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Debt Obligations (Tables)

12 Months Ended

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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