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Debt Obligations (Tables)

12 Months Ended

Dec. 31, 2022

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.

Summary 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, 2022	$	287,500	$	—	$	7,144	$	280,356	$	—

December 31, 2021	$	264,000	$	2,520	$	2,095	$	259,385	$	8,684

Repurchase agreements and credit facilities

Debt Obligations

Summary of borrowings

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.

Collateralized loan obligations

Debt Obligations

Summary of borrowings

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.

Summary of company's CLO compliance tests as of the most recent determination dates


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.

Summary of company's CLO overcollateralization ratios


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.