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Debt Obligations | 12 Months Ended
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Dec. 31, 2022
Debt Obligations |
Debt Obligations | Note 10 — Debt Obligations Credit and Repurchase Facilities Borrowings under our credit and repurchase facilities are as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 31, 2022 | ​ | December 31, 2021 |
​ | ​ | ​ | ​ | ​ | 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 | ​ | ​ |  |  | ​ |  |  | ​ |  |  |  |  | ​ |  |  | ​ |  |  | ​ |  |  |  | ​
$2.5B joint repurchase facility (2) | ​ | $ | 1,524,831 | ​ | $ | 1,516,657 | ​ | $ | 2,099,447 | ​ | 6.73 | % | $ | 1,490,434 | ​ | $ | 1,486,380 | ​ | $ | 1,877,930 | ​ | 2.56 | %
$1B repurchase facility (2) | ​ |  | 499,891 | ​ |  | 498,666 | ​ |  | 703,740 | ​ | 6.39 | % |  | 676,608 | ​ |  | 675,415 | ​ |  | 937,880 | ​ | 2.04 | %
$500M repurchase facility | ​ |  | 155,121 | ​ | ​ | 154,653 | ​ | ​ | 188,563 | ​ | 7.16 | % |  | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​
$499M repurchase facility (2)(3) | ​ |  | 351,056 | ​ |  | 351,056 | ​ |  | 504,506 | ​ | 6.64 | % |  | 242,034 | ​ |  | 241,450 | ​ |  | 289,956 | ​ | 3.04 | %
$450M repurchase facility | ​ |  | 344,576 | ​ | ​ | 344,237 | ​ | ​ | 450,736 | ​ | 6.36 | % |  | 397,842 | ​ | ​ | 397,272 | ​ | ​ | 511,269 | ​ | 1.89 | %
$450M repurchase facility | ​ |  | 187,428 | ​ | ​ | 186,639 | ​ | ​ | 239,678 | ​ | 6.18 | % |  | 294,145 | ​ | ​ | 293,700 | ​ | ​ | 385,337 | ​ | 1.76 | %
$400M credit facility | ​ |  | 33,246 | ​ |  | 33,221 | ​ |  | 43,238 | ​ | 6.25 | % |  | 177,599 | ​ |  | 177,406 | ​ |  | 236,538 | ​ | 1.70 | %
$225M credit facility | ​ |  | 47,398 | ​ |  | 47,398 | ​ |  | 81,119 | ​ | 6.90 | % |  | 28,213 | ​ |  | 27,826 | ​ |  | 42,270 | ​ | 2.79 | %
$200M repurchase facility | ​ |  | 33,155 | ​ | ​ | 32,494 | ​ | ​ | 47,750 | ​ | 6.95 | % |  | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​
$200M repurchase facility | ​ |  | 155,240 | ​ | ​ | 154,516 | ​ | ​ | 200,099 | ​ | 6.33 | % |  | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​
$156M loan specific credit facilities | ​ |  | 156,543 | ​ | ​ | 156,107 | ​ | ​ | 225,805 | ​ | 6.42 | % |  | 153,937 | ​ | ​ | 153,727 | ​ | ​ | 214,300 | ​ | 3.14 | %
$50M credit facility | ​ | ​ | 29,200 | ​ | ​ | 29,194 | ​ | ​ | 36,500 | ​ | 6.48 | % | ​ | 29,200 | ​ | ​ | 29,194 | ​ | ​ | 36,500 | ​ | 2.13 | %
$35M working capital facility | ​ |  | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​ |  | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​
$25M credit facility | ​ |  | 19,177 | ​ | ​ | 18,701 | ​ | ​ | 24,572 | ​ | 6.99 | % |  | 1,235 | ​ | ​ | 1,235 | ​ | ​ | 1,900 | ​ | 4.06 | %
