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Debt Obligations | 6 Months Ended
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Jun. 30, 2023
Debt Disclosure [Abstract] |
Debt Obligations | Debt Obligations Credit and Repurchase Facilities Borrowings under our credit and repurchase facilities are as follows ($ in thousands):
|  |  |  |  |  |  | June 30, 2023 |  | December 31, 2022
| Current Maturity |  | Extended Maturity |  | Note Rate Type |  | Debt Carrying Value (1) |  | Collateral Carrying Value |  | Wtd. Avg. Note Rate |  | Debt Carrying Value (1) |  | Collateral Carrying Value
Structured Business |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
$2.5B joint repurchase facility (2) | Mar. 2024 |  | Mar. 2025 |  | V |  | $ | 1,109,720 |  |  | $ | 1,670,162 |  |  | 7.48 | % |  | $ | 1,516,657 |  |  | $ | 2,099,447 |
$1B repurchase facility (2) | Dec. 2023 |  | N/A |  | V |  | 386,371 |  |  | 553,113 |  |  | 7.23 | % |  | 498,666 |  |  | 703,740 |
$500M repurchase facility | (3) |  | N/A |  | V |  | 335,284 |  |  | 455,940 |  |  | 8.14 | % |  | 154,653 |  |  | 188,563 |
$499M repurchase facility (2)(4) | Oct. 2023 |  | N/A |  | V |  | 329,850 |  |  | 472,487 |  |  | 7.57 | % |  | 351,056 |  |  | 504,506 |
$450M repurchase facility | Mar. 2024 |  | Mar. 2026 |  | V |  | 325,057 |  |  | 450,526 |  |  | 7.28 | % |  | 344,237 |  |  | 450,736 |
$450M repurchase facility | Oct. 2023 |  | Oct. 2024 |  | V |  | 93,160 |  |  | 120,947 |  |  | 6.95 | % |  | 186,639 |  |  | 239,678 |
$400M credit facility | July 2024 |  | N/A |  | V |  | 18,459 |  |  | 23,088 |  |  | 7.18 | % |  | 33,221 |  |  | 43,238 |
$225M credit facility | Oct. 2023 |  | Oct. 2024 |  | V |  | 89,280 |  |  | 132,160 |  |  | 7.75 | % |  | 47,398 |  |  | 81,119 |
$200M repurchase facility | Mar. 2025 |  | Mar. 2026 |  | V |  | 60,514 |  |  | 85,979 |  |  | 7.75 | % |  | 32,494 |  |  | 47,750 |
$200M repurchase facility | Jan. 2024 |  | Jan. 2025 |  | V |  | 115,566 |  |  | 148,244 |  |  | 7.14 | % |  | 154,516 |  |  | 200,099 |
$172M loan specific credit facilities | Aug 2023 to Aug. 2025 |  | Aug 2023 to Aug. 2027 |  | V/F |  | 171,326 |  |  | 247,164 |  |  | 7.26 | % |  | 156,107 |  |  | 225,805 |
$50M credit facility | Apr. 2024 |  | Apr. 2025 |  | V |  | 29,200 |  |  | 36,500 |  |  | 7.29 | % |  | 29,194 |  |  | 36,500 |
$40M credit facility | Apr. 2026 |  | Apr. 2027 |  | V |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
$35M working capital facility | Apr. 2024 |  | N/A |  | V |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
$25M credit facility | Oct. 2024 |  | N/A |  | V |  | 18,905 |  |  | 24,876 |  |  | 7.80 | % |  | 18,701 |  |  | 24,572 |
Repurchase facility - securities (2)(5) | N/A |  | N/A |  | V |  | 33,100 |  |  | — |  |  | 6.93 | % |  | 12,832 |  |  | — |
Structured Business total |  |  |  |  |  |  | $ | 3,115,792 |  |  | $ | 4,421,186 |  |  | 7.47 | % |  | $ | 3,536,371 |  |  | $ | 4,845,753 |
Agency Business |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
$750M ASAP agreement | N/A |  | N/A |  | V |  | $ | 114,018 |  |  | $ | 114,938 |  |  | 6.21 | % |  | $ | 29,476 |  |  | $ | 30,291 |
$500M joint repurchase facility (2) | Mar. 2024 |  | Mar. 2025 |  | V |  | 7,569 |  |  | 11,350 |  |  | 8.36 | % |  | 104,629 |  |  | 135,641 |
$500M repurchase facility | Nov. 2023 |  | N/A |  | V |  | 220,848 |  |  | 222,701 |  |  | 6.52 | % |  | 66,778 |  |  | 66,866 |
