Secured Revolving Repurchase Agreements, Senior Secured and Secured Credit Agreements, Term Loan Facility, and Asset-Specific Financings

3 Months Ended

Mar. 31, 2019

Secured Revolving Repurchase Agreements, Senior Secured and Secured Credit Agreements, Term Loan Facility, and Asset-Specific Financings

(6) Secured Revolving Repurchase Agreements, Senior Secured and Secured Credit Agreements, Term Loan Facility, and Asset-Specific Financing

At March 31, 2019 and December 31, 2018, the Company had secured revolving repurchase agreements, senior secured and secured credit agreements, a term loan facility and an asset-specific financing for certain of the Company’s originated loans. In general, these financing arrangements bear interest at a rate equal to LIBOR plus a credit spread determined primarily by advance rate and property type. The financing arrangements contain covenants that include certain financial requirements, including maintenance of minimum liquidity, minimum tangible net worth, maximum debt to net worth ratio, current ratio and limitations on capital expenditures, indebtedness, distributions, transactions with affiliates and maintenance of positive net income as defined in the agreements.

The following table presents certain information regarding the Company’s secured revolving repurchase agreements, senior secured and secured credit agreements, and asset-specific financing as of March 31, 2019 and December 31, 2018. Except as otherwise noted, all agreements are on a non-recourse basis (dollars in thousands):

As of March 31, 2019
Asset-specific Financing	Maturity Date	Index Rate	Weighted Average Credit Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding		Principal Balance of Collateral
BMO Harris Bank⁽¹⁾	04/09/20	1 Month LIBOR		2.7	%		4.0	%	$	32,500		—	$	32,500	$	45,000
Subtotal									$	32,500		—	$	32,500	$	45,000

Secured Revolving Repurchase Agreements
Goldman Sachs⁽¹⁾	08/19/19	1 Month LIBOR		2.2	%		4.7	%	$	750,000	$	397,738	$	352,262	$	550,082
Wells Fargo⁽¹⁾	05/25/19	1 Month LIBOR		1.7			4.2			750,000		383,024		366,976		518,183
Morgan Stanley⁽¹⁾	05/04/19	1 Month LIBOR		2.2			4.7			500,000		286,293		213,707		283,514
JP Morgan⁽¹⁾	08/20/21	1 Month LIBOR		2.2			4.6			400,000		194,702		205,298		279,270
US Bank⁽¹⁾	10/09/21	1 Month LIBOR		1.8			4.3			233,883		17,243		216,640		273,137
Goldman Sachs (CMBS and CRE CLO)⁽²⁾	04/25/19	1 Month OIS		0.6			3.1			50,666		—		50,666		61,051
JP Morgan (CMBS and CRE CLO)⁽²⁾	04/27/19	1 Month LIBOR		1.0			3.5			182,587		—		182,587		210,090
Wells Fargo (CMBS and CRE CLO)⁽²⁾	04/29/19	1 Month LIBOR		1.0			3.5			26,933		—		26,933		30,811
Royal Bank of Canada (CMBS and CRE CLO)⁽²⁾	N/A	N/A	N/A			N/A				—		—		—		—
Subtotal									$	2,894,069	$	1,279,000	$	1,615,069	$	2,206,138

Senior Secured and Secured Credit Agreements
Bank of America⁽¹⁾	09/29/20	1 Month LIBOR		1.8	%		4.3	%	$	500,000	$	101,560		398,440		512,699
Citibank⁽³⁾	07/12/20	1 Month LIBOR		2.3			4.8			160,000		98,644		61,355		87,651
Subtotal									$	660,000	$	200,204	$	459,795	$	600,350

Total									$	3,586,569	$	1,479,204	$	2,107,364	$	2,851,488

(1)

Borrowings under secured revolving repurchase agreements, a senior secured credit agreement, and one asset-specific financing arrangement 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 and CRE CLO investment secured revolving repurchase agreement, or roll over date for the applicable underlying trade confirmation, subsequent to March 31, 2019.

(3)

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

As of December 31, 2018
Asset-specific Financing	Maturity Date	Index Rate	Weighted Average Credit Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding		Principal Balance of Collateral
BMO Harris Bank⁽¹⁾	04/09/20	1 Month LIBOR		2.7	%		4.0	%	$	32,500		—	$	32,500	$	45,000
Subtotal									$	32,500		—	$	32,500	$	45,000

Secured Revolving Repurchase Agreements
Goldman Sachs⁽¹⁾	08/19/19	1 Month LIBOR		2.2	%		4.6	%	$	750,000	$	558,836	$	191,164	$	474,243
Wells Fargo⁽¹⁾	05/25/19	1 Month LIBOR		1.8			4.3			750,000		503,792		246,208		339,012
Morgan Stanley⁽¹⁾	05/04/19	1 Month LIBOR		2.2			4.7			500,000		317,493		182,507		244,936
JP Morgan⁽¹⁾	08/20/21	1 Month LIBOR		2.2			4.6			400,000		214,471		185,529		254,026
US Bank⁽¹⁾	10/09/21	1 Month LIBOR		1.8			4.3			212,840		6,800		206,040		262,929
Goldman Sachs (CMBS and CRE CLO)⁽²⁾	01/02/19	1 Month OIS		0.6			2.9			100,000		67,303		32,697		38,517
Royal Bank of Canada (CMBS and CRE CLO)⁽²⁾	N/A	N/A	N/A			N/A				100,000		100,000		—		—
Subtotal									$	2,812,840	$	1,768,695	$	1,044,145	$	1,613,663

Senior Secured and Secured Credit Agreements
Bank of America⁽¹⁾	09/29/20	1 Month LIBOR		1.9	%		4.2	%	$	500,000	$	112,560		387,440		494,247
Citibank⁽³⁾	07/12/20	1 Month LIBOR		2.3			4.8			160,000		87,059		72,941		169,134
Subtotal									$	660,000	$	199,619	$	460,381	$	663,381

Total									$	3,505,340	$	1,968,314	$	1,537,026	$	2,322,044

(1)	Borrowings under secured revolving repurchase agreements, a senior secured credit agreement, and one asset-specific financing arrangement with a guarantee for 25% recourse.

