Secured Revolving Repurchase Agreements, Senior Secured Credit Facility and Notes Payable (Tables)

9 Months Ended

Sep. 30, 2018

Schedule of Information Related to Notes Payable, Repurchase Agreement, Senior Secured Credit Facility

The following table presents certain information regarding the Company’s notes payable, secured revolving repurchase agreements, and senior secured credit facilities as of September 30, 2018 and December 31, 2017, respectively. Except as otherwise noted, all agreements are on a non-recourse basis. Amounts included are shown in thousands:

As of September 30, 2018
Notes Payable	Maturity Date	Index Rate	Weighted Average Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding		Principal Balance of Collateral
Bank of the Ozarks	08/23/19	1 Month Libor		4.5	%		5.8	%	$	76,161	$	7,323	$	68,838	$	98,340
BMO Harris Bank⁽¹⁾	04/09/20	1 Month Libor		2.7			4.0			32,500		—		32,500		45,000
Subtotal										108,661		7,323		101,338		143,340

Repurchase Agreements	Maturity Date	Index Rate	Weighted Average Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding		Principal Balance of Collateral
Goldman Sachs⁽¹⁾	08/19/19	1 Month Libor		2.3	%		4.4	%	$	750,000	$	378,430	$	371,570	$	780,647
Wells Fargo⁽¹⁾	05/25/19	1 Month Libor		1.9			4.1			750,000		305,988		444,012		600,575
JP Morgan⁽¹⁾	08/20/21	1 Month Libor		2.1			4.2			428,802		91,486		337,316		455,267
Morgan Stanley⁽¹⁾	05/04/19	1 Month Libor		2.3			4.5			500,000		245,254		254,746		337,591
US Bank⁽¹⁾	10/09/21	1 Month Libor		1.8			4.0			212,840		6,800		206,040		261,300
Goldman Sachs (CMBS)⁽²⁾	12/03/18	3 Month Libor		0.2			2.5			100,000		65,226		34,774		38,710
Royal Bank of Canada (CMBS)⁽²⁾	N/A	3 Month Libor	N/A			N/A				100,000		100,000		—		—
Subtotal										2,841,642		1,193,184		1,648,458		2,474,090

Senior Secured Credit Facilities	Maturity Date	Index Rate	Weighted Average Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding		Principal Balance of Collateral
Bank of America⁽¹⁾	09/29/20	1 Month Libor		1.9	%		4.1	%	$	500,000	$	112,560		387,440		486,666
Citibank ⁽³⁾	07/12/20	1 Month Libor		2.3			4.5			160,000		95,856		64,144		133,000
									$	660,000	$	208,416	$	451,584	$	619,666
Total									$	3,610,303	$	1,408,923	$	2,201,380	$	3,237,096

(1)

Borrowings under secured revolving repurchase agreements, one senior secured credit facility, and one note payable with a guarantee for 25% recourse.

(2)

Borrowings under secured revolving repurchase agreements with a guarantee for 100% recourse. Maturity Date represents the sooner of the next maturity date of the CMBS secured revolving repurchase agreement, or roll date for the applicable underlying trade confirmation, subsequent to September 30, 2018.

(3)

Borrowings under the senior secured credit facility with a guarantee for 100% recourse.

As of December 31, 2017
Notes Payable	Maturity Date	Index Rate	Weighted Average Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding		Principal Balance of Collateral
Bank of the Ozarks	08/23/19	1 Month Libor		4.5	%		5.9	%	$	92,400	$	43,979	$	48,421	$	69,172
Bank of the Ozarks	08/31/18	1 Month Libor		4.0			5.4			68,600		14,151		54,449		77,784
Deutsche Bank	09/25/19	1 Month Libor		3.5			4.9			64,779		15,895		48,884		81,473
Deutsche Bank	06/29/18	1 Month Libor		3.3			4.6			49,644		18,224		31,420		48,339
Bank of the Ozarks	05/22/18	1 Month Libor		4.8			6.1			48,750		17,479		31,271		48,109
Deutsche Bank	12/09/18	1 Month Libor		3.7			5.0			42,543		1		42,542		60,775
BMO Harris Bank⁽¹⁾	04/09/20	1 Month Libor		2.7			4.0			32,500		—		32,500		45,000
Subtotal										399,216		109,729		289,487		430,652