$200M credit facility | Mar. 2024 |  | N/A |  | V |  | 112,158 |  |  | 112,881 |  |  | 6.49 | % |  | 31,475 |  |  | 33,177 |
$150M credit facility | July 2024 |  | N/A |  | V |  | — |  |  | — |  |  | — |  |  | 57,887 |  |  | 57,974 |
$50M credit facility | Sept. 2023 |  | N/A |  | V |  | 8,161 |  |  | 8,163 |  |  | 6.44 | % |  | 14,664 |  |  | 14,671 |
$1M repurchase facility (2)(4) | Oct. 2023 |  | N/A |  | V |  | 534 |  |  | 893 |  |  | 7.42 | % |  | 534 |  |  | 920 |
Agency Business total |  |  |  |  |  |  | $ | 463,288 |  |  | $ | 470,926 |  |  | 6.47 | % |  | $ | 305,443 |  |  | $ | 339,540 |
Consolidated total |  |  |  |  |  |  | $ | 3,579,080 |  |  | $ | 4,892,112 |  |  | 7.34 | % |  | $ | 3,841,814 |  |  | $ | 5,185,293 |
________________________ V = Variable Note Rate; F = Fixed Note Rate (1)At June 30, 2023 and December 31, 2022, debt carrying value for the Structured Business was net of unamortized deferred finance costs of $8.9 million and $13.3 million, respectively, and for the Agency Business was net of unamortized deferred finance costs of $0.6 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 June 30, 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. At June 30, 2023, the majority of our credit and repurchase facilities, in both our Structured Business and Agency Business, had been converted from a LIBOR-based interest rate to a SOFR-based interest rate. The remaining LIBOR-based financings were converted to a SOFR-based interest rate in July 2023. Structured Business At June 30, 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 7.88% 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 70% and 73% at June 30, 2023 and December 31, 2022, respectively. In April 2023, we amended a $25.0 million credit facility to increase the facility size to $40.0 million and extend the maturity to April 2026. 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
June 30, 2023 |  | Face Value |  | Carrying Value (1) |  | Wtd. Avg. Rate (2) |  | UPB |  | Carrying Value |  | Restricted Cash (4)
CLO 19 |  | $ | 872,812 |  |  | $ | 867,453 |  |  | 7.55 | % |  | $ | 1,021,530 |  |  | $ | 1,017,396 |  |  | $ | — |
CLO 18 |  | 1,652,812 |  |  | 1,646,771 |  |  | 6.99 | % |  | 2,025,402 |  |  | 2,019,021 |  |  | 1,751 |
CLO 17 |  | 1,714,125 |  |  | 1,708,712 |  |  | 7.00 | % |  | 2,013,515 |  |  | 2,006,767 |  |  | 63,486 |
CLO 16 |  | 1,237,500 |  |  | 1,232,805 |  |  | 6.62 | % |  | 1,409,071 |  |  | 1,404,641 |  |  | 21,681 |
CLO 15 |  | 674,412 |  |  | 672,429 |  |  | 6.68 | % |  | 640,363 |  |  | 638,291 |  |  | 166,290 |
CLO 14 |  | 655,475 |  |  | 653,445 |  |  | 6.64 | % |  | 771,384 |  |  | 769,364 |  |  | 6,192 |
CLO 12 |  | 152,336 |  |  | 151,951 |  |  | 7.47 | % |  | 246,167 |  |  | 245,209 |  |  | — |
Total CLOs |  | 6,959,472 |  |  | 6,933,566 |  |  | 6.94 | % |  | 8,127,432 |  |  | 8,100,689 |  |  | 259,400 |
Q Series securitization |  | 236,878 |  |  | 234,538 |  |  | 7.09 | % |  | 296,088 |  |  | 294,679 |  |  | — |
Total securitized debt |  | $ | 7,196,350 |  |  | $ | 7,168,104 |  |  | 6.94 | % |  | $ | 8,423,520 |  |  | $ | 8,395,368 |  |  | $ | 259,400 |
