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

(1)

The debt carrying value for the Structured Business at December 31, 2020 and 2019 was net of unamortized deferred finance costs of $3.3 million and $2.1 million, respectively. The debt carrying value for the Agency Business at December 31, 2020 and 2019 was net of unamortized deferred finance costs of $0.6 million and $0.2 million, respectively.

(2)

These repurchase facilities are subject to margin call provisions associated with changes in interest spreads. As of December 31, 2020 and 2019, these facilities were collateralized by our CLO bonds retained and consolidated by us with a principal balance of zero and $234.9 million, respectively, B Piece bonds with a carrying value of $58.5 million and $68.7 million, respectively, and SFR bonds with a carrying value of $10.0 million and $20.0 million, respectively. During 2020, we significantly reduced the UPB of these facilities by $178.6 million to $38.5 million, primarily through a debt restructuring and the use of proceeds from our senior notes issued in the second quarter of 2020.

Generally, our credit facilities and repurchase agreements have extension options that are at the discretion of the banking institutions in which we have long standing relationships with. These facilities typically renew annually and also include a "wind-down" feature.

Joint Repurchase Facility. We have a $1.10 billion joint repurchase facility, which is shared between the Structured Business and the Agency Business, of which $600.0 million matures in March 2021 and $500.0 million matures in March 2022 with each maturity eligible for a one-year extension option. This facility is used to finance structured loans and includes an $800.0 million sublimit to finance Private Label loans, which expires in March 2021 unless that portion of the facility is extended through March 2022. There is no stated interest rate under the facility and the interest rate is determined on a loan-by-loan basis and may include a LIBOR floor

equal to a pro rata share of the LIBOR floors included in our originated loans. The facility has a maximum advance rate of 80% on all loans and has a $25.0 million over advance available to structured assets that bears interest at a rate of 650 basis points over LIBOR. If the estimated market value of the loans financed in this facility decrease, we may be required to pay down borrowings under this facility.

Structured Business. We utilize credit facilities and repurchase agreements with various financial institutions to finance our Structured Business loans and investments as described below.

At December 31, 2020 and 2019, the weighted average interest rate for the credit facilities and repurchase agreements of our Structured Business, including certain fees and costs, such as structuring, commitment, non-use and warehousing fees, was 2.97% and 4.39%, respectively. The leverage on our loan and investment portfolio financed through our credit facilities and repurchase agreements, excluding the securities repurchase facilities, working capital facility and the master security agreements used to finance leasehold and capital expenditure improvements at our corporate office, was 69% and 71% at December 31, 2020 and 2019, respectively.

We have a $400.0 million repurchase facility used to finance loans. The facility bears interest at a rate of 220 basis points over LIBOR with a LIBOR floor of 75 basis points and matures in September 2021, with quarterly extension options having an extended maturity date no later than March 2023. The facility has a maximum advance rate of 75%.

We have a $200.0 million repurchase facility to finance single-family rental properties. The facility bears interest at a rate of 275 basis points over LIBOR with a LIBOR floor of 25 basis points and matures in December 2021. The facility has a maximum advance rate of 85%.

We have several loan specific credit facilities totaling $148.8 million used to finance individual bridge loans. The facilities bear interest at rates ranging from 220 to 250 basis points over LIBOR and fixed rates ranging from 3.50% to 4.00% and mature between June 2021 and December 2022.

We have a $100.0 million credit facility to finance bridge loans that bears an interest rate ranging from 230 to 300 basis points over LIBOR depending on the property type financed, a LIBOR floor of 50 basis points and a July 2021 maturity date. This facility includes a $25.0 million sublimit to finance healthcare related loans. The facility has a maximum advance rate of 75%.

We have another $100.0 million credit facility to finance single-family rental properties that bears interest at a rate of 300 basis points over LIBOR with an interest rate floor of 4.00% and matures in October 2022. The facility has a maximum advance rate of 75%.

We have a $100.0 million repurchase facility to finance multifamily bridge loans that the interest rate is determined on a loan-by-loan basis with a LIBOR floor of 50 basis points and matures in September 2021. The facility has a maximum advance rate of 75%.

We have a $50.0 million credit facility to finance multifamily loans that bears interest at a rate of 200 basis points over LIBOR and matures in April 2021, with a one-year extension option. This facility has a maximum advance rate of 80%.

