Debt Obligations

12 Months Ended

Dec. 31, 2023

Debt Disclosure [Abstract]

Debt Obligations

Debt Obligations

Credit and Repurchase Facilities

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.

During 2023, several of our credit and repurchase facilities, in both our Structured Business and Agency Business, converted from a LIBOR-based interest rate to a SOFR-based interest rate for new financings. At December 31, 2023, all of our credit and repurchase facilities are at a SOFR-based interest rate.

Usually, our credit and repurchase facilities have extension options that are at the discretion of the financial 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 $3.00 billion joint repurchase facility that will reduce to $2.00 billion in March 2024, which is shared between the Structured Business and the Agency Business, and matures in July 2025 with a one-year extension option. This facility is used to finance both structured and Private Label loans. The interest rate under the facility is determined on a loan-by-loan basis and may include a floor equal to a pro rata share of the floors included in our originated loans. The facility has a maximum advance rate of 80% on all loans. 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 and repurchase facilities with various financial institutions to finance our loans and investments as described below. Many of these facilities have a maximum advance rate between 70% to 83%, depending on the asset type financed.

At December 31, 2023 and 2022, 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 8.26% and 6.95%, respectively. The leverage on our loan and investment portfolio financed through our credit and repurchase facilities, excluding the securities repurchase facility and working capital facility, was 69% and 73% at December 31, 2023 and 2022, respectively.

We have a $1.00 billion repurchase facility used to finance bridge loans that matures in August 2025, with a one-year extension option. The facility bears interest ranging from SOFR plus 2.25% to 2.50%, with a weighted average spread that must be at least 2.40%.

We have a $500.0 million repurchase facility to finance SFR loans that has an interest rate ranging from SOFR plus 2.76% to 3.26%. 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.

We have a $500.0 million repurchase facility to finance SFR loans that has an interest rate ranging from SOFR plus 2.46% to 3.11%, with a 0.25% SOFR floor, and matures in October 2024.

We have a $450.0 million repurchase facility to finance bridge loans that matures in March 2024, with two one-year extension options. The interest rate under the facility is determined on a loan-by-loan basis and includes a floor of SOFR plus 2.00%.

We have a $250.0 million credit facility to finance bridge loans that matures in July 2024 and bears interest at a rate ranging from SOFR plus 2.61% to 3.31% depending on the type of loan financed. This facility includes a $25.0 million sublimit to finance healthcare related loans.

We have a $250.0 million repurchase facility to finance bridge loans that bears interest at a rate ranging from SOFR plus 2.00% to 2.40% depending on the duration of time the loan is being financed. The facility matures in October 2025, with a one-year extension option.

We have a $225.0 million credit facility to finance SFR loans that bears interest at a rate of SOFR plus 2.55%, with an all-in floor rate range of 3.00% to 4.10%, depending on our deposit balance. The facility matures in October 2025.

We have a $200.0 million repurchase facility to finance bridge loans that matures in April 2024, with a six-month extension option, and bears interest at a rate ranging from SOFR plus 1.50% to 1.86%.

We have a $200.0 million repurchase facility to finance SFR loans that matures in March 2025, with a one-year extension option. This facility has an interest rate of SOFR plus 2.55%.

We have a $200.0 million repurchase facility to finance bridge and construction loans that matures in January 2025. This facility has interest rates ranging from SOFR plus 1.75% to 3.50% depending on the type of loan financed, with a SOFR floor determined on a loan-by-loan basis.

We have several loan specific credit facilities totaling $120.7 million used to finance individual bridge loans. The facilities bear interest at rates ranging from SOFR plus 1.91% to 2.60% and a 3.00% fixed rate. The facilities mature between March 2024 and September 2025.

We have a $50.0 million credit facility to finance bridge loans that bears interest at a rate of SOFR plus 2.10% and matures in April 2024, with a one-year extension option.

We have a $40.0 million credit facility used to purchase loans that bears interest at a rate of SOFR plus 2.35% and matures in April 2026, with a one-year extension option.

