Debt (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of repurchase facilities and agreements

Below is a summary of the Company's MRAs as of March 31, 2020 and December 31, 2019 (dollars in thousands):



							Weighted Average
Counterparty	Amount Outstanding		Accrued Interest		Collateral Pledged ⁽¹⁾		Interest Rate		Days to Maturity
As of March 31, 2020
JP Morgan Securities LLC	$	159,879	$	595	$	202,688	2.21	%	11
Wells Fargo Securities, LLC	159,924		955		190,623		2.32	%	12
Barclays Capital Inc.	79,047		365		106,965		2.28	%	17
Citigroup Global Markets, Inc.	98,030		653		109,500		2.60	%	16
Total/Weighted Average	$	496,880	$	2,568	$	609,776	2.33	%	13

As of December 31, 2019
JP Morgan Securities LLC	$	83,353	$	124	$	93,500	2.53	%	20
Wells Fargo Securities, LLC	$	178,304	$	1,199	$	209,873	2.94	%	11
Barclays Capital Inc.	$	40,720	$	221	$	47,475	2.81	%	23
Citigroup Global Markets, Inc.	91,982		413		103,453		2.69	%	19
Total/Weighted Average	$	394,359	$	1,957	$	454,301	2.79	%	16

________________________

¹ Includes $89.1 million and $68.5 million of CLO notes, held by the Company, which are eliminated within the real estate securities, at fair value line in the consolidated balance sheets as of March 31, 2020 and December 31, 2019, respectively.

The details of the Company's Repo Facilities at March 31, 2020 and December 31, 2019 are as follows (dollars in thousands):



As of March 31, 2020
Repurchase Facility	Committed Financing		Amount Outstanding		Interest Expense⁽¹⁾		Ending Weighted Average Interest Rate		Maturity
JPM Repo Facility ⁽²⁾	$	300,000	$	119,604	$	1,362	3.83	%	1/30/2021
USB Repo Facility ⁽³⁾	100,000		8,250		152		3.18	%	6/15/2020
CS Repo Facility ⁽⁴⁾	200,000		71,740		1,349		4.06	%	9/27/2020
WF Repo Facility ⁽⁵⁾	175,000		—		396		N/A		11/21/2020
Barclays Revolver Facility ⁽⁶⁾	100,000		4,200		51		5.34	%	9/20/2021
Barclays Repo Facility ⁽⁷⁾	300,000		30,730		332		3.24	%	3/15/2022
Total	$	1,175,000	$	234,524	$	3,642

__________________________

⁽¹⁾ For the three months ended March 31, 2020. Includes amortization of deferred financing costs.

⁽²⁾On September 3, 2019, the committed financing amount was downsized from $520 million to $300 million and the maturity date was amended to January 30, 2021.

⁽³⁾ Includes two one-year extensions at the option of an indirect wholly-owned subsidiary of the Company, which may be exercised upon the satisfaction of certain conditions.

⁽⁴⁾ On March 26, 2020, the Company exercised the extension option upon the satisfaction of certain conditions, and extended the term maturity to September 27, 2020.

⁽⁵⁾ Includes three one-year extensions at the Company’s option, which may be exercised upon the satisfaction of certain conditions.

⁽⁶⁾ On September 13, 2019, the Company exercised the extension option, and extended the term maturity to September 20, 2021. There is one more one-year extension option available at the Company's discretion.

⁽⁷⁾ Includes two one-year extensions at the Company's option.



As of December 31, 2019
Repurchase Facility	Committed Financing		Amount Outstanding		Interest Expense⁽¹⁾		Ending Weighted Average Interest Rate		Maturity
JPM Repo Facility ⁽²⁾	$	300,000	$	107,526	$	6,862	4.51	%	1/30/2021
USB Repo Facility ⁽³⁾	100,000		—		622		N/A		6/15/2020
CS Repo Facility ⁽⁴⁾	300,000		87,375		5,563		4.84	%	3/27/2020
WF Repo Facility ⁽⁵⁾	175,000		24,942		1,333		3.65	%	11/21/2020
Barclays Revolver Facility ⁽⁶⁾	100,000		—		976		N/A		9/20/2021
Barclays Repo Facility ⁽⁷⁾	300,000		32,700		1,260		3.80	%	3/15/2022
Total	$	1,275,000	$	252,543	$	16,616

_______________________

⁽¹⁾ For the twelve months ended December 31, 2019. Includes amortization of deferred financing costs.