We have another $50.0 million credit facility to finance single-family rental properties that bears interest at a rate of 250 basis points over LIBOR with an interest rate floor of 4.00%. The facility matures in October 2022, with a one-year extension option, and has a maximum advance rate equal to the lesser of: (1) 75% of the UPB, (2) 50% of the appraised value of the collateral, or (3) 55% to 65% of the projected cost of construction.

We have a $30.0 million unsecured working capital line of credit that bears interest at a rate of 325 basis points over LIBOR with a LIBOR floor of 25 basis points. This line matures in November 2021 and is renewable annually.

We have a $25.0 million credit facility used to purchase loans that bears interest at a rate of 225 basis points over LIBOR and matures in June 2022, with a one-year extension option. This facility has a maximum advance rate of 80%.

We have two notes payable under master security agreements that were used to finance capital expenditures. The notes bear interest at a weighted average fixed rate of 4.10% and mature between 2021 and 2022.

We have four uncommitted repurchase facilities that are used to finance securities we retained in connection with our CLOs and our purchases of B Piece bonds from SBL program securitizations and SFR bonds. These facilities bear interest at rates ranging from 120 to 275 basis points over LIBOR and have no stated maturity dates.

Agency Business. We utilize credit facilities with various financial institutions to finance substantially all of our loans held-for-sale as described below.

We have a $750.0 million ASAP agreement with Fannie Mae providing us with a warehousing credit facility for mortgage loans that are to be sold to Fannie Mae and serviced under the Fannie Mae DUS program. The ASAP agreement is not a committed line, has no expiration date and bears interest at a rate of 115 basis points over SOFR, with a SOFR Floor of 25 basis points.

We have a $400.0 million repurchase facility that bears interest at a rate of 150 basis points over LIBOR and matures in October 2021. The financial institution that provided this facility has a security interest in the underlying mortgage notes that serve as collateral for this facility.

We have a $150.0 million credit facility that bears interest at a rate of 115 basis points over LIBOR and matures in March 2021. The facility was temporarily increased to $325.0 million, which expires in February 2021. The facility bears interest at a rate of 115 basis points over LIBOR for the initial $150.0 million and 140 basis points over LIBOR with a LIBOR floor of 25 basis points for amounts outstanding under the temporary increase. The financial institution that provided this facility has a security interest in the underlying mortgage notes that serve as collateral for this facility.

We have a $100.0 million credit facility that bears interest at a rate of 115 basis points over LIBOR with a LIBOR floor of 50 basis points and matures in June 2021. This facility was temporarily increased to $250.0 million, which expires in February 2021. The financial institution that provided this facility has a security interest in the underlying mortgage notes that serve as collateral for this facility.

We have another $150.0 million credit facility that bears interest at a rate of 140 basis points over LIBOR with a LIBOR floor of 25 basis points and matures in July 2021. This facility includes a $50.0 million sublimit for principal and interest advances we make as the primary servicer to Fannie Mae in connection with potential delinquent loans under the Fannie Mae forbearance program, which bears interest at a rate of 200 basis points over LIBOR with a LIBOR floor of 25 basis points. The financial institution that provided this facility has a security interest in the underlying mortgage notes that serve as collateral for this facility.

We have a $50.0 million letter of credit facility with a financial institution to secure obligations under the Fannie Mae DUS program and the Freddie Mac SBL program. The facility bears interest at a fixed rate of 2.875%, matures in September 2023 and is primarily collateralized by our servicing revenue as approved by Fannie Mae and Freddie Mac. The facility includes a $5.0 million sublimit for an obligation under the Freddie Mac SBL program. At December 31, 2020, the letters of credit outstanding include $45.0 million for the Fannie Mae DUS program and $5.0 million for the Freddie Mac SBL program.

CLOs

We account for our CLO transactions on our consolidated balance sheet as financing facilities. Our CLOs are VIEs for which we are the primary beneficiary and are consolidated in our financial statements. The investment grade tranches are treated as secured financings, and are non-recourse to us.

