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Debt Obligations
 9 Months Ended
Sep. 30, 2024
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, 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$692,187 $1,131,634 7.36 %$868,077 $1,371,436 
$1B repurchase facility (2)
Aug. 2025N/AV164,403 262,020 7.43 %385,779 589,533 
$1B repurchase facility
(6)N/AV749,244 1,011,816 7.51 %447,490 597,205 
$649M repurchase facility (2)(4)
Oct. 2025N/AV490,019 667,585 7.44 %355,328 506,753 
$400M credit facility
Mar. 2027N/AV131,818 198,666 8.21 %— — 
$350M repurchase facility
Mar. 2025Mar. 2026V134,009 203,135 7.05 %262,820 362,465 
$250M credit facility (2)
Mar. 2026(7)V140,842 271,985 8.21 %— — 
$250M repurchase facility
Sept. 2027(7)V— — — — — 
$250M repurchase facility
Jan. 2025N/AV— — — 17,964 23,088 
$250M credit facility
Oct. 2025Oct. 2026V— — — — — 
$200M repurchase facility
Mar. 2025N/AV110,095 154,402 7.50 %45,969 68,762 
$200M repurchase facility
Jan. 2025N/AV62,253 92,634 6.89 %107,324 141,130 
$150M repurchase facility
Oct. 2025N/AV82,801 110,694 7.95 %120,610 162,068 
$143M loan specific credit facilities
Nov. 2024 to Sept. 2025Sept. 2026 to Aug. 2027V143,117 193,964 7.39 %120,328 161,700 
$100M credit facility
Oct. 2024 (8)N/AV— — — 32,579 41,522 
$50M credit facility
(9)N/AV— — — 29,200 36,500 
$40M credit facility
Apr. 2026Apr. 2027V15,550 24,610 7.30 %— — 
$35M working capital facility
Apr. 2025N/AV— — — — — 
Repurchase facility - securities (2)(5)N/AN/AV21,962 — 6.64 %31,033 — 
Structured Business total$2,938,300 $4,323,145 7.49 %$2,824,501 $4,062,162 
Agency Business
$750M ASAP agreement
N/AN/AV$17,445 $17,474 6.31 %$73,011 $73,781 
$500M repurchase facility
Nov. 2024N/AV197,646 198,148 6.33 %115,730 241,895 
$200M credit facility
Mar. 2025N/AV73,315 73,563 6.36 %187,138 187,185 
$100M joint repurchase facility (2)(3)
Jul. 2025Jul. 2026V7,921 11,329 7.58 %7,833 11,350 
$100M credit facility
Jan. 2025N/AV17,514 17,550 6.31 %— — 
$50M credit facility
Sept. 2025N/AV5,245 5,245 6.31 %29,083 29,418 
$1M repurchase facility (2)(4)
Oct. 2025N/AV333 824 7.30 %531 866 
Agency Business total$319,419 $324,133 6.37 %$413,326 $544,495 
Consolidated total$3,257,719 $4,647,278 7.38 %$3,237,827 $4,606,657 
________________________
V = variable note rate
(1)At September 30, 2024 and December 31, 2023, debt carrying value for the Structured Business was net of unamortized deferred finance costs of $6.1 million and $4.8 million, respectively, and for the Agency Business was net of unamortized deferred finance costs of $0.2 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 September 30, 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 $31.4 million and $43.1 million, respectively.
(6)The commitment amount under this 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 facility in one-year increments, subject to lender approval.
(8)This facility matured in October 2024 and was not renewed.
(9)In June 2024, we terminated this facility.
Structured Business
At September 30, 2024 and December 31, 2023, 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 7.95% and 8.26%, 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 68% and 69% at September 30, 2024 and December 31, 2023, respectively.
In September 2024, we entered into a $400.0 million credit facility to finance performing and non-performing loans that matures in March 2027. The facility has an interest rate of SOFR plus 3.25%, with a SOFR floor of 1.00%.
In September 2024, we entered into a $250.0 million repurchase facility to finance multifamily construction loans that matures in September 2027, with the ability to extend the maturity in one-year increments, subject to lender approval. The facility has an interest rate of SOFR plus 3.25%, with a SOFR floor of 2.00%.