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 $28.2 million and $36.8 million of deferred financing fees at June 30, 2023 and December 31, 2022, respectively. (2)At June 30, 2023 and December 31, 2022, the aggregate weighted average note rate for our securitized debt, including certain fees and costs, was 7.18% and 6.32%, respectively. (3)At June 30, 2023, two loans with an aggregate UPB of $105.0 million were deemed a "credit risk" as defined by the collateralized loan obligations ("CLO") indentures. At December 31, 2022, there was 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. Excludes restricted cash related to interest payments, delayed fundings and expenses totaling $129.8 million and $230.0 million at June 30, 2023 and December 31, 2022, respectively. CLO 13. In June 2023, we unwound CLO 13, redeeming the remaining outstanding notes, which were repaid primarily from the refinancing of the remaining assets within our other CLO vehicles and credit and repurchase facilities. We expensed $1.2 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income. CLO 12. During 2023, $226.9 million of the outstanding notes of CLO 12 were paid down. Senior Unsecured Notes A summary of our senior unsecured notes is as follows ($ in thousands):
Senior Unsecured Notes |  | Issuance Date |  |  |  | June 30, 2023 |  | December 31, 2022
|  | Maturity |  | UPB |  | Carrying Value (1) |  | Wtd. Avg. Rate (2) |  | UPB |  | Carrying Value (1) |  | Wtd. Avg. Rate (2)
7.75% Notes (3) |  | Mar. 2023 |  | Mar. 2026 |  | $ | 95,000 |  |  | $ | 93,407 |  |  | 7.75 | % |  | $ | — |  |  | $ | — |  |  | — |
8.50% Notes (3) |  | Oct. 2022 |  | Oct. 2027 |  | 150,000 |  |  | 147,775 |  |  | 8.50 | % |  | 150,000 |  |  | 147,519 |  |  | 8.50 | %
5.00% Notes (3) |  | Dec. 2021 |  | Dec. 2028 |  | 180,000 |  |  | 177,663 |  |  | 5.00 | % |  | 180,000 |  |  | 177,450 |  |  | 5.00 | %
4.50% Notes (3) |  | Aug. 2021 |  | Sept. 2026 |  | 270,000 |  |  | 267,345 |  |  | 4.50 | % |  | 270,000 |  |  | 266,926 |  |  | 4.50 | %
5.00% Notes (3) |  | Apr. 2021 |  | Apr. 2026 |  | 175,000 |  |  | 173,230 |  |  | 5.00 | % |  | 175,000 |  |  | 172,917 |  |  | 5.00 | %
4.50% Notes (3) |  | Mar. 2020 |  | Mar. 2027 |  | 275,000 |  |  | 273,201 |  |  | 4.50 | % |  | 275,000 |  |  | 272,960 |  |  | 4.50 | %
4.75% Notes (4) |  | Oct. 2019 |  | Oct. 2024 |  | 110,000 |  |  | 109,545 |  |  | 4.75 | % |  | 110,000 |  |  | 109,369 |  |  | 4.75 | %
5.75% Notes (4) |  | Mar. 2019 |  | Apr. 2024 |  | 90,000 |  |  | 89,709 |  |  | 5.75 | % |  | 90,000 |  |  | 89,514 |  |  | 5.75 | %
8.00% Notes (3) |  | Apr. 2020 |  | Apr. 2023 |  | — |  |  | — |  |  | — |  |  | 70,750 |  |  | 70,613 |  |  | 8.00 | %
5.625% Notes (4) |  | Mar. 2018 |  | May 2023 |  | — |  |  | — |  |  | — |  |  | 78,850 |  |  | 78,726 |  |  | 5.63 | %
|  |  |  |  |  | $ | 1,345,000 |  |  | $ | 1,331,875 |  |  | 5.41 | % |  | $ | 1,399,600 |  |  | $ | 1,385,994 |  |  | 5.40 | %
________________________ (1)At June 30, 2023 and December 31, 2022, the carrying value is net of deferred financing fees of $13.1 million and $13.6 million, respectively. (2)At June 30, 2023 and December 31, 2022, the aggregate weighted average note rate, including certain fees and costs, was 5.70% 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. 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 (August 2025) 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):
Period |  | UPB |  | Unamortized Deferred Financing Fees |  | Net Carrying Value
June 30, 2023 |  | $ | 287,500 |  |  | $ | 5,763 |  |  | $ | 281,737 |
December 31, 2022 |  | $ | 287,500 |  |  | $ | 7,144 |  |  | $ | 280,356 |