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


	Debt						Collateral (3)
							Loans				Cash
			Carrying		Wtd. Avg.				Carrying		Restricted
December 31, 2020	Face Value		Value (1)		Rate (2)		UPB		Value		Cash (4)
CLO XIII	$	668,000	$	663,804	1.58	%	$	768,664	$	768,664	$	43
CLO XII		534,193		530,673	1.66	%		628,935		628,935		2,005
CLO XI		533,000		529,859	1.61	%		555,157		555,157		92,395
CLO X		441,000		438,442	1.61	%		522,132		522,132		25,537
CLO IX		356,150		354,531	1.53	%		457,903		457,903		18,703
Total CLOs	$	2,532,343	$	2,517,309	1.60	%	$	2,932,791	$	2,932,791	$	138,683


December 31, 2019
CLO XII	$	534,193	$	529,448	3.30	%	$	596,366	$	593,652	$	17,800
CLO XI		533,000		528,690	3.25	%		624,443		621,508		15,550
CLO X		441,000		437,391	3.26	%		509,887		507,854		37,287
CLO IX		356,400		353,473	3.17	%		407,696		406,463		47,230
CLO VIII		282,874		281,119	3.12	%		359,186		357,914		544
Total CLOs	$	2,147,467	$	2,130,121	3.23	%	$	2,497,578	$	2,487,391	$	118,411

(1)	Debt carrying value is net of $15.0 million and $17.3 million of deferred financing fees at December 31, 2020 and 2019, respectively.

(2)	At December 31, 2020 and 2019, the aggregate weighted average note rate for our CLOs, including certain fees and costs, was 1.93% and 3.63%, respectively.

(3)	As of December 31, 2020 and 2019, there was no collateral deemed a credit risk.

(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 $49.5 million and $58.6 million at December 31, 2020 and 2019, respectively.

CLO XIII. In March 2020, we completed CLO XIII, issuing eight tranches of CLO notes through two newly-formed wholly-owned subsidiaries totaling $738.0 million. Of the total CLO notes issued, $668.0 million were investment grade notes issued to third party investors and $70.0 million were below investment grade notes retained by us. As of the CLO closing date, the notes were secured by a portfolio of loan obligations with a face value of $640.5 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has a three-year replacement period that allows the principal proceeds and sale proceeds (if any) of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $159.5 million for the purpose of acquiring additional loan obligations for a period of up to 180 days from the CLO closing date, which we subsequently utilized, resulting in the issuer owning loan obligations with a face value of $800.0 million, representing leverage of 84%. We retained a residual interest in the portfolio with a notional amount of $132.0 million, including the $70.0 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.41% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO XII. In November 2019, we completed CLO XII, issuing eight tranches of CLO notes through two newly-formed wholly-owned subsidiaries totaling $585.8 million. Of the total CLO notes issued, $534.2 million were investment grade notes issued to third party investors and $51.6 million were below investment grade notes retained by us. As of the CLO closing date, the notes were secured by a portfolio of loan obligations with a face value of $510.9 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has a three-year replacement period that allows the principal proceeds and sale proceeds (if any) of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $124.1 million for the purpose of acquiring additional loan obligations for a period of up to 180 days from the CLO closing date, which we subsequently utilized, resulting in the issuer owning loan obligations with a face value of $635.0 million, representing leverage of 84%. We retained a residual interest in the portfolio with a notional amount of $100.8 million, including the $51.6 million below investment grade notes. The notes had an initial weighted average interest rate of 1.50% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO XI. In June 2019, we completed CLO XI, issuing eight tranches of CLO notes through two newly-formed wholly-owned subsidiaries totaling $602.1 million. Of the total CLO notes issued, $533.0 million were investment grade notes issued to third party investors and $69.1 million were below investment grade notes retained by us. As of the CLO closing date, the notes were secured by a portfolio of loan obligations with a face value of $520.4 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has a three-year replacement period that allows the principal proceeds and sale proceeds (if any) of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $129.6 million for the purpose of acquiring additional loan obligations for a period of up to 120 days from the CLO closing date, which we subsequently utilized, resulting in the issuer owning loan obligations with a face value of $650.0 million, representing leverage of 82%. We retained a residual interest in the portfolio with a notional amount of $117.0 million, including the $69.1 million below investment grade notes. The notes had an initial weighted average interest rate of 1.44% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO X. In June 2018, we completed CLO X, issuing seven tranches of CLO notes through two newly-formed wholly-owned subsidiaries totaling $494.2 million. Of the total CLO notes issued, $441.0 million were investment grade notes issued to third party investors and $53.2 million were below investment grade notes retained by us. As of the CLO closing date, the notes were secured by a portfolio of loan obligations with a face value of $501.9 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has a stated maturity date in June 2028 and a four-year replacement period that allows the principal proceeds and sale proceeds (if any) of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $58.1 million for the purpose of acquiring additional loan obligations for a period of up to 120 days from the CLO closing date, which we subsequently utilized, resulting in the issuer owning loan obligations with a face value of $560.0 million, representing leverage of 79%. We retained a residual interest in the portfolio with a notional amount of $119.0 million, including the $53.2 million below investment grade notes. The notes had an initial weighted average interest rate of 1.45% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO IX. In December 2017, we completed CLO IX, issuing five tranches of CLO notes through two newly-formed wholly-owned subsidiaries totaling $388.2 million. Of the total CLO notes issued, $356.4 million were investment grade notes issued to third party investors and $31.8 million were below investment grade notes retained by us. As of the CLO closing date, the notes were secured by a portfolio of loan obligations with a face value of $387.3 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio. The financing has a stated maturity date in December 2027 and had a three-year replacement period that expired in December 2020, therefore, the outstanding debt balance will reduce as loans are repaid. Initially, the proceeds of the issuance of the securities also included $92.7 million for the purpose of acquiring additional loan obligations for a period of up to 120 days from the CLO closing date, which we subsequently utilized, resulting in the issuer owning loan obligations with a face value of $480.0 million, representing leverage of 74%. We retained a residual interest in the portfolio with a notional amount of $123.6 million, including the $31.8 million below investment grade notes. The notes had an initial weighted average interest rate of 1.36% plus LIBOR and interest payments on the notes are payable monthly.