In June 2024, we amended a $500.0 million repurchase facility to increase the facility size to $650.0 million and extend the maturity to October 2025. The interest rate range for new loans under this facility was also adjusted to SOFR plus 2.61% to 3.11%, with a 0.25% SOFR floor.
In April 2024, we amended a $200.0 million credit facility to decrease the facility size to $100.0 million.
In March 2024, we amended a $500.0 million repurchase facility to increase the facility size to $1.00 billion.
In March 2024, we amended a $450.0 million repurchase facility to decrease the facility size to $350.0 million and exercised one of two remaining one-year extension options to extend maturity to March 2025.
In March 2024, we entered into a $250.0 million repurchase facility to finance non-performing loans that matures in March 2026, with the ability to extend the maturity in one-year increments, subject to lender approval. The facility has an interest rate of SOFR plus 3.25%, with a SOFR floor of 2.50%.
In January 2024, we consolidated two credit facilities of $225.0 million and $25.0 million into one facility totaling $150.0 million. This facility bears interest at SOFR plus 3.00% with an all-in floor of 5.50% and matures in October 2025.
Agency Business
In June 2024, we amended our letter of credit securing our obligations under the Fannie Mae DUS and the Freddie Mac SBL programs by increasing the outstanding letter of credit amount for our Fannie Mae DUS obligations to $70.0 million from $64.0 million. We have no remaining letter of credit capacity available under this facility.
Securitized Debt
We account for securitized debt transactions on our consolidated balance sheet as financing facilities. These transactions are considered VIEs for which we are the primary beneficiary and are consolidated in our financial statements. The investment grade notes and guaranteed certificates issued to third parties are treated as secured financings and are non-recourse to us.
Borrowings and the corresponding collateral under our securitized debt transactions are as follows ($ in thousands):
DebtCollateral (3)
LoansCash
September 30, 2024Face ValueCarrying
Value (1)		Wtd. Avg.
Rate (2)		UPBCarrying
Value		Restricted
Cash (4)
CLO 19$785,237 $782,149 7.47 %$925,118 $924,023 $16,900 
CLO 181,555,265 1,552,002 6.88 %1,938,088 1,936,903 — 
CLO 171,640,316 1,637,614 6.63 %1,912,268 1,910,651 52,265 
CLO 16830,087 827,777 6.37 %1,042,646 1,041,417 30,000 
CLO 14359,142 358,912 6.56 %466,304 465,894 — 
Total CLOs (5)5,170,047 5,158,454 6.79 %6,284,424 6,278,888 99,165 
Q Series securitization157,198 156,625 6.96 %209,598 209,319 — 
Total securitized debt$5,327,245 $5,315,079 6.80 %$6,494,022 $6,488,207 $99,165 
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 $11.6 million and $21.3 million of deferred financing fees at September 30, 2024 and December 31, 2023, respectively.
(2)At September 30, 2024 and December 31, 2023, the aggregate weighted average note rate for our collateralized loan obligations ("CLO"), including certain fees and costs, was 7.01% and 7.37%, respectively, and the Q Series securitization was 7.87% and 7.99%, respectively.
(3)At September 30, 2024 and December 31, 2023, twenty-nine and twelve loans, respectively, with a total UPB of $1.09 billion 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 $59.5 million and $63.9 million at September 30, 2024 and December 31, 2023, respectively.
(5)The replenishment periods of CLO 14, CLO 15, CLO 16, CLO 19, CLO 17, and CLO 18 ended in September 2023, December 2023, March 2024, May 2024, June 2024, and August 2024, respectively.
CLO 15. In June 2024, we unwound CLO 15, redeeming the remaining outstanding notes totaling $674.4 million, which were paid primarily from the refinancing of the remaining assets within our other CLO vehicles and credit and repurchase facilities.
Securitization Paydowns. During the nine months ended September 30, 2024, outstanding notes totaling $896.5 million on our existing CLOs and $58.1 million on the Q Series securitization have been paid down.
