collateralized loan obligations |
Debt Obligations |
Schedule of borrowings | Borrowings and the corresponding collateral under our CLOs are as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Debt | ​ | Collateral (3)
​ | ​ | ​ | ​ | Loans | ​ | Cash
​ |  | ​ |  | Carrying |  | Wtd. Avg. |  | ​ |  | Carrying |  | Restricted
December 31, 2021 | ​ | Face Value | ​ | Value (1) | ​ | Rate (2) | ​ | UPB | ​ | Value | ​ | Cash (4)
CLO 17 | ​ | $ | 1,714,125 | ​ | $ | 1,705,549 | ​ | 1.81 | % | $ | 1,914,280 | ​ | $ | 1,903,997 | ​ | $ | 118,520
CLO 16 | ​ | ​ | 1,237,500 | ​ | ​ | 1,230,093 | ​ | 1.44 | % | ​ | 1,444,573 | ​ | ​ | 1,436,743 | ​ | ​ | —
CLO 15 | ​ | ​ | 674,412 | ​ | ​ | 669,723 | ​ | 1.49 | % | ​ | 785,761 | ​ | ​ | 782,682 | ​ | ​ | 15,750
CLO 14 | ​ | ​ | 655,475 | ​ | ​ | 650,947 | ​ | 1.45 | % | ​ | 717,396 | ​ | ​ | 715,154 | ​ | ​ | 53,342
CLO 13 | ​ | ​ | 668,000 | ​ | ​ | 665,006 | ​ | 1.54 | % | ​ | 740,369 | ​ | ​ | 738,265 | ​ | ​ | 48,543
CLO 12 | ​ | ​ | 534,193 | ​ | ​ | 531,939 | ​ | 1.62 | % | ​ | 557,249 | ​ | ​ | 555,974 | ​ | ​ | 35,635
CLO 10 | ​ |  | 441,000 | ​ |  | 439,553 | ​ | 1.57 | % |  | 485,460 | ​ |  | 483,995 | ​ |  | 57,706
Total CLOs | ​ | $ | 5,924,705 | ​ | $ | 5,892,810 | ​ | 1.59 | % | $ | 6,645,088 | ​ | $ | 6,616,810 | ​ | $ | 329,496
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31, 2020 |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
CLO 13 | ​ | $ | 668,000 | ​ | $ | 663,804 | ​ | 1.58 | % | $ | 768,664 | ​ | $ | 765,923 | ​ | $ | 43
CLO 12 | ​ | ​ | 534,193 | ​ | ​ | 530,673 | ​ | 1.66 | % | ​ | 628,935 | ​ | ​ | 627,262 | ​ | ​ | 2,005
CLO 11 | ​ |  | 533,000 | ​ |  | 529,859 | ​ | 1.61 | % |  | 555,157 | ​ |  | 553,286 | ​ |  | 92,395
CLO 10 | ​ | ​ | 441,000 | ​ | ​ | 438,442 | ​ | 1.61 | % | ​ | 522,132 | ​ | ​ | 520,507 | ​ | ​ | 25,537
CLO 9 | ​ | ​ | 356,150 | ​ | ​ | 354,531 | ​ | 1.53 | % | ​ | 457,903 | ​ | ​ | 456,656 | ​ | ​ | 18,703
Total CLOs | ​ | $ | 2,532,343 | ​ | $ | 2,517,309 | ​ | 1.60 | % | $ | 2,932,791 | ​ | $ | 2,923,634 | ​ | $ | 138,683
(1) | Debt carrying value is net of $31.9 million and $15.0 million of deferred financing fees at December 31, 2021 and 2020, respectively.
(2) | At December 31, 2021 and 2020, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 1.86% and 1.93%, respectively.
(3) | As of December 31, 2021 and 2020, there was 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 $133.7 million and $49.5 million at December 31, 2021 and 2020, respectively.
Schedule of company's CLO compliance tests as of the most recent determination dates | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Cash Flow Triggers |  | CLO 10 |  | CLO 12 |  | CLO 13 |  | CLO 14 |  | CLO 15 | ​ | CLO 16 | ​ | CLO 17 |
Overcollateralization (1) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Current |  | 126.98 | % | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | % | 121.21 | % | 122.51 | %
Limit |  | 125.98 | % | 117.87 | % | 118.76 | % | 118.76 | % | 119.85 | % | 120.21 | % | 121.51 | %
Pass / Fail |  | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​ | Pass |
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest Coverage (2) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Current |  | 488.48 | % | 307.16 | % | 317.07 | % | 319.01 | % | 332.57 | % | 276.52 | % | 192.52 | %
Limit |  | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | %
Pass / Fail |  | Pass | ​ | 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 10 |  | CLO 12 |  | CLO 13 |  | CLO 14 |  | CLO 15 | ​ | CLO 16 | ​ | CLO 17 | ​
January 2022 | ​ | 126.98 | % | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | % | 121.21 | % | 122.51 | %
October 2021 | ​ | 126.98 | % | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | % | 121.21 | % | — | ​
July 2021 | ​ | 126.98 | % | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | % | — | ​ | — | ​
April 2021 | ​ | 126.98 | % | 118.87 | % | 119.76 | % | 119.76 | % | — | ​ | — | ​ | — | ​
January 2021 | ​ | 126.98 | % | 118.87 | % | 119.76 | % | — | ​ | — | ​ | — | ​ | — | ​
(1) | This table 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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