⁽²⁾On September 3, 2019, the committed financing amount was downsized from $520 million to $300 million and the maturity date was amended to January 30, 2021.

⁽³⁾ Includes two one-year extensions at the option of an indirect wholly-owned subsidiary of the Company, which may be exercised upon the satisfaction of certain conditions.

⁽⁴⁾ On March 26, 2019, the Company exercised the extension option upon the satisfaction of certain conditions, and extended the term maturity to March 27, 2020.

⁽⁵⁾ Includes three one-year extensions at the Company’s option, which may be exercised upon the satisfaction of certain conditions.

⁽⁷⁾ Includes two one-year extensions at the Company's option.

Schedule of collateralized loan obligations by tranche

The following table represents the terms of the notes issued by the 2018-FL3 Issuer, 2018-FL4 Issuer and 2019-FL5 Issuer (the "CLOs), respectively, as of March 31, 2020 (dollars in thousands):

CLO Facility

Tranche

Par Value Issued

Par Value Outstanding ⁽¹⁾

Interest Rate

Maturity Date

2018-FL3 Issuer

Tranche A

286,700

275,800

1M LIBOR + 105

10/15/2034

2018-FL3 Issuer

Tranche A-S

77,775

1M LIBOR + 135

10/15/2034

2018-FL3 Issuer

Tranche B

41,175

1M LIBOR + 165

10/15/2034

2018-FL3 Issuer

Tranche C

39,650

1M LIBOR + 255

10/15/2034

2018-FL3 Issuer

Tranche D

42,700

1M LIBOR + 345

10/15/2034

2018-FL4 Issuer

Tranche A

416,827

1M LIBOR + 105

9/15/2035

2018-FL4 Issuer

Tranche A-S

73,813

1M LIBOR + 130

9/15/2035

2018-FL4 Issuer

Tranche B

56,446

1M LIBOR + 160

9/15/2035

2018-FL4 Issuer

Tranche C

68,385

1M LIBOR + 210

9/15/2035

2018-FL4 Issuer

Tranche D

57,531

1M LIBOR + 275

9/15/2035

2019-FL5 Issuer

Tranche A

407,025

1M LIBOR + 115

5/15/2029

2019-FL5 Issuer

Tranche A-S

76,950

1M LIBOR + 148

5/15/2029

2019-FL5 Issuer

Tranche B

50,000

1M LIBOR + 140

5/15/2029

2019-FL5 Issuer

Tranche C

61,374

1M LIBOR + 200

5/15/2029

2019-FL5 Issuer

Tranche D

48,600

5,000

1M LIBOR + 240

5/15/2029

2019-FL5 Issuer

Tranche E

20,250

3,000

1M LIBOR + 285

5/15/2029

1,825,201

1,753,451

___________________

⁽¹⁾ Excludes $267.1 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligation line of the consolidated balance sheets as of March 31, 2020.

The following table represents the terms of the notes issued by the 2017-FL1 Issuer, 2017-FL2 Issuer, 2018-FL3 Issuer and 2018-FL4 Issuer, as of December 31, 2019 (dollars in thousands):