$25M credit facility | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​ | ​ | 10,285 | ​ | ​ | 10,218 | ​ | ​ | 14,773 | ​ | 2.38 | %
$1M master security agreement | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | — | ​ | ​ | 635 | ​ | ​ | 635 | ​ | ​ | — | ​ | 4.01 | %
Repurchase facility - securities (2)(4) | ​ | ​ | 12,832 | ​ | ​ | 12,832 | ​ | ​ | — | ​ | 6.99 | % | ​ | 30,849 | ​ | ​ | 30,849 | ​ | ​ | — | ​ | 3.40 | %
Structured Business total | ​ | $ | 3,549,694 | ​ | $ | 3,536,371 | ​ | $ | 4,845,753 | ​ | 6.59 | % | $ | 3,533,016 | ​ | $ | 3,525,307 | ​ | $ | 4,548,653 | ​ | 2.34 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Agency Business | ​ |  | ​ | ​ |  | ​ | ​ |  | ​ |  | ​ | ​ |  |  | ​ |  |  | ​ |  |  |  |  | ​
$750M ASAP agreement | ​ | $ | 29,476 | ​ | $ | 29,476 | ​ | $ | 30,291 | ​ | 5.21 | % | $ | 182,130 | ​ | $ | 182,130 | ​ | $ | 182,140 | ​ | 1.40 | %
$500M joint repurchase facility (2) | ​ |  | 105,275 | ​ | ​ | 104,629 | ​ | ​ | 135,641 | ​ | 6.52 | % |  | 399,470 | ​ | ​ | 395,317 | ​ | ​ | 475,360 | ​ | 2.11 | %
$500M repurchase facility | ​ |  | 66,866 | ​ | ​ | 66,778 | ​ | ​ | 66,866 | ​ | 5.73 | % |  | 236,527 | ​ | ​ | 236,429 | ​ | ​ | 236,527 | ​ | 1.58 | %
$200M credit facility | ​ |  | 31,519 | ​ | ​ | 31,475 | ​ | ​ | 33,177 | ​ | 5.76 | % |  | 115,351 | ​ | ​ | 115,304 | ​ | ​ | 115,351 | ​ | 1.60 | %
$150M credit facility | ​ |  | 57,974 | ​ | ​ | 57,887 | ​ | ​ | 57,974 | ​ | 5.76 | % |  | 16,657 | ​ | ​ | 16,544 | ​ | ​ | 16,657 | ​ | 1.51 | %
$50M credit facility | ​ | ​ | 14,671 | ​ | ​ | 14,664 | ​ | ​ | 14,671 | ​ | 5.65 | % | ​ | 9,295 | ​ | ​ | 9,295 | ​ | ​ | 9,295 | ​ | 1.40 | %
$1M repurchase facility (2)(3) | ​ |  | 534 | ​ | ​ | 534 | ​ | ​ | 920 | ​ | 6.66 | % |  | 1,253 | ​ | ​ | 1,253 | ​ | ​ | 1,477 | ​ | 3.00 | %
Agency Business total | ​ | $ | 306,315 | ​ | $ | 305,443 | ​ | $ | 339,540 | ​ | 5.96 | % | $ | 960,683 | ​ | $ | 956,272 | ​ | $ | 1,036,807 | ​ | 1.75 | %
Consolidated total | ​ | $ | 3,856,009 | ​ | $ | 3,841,814 | ​ | $ | 5,185,293 | ​ | 6.54 | % | $ | 4,493,699 | ​ | $ | 4,481,579 | ​ | $ | 5,585,460 | ​ | 2.21 | %
(1) | At December 31, 2022 and 2021, debt carrying value for the Structured Business was net of unamortized deferred finance costs of $13.3 million and $7.7 million, respectively, and for the Agency Business was net of unamortized deferred finance costs of $0.9 million and $4.4 million, respectively.
(2) | These facilities are subject to margin call provisions associated with changes in interest spreads.
(3) | A portion of this facility was used to finance a fixed rate SFR permanent loan reported through our Agency Business.
(4) | At December 31, 2022 and 2021, this facility was collateralized by B Piece bonds with a carrying value of $33.1 million and $47.6 million, respectively.