During the three months ended June 30, 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 six months ended June 30, 2023, we incurred interest expense on the notes totaling $12.2 million, of which $10.8 million and $1.4 million related to the cash coupon and deferred financing fees, respectively. During the three months ended June 30, 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. During the six months ended June 30, 2022, we incurred interest expense on the notes totaling $7.6 million, of which $6.3 million and $1.3 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 June 30, 2023 and December 31, 2022. At June 30, 2023, the 7.50% convertible senior notes had a conversion rate of 60.0717 shares of common stock per $1,000 of principal, which represented a conversion price of $16.65 per share of common stock. Junior Subordinated Notes The carrying values of borrowings under our junior subordinated notes were $143.5 million and $143.1 million at June 30, 2023 and December 31, 2022 respectively, which is net of a deferred amount of $9.3 million and $9.6 million, respectively, (which is amortized into interest expense over the life of the notes) and deferred financing fees of $1.5 million and $1.6 million at June 30, 2023 and December 31, 2022, respectively. These notes have maturities ranging from March 2034 through April 2037 and pay interest quarterly at a floating rate. The weighted average note rate was 8.44% and 7.65% at June 30, 2023 and December 31, 2022, respectively. Including certain fees and costs, the weighted average note rate was 8.52% and 7.74% at June 30, 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 June 30, 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 June 30, 2023, as well as on the most recent determination dates in July 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 July 2023 are as follows:
Cash Flow Triggers |  | CLO 12 |  | CLO 14 |  | CLO 15 |  | CLO 16 |  | CLO 17 |  | CLO 18 |  | CLO 19
Overcollateralization (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Current |  | 166.17 | % |  | 119.76 | % |  | 120.85 | % |  | 121.21 | % |  | 122.51 | % |  | 124.03 | % |  | 120.30 | %
Limit |  | 117.87 | % |  | 118.76 | % |  | 119.85 | % |  | 120.21 | % |  | 121.51 | % |  | 123.03 | % |  | 119.30 | %
Pass / Fail |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass
Interest Coverage (2) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Current |  | 191.03 | % |  | 150.95 | % |  | 136.88 | % |  | 157.53 | % |  | 132.79 | % |  | 132.83 | % |  | 129.59 | %
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. Our CLO overcollateralization ratios as of the determination dates subsequent to each quarter are as follows:
Determination (1) |  | CLO 12 |  | CLO 14 |  | CLO 15 |  | CLO 16 |  | CLO 17 |  | CLO 18 |  | CLO 19
July 2023 |  | 166.17 | % |  | 119.76 | % |  | 120.85 | % |  | 121.21 | % |  | 122.51 | % |  | 124.03 | % |  | 120.30 | %
April 2023 |  | 149.65 | % |  | 119.76 | % |  | 120.85 | % |  | 121.21 | % |  | 122.51 | % |  | 124.03 | % |  | 120.30 | %
January 2023 |  | 126.58 | % |  | 119.76 | % |  | 120.85 | % |  | 121.21 | % |  | 122.51 | % |  | 124.03 | % |  | 120.30 | %
October 2022 |  | 118.87 | % |  | 119.76 | % |  | 120.85 | % |  | 121.21 | % |  | 122.51 | % |  | 124.03 | % |  | 120.30 | %
July 2022 |  | 118.87 | % |  | 119.76 | % |  | 120.85 | % |  | 121.21 | % |  | 122.51 | % |  | 124.03 | % |  | 120.30 | %
________________________ (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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