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

V = Variable Note Rate; F = Fixed Note Rate

(1)

At March 31, 2023 and December 31, 2022, debt carrying value for the Structured Business was net of unamortized deferred finance costs of $11.1 million and $13.3 million, respectively, and for the Agency Business was net of unamortized deferred finance costs of $0.8 million and $0.9 million, respectively.

(2)	These facilities are subject to margin call provisions associated with changes in interest spreads.

(3)	The commitment amount under this repurchase facility expires six months after the lender provides written notice. We then have an additional six months to repurchase the underlying loans.

(4)	A portion of this facility was used to finance a fixed rate SFR permanent loan reported through our Agency Business.

(5)

At March 31, 2023 , this facility was collateralized by certificates retained by us from our Freddie Mac Q Series securitization (“Q Series securitization”) with a principal balance of $47.4 million. At December 31, 2022, this facility was collateralized by B Piece bonds with a carrying value of $33.1 million.

During 2022 and 2023, 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.

Structured Business

At March 31, 2023 and December 31, 2022, 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 7.57% and 6.95%, respectively. The leverage on our loan and investment portfolio financed through our credit and repurchase facilities, excluding the securities repurchase facility and the working capital facility, was 72% and 73% at March 31, 2023 and December 31, 2022, respectively.

In March 2023, we amended a $450.0 million repurchase facility to exercise a one-year extension option to March 2024 and amend the interest rate to a minimum of SOFR plus 2.00%.

Agency Business

In March 2023, we amended a $200.0 million credit facility to extend the maturity to March 2024 and amend the interest rate to SOFR plus 1.40%.

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
March 31, 2023	Face Value		Value (1)		Rate (2)		UPB		Value		Cash (4)
CLO 19	$	872,812	$	867,037	7.33	%	$	985,430	$	980,805	$	34,882
CLO 18		1,652,812		1,646,248	6.77	%		1,970,977		1,963,706		—
CLO 17		1,714,125		1,708,200	6.63	%		1,939,977		1,933,198		129,142
CLO 16		1,237,500		1,232,352	6.26	%		1,411,145		1,405,680		55,931
CLO 15		674,412		671,983	6.32	%		607,100		604,704		186,520
CLO 14		655,475		653,034	6.27	%		673,732		671,839		73,802
CLO 13		294,477		293,022	6.76	%		400,617		399,695		24,175
CLO 12		203,027		202,375	6.93	%		257,714		256,655		27,900
Total CLOs		7,304,640		7,274,251	6.63	%		8,246,692		8,216,282		532,352
Q Series securitization		236,878		234,221	6.87	%		315,837		314,166		—
Total securitized debt	$	7,541,518	$	7,508,472	6.64	%	$	8,562,529	$	8,530,448	$	532,352


December 31, 2022
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

(1)	Debt carrying value is net of $33.0 million and $36.8 million of deferred financing fees at March 31, 2023 and December 31, 2022, respectively.

(2)	At March 31, 2023 and December 31, 2022, the aggregate weighted average note rate for our collateralized loan obligations (“CLOs”), including certain fees and costs, was 6.86% and 6.32%, respectively.

(3)

At March 31, 2023, five loans with an aggregate UPB of $121.4 million were deemed a "credit risk" as defined by the CLO indentures. At December 31, 2022, there were no collateral deemed a “credit risk” as defined by the CLO indentures. Credit risk assets are generally defined as one that, in the CLO collateral manager's reasonable business judgment, has a significant risk of becoming a defaulted asset.

(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 $167.5 million and $230.0 million at March 31, 2023 and December 31, 2022, respectively.

CLO 13 and CLO 12. During the three months ended March 31, 2023, $168.3 million and $176.3 million of CLO 13 and CLO 12, respectively, have been paid down.