During 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 generally remain at a LIBOR-based interest rate. Usually, 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 $3.00 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 both structured 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 all loans and includes a $150.0 million over advance available that bears interest at a rate of the applicable benchmark plus 7.00%. The over advance is available through March 2023, was being amortized on a monthly basis and was paid off at December 31, 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 loans and investments as described below. Many of these facilities have a maximum advance rate between 75% to 85%, depending on the asset type financed. At December 31, 2022 and 2021, 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 6.95% and 2.51%, respectively. The leverage on our loan and investment portfolio financed through our credit and repurchase facilities, excluding the securities repurchase facility, working capital facility and the $1.0 million master security agreement, was 73% and 77% at December 31, 2022 and 2021, respectively. We have a $1.00 billion repurchase facility used to finance loans that matures in December 2023. The interest rate on loans funded after August 30, 2022 is SOFR plus 2.25% with a 0.15% SOFR floor. For existing loans, the interest rate will remain at SOFR plus 2.00% with up to a 0.35% SOFR floor. The interest rate spread increases by 0.20% if the advance rate on a loan exceeds 75%. We have a $500.0 million repurchase facility to finance SFR loans that has an interest rate of SOFR plus 3.26% on loans funded after October 13, 2022 and SOFR plus 2.76% on existing loans. The commitment amount under this facility expires six months after the lender provides written notice. We then have an additional six months to repurchase the underlying loans. We have a $500.0 million repurchase facility to finance SFR properties that bears interest at a rate of SOFR plus 2.36% with a 0.25% SOFR floor and matures in October 2023. We have a $450.0 million repurchase facility to finance bridge loans that matures in March 2023, with three one-year extension options through March 2026. The interest rate on loans funded in 2022 ranges from SOFR plus 1.75% to 2.25% for multifamily and SOFR plus 2.00% to 2.75% for non-multifamily. For existing loans, the interest rates will remain at LIBOR. We have a $450.0 million repurchase facility to finance multifamily bridge loans that matures in October 2023, with a one-year extension option. The interest rate for new loans after April 29, 2022 is determined on a loan-by-loan basis based off SOFR. We have a $400.0 million credit facility to finance bridge loans that matures in July 2023 and bears interest at a rate ranging from SOFR plus 1.86% to 2.56% depending on the type of loan financed. This facility includes a $25.0 million sublimit to finance healthcare related loans. We have a $225.0 million credit facility to finance SFR properties that bears interest at a rate of SOFR plus 2.55%, with an all-in floor rate range of 3.00% to 4.10%, depending on our deposit balance. The facility matures in October 2023, with a one-year extension option. We have a $200.0 million repurchase facility that matures in March 2024, with a one-year extension option. This facility has an interest rate of SOFR plus 2.55%. We have a $200.0 million repurchase facility to finance bridge and construction loans that matures in January 2024, with a one-year extension option. This facility has interest rates of SOFR plus 1.75% to 3.50% depending on the type of loan financed with a SOFR floor determined on a loan-by-loan basis. We have several loan specific credit facilities totaling $156.5 million used to finance individual bridge loans. The facilities bear interest at rates ranging from LIBOR plus 2.20% to 3.375%, SOFR plus 2.20%, a 3.00% fixed rate, and the greater of the prime rate or 3.25% and mature between May 2023 and August 2025. We have a $50.0 million credit facility to finance multifamily loans that bears interest at a rate of SOFR plus 2.10% and matures in April 2023, with two 1-year extension options. We have a $35.0 million unsecured working capital line of credit that bears interest at a rate of SOFR plus 3.00%. This line matures in April 2023 and is typically renewed annually. We have a $25.0 million credit facility to finance SFR properties that bears interest at a rate of SOFR plus 2.60%, with an all-in floor rate of 4.25%, and which matures in October 2024. 