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Debt Obligations (Tables)
 3 Months Ended
Mar. 31, 2024
Debt Disclosure [Abstract]  
Summary of Borrowings
Borrowings under our credit and repurchase facilities are as follows ($ in thousands):
March 31, 2024December 31, 2023
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
$1.9B joint repurchase facility (2)(3)
Jul. 2025Jul. 2026V$783,102 $1,268,862 7.79 %$868,077 $1,371,436 
$1B repurchase facility (2)
Aug. 2025Aug. 2026V346,099 537,148 7.85 %385,779 589,533 
$1B repurchase facility
(6)N/AV440,959 588,623 8.39 %447,490 597,205 
$499M repurchase facility (2)(4)
Oct. 2024N/AV396,650 565,610 7.81 %355,328 506,753 
$350M repurchase facility
Mar. 2025Mar. 2026V151,448 228,535 7.54 %262,820 362,465 
$250M credit facility
Mar. 2026(7)V18,166 36,470 8.71 %— — 
$250M repurchase facility
Jul. 2024N/AV13,903 23,088 7.29 %17,964 23,088 
$250M credit facility
Oct. 2025Oct. 2026V— — — — — 
$200M credit facility
Oct. 2024N/AV8,818 13,692 7.13 %32,579 41,522 
$200M repurchase facility
Mar. 2025Mar. 2026V58,464 92,615 8.00 %45,969 68,762 
$200M repurchase facility
Jan. 2025N/AV106,950 141,130 7.40 %107,324 141,130 
$150M repurchase facility
Oct. 2025Oct. 2026V91,858 124,003 8.46 %120,610 162,068 
$126M loan specific credit facilities
May 2024 to Sept. 2025Aug. 2025 to Aug. 2027V/F125,819 170,237 6.77 %120,328 161,700 
$50M credit facility
Apr. 2025N/AV29,200 36,500 7.54 %29,200 36,500 
$40M credit facility
Apr. 2026Apr. 2027V— — — — — 
$35M working capital facility
Jul. 2024N/AV— — — — — 
Repurchase facility - securities (2)(5)N/AN/AV30,084 — 7.12 %31,033 — 
Structured Business total$2,601,520 $3,826,513 7.84 %$2,824,501 $4,062,162 
Agency Business
$750M ASAP agreement
N/AN/AV$83,866 $83,961 6.47 %$73,011 $73,781 
$500M repurchase facility
Nov. 2024N/AV64,632 65,065 6.81 %115,730 241,895 
$200M credit facility
Mar. 2025N/AV129,967 130,604 6.74 %187,138 187,185 
$100M joint repurchase facility (2)(3)
Jul. 2025Jul. 2026V7,912 11,350 7.74 %7,833 11,350 
$100M credit facility
Jul. 2024N/AV— — — — — 
$50M credit facility
Sept. 2024N/AV25,055 25,080 6.69 %29,083 29,418 
$1M repurchase facility (2)(4)
Oct. 2024N/AV531 853 7.79 %531 866 
Agency Business total$311,963 $316,913 6.71 %$413,326 $544,495 
Consolidated total$2,913,483 $4,143,426 7.72 %$3,237,827 $4,606,657 
________________________
V = variable note rate; F = fixed note rate
(1)At March 31, 2024 and December 31, 2023, debt carrying value for the Structured Business was net of unamortized deferred finance costs of $7.4 million and $4.8 million, respectively, and for the Agency Business was net of unamortized deferred finance costs of $0.3 million and $0.3 million, respectively.
(2)These facilities are subject to margin call provisions associated with changes in interest spreads.
(3)In March 2024, this joint repurchase facility was reduced from $3.00 billion to $2.00 billion.
(4)A portion of this facility was used to finance a fixed-rate SFR permanent loan reported through our Agency Business.
(5)At March 31, 2024 and 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 $36.7 million and $43.1 million, respectively.
(6)The commitment amount under this repurchase facility expires six months after the lender provides written notice. We then have an additional six months to repurchase the underlying loans.
(7)We have the ability to extend the maturity of this credit facility in one-year increments, subject to lender approval.
Borrowings and the corresponding collateral under our securitized debt transactions are as follows ($ in thousands):
DebtCollateral (3)
LoansCash
March 31, 2024Face ValueCarrying
Value (1)		Wtd. Avg.