CLO VIII. In March 2020, we unwound CLO VIII redeeming $282.9 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets primarily within CLO XIII, as well as with cash held by CLO VIII, and expensed $1.5 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income.

CLO VII. In November 2019, we unwound CLO VII redeeming $279.0 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets within our existing financing facilities (including CLO XII), as well as with cash held by CLO VII, and expensed $1.4 million of deferred financing fees into interest expense on the consolidated statements of income.

CLO VI. In June 2019, we unwound CLO VI redeeming $250.3 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets within our existing financing facilities (including CLO XI), as well as with cash held by CLO VI, and expensed $1.2 million of deferred financing fees into interest expense on the consolidated statements of income.

CLO V. In June 2018, we unwound CLO V, redeeming $267.8 million of outstanding notes which were repaid primarily from the refinancing of the remaining assets within our existing financing facilities (including CLO X), as well as with cash held by CLO V, and expensed $1.3 million of deferred financing fees into interest expense on the consolidated statements of income.

Luxembourg Debt Fund

In April 2020, we completed the unwind of the Debt Fund and redeemed all the outstanding notes with a portion of the proceeds from our senior unsecured notes issued in March 2020 described below and recorded a loss on extinguishment of debt of $1.6 million, which was primarily comprised of deferred financing fees. The Debt Fund was a VIE for which we were the primary beneficiary and was consolidated in our financial statements.

Senior Unsecured Notes

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


Senior			December 31, 2020							December 31, 2019
Unsecured	Issuance				Carrying		Wtd. Avg.					Carrying		Wtd. Avg.
Notes	Date	Maturity	UPB		Value (1)		Rate (2)			UPB		Value (1)		Rate (2)
8.00% Notes (3)	Apr. 2020	Apr. 2023	$	70,750	$	69,793		8.00	%	$	—	$	—		—
4.50% Notes (3)	Mar. 2020	Mar. 2027		275,000		271,994		4.50	%		—		—		—
4.75% Notes (4)	Oct. 2019	Oct. 2024		110,000		108,668		4.75	%		110,000		108,370		4.75	%
5.75% Notes (4)	Mar. 2019	Apr. 2024		90,000		88,751		5.75	%		90,000		88,369		5.75	%
5.625% Notes (4)	Mar. 2018	May 2023		125,000		123,637		5.63	%		125,000		123,060		5.63	%
			$	670,750	$	662,843		5.29	%	$	325,000	$	319,799		5.44	%

(1)	At December 31, 2020 and 2019, the carrying value is net of deferred financing fees of $7.9 million and $5.2 million, respectively.

(2)	At December 31, 2020 and 2019, the aggregate weighted average note rate, including certain fees and costs, was 5.65% and 5.82%, 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 three months prior to or after 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 or after the maturity date, at a redemption price equal to 100% of the aggregate principal amount, plus accrued and unpaid interest.