CLO Facility

Tranche

Par Value Issued

Par Value Outstanding ⁽¹⁾

Interest Rate

Maturity Date

2017-FL2 Issuer

Tranche A

237,970

—

1M LIBOR + 82

10/15/2034

2017-FL2 Issuer

Tranche A-S

36,357

—

1M LIBOR + 110

10/15/2034

2017-FL2 Issuer

Tranche B

26,441

—

1M LIBOR + 140

10/15/2034

2017-FL2 Issuer

Tranche C

25,339

—

1M LIBOR + 215

10/15/2034

2017-FL2 Issuer

Tranche D

35,255

21,444

1M LIBOR + 345

10/15/2034

2018-FL3 Issuer

Tranche A

286,700

1M LIBOR + 105

10/15/2034

2018-FL3 Issuer

Tranche A-S

77,775

1M LIBOR + 135

10/15/2034

2018-FL3 Issuer

Tranche B

41,175

1M LIBOR + 165

10/15/2034

2018-FL3 Issuer

Tranche C

39,650

1M LIBOR + 255

10/15/2034

2018-FL3 Issuer

Tranche D

42,700

1M LIBOR + 345

10/15/2034

2018-FL4 Issuer

Tranche A

416,827

1M LIBOR + 105

9/15/2035

2018-FL4 Issuer

Tranche A-S

73,813

1M LIBOR + 130

9/15/2035

2018-FL4 Issuer

Tranche B

56,446

1M LIBOR + 160

9/15/2035

2018-FL4 Issuer

Tranche C

68,385

1M LIBOR + 210

9/15/2035

2018-FL4 Issuer

Tranche D

57,531

1M LIBOR + 275

9/15/2035

2019-FL5 Issuer

Tranche A

407,025

1M LIBOR + 115

5/15/2029

2019-FL5 Issuer

Tranche A-S

76,950

1M LIBOR + 148

5/15/2029

2019-FL5 Issuer

Tranche B

50,000

1M LIBOR + 140

5/15/2029

2019-FL5 Issuer

Tranche C

61,374

1M LIBOR + 200

5/15/2029

2019-FL5 Issuer

Tranche D

48,600

24,300

1M LIBOR + 240

5/15/2029

2019-FL5 Issuer

Tranche E

20,250

1M LIBOR + 285

5/15/2029

2,186,563

1,822,345

⁽¹⁾ Excludes $261.4 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligation line of the consolidated balance sheets as of December 31, 2019.

Schedule of collateralized loan obligations

The below table reflects the total assets and liabilities of the Company's outstanding CLOs. The CLOs are considered VIEs and are consolidated into the Company's consolidated financial statements as of March 31, 2020 and December 31, 2019 as the Company is the primary beneficiary of the VIE. The Company is the primary beneficiary of the CLOs because (i) the Company has the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIEs or the obligation to absorb losses of the VIEs that could be significant to the VIE.



Assets (dollars in thousands)	March 31, 2020		December 31, 2019
Cash ⁽¹⁾	$	28,680	$	89,946
Commercial mortgage loans, held for investment, net ⁽²⁾	2,235,406		2,294,663
Accrued interest receivable	10,522		6,254
Total Assets	$	2,274,608	$	2,390,863

Liabilities
Notes payable ⁽³⁾⁽⁴⁾	$	2,006,137	$	2,064,601
Accrued interest payable	1,659		2,576
Total Liabilities	$	2,007,796	$	2,067,177

_______________________

⁽¹⁾ Includes $28.2 million and $89.3 million of cash held by the servicer related to CLO loan payoffs as of March 31, 2020 and December 31, 2019, respectively.

⁽²⁾ The balance is presented net of allowance for credit loss of $10.5 million and $0.8 million as of March 31, 2020 and December 31, 2019, respectively.

⁽³⁾ Includes $267.1 million and $261.4 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligation line of the consolidated balance sheets as of March 31, 2020 and December 31, 2019, respectively.

⁽⁴⁾ The balance is presented net of deferred financing cost and discount of $14.4 million and $19.2 million as of March 31, 2020 and December 31, 2019, respectively.

- Definition

Tabular disclosure of long-debt instruments or arrangements, including identification, terms, features, collateral requirements and other information necessary to a fair presentation. These are debt arrangements that originally required repayment more than twelve months after issuance or greater than the normal operating cycle of the entity, if longer.

+ References

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+ Details

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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