Rate (2)		UPBCarrying
Value		Restricted
Cash (4)
CLO 19$872,812 $868,814 7.80 %$999,513 $997,140 $25,097 
CLO 181,652,812 1,648,440 7.25 %1,751,575 1,748,518 280,922 
CLO 171,714,125 1,710,343 7.11 %1,931,235 1,927,741 121,339 
CLO 16 (5)1,237,500 1,234,248 6.74 %1,432,124 1,429,369 21,800 
CLO 15 (5)582,218 581,595 6.84 %720,663 719,523 — 
CLO 14 (5)467,204 466,385 6.90 %571,929 570,921 20,164 
Total CLOs6,526,671 6,509,825 7.13 %7,407,039 7,393,212 469,322 
Q Series securitization183,448 182,133 7.34 %244,598 243,927 — 
Total securitized debt$6,710,119 $6,691,958 7.14 %$7,651,637 $7,637,139 $469,322 
December 31, 2023
CLO 19$872,812 $868,359 7.84 %$1,031,772 $1,028,669 $4,527 
CLO 181,652,812 1,647,885 7.29 %1,784,921 1,780,930 244,629 
CLO 171,714,125 1,709,800 7.14 %1,870,388 1,865,878 203,938 
CLO 161,237,500 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 CLOs6,741,006 6,721,356 7.14 %7,558,887 7,540,741 529,812 
Q Series securitization215,278 213,654 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 
________________________
(1)Debt carrying value is net of $18.2 million and $21.3 million of deferred financing fees at March 31, 2024 and December 31, 2023, respectively.
(2)At March 31, 2024 and December 31, 2023, the aggregate weighted average note rate for our collateralized loan obligations ("CLO"), including certain fees and costs, was 7.35% and 7.37%, respectively, and the Q Series securitization was 8.06% and 7.99%, respectively.
(3)At March 31, 2024 and December 31, 2023, twenty-one and twelve loans, respectively, with a total UPB of $651.1 million and $308.3 million, respectively, were 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 $59.1 million and $63.9 million at March 31, 2024 and December 31, 2023, respectively.
(5)The replenishment periods of CLO 14, CLO 15 and CLO 16 ended in September 2023, December 2023 and March 2024, respectively.
Summary of Senior Unsecured Notes
A summary of our senior unsecured notes is as follows ($ in thousands):
Senior
Unsecured Notes		Issuance
Date 		March 31, 2024December 31, 2023
MaturityUPBCarrying
Value (1)		Wtd. Avg.
Rate (2)		UPBCarrying
Value (1) 		Wtd. Avg.
Rate (2)
 
7.75% Notes (3)
Mar. 2023Mar. 2026$95,000 $93,840 7.75 %$95,000 $93,697 7.75 %
8.50% Notes (3)
Oct. 2022Oct. 2027150,000 148,153 8.50 %150,000 $148,023 8.50 %
5.00% Notes (3)
 Dec. 2021Dec. 2028180,000 177,981 5.00 %180,000 $177,875 5.00 %
4.50% Notes (3)
 Aug. 2021Sept. 2026270,000 267,973 4.50 %270,000 $267,763 4.50 %
5.00% Notes (3)
 Apr. 2021Apr. 2026175,000 173,698 5.00 %175,000 $173,542 5.00 %
4.50% Notes (3)
 Mar. 2020 Mar. 2027275,000 273,563 4.50 %275,000 $273,444 4.50 %
4.75% Notes (4)
 Oct. 2019Oct. 2024110,000 109,805 4.75 %110,000 $109,721 4.75 %
5.75% Notes (4)
 Mar. 2019Apr. 2024 (5)90,000 90,000 5.75 %90,000 $89,903 5.75 %
$1,345,000 $1,335,013 5.41 %$1,345,000 $1,333,968 5.41 %
________________________
(1)At March 31, 2024 and December 31, 2023, the carrying value is net of deferred financing fees of $10.0 million and $11.0 million, respectively.
(2)At both March 31, 2024 and December 31, 2023, the aggregate weighted average note rate, including certain fees and costs, was 5.70%.
(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
March 31, 2024$287,500 $3,724 $283,776 
December 31, 2023$287,500 $4,382 $283,118 
Summary of CLO Compliance Tests
Our CLO compliance tests as of the most recent determination dates in April 2024 are as follows:
Cash Flow TriggersCLO 14 CLO 15 CLO 16 CLO 17 CLO 18 CLO 19
Overcollateralization (1)
Current125.22 %124.15 %120.81 %121.71 %123.87 %119.30 %
Limit118.76 %119.85 %120.21 %121.51 %123.03 %119.30 %
Pass / FailPassPassPassPassPass Pass
Interest Coverage (2)
Current158.39 %167.06 %147.54 %142.84 %138.90 %128.48 %
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
April 2024125.22 %124.15 %120.81 %121.71 %123.87 %119.30 %
January 2024120.00 %120.85 %120.81 %121.71 %123.87 %120.30 %
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 %
________________________
(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.