Senior Unsecured Notes

A summary of our senior unsecured notes is as follows (in thousands):


Senior			March 31, 2023						December 31, 2022
Unsecured	Issuance				Carrying		Wtd. Avg.				Carrying		Wtd. Avg.
Notes	Date	Maturity	UPB		Value (1)		Rate (2)		UPB		Value (1)		Rate (2)
7.75% Notes (3)	Mar. 2023	Mar. 2026	$	95,000	$	93,518	7.75	%	$	—	$	—	—
8.50% Notes (3)	Oct. 2022	Oct. 2027		150,000		147,647	8.50	%		150,000		147,519	8.50	%
5.00% Notes (3)	Dec. 2021	Dec. 2028		180,000		177,557	5.00	%		180,000		177,450	5.00	%
4.50% Notes (3)	Aug. 2021	Sept. 2026		270,000		267,136	4.50	%		270,000		266,926	4.50	%
5.00% Notes (3)	Apr. 2021	Apr. 2026		175,000		173,073	5.00	%		175,000		172,917	5.00	%
8.00% Notes (3)	Apr. 2020	Apr. 2023		—		—	—			70,750		70,613	8.00	%
4.50% Notes (3)	Mar. 2020	Mar. 2027		275,000		273,081	4.50	%		275,000		272,960	4.50	%
4.75% Notes (4)	Oct. 2019	Oct. 2024		110,000		109,457	4.75	%		110,000		109,369	4.75	%
5.75% Notes (4)	Mar. 2019	Apr. 2024		90,000		89,611	5.75	%		90,000		89,514	5.75	%
5.625% Notes (4)	Mar. 2018	May 2023		78,850		78,819	5.63	%		78,850		78,726	5.63	%
			$	1,423,850	$	1,409,899	5.42	%	$	1,399,600	$	1,385,994	5.40	%

(1)	At March 31, 2023 and December 31, 2022, the carrying value is net of deferred financing fees of $14.0 million and $13.6 million, respectively.

(2)	At March 31, 2023 and December 31, 2022, the aggregate weighted average note rate, including certain fees and costs, was 5.72% and 5.69%, 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 March 2023, we issued $95.0 million aggregate principal amount of 7.75% senior unsecured notes due in 2026 in a private offering. We received net proceeds of $93.4 million from the issuance, after deducting the placement agent commission and other offering expenses. We used $70.8 million of the proceeds, which includes accrued interest and other fees, to repurchase the remaining portion of our 8.00% senior unsecured notes due in 2023.

Subsequent Event. In May 2023, our 5.625% senior unsecured notes matured and were redeemed for cash.

Convertible Senior Unsecured Notes

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.

The UPB and net carrying value of our convertible notes are as follows (in thousands):


			Unamortized Deferred		Net Carrying
Period	UPB		Financing Fees		Value
March 31, 2023	$	287,500	$	6,454	$	281,046

December 31, 2022	$	287,500	$	7,144	$	280,356

During the three months ended March 31, 2023, we incurred interest expense on the notes totaling $6.1 million, of which $5.4 million and $0.7 million related to the cash coupon and deferred financing fees, respectively. During the three months ended March 31, 2022, we incurred interest expense on the notes totaling $3.8 million, of which $3.1 million and $0.7 million related to the cash coupon and deferred financing fees, respectively. Including the amortization of the deferred financing fees, our weighted average total cost of the notes was 8.42% at both March 31, 2023 and December 31, 2022. At March 31, 2023, the 7.50% convertible senior notes had a conversion rate of 59.9317 shares of common stock per $1,000 of principal, which represented a conversion price of $16.69 per share of common stock.

Junior Subordinated Notes

The carrying values of borrowings under our junior subordinated notes were $143.3 million and $143.1 million at March 31, 2023 and December 31, 2022, respectively, which is net of a deferred amount of $9.5 million and $9.6 million, respectively, (which is amortized into interest expense over the life of the notes) and deferred financing fees of $1.6 million at both March 31, 2023 and December 31, 2022. 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 8.08% and 7.65% at March 31, 2023 and December 31, 2022, respectively. Including certain fees and costs, the weighted average note rate was 8.16% and 7.74% at March 31, 2023 and December 31, 2022, 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 March 31, 2023.

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 March 31, 2023, as well as on the most recent determination dates in April 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, (3) 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 April 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	149.65	%	144.83	%	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	181.78	%	157.94	%	181.82	%	169.24	%	159.94	%	145.12	%	150.89	%	124.34	%
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
April 2023	149.65	%	144.83	%	119.76	%	120.85	%	121.21	%	122.51	%	124.03	%	120.30	%
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	%	—

(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.