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 February 2023, with a one-year extension option. 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 SOFR plus 2.60% 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 1.15% with a 0.25% SOFR floor. We have a $500.0 million repurchase facility that bears interest at a rate of SOFR plus 1.375% and matures in November 2023. We have a $200.0 million credit facility that bears interest at a rate of SOFR plus 1.46% and matures in March 2023. We have a $150.0 million credit facility that bears interest at a rate of SOFR plus 1.46% and matures in July 2023. 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 SOFR plus 1.35% and matures in September 2023. We have a letter of credit facility with a financial institution to secure obligations under the Fannie Mae DUS program and the Freddie Mac SBL program with a total committed amount of up to $75.0 million. The facility bears interest at a fixed rate of 2.875%, matures in September 2025 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, 2022, the letters of credit outstanding include $64.0 million for the Fannie Mae DUS program and $5.0 million for the Freddie Mac SBL program. Securitized Debt We account for securitized debt transactions on our consolidated balance sheet as financing facilities. These transactions are considered VIEs for which we are the primary beneficiary and are consolidated in our financial statements. The investment grade notes and guaranteed certificates issued to third parties are treated as secured financings and are non-recourse to us. Borrowings and the corresponding collateral under our securitized debt transactions are as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Debt | ​ | Collateral (3)
​ | ​ | ​ | ​ | Loans | ​ | Cash
​ |  | ​ |  | Carrying |  | Wtd. Avg. |  | ​ |  | Carrying |  | Restricted
December 31, 2022 | ​ | Face Value | ​ | Value (1) | ​ | Rate (2) | ​ | UPB | ​ | Value | ​ | Cash (4)
CLO 19 | ​ | $ | 872,812 | ​ | $ | 866,605 | ​ | 6.75 | % | $ | 952,268 | ​ | $ | 947,336 | ​ | $ | 64,300
CLO 18 | ​ | ​ | 1,652,812 | ​ | ​ | 1,645,711 | ​ | 6.19 | % | ​ | 1,899,174 | ​ | ​ | 1,891,215 | ​ | ​ | 85,970
CLO 17 | ​ | ​ | 1,714,125 | ​ | ​ | 1,707,676 | ​ | 6.16 | % | ​ | 1,911,866 | ​ | ​ | 1,904,732 | ​ | ​ | 145,726
CLO 16 | ​ | ​ | 1,237,500 | ​ | ​ | 1,231,887 | ​ | 5.79 | % | ​ | 1,307,244 | ​ | ​ | 1,301,794 | ​ | ​ | 106,495
CLO 15 | ​ | ​ | 674,412 | ​ | ​ | 671,532 | ​ | 5.84 | % | ​ | 797,755 | ​ | ​ | 795,078 | ​ | ​ | 2,861
CLO 14 | ​ | ​ | 655,475 | ​ | ​ | 652,617 | ​ | 5.80 | % | ​ | 732,247 | ​ | ​ | 730,057 | ​ | ​ | 37,090
CLO 13 | ​ | ​ | 462,769 | ​ | ​ | 461,005 | ​ | 6.03 | % | ​ | 552,182 | ​ | ​ | 550,924 | ​ | ​ | 37,875
CLO 12 | ​ |  | 379,283 | ​ | ​ | 378,331 | ​ | 6.09 | % | ​ | 466,474 | ​ | ​ | 465,003 | ​ | ​ | 500
Total CLOs | ​ | ​ | 7,649,188 | ​ | ​ | 7,615,364 | ​ | 6.10 | % | ​ | 8,619,210 | ​ | ​ | 8,586,139 | ​ | ​ | 480,817
Q Series securitization | ​ | ​ | 236,878 | ​ | ​ | 233,906 | ​ | 6.30 | % | ​ | 315,837 | ​ | ​ | 313,965 | ​ | ​ | —
Total securitized debt | ​ | $ | 7,886,066 | ​ | $ | 7,849,270 | ​ | 6.11 | % | $ | 8,935,047 | ​ | $ | 8,900,104 | ​ | $ | 480,817
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31, 2021 |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
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 securitized debt | ​ | $ | 5,924,705 | ​ | $ | 5,892,810 | ​ | 1.59 | % | $ | 6,645,088 | ​ | $ | 6,616,810 | ​ | $ | 329,496
(1) | Debt carrying value is net of $36.8 million and $31.9 million of deferred financing fees at December 31, 2022 and 2021, respectively.
(2) | At December 31, 2022 and 2021, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 6.32% and 1.86%, respectively , and the Q Series securitization was 6.66% at December 31, 2022.
(3) | At December 31, 2022 and 2021, 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 $230.0 million and $133.7 million at December 31, 2022 and 2021, respectively.
