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Debt Obligations (Tables) | 12 Months Ended
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Dec. 31, 2023
Debt Disclosure [Abstract] |
Summary of Borrowings | Borrowings under our credit and repurchase facilities are as follows ($ in thousands):
|  | December 31, 2023 |  | December 31, 2022
|  | UPB |  | Debt Carrying Value (1) |  | Collateral Carrying Value |  | Wtd. Avg. Note Rate |  | UPB |  | Debt Carrying Value (1) |  | Collateral Carrying Value |  | Wtd. Avg. Note Rate
Structured Business |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
$2.5B joint repurchase facility (2) |  | $ | 870,073 |  |  | $ | 868,077 |  |  | $ | 1,371,436 |  |  | 7.81 | % |  | $ | 1,524,831 |  |  | $ | 1,516,657 |  |  | $ | 2,099,447 |  |  | 6.73 | %
$1B repurchase facility (2) |  | 386,576 |  |  | 385,779 |  |  | 589,533 |  |  | 7.68 | % |  | 499,891 |  |  | 498,666 |  |  | 703,740 |  |  | 6.39 | %
$500M repurchase facility |  | 448,411 |  |  | 447,490 |  |  | 597,205 |  |  | 8.38 | % |  | 155,121 |  |  | 154,653 |  |  | 188,563 |  |  | 7.16 | %
$499M repurchase facility (2)(3) |  | 355,328 |  |  | 355,328 |  |  | 506,753 |  |  | 7.83 | % |  | 351,056 |  |  | 351,056 |  |  | 504,506 |  |  | 6.64 | %
$450M repurchase facility |  | 263,061 |  |  | 262,820 |  |  | 362,465 |  |  | 7.55 | % |  | 344,576 |  |  | 344,237 |  |  | 450,736 |  |  | 6.36 | %
$250M credit facility |  | 17,997 |  |  | 17,964 |  |  | 23,088 |  |  | 7.32 | % |  | 33,246 |  |  | 33,221 |  |  | 43,238 |  |  | 6.25 | %
$250M repurchase facility |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
$225M credit facility |  | 103,552 |  |  | 103,552 |  |  | 139,252 |  |  | 8.04 | % |  | 47,398 |  |  | 47,398 |  |  | 81,119 |  |  | 6.90 | %
$200M repurchase facility |  | 32,599 |  |  | 32,579 |  |  | 41,522 |  |  | 7.03 | % |  | 187,428 |  |  | 186,639 |  |  | 239,678 |  |  | 6.18 | %
$200M repurchase facility |  | 46,403 |  |  | 45,969 |  |  | 68,762 |  |  | 8.04 | % |  | 33,155 |  |  | 32,494 |  |  | 47,750 |  |  | 6.95 | %
$200M repurchase facility |  | 107,355 |  |  | 107,324 |  |  | 141,130 |  |  | 7.44 | % |  | 155,240 |  |  | 154,516 |  |  | 200,099 |  |  | 6.33 | %
$121M loan specific credit facilities |  | 120,660 |  |  | 120,328 |  |  | 161,700 |  |  | 6.91 | % |  | 156,543 |  |  | 156,107 |  |  | 225,805 |  |  | 6.42 | %
$50M credit facility |  | 29,200 |  |  | 29,200 |  |  | 36,500 |  |  | 7.58 | % |  | 29,200 |  |  | 29,194 |  |  | 36,500 |  |  | 6.48 | %
$40M credit facility |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
$35M working capital facility |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
$25M credit facility |  | 17,093 |  |  | 17,058 |  |  | 22,816 |  |  | 8.09 | % |  | 19,177 |  |  | 18,701 |  |  | 24,572 |  |  | 6.99 | %
Repurchase facility - securities (2)(4) |  | 31,033 |  |  | 31,033 |  |  | — |  |  | 7.15 | % |  | 12,832 |  |  | 12,832 |  |  | — |  |  | 6.99 | %
Structured Business total |  | $ | 2,829,341 |  |  | $ | 2,824,501 |  |  | $ | 4,062,162 |  |  | 7.80 | % |  | $ | 3,549,694 |  |  | $ | 3,536,371 |  |  | $ | 4,845,753 |  |  | 6.59 | %
Agency Business |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
$750M ASAP agreement |  | $ | 73,011 |  |  | $ | 73,011 |  |  | $ | 73,781 |  |  | 6.49 | % |  | $ | 29,476 |  |  | $ | 29,476 |  |  | $ | 30,291 |  |  | 5.21 | %
$500M joint repurchase facility (2) |  | 7,945 |  |  | 7,833 |  |  | 11,350 |  |  | 7.77 | % |  | 105,275 |  |  | 104,629 |  |  | 135,641 |  |  | 6.52 | %
$500M repurchase facility |  | 115,841 |  |  | 115,730 |  |  | 241,895 |  |  | 6.83 | % |  | 66,866 |  |  | 66,778 |  |  | 66,866 |  |  | 5.73 | %
