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Debt Obligations
 9 Months Ended
Sep. 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):
September 30, 2023December 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)
Jul. 2025Jul. 2026V$923,599 $1,438,971 7.72 %$1,516,657 $2,099,447 
$1B repurchase facility (2)
Aug. 2025Aug. 2026V418,206 621,759 7.58 %498,666 703,740 
$500M repurchase facility
(5)N/AV374,072 505,139 8.34 %154,653 188,563 
$499M repurchase facility (2)(3)
Oct. 2023 (6)N/AV343,726 491,190 7.67 %351,056 504,506 
$450M repurchase facility
Mar. 2024Mar. 2026V328,650 452,318 7.50 %344,237 450,736 
$450M repurchase facility
Jan. 2024Oct. 2024V93,410 120,947 7.01 %186,639 239,678 
$250M credit facility
July 2024N/AV18,438 23,088 7.28 %33,221 43,238 
$225M credit facility
Jan. 2024Jan. 2025V94,913 148,041 7.97 %47,398 81,119 
$200M repurchase facility
Mar. 2025Mar. 2026V73,751 105,076 7.97 %32,494 47,750 
$200M repurchase facility
Jan. 2024Jan. 2025V115,748 151,890 7.36 %154,516 200,099 
$174M loan specific credit facilities
Oct. 2023 (6) to Aug. 2025Aug. 2025 to Aug. 2027V/F173,862 251,049 7.45 %156,107 225,805 
$50M credit facility
Apr. 2024Apr. 2025V29,200 36,500 7.51 %29,194 36,500 
$40M credit facility
Apr. 2026Apr. 2027V— — — — — 
$35M working capital facility
Apr. 2024N/AV— — — — — 
$25M credit facility
Oct. 2024N/AV18,248 24,625 8.02 %18,701 24,572 
Repurchase facility - securities (2)(4)N/AN/AV31,032 — 7.11 %12,832 — 
Structured Business total$3,036,855 $4,370,593 7.70 %$3,536,371 $4,845,753 
Agency Business
$750M ASAP agreement
N/AN/AV$54,618 $55,220 6.46 %$29,476 $30,291 
$500M joint repurchase facility (2)
Jul. 2025Jul. 2026V7,701 11,350 7.74 %104,629 135,641 
$500M repurchase facility
Nov. 2023N/AV144,818 145,618 6.69 %66,778 66,866 
$200M credit facility
Mar. 2024N/AV143,654 144,168 6.71 %31,475 33,177 
$100M credit facility
July 2024N/AV— — — 57,887 57,974 
$50M credit facility
Sept. 2024N/AV3,264 3,264 6.66 %14,664 14,671 
$1M repurchase facility (2)(3)
Oct. 2023 (6)N/AV531 880 7.67 %534 920 
Agency Business total$354,586 $360,500 6.69 %$305,443 $339,540 
Consolidated total$3,391,441 $4,731,093 7.59 %$3,841,814 $5,185,293 
________________________
V = Variable Note Rate; F = Fixed Note Rate
(1)At September 30, 2023 and December 31, 2022, debt carrying value for the Structured Business was net of unamortized deferred finance costs of $6.6 million and $13.3 million, respectively, and for the Agency Business was net of unamortized deferred finance costs of $0.5 million and $0.9 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 September 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 $44.4 million. At December 31, 2022, this facility was collateralized by B Piece bonds with a carrying value of $33.1 million.
(5)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.
(6)These credit facilities, with a total committed amount of $514.5 million, mature on October 30, 2023 and we are currently in negotiations with these lenders to amend these facilities and extend the maturity.
During 2023, all of our remaining LIBOR-based financings were converted to a SOFR-based interest rate.
Structured Business
At September 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 8.14% 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 69% and 73% at September 30, 2023 and December 31, 2022, respectively.

In August 2023, we amended a $1.00 billion repurchase facility to extend the maturity to August 2025, with a one-year extension option, and amend the interest rate on new loans to SOFR plus 2.50%. The pricing on existing loans will remain unchanged until December 2023, at which time they will increase to SOFR plus 2.25%, as long as the weighted average spread of all loans is at least 2.40%. The pricing on existing loans will then increase to 2.50% in June 2024.