CLO 19. In May 2022, we completed CLO 19, issuing nine tranches of CLO notes through a wholly-owned subsidiary totaling $1.05 billion. Of the total CLO notes issued, $872.8 million were investment grade notes issued to third-party investors and $177.2 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 $976.9 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio, and cash. The financing has an approximate two-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 $73.1 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 $1.05 billion, representing leverage of 83%. The notes sold to third parties had an initial weighted average interest rate of 2.36% plus term SOFR and interest payments on the notes are payable monthly. CLO 18. In February 2022, we completed CLO 18, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $1.86 billion. Of the total CLO notes issued, $1.65 billion were investment grade notes issued to third-party investors and $210.1 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 $1.70 billion, consisting primarily of bridge loans that were contributed from our existing loan portfolio, and cash. 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 $347.3 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 $2.05 billion, representing leverage of 81%. We retained a residual interest in the portfolio with a notional amount of $397.2 million, including the $210.1 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.81% plus compounded SOFR and interest payments on the notes are payable monthly. CLO 17. In 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, and cash. 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 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, and cash. 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 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, and cash. 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 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, and cash. 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, and cash. 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. At December 31, 2022, $205.2 million has been repaid. 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, and cash. The financing had a three-year replacement period that allowed 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 is being 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. The replacement period for CLO 12 ended in November 2022 and $154.9 million has been repaid at December 31, 2022. CLO 10. In February 2022, we unwound CLO 10, redeeming $441.0 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets within CLO 18, as well as with cash held by CLO 10, and expensed $1.4 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income. 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. Freddie Mac Q Series Securitization. In December 2022, we completed our first loan securitization through Freddie Mac’s Q Series securitization program (“Q Series Securitization”), by which we sold to Freddie Mac 11 floating rate loans totaling $315.8 million that are secured by first priority mortgage liens on 21 multifamily properties that qualify as mission-driven under the Federal Housing Finance Agency guidelines. The Q Series Securitization is represented through a series of pass-through certificates (the “Certificates”) issued under a pooling and servicing agreement. We retained certain subordinate and interest-only classes of the Certificates aggregating $79.0 million and the remaining Certificates totaling $236.9 million were purchased by third-party investors, representing leverage of 75%. The Certificates sold to third parties pays interest at a rate of 2.00% plus one-month SOFR, excluding fees and transaction costs, and are payable monthly. As part of the securitization transaction, we released all mortgage servicing obligations and rights to Freddie Mac who was designated as the master servicer. As master servicer, Freddie Mac appointed us as its subservicer, which includes obligations to collect and remit payments and otherwise administer the underlying loans, and a third-party as the special servicer. We may, subject to certain limitations, terminate the special servicer, with or without cause, and appoint a successor. In addition, the special servicer must receive our consent prior to certain decisions with respect to a specially serviced mortgage loan. Senior Unsecured Notes ​ A summary of our senior unsecured notes is as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Senior | ​ | ​ | ​ | ​ | ​ | December 31, 2022 | ​ | December 31, 2021 | ​
Unsecured | ​ | Issuance | ​ | ​ | ​ | ​ | ​ | Carrying | ​ | Wtd. Avg. | ​ | ​ | ​ | Carrying | ​ | Wtd. Avg. | ​