$200M credit facility |  | 187,185 |  |  | 187,138 |  |  | 187,185 |  |  | 6.78 | % |  | 31,519 |  |  | 31,475 |  |  | 33,177 |  |  | 5.76 | %
$100M credit facility |  | — |  |  | — |  |  | — |  |  | — |  |  | 57,974 |  |  | 57,887 |  |  | 57,974 |  |  | 5.76 | %
$50M credit facility |  | 29,085 |  |  | 29,083 |  |  | 29,418 |  |  | 6.73 | % |  | 14,671 |  |  | 14,664 |  |  | 14,671 |  |  | 5.65 | %
$1M repurchase facility (2)(3) |  | 531 |  |  | 531 |  |  | 866 |  |  | 7.86 | % |  | 534 |  |  | 534 |  |  | 920 |  |  | 6.66 | %
Agency Business total |  | $ | 413,598 |  |  | $ | 413,326 |  |  | $ | 544,495 |  |  | 6.76 | % |  | $ | 306,315 |  |  | $ | 305,443 |  |  | $ | 339,540 |  |  | 5.96 | %
Consolidated total |  | $ | 3,242,939 |  |  | $ | 3,237,827 |  |  | $ | 4,606,657 |  |  | 7.67 | % |  | $ | 3,856,009 |  |  | $ | 3,841,814 |  |  | $ | 5,185,293 |  |  | 6.54 | %
________________________________________ (1)At December 31, 2023 and 2022, debt carrying value for the Structured Business was net of unamortized deferred finance costs of $4.8 million and $13.3 million, respectively, and for the Agency Business was net of unamortized deferred finance costs of $0.3 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 December 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 $43.1 million. At December 31, 2022, this facility was collateralized by B Piece bonds with a carrying value of $33.1 million. Borrowings and the corresponding collateral under our securitized debt transactions are as follows ($ in thousands):
|  | Debt |  | Collateral (3)
|  |  |  |  |  |  |  | Loans |  | Cash
December 31, 2023 |  | Face Value |  | Carrying Value (1) |  | Wtd. Avg. Rate (2) |  | UPB |  | Carrying Value |  | Restricted Cash (4)
CLO 19 |  | $ | 872,812 |  |  | $ | 868,359 |  |  | 7.84 | % |  | $ | 1,031,772 |  |  | $ | 1,028,669 |  |  | $ | 4,527 |
CLO 18 |  | 1,652,812 |  |  | 1,647,885 |  |  | 7.29 | % |  | 1,784,921 |  |  | 1,780,930 |  |  | 244,629 |
CLO 17 |  | 1,714,125 |  |  | 1,709,800 |  |  | 7.14 | % |  | 1,870,388 |  |  | 1,865,878 |  |  | 203,938 |
CLO 16 |  | 1,237,500 |  |  | 1,233,769 |  |  | 6.76 | % |  | 1,456,872 |  |  | 1,453,297 |  |  | 847 |
CLO 15 (5) |  | 674,412 |  |  | 673,367 |  |  | 6.82 | % |  | 734,120 |  |  | 732,498 |  |  | 42,600 |
CLO 14 (5) |  | 589,345 |  |  | 588,176 |  |  | 6.82 | % |  | 680,814 |  |  | 679,469 |  |  | 33,271 |
Total CLOs |  | 6,741,006 |  |  | 6,721,356 |  |  | 7.14 | % |  | 7,558,887 |  |  | 7,540,741 |  |  | 529,812 |
Q Series securitization |  | 215,278 |  |  | 213,654 |  |  | 7.38 | % |  | 287,038 |  |  | 286,053 |  |  | — |
Total securitized debt |  | $ | 6,956,284 |  |  | $ | 6,935,010 |  |  | 7.15 | % |  | $ | 7,845,925 |  |  | $ | 7,826,794 |  |  | $ | 529,812 |
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 $21.3 million and $36.8 million of deferred financing fees at December 31, 2023 and 2022, respectively. (2)At December 31, 2023 and 2022, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 7.37% and 6.32%, respectively, and the Q Series securitization was 7.99% and 6.66%, respectively. (3)At December 31, 2023, twelve loans with an aggregate UPB of $308.3 million were deemed a "credit risk" as defined by the collateralized loan obligations ("CLO") indentures. At December 31, 2022, there were no collateral deemed a “credit risk” as defined by the CLO indentures. (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 $63.9 million and $230.0 million at December 31, 2023 and 2022, respectively. (5)The replenishment periods of CLO 14 and CLO 15 ended in September 2023 and December 2023, respectively.
