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

(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.

Effective January 1, 2022, several of our credit and repurchase facilities, in both our Structured Business and Agency Business, converted from a LIBOR-based interest rate to a SOFR-based interest rate for new financings. Existing financings will continue to be at a LIBOR-based interest rate.

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 have a $2.50 billion joint repurchase facility, which is shared between the Structured Business and the Agency Business, which matures in March 2024 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 floor equal to a pro rata share of the floors included in our originated loans. The facility has a maximum advance rate of 80% on structured loans and 85% on Private Label loans and has a $150.0 million over advance available that bears interest at a rate of the applicable benchmark plus 5.75%. The over advance is available through March 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. We utilize credit and repurchase facilities with various financial institutions to finance our Structured Business loans and investments as described below. Many of these facilities have a maximum advance rate of between 75% to 85% depending on the asset type financed.

At December 31, 2021 and 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 2.51% 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 agreement used to finance leasehold and capital expenditure improvements at our corporate office, was 77% and 69% at December 31, 2021 and 2020, respectively.

We have a $1.00 billion repurchase facility used to finance loans that matures in December 2022, with one quarterly extension option through March 2023. The interest rate on loans funded after January 21, 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 up to a 0.35% LIBOR floor if utilization is below $250.0 million. For existing loans, the interest rate range will remain at LIBOR plus 2.00% to 2.20% with a 0.35% LIBOR floor. The interest rate spread increases by 0.20% if the advance rate on a loan exceeds 75%.

We have a $450.0 million repurchase facility to finance bridge loans that bears an interest rate ranging from LIBOR plus 1.75% to 2.25% for multifamily and LIBOR plus 2.00% to 2.75% for non-multifamily. The facility matures in March 2023, with three one-year extension options through March 2026.

We have a $400.0 million repurchase facility to finance SFR properties that bears interest at a rate ranging from SOFR plus 1.75% to 2.25% with a 0.25% SOFR floor, depending on the loan performance, and matures in December 2022.

We have a $200.0 million repurchase facility to finance multifamily bridge loans that the interest rate is determined on a loan-by-loan basis and matures in October 2023, with a one-year extension option. The facility was temporarily increased to $325.0 million, which expires in April 2022.

We have a $225.0 million credit facility to finance SFR properties that bears interest at a rate of LIBOR plus 2.50%, with an all-in floor rate range of 2.75% to 3.85%, depending on our deposit balance. The facility matures in October 2022, with a one-year extension option.

We have a $200.0 million credit facility to finance bridge loans that matures in July 2022 and bears interest at a rate of SOFR plus 1.61% for multifamily, SOFR plus 2.31% for independent living and SOFR plus 2.56% for assisted living. This facility includes a $25.0 million sublimit to finance healthcare related loans.

We have several loan specific credit facilities totaling $153.9 million used to finance individual bridge loans. The facilities bear interest at rates ranging from LIBOR plus 2.20% to 2.40%, fixed rates ranging from 3.00% to 4.00%, and the greater of the prime rate or 3.25% and mature between February 2022 and October 2024.

We have a $50.0 million credit facility to finance multifamily loans that bears interest at a rate of LIBOR plus 2.00% and matures in April 2022.

We have a $30.0 million unsecured working capital line of credit that bears interest at a rate of LIBOR plus 3.25% with a 0.25% LIBOR floor. This line matures in February 2022 and is typically renewed annually.

We have a $25.0 million credit facility to finance SFR properties that bears interest at a rate of LIBOR plus 2.50%, with an all-in floor rate of 3.85%, and which matures in October 2022.

We have a $25.0 million credit facility used to purchase loans that bears interest at a rate of SOFR plus 2.35% and matures in June 2022, with a one-year extension option.

We have a note payable under a master security agreement that was used to finance capital expenditures. The note bears interest at a fixed rate of 4.01% and matures in December 2022.

We have an uncommitted repurchase facility that is used to finance securities we retained in connection with our CLOs and our purchases of B Piece bonds from SBL program securitizations and SFR bonds. This facility bears interest at rate of LIBOR plus 3.25% with a 0.25% LIBOR floor and has no stated maturity date.

Agency Business. We utilize credit facilities with various financial institutions to finance substantially all of our loans held-for-sale as described below. The financial institutions that provide these facilities generally have a security interest in the underlying mortgage notes that serve as collateral for these facilities.

We have a $750.0 million ASAP agreement with Fannie Mae providing us with a warehousing credit facility for mortgage loans that are to be sold to Fannie Mae and serviced under the Fannie Mae DUS program. The ASAP agreement is not a committed line, has no expiration date and bears interest at a rate of SOFR plus 1.26% with a 0.25% SOFR floor.

We have a $500.0 million repurchase facility that bears interest at a rate of SOFR plus 1.48% and matures in November 2022.

We have a $200.0 million credit facility that bears interest at a rate of LIBOR plus 1.35% with a 0.25% LIBOR floor and matures in March 2022.