In July 2023, we amended our $3.00 billion joint repurchase facility, which is shared between our Structured Business and Agency Business. The facility size will remain at $3.00 billion until March 2024, at which time it will be reduced to $2.00 billion. In addition, the maturity was extended to July 2025, with a one-year extension option at the buyers discretion.

In July 2023, we amended a $400.0 million credit facility to decrease the facility size to $250.0 million, extend the maturity to July 2024 and amend the interest rates on new loans to SOFR plus 2.50% for multifamily loans, and SOFR plus 2.95% to 3.20% for non-multifamily loans.

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):
DebtCollateral (3)
LoansCash
September 30, 2023Face ValueCarrying
Value (1)		Wtd. Avg.
Rate (2)		UPBCarrying
Value		Restricted
Cash (4)
CLO 19$872,812 $867,904 7.77 %$1,014,554 $1,010,753 $4,527 
CLO 181,652,812 1,647,326 7.22 %1,908,793 1,903,837 20,983 
CLO 171,714,125 1,709,255 7.10 %1,901,897 1,896,347 149,206 
CLO 161,237,500 1,233,286 6.73 %1,343,886 1,340,303 91,434 
CLO 15674,412 672,897 6.78 %770,602 768,436 19,714 
CLO 14 (5)655,475 653,876 6.74 %756,030 754,189 13,920 
Total CLOs6,807,136 6,784,544 7.08 %7,695,762 7,673,865 299,784 
Q Series securitization222,066 220,090 7.31 %296,088 294,876 — 
Total securitized debt$7,029,202 $7,004,634 7.09 %$7,991,850 $7,968,741 $299,784 
December 31, 2022
CLO 19$872,812 $866,605 6.75 %$952,268 $947,336 $64,300 
CLO 181,652,812 1,645,711 6.19 %1,899,174 1,891,215 85,970 
CLO 171,714,125 1,707,676 6.16 %1,911,866 1,904,732 145,726 
CLO 161,237,500 1,231,887 5.79 %1,307,244 1,301,794 106,495 
CLO 15674,412 671,532 5.84 %797,755 795,078 2,861 
CLO 14655,475 652,617 5.80 %732,247 730,057 37,090 
CLO 13462,769 461,005 6.03 %552,182 550,924 37,875 
CLO 12379,283 378,331 6.09 %466,474 465,003 500 
Total CLOs7,649,188 7,615,364 6.10 %8,619,210 8,586,139 480,817 
Q Series securitization236,878 233,906 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 $24.6 million and $36.8 million of deferred financing fees at September 30, 2023 and December 31, 2022, respectively.
(2)At September 30, 2023 and December 31, 2022, the aggregate weighted average note rate for our securitized debt, including certain fees and costs, was 7.34% and 6.32%, respectively.
(3)At September 30, 2023, four loans with an aggregate UPB of $89.8 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. A credit risk asset is 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 $108.5 million and $230.0 million at September 30, 2023 and December 31, 2022, respectively.
(5)The replenishment period of CLO 14 ended in September 2023.
CLO 13 and 12. In June 2023 and August 2023, we unwound CLO 13 and 12, respectively, 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 and $0.3 million of deferred financing fees in the second and third quarter of 2023, respectively, into loss on extinguishment of debt on the consolidated statements of income.
In the first quarter of 2022, we unwound a CLO and expensed $1.4 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income.
Senior Unsecured Notes
A summary of our senior unsecured notes is as follows ($ in thousands):
Senior
Unsecured Notes		Issuance
Date 		September 30, 2023December 31, 2022
MaturityUPBCarrying
Value (1)		Wtd. Avg.
Rate (2)		UPBCarrying
Value (1) 		Wtd. Avg.
Rate (2)
 