We have a $35.0 million unsecured working capital line of credit that bears interest at a rate of SOFR plus 3.00%. This line matures in April 2024 and is typically renewed annually.

We have a $25.0 million credit facility to finance SFR loans that bears interest at a rate of SOFR plus 2.60%, with an all-in floor rate of 4.25%, which matures in October 2025.

We have an uncommitted repurchase facility that is used to finance certificates retained by us from our Q Series securitization and our purchases of B Piece bonds from SBL program securitizations. This facility bears interest at a rate of SOFR plus 2.60% and has no stated maturity date.

Agency Business. We utilize credit and repurchase facilities with various financial institutions to finance substantially all of our loans held-for-sale as described below. The financial institutions that provide these facilities generally have a security interest in the underlying mortgage notes that serve as collateral for these facilities.

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 SOFR plus 1.15%, with a 0.25% SOFR floor.

We have a $500.0 million repurchase facility that bears interest at a rate of SOFR plus 1.48% and matures in November 2024.

We have a $200.0 million credit facility that bears interest at a rate of SOFR plus 1.40% and matures in March 2024.

We have a $100.0 million credit facility that bears interest at a rate of SOFR plus 1.46% and matures in July 2024. This facility includes a $37.5 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 SOFR plus 1.86%.

We have a $50.0 million credit facility that bears interest at a rate of SOFR plus 1.35% and matures in September 2024.

We have a letter of credit facility to secure obligations under the Fannie Mae DUS program and the Freddie Mac SBL program with a total committed amount of up to $75.0 million. The facility bears interest at a fixed rate of 2.875%, matures in September 2025, 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 obligations under the Freddie Mac SBL program. At December 31, 2023, the letters of credit outstanding include $64.0 million for the Fannie Mae DUS program and $5.0 million for the Freddie Mac SBL program.

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):

	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.

CLO 19. In 2022, we completed CLO 19, issuing nine tranches of CLO notes through a wholly-owned subsidiary totaling $1.05 billion. Of the total CLO notes issued, $872.8 million were investment grade notes issued to third party investors and $177.2 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 $976.9 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio, and cash. The financing has an approximate two-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 $73.1 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 $1.05 billion,

representing leverage of 83%. The notes sold to third parties had an initial weighted average interest rate of 2.36% plus term SOFR and interest payments on the notes are payable monthly.

CLO 18. In 2022, we completed CLO 18, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $1.86 billion. Of the total CLO notes issued, $1.65 billion were investment grade notes issued to third party investors and $210.1 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 $1.70 billion, consisting primarily of bridge loans that were contributed from our existing loan portfolio, and cash. The financing has an approximate two-and-a-half-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 $347.3 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 $2.05 billion, representing leverage of 81%. We retained a residual interest in the portfolio with a notional amount of $397.2 million, including the $210.1 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.81% plus compounded SOFR and interest payments on the notes are payable monthly.

CLO 17. In 2021, we completed CLO 17, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $1.91 billion. Of the total CLO notes issued, $1.71 billion were investment grade notes issued to third party investors and $194.3 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 $1.79 billion, consisting primarily of bridge loans that were contributed from our existing loan portfolio, and cash. The financing has an approximate two-and-a-half-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 $315.0 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 $2.10 billion, representing leverage of 82%. We retained a residual interest in the portfolio with a notional amount of $385.9 million, including the $194.3 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.68% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO 16. In 2021, we completed CLO 16, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $1.37 billion. Of the total CLO notes issued, $1.24 billion were investment grade notes issued to third party investors and $135.0 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 $1.19 billion, consisting primarily of bridge loans that were contributed from our existing loan portfolio, and cash. The financing has an approximate two-and-a-half-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 $313.0 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 $1.50 billion, representing leverage of 83%. We retained a residual interest in the portfolio with a notional amount of $262.5 million, including the $135.0 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.31% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO 15. In 2021, we completed CLO 15, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $747.8 million. Of the total CLO notes issued, $674.4 million were investment grade notes issued to third party investors and $73.4 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 $653.0 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio, and cash. The financing had an approximate two-and-a-half-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 is being reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $162.0 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 $815.0 million, representing leverage of 83%. We retained a residual interest in the portfolio with a notional amount of $140.6 million, including the $73.4 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.37% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO 14. In 2021, we completed CLO 14, issuing eight tranches of CLO notes through two wholly-owned subsidiaries totaling $724.2 million. Of the total CLO notes issued, $655.5 million were investment grade notes issued to third party investors and $68.7