We have a $150.0 million credit facility that bears interest at a rate of SOFR plus 1.46% and matures in July 2022. This facility includes a $50.0 million sublimit for principal and interest advances we make as the primary servicer to Fannie Mae in connection with potential delinquent loans under the Fannie Mae forbearance program, which bears interest at a rate of SOFR plus 1.86%.

We have a $50.0 million credit facility that bears interest at a rate of LIBOR plus 1.30% and matures in September 2022.

We have a $50.0 million letter of credit facility with a financial institution to secure obligations under the Fannie Mae DUS program and the Freddie Mac SBL program. The facility bears interest at a fixed rate of 2.875%, matures in September 2023 and is primarily collateralized by our servicing revenue as approved by Fannie Mae and Freddie Mac. The facility includes a $5.0 million sublimit for an obligation under the Freddie Mac SBL program. At December 31, 2021, the letters of credit outstanding include $45.0 million for the Fannie Mae DUS program and $5.0 million for the Freddie Mac SBL program.

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
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.

CLO 17. In December 2021, we completed CLO 17, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $1.91 billion. Of the total CLO notes issued, $1.71 billion were investment grade notes issued to third-party investors and $194.3 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 $1.79 billion, 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 $315.0 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 $2.10 billion, representing leverage of 82%. We retained a residual interest in the portfolio with a notional amount of $385.9 million, including the $194.3 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.68% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO 16. In September 2021, we completed CLO 16, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $1.37 billion. Of the total CLO notes issued, $1.24 billion were investment grade notes issued to third-party investors and $135.0 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 $1.19 billion, 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 $313.0 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 $1.50 billion, representing leverage of 83%. We retained a residual interest in the portfolio with a notional amount of $262.5 million, including the $135.0 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.31% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO 15. In June 2021, we completed CLO 15, issuing eight tranches of CLO notes through two 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, which we subsequently utilized, 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 14. In March 2021, we completed CLO 14, issuing eight tranches of CLO notes through two 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 13. In 2020, we completed CLO 13, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $738.0 million. Of the total CLO notes issued, $668.0 million were investment grade notes issued to third-party investors and $70.0 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 $640.5 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has a three-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 $159.5 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 $800.0 million, representing leverage of 84%. We retained a residual interest in the portfolio with a notional amount of $132.0 million, including the $70.0 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.41% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO 12. In 2019, we completed CLO 12, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $585.8 million. Of the total CLO notes issued, $534.2 million were investment grade notes issued to third-party investors and $51.6 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 $510.9 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has a three-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 $124.1 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 $635.0 million, representing leverage of 84%. We retained a residual interest in the portfolio with a notional amount of $100.8 million, including the $51.6 million below investment grade notes. The notes had an initial weighted average interest rate of 1.50% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO 10. In 2018, we completed CLO 10, issuing seven tranches of CLO notes through two wholly-owned subsidiaries totaling $494.2 million. Of the total CLO notes issued, $441.0 million were investment grade notes issued to third-party investors and $53.2 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 $501.9 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has a stated maturity date in June 2028 and a four-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 $58.1 million for the purpose of acquiring additional loan obligations for a period of up to 120 days from the CLO closing date, which we subsequently utilized, resulting in the issuer owning loan obligations with a face value of $560.0 million, representing leverage of 79%. We retained a residual interest in the portfolio with a notional amount of $119.0 million, including the $53.2 million below investment grade notes. The notes had an initial weighted average interest rate of 1.45% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO 11 and CLO 9. In 2021, we unwound both CLO 11 and CLO 9, redeeming $889.2 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets within CLOs 17 and 14, as well as with cash held by CLOs 11 and 9, and expensed $3.4 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income.

CLO 8. In 2020, we unwound CLO 8 redeeming $282.9 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets within CLO 13, as well as with cash held by CLO 8, and expensed $1.5 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income.

CLO 7 and CLO 6. In 2019, we unwound both CLO 7 and CLO 6 redeeming $529.3 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets within CLOs 12 and 11, as well as with cash held by CLOs 7 and 6, and expensed $2.6 million of deferred financing fees into interest expense on the consolidated statements of income.

Subsequent Event. In February 2022, we completed CLO 18 totaling $2.05 billion, of which $1.65 billion were investment grade notes issued to third-party investors. We retained a residual interest in the portfolio with a notional amount of $397.2 million, which includes $210.1 million of below investment grade notes.

Luxembourg Debt Fund

In 2020, we completed the unwind of the debt fund and redeemed all the outstanding notes with a portion of the proceeds from our senior unsecured notes issued in March 2020 described below and recorded a loss on extinguishment of debt of $1.6 million, which was primarily comprised of deferred financing fees. The debt fund was a VIE for which we were the primary beneficiary and was consolidated in our financial statements.

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.

In December 2021, we issued $180.0 million aggregate principal amount of 5.00% senior unsecured notes due in 2028 in a private offering. We received net proceeds of $177.2 million from the issuance, after deducting the underwriting discount and other offering expenses. We used the net proceeds to make investments related to our business and for general corporate purposes.