Notes |  | Date |  | Maturity |  | UPB |  | Value (1) |  | Rate (2) |  | UPB |  | Value (1) |  | Rate (2) | ​
8.50% Notes (3) | ​ | Oct. 2022 | ​ | Oct. 2027 | ​ | $ | 150,000 | ​ | $ | 147,519 | ​ | ​ | 8.50 | % | $ | — | ​ | $ | — | ​ | ​ | — | ​
5.00% Notes (3) | ​ | Dec. 2021 | ​ | Dec. 2028 | ​ | ​ | 180,000 | ​ | ​ | 177,450 | ​ | ​ | 5.00 | % | ​ | 180,000 | ​ | ​ | 177,105 | ​ | ​ | 5.00 | %
4.50% Notes (3) | ​ | Aug. 2021 | ​ | Sept. 2026 | ​ | ​ | 270,000 | ​ | ​ | 266,926 | ​ | ​ | 4.50 | % | ​ | 270,000 | ​ | ​ | 266,090 | ​ | ​ | 4.50 | %
5.00% Notes (3) | ​ | Apr. 2021 | ​ | Apr. 2026 | ​ | ​ | 175,000 | ​ | ​ | 172,917 | ​ | ​ | 5.00 | % | ​ | 175,000 | ​ | ​ | 172,302 | ​ | ​ | 5.00 | %
8.00% Notes (3) | ​ | Apr. 2020 | ​ | Apr. 2023 | ​ | ​ | 70,750 | ​ | ​ | 70,613 | ​ | ​ | 8.00 | % | ​ | 70,750 | ​ | ​ | 70,202 | ​ | ​ | 8.00 | %
4.50% Notes (3) | ​ | Mar. 2020 | ​ | Mar. 2027 | ​ | ​ | 275,000 | ​ | ​ | 272,960 | ​ | ​ | 4.50 | % | ​ | 275,000 | ​ | ​ | 272,477 | ​ | ​ | 4.50 | %
4.75% Notes (4) | ​ | Oct. 2019 | ​ | Oct. 2024 | ​ | ​ | 110,000 | ​ | ​ | 109,369 | ​ | ​ | 4.75 | % | ​ | 110,000 | ​ | ​ | 109,018 | ​ | ​ | 4.75 | %
5.75% Notes (4) | ​ | Mar. 2019 | ​ | Apr. 2024 | ​ | ​ | 90,000 | ​ | ​ | 89,514 | ​ | ​ | 5.75 | % | ​ | 90,000 | ​ | ​ | 89,135 | ​ | ​ | 5.75 | %
5.625% Notes (4) | ​ | Mar. 2018 | ​ | May 2023 | ​ | ​ | 78,850 | ​ | ​ | 78,726 | ​ | ​ | 5.63 | % | ​ | 125,000 | ​ | ​ | 124,216 | ​ | ​ | 5.63 | %
​ | ​ | ​ | ​ | ​ | ​ | $ | 1,399,600 | ​ | $ | 1,385,994 | ​ | ​ | 5.40 | % | $ | 1,295,750 | ​ | $ | 1,280,545 | ​ | ​ | 5.05 | %
(1) | At December 31, 2022 and 2021, the carrying value is net of deferred financing fees of $13.6 million and $15.2 million, respectively.
(2) | At December 31, 2022 and 2021, the aggregate weighted average note rate, including certain fees and costs, was 5.69% and 5.34%, 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.
Except as noted below, we used the proceeds of our senior unsecured debt offerings to make investments and for general corporate purposes. In October 2022, we issued $150.0 million aggregate principal amount of 8.50% senior unsecured notes due in 2027 in a private offering. We received net proceeds of $147.5 million from the issuance, after deducting the underwriting discount and other offering expenses. We used $47.5 million of the proceeds, which includes accrued interest and other fees, to repurchase a portion of our 5.625% senior unsecured notes. In 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. In 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. In 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. In 2020, we issued $70.8 million aggregate principal amount of 8.00% senior unsecured notes due in April 2023 in a private offering. We received total proceeds of $69.6 million from the issuance, after deducting the underwriting discount and other offering expenses. We used a portion of the proceeds from the issuance to repay secured indebtedness. In 2020, we issued $275.0 million aggregate principal amount of 4.50% senior unsecured notes due in March 2027 in a private offering. 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 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 offering. We received proceeds of $108.2 million from the issuance, after deducting the underwriting discount and other offering expenses. In 2019, we issued $90.0 million aggregate principal amount of 5.75% senior unsecured notes due in April 2024 in a private offering. We received proceeds of $88.2 million from the issuance, after deducting the underwriting discount and other offering expenses. In 2018, we issued $125.0 million aggregate principal amount of 5.625% senior unsecured notes due in May 2023 in a private offering. We received total proceeds of $122.3 million from the issuance, after deducting the underwriting discount and other offering expenses. We used a significant portion of the proceeds to fully redeem our 7.375% senior unsecured notes. In October 2022, we repaid $46.2 million of the outstanding principal balance as noted above. Convertible Senior Unsecured Notes In August 2022, we issued $287.5 million in aggregate principal amount of 7.50% convertible senior notes (the “7.50% Convertible Notes”) through a private placement offering. The 7.50% Convertible Notes pay interest semiannually in arrears and are scheduled to mature in August 2025, unless earlier converted or repurchased by the holders pursuant to their terms. The initial conversion rate was 59.8480 shares of common stock per $1,000 of principal representing a conversion price of $16.71 per share of common stock. We received proceeds of $279.3 million, net of discounts and fees. We used $203.1 million of the net proceeds to repurchase a portion of our 4.75% convertible senior notes (the “4.75% Convertible Notes”), which included $5.2 million of accrued interest and repurchase premiums, and expensed $3.3 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income. At December 31, 2022, the 7.50% Convertible Notes had a conversion rate of 59.8892 shares of common stock per $1,000 of principal, which represented a conversion price of $16.70 per share of common stock. In the fourth quarter of 2022, the remaining $66.1 million principal amount of our 4.75% Convertible Notes matured and were fully settled with cash. 