XML 54 R38.htm IDEA: XBRL DOCUMENT

Debt Obligations (Tables)

12 Months Ended

Dec. 31, 2021

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.