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 $635.2 million, consisting primarily of bridge loans that were contributed from our existing loan portfolio, and cash. The financing had a two-and-a-half-year replacement period that allowed 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 is being reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $149.8 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 $785.0 million, representing leverage of 84%. We retained a residual interest in the portfolio with a notional amount of $129.5 million, including the $68.7 million below investment grade notes. The notes sold to third parties had an initial weighted average interest rate of 1.33% plus one-month LIBOR and interest payments on the notes are payable monthly.

CLO 13 and 12. In June 2023 and August 2023, we unwound CLO 13 and 12, respectively, redeeming the remaining outstanding notes, which were repaid primarily from the refinancing of the remaining assets within our other CLO vehicles and credit and repurchase facilities. We expensed $1.5 million of deferred financing fees in 2023 related to the unwind of these CLOs, into loss on extinguishment of debt on the consolidated statements of income.

Freddie Mac Q Series Securitization. In December 2022, we completed a Q Series securitization, by which we sold to Freddie Mac 11 floating rate loans totaling $315.8 million that are secured by first priority mortgage liens on 21 multifamily properties that qualify as mission-driven under the Federal Housing Finance Agency guidelines. The Q Series securitization is represented through a series of pass-through certificates (the “Certificates”) issued under a pooling and servicing agreement. We retained certain subordinate and interest-only classes of the Certificates aggregating $79.0 million and the remaining Certificates totaling $236.9 million were purchased by third party investors, representing leverage of 75%. The Certificates sold to third parties pay interest at a rate of 2.00% plus one-month SOFR, excluding fees and transaction costs, and are payable monthly.

As part of the securitization transaction, we released all mortgage servicing obligations and rights to Freddie Mac who was designated as the master servicer. As master servicer, Freddie Mac appointed us as its subservicer, which includes obligations to collect and remit payments and otherwise administer the underlying loans, and a third party as the special servicer. We may, subject to certain limitations, terminate the special servicer, with or without cause, and appoint a successor. In addition, the special servicer must receive our consent prior to certain decisions with respect to a specially serviced mortgage loan.

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.

Except as noted below, we used the proceeds of our senior unsecured debt offerings to make investments and for general corporate purposes.

In March 2023, we issued $95.0 million aggregate principal amount of 7.75% senior unsecured notes due in 2026 in a private offering. We received proceeds of $93.4 million from the issuance, after deducting the placement agent commission and other offering expenses. We used $70.8 million of the proceeds, which included accrued interest and other fees, to repurchase the remaining portion of our 8.00% senior unsecured notes due in 2023.

In October 2022, we issued $150.0 million aggregate principal amount of 8.50% senior unsecured notes due in 2027 in a private offering. We received proceeds of $147.5 million from the issuance, after deducting the underwriting discount and other offering expenses. We used $47.5 million of the proceeds, which included accrued interest and other fees, to repurchase a portion of our 5.625% senior unsecured notes.

In 2021, we issued $180.0 million aggregate principal amount of 5.00% senior unsecured notes due in 2028 in a private offering. We received proceeds of $177.2 million from the issuance, after deducting the underwriting discount and other offering expenses.

In 2021, we issued $270.0 million aggregate principal amount of 4.50% senior unsecured notes due in 2026 in a private offering. We received proceeds of $265.8 million from the issuance, after deducting the underwriting discount and other offering expenses.