7.75% Notes (3)
Mar. 2023Mar. 2026$95,000 $93,552 7.75 %$— $— — 
8.50% Notes (3)
Oct. 2022Oct. 2027150,000 147,904 8.50 %150,000 147,519 8.50 %
5.00% Notes (3)
 Dec. 2021Dec. 2028180,000 177,769 5.00 %180,000 177,450 5.00 %
4.50% Notes (3)
 Aug. 2021Sept. 2026270,000 267,555 4.50 %270,000 266,926 4.50 %
5.00% Notes (3)
 Apr. 2021Apr. 2026175,000 173,386 5.00 %175,000 172,917 5.00 %
4.50% Notes (3)
 Mar. 2020 Mar. 2027275,000 273,322 4.50 %275,000 272,960 4.50 %
4.75% Notes (4)
 Oct. 2019Oct. 2024110,000 109,633 4.75 %110,000 109,369 4.75 %
5.75% Notes (4)
 Mar. 2019Apr. 202490,000 89,805 5.75 %90,000 89,514 5.75 %
8.00% Notes (3)
 Apr. 2020Apr. 2023— — — 70,750 70,613 8.00 %
5.625% Notes (4)
 Mar. 2018May 2023— — — 78,850 78,726 5.63 %
$1,345,000 $1,332,926 5.41 %$1,399,600 $1,385,994 5.40 %
________________________
(1)At September 30, 2023 and December 31, 2022, the carrying value is net of deferred financing fees of $12.1 million and $13.6 million, respectively.
(2)At September 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 included 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 maturity (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):
PeriodUPBUnamortized Deferred
Financing Fees		Net Carrying
Value
September 30, 2023$287,500 $5,072 $282,428 
December 31, 2022$287,500 $7,144 $280,356 
During the three months ended September 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 nine months ended September 30, 2023, we incurred interest expense on the notes totaling $18.2 million, of which $16.1 million and $2.1 million related to the cash coupon and deferred financing fees, respectively. During the three months ended September 30, 2022, we incurred interest expense on the notes totaling $5.8 million, of which $5.0 million and $0.8 million related to the cash coupon and deferred financing fees, respectively. During the nine months ended September 30, 2022, we incurred interest expense on the notes totaling $13.4 million, of which $11.3 million and $2.1 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 September 30, 2023 and December 31, 2022. At September 30, 2023, the 7.50% convertible senior notes had a conversion rate of 60.2170 shares of common stock per $1,000 of principal, which represented a conversion price of $16.61 per share of common stock.
During the third quarter of 2022, our 4.75% convertible senior notes were repurchased and settled and we expensed $3.3 million of deferred financing fees into loss on extinguishment of debt.
Junior Subordinated Notes
The carrying values of borrowings under our junior subordinated notes were $143.7 million and $143.1 million at September 30, 2023 and December 31, 2022, respectively, which is net of a deferred amount of $9.1 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 September 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 8.55% and 7.65% at September 30, 2023 and December 31, 2022, respectively. Including certain fees and costs, the weighted average note rate was 8.63% and 7.74% at September 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 September 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 September 30, 2023, as well as on the most recent determination dates in October 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 October 2023 are as follows:
Cash Flow TriggersCLO 14 CLO 15 CLO 16 CLO 17 CLO 18 CLO 19
Overcollateralization (1)
Current119.76 %120.85 %121.21 %122.51 %124.03 %120.30 %
Limit118.76 %119.85 %120.21 %121.51 %123.03 %119.30 %
Pass / FailPassPassPassPassPass Pass
Interest Coverage (2)
Current153.74 %151.78 %148.88 %143.35 %148.56 %132.54 %
Limit120.00 %120.00 %120.00 %120.00 %120.00 %120.00 %
Pass / FailPassPassPass PassPass  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 14 CLO 15 CLO 16 CLO 17 CLO 18 CLO 19
October 2023119.76 %120.85 %121.21 %122.51 %124.03 %120.30 %
July 2023119.76 %120.85 %121.21 %122.51 %124.03 %120.30 %
April 2023119.76 %120.85 %121.21 %122.51 %124.03 %120.30 %
January 2023119.76 %120.85 %121.21 %122.51 %124.03 %120.30 %
October 2022119.76 %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.