Repurchase Agreements	Maturity Date	Index Rate	Weighted Average Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding		Principal Balance of Collateral
Goldman Sachs⁽¹⁾	08/19/18	1 Month Libor		2.2	%		3.6	%	$	750,000	$	183,253	$	566,747	$	890,736
Wells Fargo⁽¹⁾	05/25/19	1 Month Libor		2.1			3.6			750,000		232,462		517,538		814,886
JP Morgan⁽¹⁾	08/20/18	1 Month Libor		2.5			4.0			376,942		120,014		256,928		382,135
Morgan Stanley⁽¹⁾	05/04/19	1 Month Libor		2.4			3.9			500,000		120,002		379,998		533,707
US Bank⁽¹⁾	12/09/19	1 Month Libor		2.0			3.6			150,000		78,600		71,400		93,000
Goldman Sachs (CMBS)⁽²⁾	03/02/18	3 Month Libor		0.1			1.6			100,000		64,615		35,385		39,332
Royal Bank of Canada (CMBS)⁽²⁾	03/20/18	3 Month Libor		1.0			2.6			100,000		92,195		7,805		8,418
Subtotal										2,726,942		891,141		1,835,801		2,762,214

Senior Secured Credit Facility

Maturity

Date

Index Rate

Weighted Average Spread

Interest

Rate

Commitment

Amount

Maximum

Current

Availability

Balance

Outstanding

Principal

Balance of

Collateral

Bank of America⁽¹⁾

09/29/20

1 Month Libor

—

250,000

—

Total

3,376,158

1,250,870

2,125,288

3,192,866

(1)	Borrowings under secured revolving repurchase agreements, senior secured credit facility, and one note payable with a guarantee for 25% recourse.

(2)

Summary of Repurchase Agreements Secured by CMBS, Short-term Borrowings, and Counterparty Concentration

	September 30, 2018
	Commitment Amount		UPB of Collateral		Carrying Value of Collateral⁽¹⁾		Amounts Payable under Repurchase Agreements⁽²⁾		Net Counterparty Exposure⁽³⁾		Percent of Stockholders' Equity			Days to Extended Maturity⁽⁴⁾
Goldman Sachs Bank	$	100,000	$	38,710	$	37,468	$	35,049	$	2,419		0.2	%	$	64
Royal Bank of Canada		100,000		—		—		—		—		—			—
Subtotal / Weighted Average	$	200,000	$	38,710	$	37,468	$	35,049	$	2,419					64
Total / Weighted Average - Loans and CMBS	$	2,841,642	$	2,474,090	$	2,469,068	$	1,652,385	$	816,683					1,099

(1)	Amounts shown in the table include interest receivable of $0.1 million and are net of premium, discount, and unrealized gains of $1.4 million.

(2)	Amounts shown in the table include interest payable of $0.3 million.

(3)	Represents the net carrying value of available-for-sale securities sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

(4)	Represents the sooner of the next maturity date of the CMBS secured revolving repurchase agreement, or roll date for the applicable underlying trade confirmation, subsequent to September 30, 2018.

The following table summarizes certain characteristics of the Company’s secured revolving repurchase agreements secured by CMBS, all of which are considered short-term borrowings, and comprise counterparty concentration risks, at December 31, 2017 (dollars in thousands):

	December 31, 2017
	Commitment Amount		UPB of Collateral		Carrying Value of Collateral⁽¹⁾		Amounts Payable under Repurchase Agreements⁽²⁾		Net Counterparty Exposure⁽³⁾		Percent of Stockholders' Equity			Days to Extended Maturity⁽⁴⁾
Goldman Sachs Bank	$	100,000	$	39,332	$	39,213	$	35,426	$	3,787		0.3	%		61
Royal Bank of Canada		100,000		8,418		8,675		7,879		796		0.1			79
Subtotal / Weighted Average	$	200,000	$	47,750	$	47,888	$	43,305	$	4,583					64
Total / Weighted Average - Loans and CMBS	$	2,726,942	$	2,762,214	$	2,753,549	$	1,839,319	$	914,230					933

(1)	Amounts shown in the table include interest receivable of $0.1 million.

(2)	Amounts shown in the table include interest payable of $0.1 million.

(3)	Represents the net carrying value of available-for-sale securities sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

(4)	Represents the sooner of the next maturity date of the CMBS secured revolving repurchase agreement, or roll date for the applicable underlying trade confirmation, subsequent to December 31, 2017.

