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Debt Obligations (Tables)
 9 Months Ended
Sep. 30, 2023
Debt Disclosure [Abstract]  
Summary of Borrowings
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 $514.5 million, mature on October 30, 2023 and we are currently in negotiations with these lenders to amend these facilities and extend the maturity.
Borrowings and the corresponding collateral under our securitized debt transactions are as follows ($ 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 $230.0 million at September 30, 2023 and December 31, 2022, respectively.
(5)The replenishment period of CLO 14 ended in September 2023.
Summary of Senior Unsecured Notes
A summary of our senior unsecured notes is as follows ($ 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.
Summary of UPB and Net Carrying Value of Convertible Notes
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 
Summary of CLO Compliance Tests
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.
Summary of CLO Overcollateralization Ratios
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.