In August 2021, we issued $270.0 million aggregate principal amount of 4.50% senior unsecured notes due in 2026 in a private offering. We received net proceeds of $265.8 million from the issuance, after deducting the underwriting discount and other offering expenses. We used the net proceeds to make investments related to our business and for general corporate purposes.

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 used the net proceeds to make investments related to our business and for general corporate purposes.

In 2020, we issued $40.5 million aggregate principal amount of 8.00% senior unsecured notes due in April 2023 (the “ 8.00% Initial Notes”) in a private placement, and, in June 2020, we issued an additional $30.3 million (the “8.00% Reopened Notes”) which brought the aggregate outstanding principal amount to $70.8 million. The 8.00% Reopened Notes are fully fungible, and rank equally in right of payment, with the 8.00% Initial Notes. We received total proceeds of $69.6 million from the issuances, after deducting the underwriting discount and other offering expenses. We used the net proceeds from the issuances to repay secured indebtedness, make investments relating to our business and for general corporate purposes.

In 2020, we issued $275.0 million aggregate principal amount of 4.50% senior unsecured notes due in March 2027 in a private placement. We received proceeds of $271.8 million from the issuance, after deducting the underwriting discount and other offering expenses. We used a significant portion of the net proceeds to repay secured indebtedness.

In 2019, we issued $110.0 million aggregate principal amount of 4.75% senior unsecured notes due in October 2024 in a private placement. We received proceeds of $108.2 million from the issuance, after deducting the underwriting discount and other offering expenses. We used the net proceeds to make investments and for general corporate purposes.

In 2019, we issued $90.0 million aggregate principal amount of 5.75% senior unsecured notes due in April 2024 in a private placement. We received proceeds of $88.2 million from the issuance, after deducting the underwriting discount and other offering expenses. We used the net proceeds to make investments and for general corporate purposes.

In 2018, we issued $100.0 million aggregate principal amount of 5.625% senior unsecured notes due in May 2023 (the “5.625% Initial Notes”) in a private placement, and, in May 2018, we issued an additional $25.0 million (the “5.625% Reopened Notes”) which brought the aggregate outstanding principal amount to $125.0 million. The 5.625% Reopened Notes are fully fungible, and rank equally in right of payment, with the 5.625% Initial Notes. We received total proceeds of $122.3 million from the issuances, after deducting the underwriting discount and other offering expenses. We used the net proceeds from the 5.625% Initial Notes to fully redeem 7.375% senior unsecured notes totaling $97.9 million and the net proceeds from the 5.625% Reopened Notes to make investments 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 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. During 2019, we recorded a loss on extinguishment of debt of $7.3 million in connection with this exchange, which included an inducement charge of $1.1 million. As of December 31, 2021, the 4.75% Convertible Notes had a conversion rate of 56.8560 shares, common stock per $1,000 of principal, which represented a conversion price of $17.59 per share of common stock.

In July 2021, the remaining $14.3 million principal amount of our 5.25% Convertible Notes matured and were fully settled with $14.3 million of cash 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 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 effective on December 31, 2021 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 0.84 years and 1.77 years at December 31, 2021 and 2020, respectively, on a weighted

average basis. Our adoption of ASU 2020-06 on January 1, 2022 changes the way in which we account for our convertible debt, see Note 2 for details.

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

During 2021, we incurred total interest expense on the notes of $18.6 million, of which $12.8 million, $3.2 million and $2.6 million related to the cash coupon, amortization of the debt discount and of the deferred financing fees, respectively. During 2020, we incurred interest expense on the notes totaling $20.0 million, of which $13.4 million, $3.6 million and $3.0 million related to the cash coupon, amortization of the debt discount and of the deferred financing fees, respectively. During 2019, we incurred interest expense on the notes totaling $28.3 million, of which $13.5 million, $7.9 million and $6.8 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 6.71% and 6.75% at December 31, 2021 and 2020, respectively.

Junior Subordinated Notes

The carrying values of borrowings under our junior subordinated notes were $142.4 million and $141.7 million at December 31, 2021 and 2020, respectively, which is net of a deferred amount of $10.2 million and $10.8 million, respectively, (which is amortized into interest expense over the life of the notes) and deferred financing fees of $1.7 million and $1.8 million, respectively. 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 3.03% and 3.06% at December 31, 2021 and 2020, respectively. Including certain fees and costs, the weighted average note rate was 3.12% and 3.15% at December 31, 2021 and 2020, respectively.

Debt Covenants

Credit and Repurchase Facilities and Unsecured Debt. The credit and repurchase facilities and unsecured debt (senior and convertible notes) contain various financial covenants, including, but not limited to, minimum liquidity requirements, minimum net worth requirements, minimum unencumbered asset 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 December 31, 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 December 31, 2021, as well as on the most recent determination dates in January 2022. 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 January 2022 are as follows:


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.

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


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.

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.