Summary of Senior Unsecured Notes | A summary of our senior unsecured notes is as follows ($ in thousands):
|  |  |  |  |  | December 31, 2023 |  | December 31, 2022
Senior Unsecured Notes |  | Issuance Date |  | 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 |  |  | $ | 93,697 |  |  | 7.75 | % |  | $ | — |  |  | $ | — |  |  | — |
8.50% Notes (3) |  | Oct. 2022 |  | Oct. 2027 |  | 150,000 |  |  | 148,023 |  |  | 8.50 | % |  | 150,000 |  |  | 147,519 |  |  | 8.50 | %
5.00% Notes (3) |  | Dec. 2021 |  | Dec. 2028 |  | 180,000 |  |  | 177,875 |  |  | 5.00 | % |  | 180,000 |  |  | 177,450 |  |  | 5.00 | %
4.50% Notes (3) |  | Aug. 2021 |  | Sept. 2026 |  | 270,000 |  |  | 267,763 |  |  | 4.50 | % |  | 270,000 |  |  | 266,926 |  |  | 4.50 | %
5.00% Notes (3) |  | Apr. 2021 |  | Apr. 2026 |  | 175,000 |  |  | 173,542 |  |  | 5.00 | % |  | 175,000 |  |  | 172,917 |  |  | 5.00 | %
4.50% Notes (3) |  | Mar. 2020 |  | Mar. 2027 |  | 275,000 |  |  | 273,444 |  |  | 4.50 | % |  | 275,000 |  |  | 272,960 |  |  | 4.50 | %
4.75% Notes (4) |  | Oct. 2019 |  | Oct. 2024 |  | 110,000 |  |  | 109,721 |  |  | 4.75 | % |  | 110,000 |  |  | 109,369 |  |  | 4.75 | %
5.75% Notes (4) |  | Mar. 2019 |  | Apr. 2024 |  | 90,000 |  |  | 89,903 |  |  | 5.75 | % |  | 90,000 |  |  | 89,514 |  |  | 5.75 | %
8.00% Notes |  | Apr. 2020 |  | Apr. 2023 |  | — |  |  | — |  |  | — |  |  | 70,750 |  |  | 70,613 |  |  | 8.00 | %
5.625% Notes |  | Mar. 2018 |  | May 2023 |  | — |  |  | — |  |  | — |  |  | 78,850 |  |  | 78,726 |  |  | 5.63 | %
|  |  |  |  |  | $ | 1,345,000 |  |  | $ | 1,333,968 |  |  | 5.41 | % |  | $ | 1,399,600 |  |  | $ | 1,385,994 |  |  | 5.40 | %
________________________________________ (1)At December 31, 2023 and 2022, the carrying value is net of deferred financing fees of $11.0 million and $13.6 million, respectively. (2)At December 31, 2023 and 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):
Period |  | UPB |  |  |  | Unamortized Deferred Financing Fees |  | Net Carrying Value |  |
December 31, 2023 |  | $ | 287,500 |  |  |  |  | $ | 4,382 |  |  | $ | 283,118 |  |  |
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 January 2024 are as follows:
Cash Flow Triggers |  |  |  |  |  | CLO 14 |  | CLO 15 |  | CLO 16 |  | CLO 17 |  | CLO 18 |  | CLO 19
Overcollateralization (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Current |  |  |  |  |  | 120.00 | % |  | 120.85 | % |  | 120.81 | % |  | 121.71 | % |  | 123.87 | % |  | 120.30 | %
Limit |  |  |  |  |  | 118.76 | % |  | 119.85 | % |  | 120.21 | % |  | 121.51 | % |  | 123.03 | % |  | 119.30 | %
Pass / Fail |  |  |  |  |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass |  | Pass
Interest Coverage (2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Current |  |  |  |  |  | 151.42 | % |  | 157.34 | % |  | 150.93 | % |  | 136.66 | % |  | 137.10 | % |  | 134.89 | %
Limit |  |  |  |  |  | 120.00 | % |  | 120.00 | % |  | 120.00 | % |  | 120.00 | % |  | 120.00 | % |  | 120.00 | %
Pass / Fail |  |  |  |  |  | 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 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
January 2024 |  |  |  |  |  | 120.00 | % |  | 120.85 | % |  | 120.81 | % |  | 121.71 | % |  | 123.87 | % |  | 120.30 | %
October 2023 |  |  |  |  |  | 119.76 | % |  | 120.85 | % |  | 121.21 | % |  | 122.51 | % |  | 124.03 | % |  | 120.30 | %
July 2023 |  |  |  |  |  | 119.76 | % |  | 120.85 | % |  | 121.21 | % |  | 122.51 | % |  | 124.03 | % |  | 120.30 | %
April 2023 |  |  |  |  |  | 119.76 | % |  | 120.85 | % |  | 121.21 | % |  | 122.51 | % |  | 124.03 | % |  | 120.30 | %
January 2023 |  |  |  |  |  | 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.

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