In April 2020, we issued $40.5 million aggregate principal amount of 8.00% senior unsecured notes due in April 2023 (the "Initial Notes") in a private placement, and, in June 2020, we issued an additional $30.3 million (the "Reopened Notes" and, together with the Initial Notes, the "8.00% Notes,") which brought the aggregate outstanding principal amount to $70.8 million. The Reopened Notes are fully fungible with, and rank equally in right of payment with the Initial Notes. We received total proceeds of $69.6 million from the issuances, after deducting the underwriting discount and other offering expenses. We used the net proceeds from the issuances to repay secured indebtedness, make investments relating to our business and for general corporate purposes.

In March 2020, we issued $275.0 million aggregate principal amount of 4.50% senior unsecured notes due in March 2027 (the "4.50% Notes") in a private placement. We received proceeds of $271.8 million from the issuance, after deducting the underwriting discount and other offering expenses. We used a significant portion of the net proceeds to repay secured indebtedness.

In October 2019, we issued $110.0 million aggregate principal amount of 4.75% senior unsecured notes due in October 2024 (the "4.75% Notes") in a private placement. We received proceeds of $108.2 million from the issuances, after deducting the underwriting discount and other offering expenses. We used the net proceeds to make investments and for general corporate purposes.

In March 2019, we issued $90.0 million aggregate principal amount of 5.75% senior unsecured notes due in April 2024 (the "5.75% Notes") in a private placement. We received proceeds of $88.2 million from the issuances, after deducting the underwriting discount and other offering expenses. We used the net proceeds to make investments and for general corporate purposes.

In March 2018, we issued $100.0 million aggregate principal amount of 5.625% senior unsecured notes due in May 2023 (the “Initial Notes”) in a private placement, and, in May 2018, we issued an additional $25.0 million (the “Reopened Notes” and, together with the Initial Notes, the “5.625% Notes,”) which brought the aggregate outstanding principal amount to $125.0 million. The Reopened Notes are fully fungible with, and rank equally in right of payment with the Initial Notes. We received total proceeds of $122.3 million from the issuances, after deducting the underwriting discount and other offering expenses. We used the net proceeds from the Initial Notes to fully redeem 7.375% senior unsecured notes totaling $97.9 million and the net proceeds from the Reopened Notes to make investments and for general corporate purposes.

Convertible Senior Unsecured Notes

In 2019, we issued $264.0 million in aggregate principal amount of 4.75% convertible notes through a private placement offering, which includes the exercised purchaser’s total over-allotment option of $34.0 million. The 4.75% convertible notes pay interest semiannually in arrears and are scheduled to mature in November 2022, unless earlier converted or repurchased by the holders pursuant to their terms. The initial conversion rate and the conversion rate at December 31, 2019 was 56.1695 shares of common stock per $1,000 of principal representing a conversion price of $17.80 per share of common stock. We received proceeds totaling $256.5 million, net of the underwriter’s discount and fees, which is being amortized through interest expense over the life of such notes. We used the net proceeds from the issuance primarily for the exchange of $228.7 million of our 5.25% convertible notes for a combination of $233.1 million in cash (which included accrued interest) and 4,478,315 shares of our common stock. The remaining net proceeds were used for general corporate purposes. During 2019, we recorded a loss on extinguishment of debt of $7.3 million in connection with this exchange, which included an inducement charge of $1.1 million. As of December 31, 2020, the 4.75% convertible notes had conversion rates of 56.3058 shares, common stock per $1,000 of principal, which represented a conversion price of $17.76 per share of common stock.

In 2018, we completed a similar exchange where we used the net proceeds from two separate private placements of our 5.25% convertible notes to initially exchange $127.6 million of our 5.375% convertible notes and $99.8 million of our 6.50% convertible notes for a combination of $219.8 million in cash (which included accrued interest) and 6,820,196 shares of our common stock.

During 2018, we recorded a loss on extinguishment of debt of $5.0 million in connection with these exchanges, which included an inducement charge of $1.1 million.

At December 31, 2020, there were $0.5 million and $13.8 million aggregate principal amount remaining of our 5.25% convertible notes issued on July 3, 2018 and 5.25% convertible notes issued on July 20, 2018, respectively. The initial conversion rates of the 5.25% convertible notes issued on July 3, 2018 and 5.25% convertible notes issued on July 20, 2018 were 86.9943 shares and 77.8331 shares, respectively, of common stock per $1,000 of principal, which represented a conversion price of $11.50 per share and $12.85 per share of common stock, respectively. At December 31, 2020, the 5.25% convertible notes issued on July 3, 2018 and 5.25% convertible notes issued on July 20, 2018 had conversion rates of 91.0613 shares and 81.4718 shares, respectively, of common stock per $1,000 of principal, which represented a conversion price of $10.98 per share and $12.27 per share of common stock, respectively. The 5.25% convertible notes pay interest semiannually in arrears and has a scheduled maturity date in July 2021, unless earlier converted or repurchased by the holders pursuant to their terms.

