Debt Obligations (Tables)

9 Months Ended

Sep. 30, 2024

Borrowings under our credit and repurchase facilities are as follows ($ in thousands):


				September 30, 2024						December 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. 2025	Jul. 2026	V	$	692,187	$	1,131,634	7.36	%	$	868,077	$	1,371,436
$1B repurchase facility (2)	Aug. 2025	N/A	V	164,403		262,020		7.43	%	385,779		589,533
$1B repurchase facility	(6)	N/A	V	749,244		1,011,816		7.51	%	447,490		597,205
$649M repurchase facility (2)(4)	Oct. 2025	N/A	V	490,019		667,585		7.44	%	355,328		506,753
$400M credit facility	Mar. 2027	N/A	V	131,818		198,666		8.21	%	—		—
$350M repurchase facility	Mar. 2025	Mar. 2026	V	134,009		203,135		7.05	%	262,820		362,465
$250M credit facility (2)	Mar. 2026	(7)	V	140,842		271,985		8.21	%	—		—
$250M repurchase facility	Sept. 2027	(7)	V	—		—		—		—		—
$250M repurchase facility	Jan. 2025	N/A	V	—		—		—		17,964		23,088
$250M credit facility	Oct. 2025	Oct. 2026	V	—		—		—		—		—
$200M repurchase facility	Mar. 2025	N/A	V	110,095		154,402		7.50	%	45,969		68,762
$200M repurchase facility	Jan. 2025	N/A	V	62,253		92,634		6.89	%	107,324		141,130
$150M repurchase facility	Oct. 2025	N/A	V	82,801		110,694		7.95	%	120,610		162,068
$143M loan specific credit facilities	Nov. 2024 to Sept. 2025	Sept. 2026 to Aug. 2027	V	143,117		193,964		7.39	%	120,328		161,700
$100M credit facility	Oct. 2024 (8)	N/A	V	—		—		—		32,579		41,522
$50M credit facility	(9)	N/A	V	—		—		—		29,200		36,500
$40M credit facility	Apr. 2026	Apr. 2027	V	15,550		24,610		7.30	%	—		—
$35M working capital facility	Apr. 2025	N/A	V	—		—		—		—		—
Repurchase facility - securities (2)(5)	N/A	N/A	V	21,962		—		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/A	N/A	V	$	17,445	$	17,474	6.31	%	$	73,011	$	73,781
$500M repurchase facility	Nov. 2024	N/A	V	197,646		198,148		6.33	%	115,730		241,895
$200M credit facility	Mar. 2025	N/A	V	73,315		73,563		6.36	%	187,138		187,185
$100M joint repurchase facility (2)(3)	Jul. 2025	Jul. 2026	V	7,921		11,329		7.58	%	7,833		11,350
$100M credit facility	Jan. 2025	N/A	V	17,514		17,550		6.31	%	—		—
$50M credit facility	Sept. 2025	N/A	V	5,245		5,245		6.31	%	29,083		29,418
$1M repurchase facility (2)(4)	Oct. 2025	N/A	V	333		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.

Borrowings and the corresponding collateral under our securitized debt transactions are as follows ($ in thousands):


	Debt						Collateral (3)
							Loans				Cash
September 30, 2024	Face Value		Carrying Value (1)		Wtd. Avg. Rate (2)		UPB		Carrying Value		Restricted Cash (4)
CLO 19	$	785,237	$	782,149	7.47	%	$	925,118	$	924,023	$	16,900
CLO 18	1,555,265		1,552,002		6.88	%	1,938,088		1,936,903		—
CLO 17	1,640,316		1,637,614		6.63	%	1,912,268		1,910,651		52,265
CLO 16	830,087		827,777		6.37	%	1,042,646		1,041,417		30,000

CLO 14	359,142		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 securitization	157,198		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 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

________________________

(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.

Summary of Senior Unsecured Notes

A summary of our senior unsecured notes is as follows ($ in thousands):


Senior Unsecured Notes	Issuance Date		September 30, 2024						December 31, 2023
		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	$	94,130	7.75	%	$	95,000	$	93,697	7.75	%
8.50% Notes (3)	Oct. 2022	Oct. 2027	150,000		148,410		8.50	%	150,000		148,023		8.50	%
5.00% Notes (3)	Dec. 2021	Dec. 2028	180,000		178,194		5.00	%	180,000		177,875		5.00	%
4.50% Notes (3)	Aug. 2021	Sept. 2026	270,000		268,392		4.50	%	270,000		267,763		4.50	%
5.00% Notes (3)	Apr. 2021	Apr. 2026	175,000		174,003		5.00	%	175,000		173,542		5.00	%
4.50% Notes (3)	Mar. 2020	Mar. 2027	275,000		273,807		4.50	%	275,000		273,444		4.50	%
4.75% Notes (4)	Oct. 2019	Oct. 2024	110,000		109,972		4.75	%	110,000		109,721		4.75	%
5.75% Notes (5)	Mar. 2019	Apr. 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.

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
September 30, 2024	$	287,500	$	2,330	$	285,170

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 October 2024 are as follows:


Cash Flow Triggers	CLO 14		CLO 16		CLO 17		CLO 18		CLO 19
Overcollateralization (1)
Current	133.88	%	129.98	%	123.14	%	124.20	%	121.78	%
Limit	118.76	%	120.21	%	121.51	%	123.03	%	119.30	%
Pass / Fail	Pass		Pass		Pass		Pass		Pass

Interest Coverage (2)
Current	165.86	%	169.06	%	159.44	%	146.99	%	138.81	%
Limit	120.00	%	120.00	%	120.00	%	120.00	%	120.00	%
Pass / Fail	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 16		CLO 17		CLO 18		CLO 19
October 2024	133.88	%	129.98	%	123.14	%	124.20	%	121.78	%
July 2024	132.91	%	127.64	%	121.78	%	123.67	%	119.98	%
April 2024	125.22	%	120.81	%	121.71	%	123.87	%	119.30	%
January 2024	120.00	%	120.81	%	121.71	%	123.87	%	120.30	%
October 2023	119.76	%	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.