The agreements include various covenants covering net worth, liquidity, recourse limitations, and debt coverage. The Company believes it was in compliance with all covenants as of September 30, 2018 and December 31, 2017.

Senior Secured Credit Facilities

Debt Instrument [Line Items]

Schedule of Information Related to Notes Payable, Repurchase Agreement, Senior Secured Credit Facility

	September 30, 2018
Senior Secured Credit Facilities	Maturity Date	Index Rate	Weighted Average Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding
Bank of America	9/29/2020	1 Month Libor		1.9	%		4.1	%	$	500,000	$	112,560	$	387,440
Citibank	7/12/2020	1 Month Libor		2.3	%		4.5	%	$	160,000	$	95,856	$	64,144

Commercial Mortgage Loans

Debt Instrument [Line Items]

Summary of Repurchase Agreements Secured by Commercial Mortgage Loans, Long - term Borrowings, and Counterparty Concentration

At September 30, 2018 and December 31, 2017, the Company had five secured revolving repurchase agreements to finance its loan investing activities. Credit spreads vary depending upon the collateral type and advance rate. Assets pledged at September 30, 2018 and December 31, 2017 consisted of 54 and 48 mortgage loans, respectively. During the three months ended September 30, 2018, the Company amended its Goldman Sachs Bank USA and JPMorgan Chase Bank, National Association secured revolving repurchase facilities, extending the maturity dates to August 19, 2019 and August 20, 2021, respectively.

The following table summarizes certain characteristics of the Company’s secured revolving repurchase agreements secured by commercial mortgage loans, all of which are considered long-term borrowings, and comprise counterparty concentration risks, at September 30, 2018 (dollars in thousands):

	September 30, 2018
	Commitment Amount		UPB of Collateral		Carrying Value of Collateral⁽¹⁾		Amounts Payable under Repurchase Agreements⁽²⁾		Net Counterparty Exposure⁽³⁾		Percent of Stockholders' Equity			Days to Extended Maturity
Goldman Sachs Bank	$	750,000	$	780,647	$	777,782	$	372,207	$	405,575		30.5	%		323
Wells Fargo Bank		750,000		600,575		599,306		444,777		154,529		11.6			968
Morgan Stanley Bank⁽⁴⁾		500,000		337,591		340,286		256,139		84,147		6.3		N/A
JP Morgan Chase Bank		428,802		455,267		454,381		337,879		116,502		8.8			1,785
US Bank		212,840		261,300		259,845		206,334		53,511		4.0			1,835
Subtotal / Weighted Average		2,641,642		2,435,380		2,431,600		1,617,336		814,264					1,126

(1)	Amounts shown in the table include interest receivable of $14.3 million and are net of premium, discount and origination fees of $18.1 million.

(2)	Amounts shown in the table include interest payable of $3.7 million and do not reflect unamortized deferred financing fees of $8.8 million.

(3)	Represents the net carrying value of the commercial real estate assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

(4)	The Morgan Stanley Bank credit facility is excluded from the Days to Extended Maturity calculation because it does not have a limit on the maximum number of permitted extensions.

	December 31, 2017
	Commitment Amount		UPB of Collateral		Carrying Value of Collateral⁽¹⁾		Amounts Payable under Repurchase Agreements⁽²⁾		Net Counterparty Exposure⁽³⁾		Percent of Stockholders' Equity			Days to Extended Maturity
Goldman Sachs Bank	$	750,000	$	890,736	$	887,667	$	568,012	$	319,655		26.6	%		596
Wells Fargo Bank		750,000		814,886		811,257		518,353		292,904		24.4			1,241
Morgan Stanley Bank⁽⁴⁾		500,000		533,707		531,747		380,592		151,155		12.6		N/A
JP Morgan Chase Bank		376,942		382,135		382,542		257,484		125,058		10.4			963
US Bank		150,000		93,000		92,448		71,573		20,875		1.7			1,804
Subtotal / Weighted Average		2,526,942		2,714,464		2,705,661		1,796,014		909,647					960

(1)	Amounts shown in the table include interest receivable of $11.6 million and are net of premium, discount and origination fees of $20.4 million.

(2)	Amounts shown in the table include interest payable of $3.4 million and do not reflect unamortized deferred financing fees of $8.7 million.

(3)	Represents the net carrying value of the commercial real estate assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

(4)	The Morgan Stanley Bank credit facility is excluded from the Days to Extended Maturity calculation because it does not have a limit on the maximum number of permitted extensions.