Our convertible senior unsecured notes are not redeemable by us prior to their maturities 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. We intend to settle the principal balance of our convertible debt in cash and have not assumed share settlement of the principal balance for purposes of computing EPS. At the time of issuance, there was no precedent or policy that would indicate that we would settle the principal in shares or the conversion spread in cash.

Accounting guidance requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component reflects the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of the issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the term of the notes, which was 1.77 years and 2.67 years at December 31, 2020 and 2019, respectively, on a weighted average basis.

The UPB, unamortized discount and net carrying amount of the liability and equity components of our convertible notes are as follows (in thousands):


	Liability								Equity
	Component								Component
			Unamortized Debt		Unamortized Deferred		Net Carrying		Net Carrying
Period	UPB		Discount		Financing Fees		Value		Value
December 31, 2020	$	278,300	$	5,636	$	4,691	$	267,973	$	9,962

December 31, 2019	$	300,914	$	9,235	$	7,527	$	284,152	$	9,962

During 2020, we incurred interest expense on the notes totaling $20.0 million, of which $13.4 million, $3.6 million and $3.0 million related to the cash coupon, amortization of the debt discount and of the deferred financing fees, respectively. During 2019, we incurred interest expense on the notes totaling $28.3 million, of which $13.5 million, $7.9 million and $6.8 million related to the cash coupon, amortization of the debt discount and of the deferred financing fees, respectively. Including the amortization of the deferred financing fees and debt discount, our weighted average total cost of the notes was 6.75% and 6.80% at December 31, 2020 and 2019, respectively.

Junior Subordinated Notes

The carrying values of borrowings under our junior subordinated notes were $141.7 million and $140.9 million at December 31, 2020 and 2019, respectively, which is net of a deferred amount of $10.8 million and $11.4 million, respectively, (which is amortized into interest expense over the life of the notes) and deferred financing fees of $1.8 million and $2.0 million, respectively. These notes have maturities ranging from March 2034 through April 2037 and pay interest quarterly at a floating rate based on LIBOR. The

weighted average note rate was 3.06% and 4.75% at December 31, 2020 and 2019, respectively. Including certain fees and costs, the weighted average note rate was 3.15% and 4.83% at December 31, 2020 and 2019, respectively.

Debt Covenants

Credit Facilities, Repurchase Agreements and Unsecured Debt. The credit facilities, repurchase agreements and unsecured debt (senior and convertible notes) contain various financial covenants, including, but not limited to, minimum liquidity requirements, minimum net worth 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 December 31, 2020.

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 as of December 31, 2020, as well as on the most recent determination dates in January 2021. 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 (i) cash on hand, (ii) income from any CLO not in breach of a covenant test, (iii) income from real property and loan assets, (iv) sale of assets, or (v) 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 January 2021 are as follows:


Cash Flow Triggers	CLO IX		CLO X		CLO XI		CLO XII		CLO XIII
Overcollateralization (1)
Current	134.70	%	126.98	%	121.95	%	118.87	%	119.76	%
Limit	133.68	%	125.98	%	120.95	%	117.87	%	118.76	%
Pass / Fail	Pass		Pass		Pass		Pass		Pass

Interest Coverage (2)
Current	556.75	%	429.45	%	451.98	%	371.18	%	365.83	%
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.

Our CLO overcollateralization ratios as of the determination dates subsequent to each quarter are as follows:


Determination (1)	CLO IX		CLO X		CLO XI		CLO XII		CLO XIII
January 2021	134.70	%	126.98	%	121.95	%	118.87	%	119.76	%
October 2020	134.68	%	126.98	%	121.95	%	118.87	%	119.76	%
July 2020	134.68	%	126.98	%	121.95	%	118.87	%	119.76	%
April 2020	134.68	%	126.98	%	121.95	%	118.87	%	119.76	%
January 2020	134.68	%	126.98	%	121.95	%	118.87	%	—

(1)	The table above 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.