Senior Unsecured Notes
A summary of our senior unsecured notes is as follows ($ in thousands):
Senior
Unsecured Notes		Issuance
Date 		September 30, 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 $94,130 7.75 %$95,000 $93,697 7.75 %
8.50% Notes (3)Oct. 2022Oct. 2027150,000 148,410 8.50 %150,000 148,023 8.50 %
5.00% Notes (3) Dec. 2021Dec. 2028180,000 178,194 5.00 %180,000 177,875 5.00 %
4.50% Notes (3) Aug. 2021Sept. 2026270,000 268,392 4.50 %270,000 267,763 4.50 %
5.00% Notes (3) Apr. 2021Apr. 2026175,000 174,003 5.00 %175,000 173,542 5.00 %
4.50% Notes (3) Mar. 2020 Mar. 2027275,000 273,807 4.50 %275,000 273,444 4.50 %
4.75% Notes (4) Oct. 2019Oct. 2024110,000 109,972 4.75 %110,000 109,721 4.75 %
5.75% Notes (5) Mar. 2019Apr. 2024— — — 90,000 89,903 5.75 %
$1,255,000 $1,246,908 5.39 %$1,345,000 $1,333,968 5.41 %
________________________
(1)At September 30, 2024 and December 31, 2023, the carrying value is net of deferred financing fees of $8.1 million and $11.0 million, respectively.
(2)At September 30, 2024 and December 31, 2023, the aggregate weighted average note rate, including certain fees and costs, was 5.67% and 5.70%, 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.
(5)In April 2024, these notes matured and were redeemed for cash.

Subsequent Events

In October 2024, we issued $100.0 million aggregate principal amount of 9.00% senior unsecured notes due October 2027 in a private offering. Also in October, we redeemed the $110.0 million outstanding on our 4.75% senior unsecured notes at maturity.
Convertible Senior Unsecured Notes
Our 7.50% 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, 2024$287,500 $2,330 $285,170 
December 31, 2023$287,500 $4,382 $283,118 
During the three months ended September 30, 2024, 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, 2024, we incurred interest expense on the notes totaling $18.3 million, of which $16.2 million and $2.1 million related to the cash coupon and deferred financing fees, respectively. 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. Including the amortization of the deferred financing fees, our weighted average total cost of the notes was 8.43% and 8.42% at September 30, 2024 and December 31, 2023, respectively. At September 30, 2024, the 7.50% convertible senior notes had a conversion rate of 60.9100 shares of common stock per $1,000 of principal, which represented a conversion price of $16.42 per share of common stock.
Junior Subordinated Notes
The carrying values of borrowings under our junior subordinated notes were $144.5 million and $143.9 million at September 30, 2024 and December 31, 2023, respectively, which is net of a deferred amount of $8.5 million and $9.0 million, respectively, (which is amortized into interest expense over the life of the notes) and deferred financing fees of $1.4 million and $1.5 million, 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 7.47% and 8.48% at September 30, 2024 and December 31, 2023, respectively. Including certain fees and costs, the weighted average note rate was 7.56% and 8.56% at September 30, 2024 and December 31, 2023, 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, 2024.
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, 2024, as well as on the most recent determination dates in October 2024. 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 2024 are as follows:
Cash Flow TriggersCLO 14 CLO 16 CLO 17 CLO 18 CLO 19
Overcollateralization (1)
Current133.88 %129.98 %123.14 %124.20 %121.78 %
Limit118.76 %120.21 %121.51 %123.03 %119.30 %
Pass / FailPassPassPassPass Pass
Interest Coverage (2)
Current165.86 %169.06 %159.44 %146.99 %138.81 %
Limit120.00 %120.00 %120.00 %120.00 %120.00 %
Pass / FailPassPass 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 16 CLO 17 CLO 18 CLO 19
October 2024133.88 %129.98 %123.14 %124.20 %121.78 %
July 2024132.91 %127.64 %121.78 %123.67 %119.98 %
April 2024125.22 %120.81 %121.71 %123.87 %119.30 %
January 2024120.00 %120.81 %121.71 %123.87 %120.30 %
October 2023119.76 %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.