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. On January 1, 2022, we adopted ASU 2020-06, see Note 2 for details, which no longer allows for the allocation of proceeds between debt and equity components, eliminates the amortization of the debt discount and requires the if-converted method to calculate diluted EPS, regardless of the settlement intent. 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, 2022 | ​ | $ | 287,500 | ​ | $ | — | ​ | $ | 7,144 | ​ | $ | 280,356 | ​ | $ | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31, 2021 | ​ | $ | 264,000 | ​ | $ | 2,520 | ​ | $ | 2,095 | ​ | $ | 259,385 | ​ | $ | 8,684
​ During 2022, we incurred interest expense on the notes totaling $19.8 million, of which $16.9 million and $2.9 million related to the cash coupon and deferred financing fees, respectively. During 2021, we incurred interest expense on the notes totaling $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. Including the amortization of the deferred financing fees and debt discount, our weighted average total cost of the notes was 8.42% and 6.71% at December 31, 2022 and 2021, respectively, or 5.73% at December 31, 2021, excluding the amortization of the debt discount (which ceased on January 1, 2022 with the adoption of ASU 2020-06). Junior Subordinated Notes The carrying values of borrowings under our junior subordinated notes were $143.1 million and $142.4 million at December 31, 2022 and 2021, respectively, which is net of a deferred amount of $9.6 million and $10.2 million, respectively, (which is amortized into interest expense over the life of the notes) and deferred financing fees of $1.6 million and $1.7 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 7.65% and 3.03% at December 31, 2022 and 2021, respectively. Including certain fees and costs, the weighted average note rate was 7.74% and 3.12% at December 31, 2022 and 2021, 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, 2022. 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 at December 31, 2022, as well as on the most recent determination dates in January 2023. 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 (1) cash on hand, (2) income from any CLO not in breach of a covenant test, (i3) income from real property and loan assets, (4) sale of assets, or (5) 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 2023 are as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Cash Flow Triggers |  | CLO 12 |  | CLO 13 |  | CLO 14 |  | CLO 15 | ​ | CLO 16 | ​ | CLO 17 | ​ | CLO 18 |  | CLO 19 |
Overcollateralization (1) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Current |  | 126.58 | % | 128.52 | % | 119.76 | % | 120.85 | % | 121.21 | % | 122.51 | % | 124.03 | % | 120.30 | %
Limit |  | 117.87 | % | 118.76 | % | 118.76 | % | 119.85 | % | 120.21 | % | 121.51 | % | 123.03 | % | 119.30 | %
Pass / Fail |  | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​ | Pass | ​ | Pass |  | Pass | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest Coverage (2) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Current |  | 197.05 | % | 180.22 | % | 148.34 | % | 145.30 | % | 145.55 | % | 140.69 | % | 159.15 | % | 120.12 | %
Limit |  | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | % | 120.00 | %
Pass / Fail |  | Pass | ​ | 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 12 |  | CLO 13 |  | CLO 14 |  | CLO 15 |  | CLO 16 |  | CLO 17 |  | CLO 18 |  | CLO 19 | ​
January 2023 | ​ | 126.58 | % | 128.52 | % | 119.76 | % | 120.85 | % | 121.21 | % | 122.51 | % | 124.03 | % | 120.30 | %
October 2022 | ​ | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | % | 121.21 | % | 122.51 | % | 124.03 | % | 120.30 | %
July 2022 | ​ | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | % | 121.21 | % | 122.51 | % | 124.03 | % | 120.30 | %
April 2022 | ​ | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | % | 121.21 | % | 122.51 | % | 124.03 | % | — | ​
January 2022 | ​ | 118.87 | % | 119.76 | % | 119.76 | % | 120.85 | % | 121.21 | % | 122.51 | % | — | ​ | — | ​
(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.

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