In 2021, we issued $175.0 million aggregate principal amount of 5.00% senior unsecured notes due in 2026 in a private offering. We received proceeds of $172.3 million from the issuance, after deducting the underwriting discount and other offering expenses.

In 2020, we issued $70.8 million aggregate principal amount of 8.00% senior unsecured notes due in April 2023 in a private offering. We received proceeds of $69.6 million from the issuance, after deducting the underwriting discount and other offering expenses. We used a portion of the proceeds from the issuance to repay secured indebtedness.

In 2020, we issued $275.0 million aggregate principal amount of 4.50% senior unsecured notes due in March 2027 in a private offering. 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 proceeds to repay secured indebtedness.

In 2019, we issued $110.0 million aggregate principal amount of 4.75% senior unsecured notes due in October 2024 in a private offering. We received proceeds of $108.2 million from the issuance, after deducting the underwriting discount and other offering expenses.

In 2019, we issued $90.0 million aggregate principal amount of 5.75% senior unsecured notes due in April 2024 in a private offering. We received proceeds of $88.2 million from the issuance, after deducting the underwriting discount and other offering expenses.

In 2018, we issued $125.0 million aggregate principal amount of 5.625% senior unsecured notes due in May 2023 in a private offering. We received proceeds of $122.3 million from the issuance, after deducting the underwriting discount and other offering expenses. We used a significant portion of the proceeds to fully redeem our 7.375% senior unsecured notes. In October 2022, we repaid $46.2 million of the outstanding principal balance as noted above. In May 2023, the remaining balance of these notes matured and were redeemed with cash.

Convertible Senior Unsecured Notes

In 2022, we issued $287.5 million in aggregate principal amount of 7.50% convertible senior notes (the “7.50% Convertible Notes”) through a private placement offering. The 7.50% Convertible Notes pay interest semiannually in arrears and are scheduled to mature in August 2025, unless earlier converted or repurchased by the holders pursuant to their terms. The initial conversion rate was 59.8480 shares of common stock per $1,000 of principal representing a conversion price of $16.71 per share of common stock. We received proceeds of $279.3 million, net of discounts and fees. We used $203.1 million of the net proceeds to repurchase a portion of our 4.75% convertible senior notes (the “4.75% Convertible Notes”), which included $5.2 million of accrued interest and repurchase premiums, and expensed $3.3 million of deferred financing fees into loss on extinguishment of debt on the consolidated statements of income. At

December 31, 2023, the 7.50% Convertible Notes had a conversion rate of 60.3915 shares of common stock per $1,000 of principal, which represented a conversion price of $16.56 per share of common stock.

In 2022, the remaining $66.1 million principal amount of our 4.75% Convertible Notes matured and were fully settled with cash.

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.

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

During 2023, we incurred interest expense on the convertible notes totaling $24.8 million, of which $22.1 million and $2.7 million related to the cash coupon and deferred financing fees, respectively. During 2022, we incurred interest expense on the notes totaling $19.8 million, of which $16.9 million and $2.9 million related to the cash coupon and deferred financing fees, respectively. During 2021, we incurred interest expense on the notes totaling $18.6 million, of which $12.8 million, $3.2 million and $2.6 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, our weighted average total cost of the convertible notes was 8.42% at both December 31, 2023 and 2022.

Junior Subordinated Notes

The carrying values of borrowings under our junior subordinated notes were $143.9 million and $143.1 million at December 31, 2023 and 2022, respectively, which is net of a deferred amount of $9.0 million and $9.6 million, respectively, (which is amortized into interest expense over the life of the notes) and deferred financing fees of $1.5 million and $1.6 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 8.48% and 7.65% at December 31, 2023 and 2022, respectively. Including certain fees and costs, the weighted average note rate was 8.56% and 7.74% at December 31, 2023 and 2022, 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 December 31, 2023.

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 December 31, 2023, as well as on the most recent determination dates in January 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 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

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(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 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	%

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(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.