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Debt Obligations (Tables)

3 Months Ended

Mar. 31, 2023

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.

Summary of face value, unamortized discount and net carrying value of the liability and equity components

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

Repurchase agreements and credit facilities

Debt Obligations

Summary of borrowings

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


				March 31, 2023						December 31, 2022
			Note	Debt		Collateral				Debt		Collateral
	Current	Extended	Rate	Carrying		Carrying		Wtd. Avg.		Carrying		Carrying
	Maturity	Maturity	Type	Value (1)		Value		Note Rate		Value (1)		Value
Structured Business
$2.5B joint repurchase facility (2)	Mar. 2024	Mar. 2025	V	$	1,336,305	$	1,876,423	7.26	%	$	1,516,657	$	2,099,447
$1B repurchase facility (2)	Dec. 2023	N/A	V		391,056		559,341	6.97	%		498,666		703,740
$500M repurchase facility	(3)	N/A	V		198,152		240,799	7.89	%		154,653		188,563
$499M repurchase facility (2)(4)	Oct. 2023	N/A	V		339,819		487,321	7.22	%		351,056		504,506
$450M repurchase facility	Mar. 2024	Mar. 2026	V		319,106		419,485	7.03	%		344,237		450,736
$450M repurchase facility	Oct. 2023	Oct. 2024	V		102,470		131,924	6.57	%		186,639		239,678
$400M credit facility	July 2023	N/A	V		33,232		43,383	6.83	%		33,221		43,238
$225M credit facility	Oct. 2023	Oct. 2024	V		64,877		116,288	7.52	%		47,398		81,119
$200M repurchase facility	Mar. 2024	Mar. 2025	V		45,769		65,401	7.52	%		32,494		47,750
$200M repurchase facility	Jan. 2024	Jan. 2025	V		147,948		187,508	6.92	%		154,516		200,099
$169M loan specific credit facilities	May 2023 to Aug. 2025	May 2023 to Aug. 2027	V/F		169,111		238,458	6.97	%		156,107		225,805
$50M credit facility	Apr. 2024	Apr. 2025	V		29,199		36,500	7.07	%		29,194		36,500
$35M working capital facility	Apr. 2024	N/A	V		—		—	—			—		—
$25M credit facility	Oct. 2024	N/A	V		18,747		24,475	7.57	%		18,701		24,572
$25M credit facility	Apr. 2026	Apr. 2027	V		—		—	—			—		—
Repurchase facility - securities (2)(5)	N/A	N/A	V		33,100		—	6.59	%		12,832		—
Structured Business total				$	3,228,891	$	4,427,306	7.18	%	$	3,536,371	$	4,845,753

Agency Business
$750M ASAP agreement	N/A	N/A	V	$	82,581	$	82,679	5.78	%	$	29,476	$	30,291
$500M joint repurchase facility (2)	Mar. 2024	Mar. 2025	V		8,047		11,350	7.03	%		104,629		135,641
$500M repurchase facility	Nov. 2023	N/A	V		112,978		125,336	6.18	%		66,778		66,866
$200M credit facility	Mar. 2024	N/A	V		167,480		167,681	6.27	%		31,475		33,177
$150M credit facility	July 2023	N/A	V		50,365		50,408	6.33	%		57,887		57,974
$50M credit facility	Sept. 2023	N/A	V		—		—	—			14,664		14,671
$1M repurchase facility (2)(4)	Oct. 2023	N/A	V		534		907	7.18	%		534		920
Agency Business total				$	421,985	$	438,361	6.17	%	$	305,443	$	339,540
Consolidated total				$	3,650,876	$	4,865,667	7.06	%	$	3,841,814	$	5,185,293

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.

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
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.

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	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.

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
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.