(2)

(3)	Borrowings under the secured credit agreement with a guarantee for 100% recourse.

Asset-Specific Financing

As of March 31, 2019 and December 31, 2018, the Company had one asset-specific financing arrangement to finance certain of its lending activities. The borrowing allows for additional advances up to a specified cap and is secured by one loan held for investment. Holdco has delivered a payment guarantee in favor of BMO Harris, the lender, as additional credit support for the financing. The liability of Holdco under this guarantee is generally capped at 25% of the outstanding obligations of the special purpose subsidiary which is the primary obligor under the financing. In addition, Holdco has delivered a non-recourse carveout guarantee, which can trigger recourse to Holdco as a result of certain “bad boy” defaults for losses incurred by BMO Harris or the entire outstanding obligations of the financing borrower, depending on the nature of the “bad boy” default in question.

The asset specific financing at March 31, 2019 and December 31, 2018 is guaranteed by Holdco, and the agreement includes guarantor covenants regarding liquid assets and net worth requirements. The Company was in compliance with all covenants as of March 31, 2019 and December 31, 2018.

Secured Revolving Repurchase Agreements

The Company frequently utilizes secured revolving repurchase agreements to finance the direct origination or acquisition of commercial real estate mortgage loans, and CMBS and CRE CLO investments. Under these secured revolving repurchase agreements, the Company transfers all of its rights, title and interest in the loans, CMBS and CRE CLO investments to the repurchase counterparty in exchange for cash, and simultaneously agrees to reacquire the asset at a future date for an amount equal to the cash exchanged plus an interest factor. The repurchase counterparty collects all principal and interest on related loans or CMBS and CRE CLO investments and remits to the Company only the net after collecting its interest and other fees. The loan and CMBS and CRE CLO investment related secured revolving repurchase agreements are 25% and 100% recourse to Holdco, respectively.

At March 31, 2019 and December 31, 2018, 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 March 31, 2019 and December 31, 2018 consisted of 53 and 51 mortgage loans, or participation interests therein, respectively. The Company’s secured revolving repurchase agreements secured by commercial mortgage loans are considered long-term borrowings.

At March 31, 2019 and December 31, 2018, the Company had four and two secured revolving repurchase agreements to finance its CMBS and CRE CLO investment activities. Credit spreads vary depending upon the collateral type and advance rate. CMBS and CRE CLO investments pledged consisted of 10 CRE CLO investments and two CMBS investments at March 31, 2019 and two CMBS investments at December 31, 2018. The Company’s secured revolving repurchase agreements secured by CMBS and CRE CLO investments are considered short-term borrowings.

The following table summarizes certain characteristics of the Company’s secured revolving repurchase agreements secured by commercial mortgage loans and CMBS and CRE CLO investments, including counterparty concentration risks, at March 31, 2019 (dollars in thousands):

	March 31, 2019
Loan Financings	Commitment Amount		UPB of Collateral		Carrying Value of Collateral⁽¹⁾		Amounts Payable⁽²⁾		Net Counterparty Exposure⁽³⁾		Percent of Stockholders' Equity			Days to Extended Maturity⁽⁴⁾
Goldman Sachs Bank	$	750,000	$	550,082	$	549,703	$	353,241	$	196,462		13.6	%		141
Wells Fargo Bank		750,000		518,183		518,900		367,380		151,520		10.5			786
Morgan Stanley Bank⁽⁴⁾		500,000		283,514		282,512		214,487		68,025		4.7		N/A
JP Morgan Chase Bank		400,000		279,270		278,240		205,752		72,488		5.0			1,603
US Bank		233,883		273,137		271,761		216,946		54,815		3.8			1,836
Subtotal / Weighted Average	$	2,633,883	$	1,904,186	$	1,901,116	$	1,357,806	$	543,310					933

CMBS and CRE CLO Investment Financings
Goldman Sachs Bank	$	50,666	$	61,051	$	59,047	$	51,005	$	8,042		0.6	%		26
JP Morgan⁽²⁾		182,587		210,090		211,402		182,982		28,420		2.0			28
Wells Fargo⁽²⁾		26,933		30,811		30,863		26,983		3,880		0.3			29
Royal Bank of Canada		—		—		—		—		—		—			—
Subtotal / Weighted Average	$	260,186	$	301,952	$	301,312	$	260,970	$	40,342					28

Total / Weighted Average - Loans, CMBS and CRE CLO	$	2,894,069	$	2,206,138	$	2,202,428	$	1,618,776	$	583,652					765

(1)

Loan amounts shown in the table include interest receivable of $12.8 million and are net of premium, discount and origination fees of $15.8 million. CMBS and CRE CLO investment amounts shown in the table include interest receivable of $1.0 million and are net of premium, discount, and unrealized gains of $1.6 million.

(2)	Loan amounts shown in the table include interest payable of $2.9 million and do not reflect unamortized deferred financing fees of $6.2 million. CMBS and CRE CLO investments shown in the table include interest payable of $0.8 million.

(3)

Loan amounts represent 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. CMBS and CRE CLO investment amounts 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)

The secured revolving repurchase agreement provided by Morgan Stanley Bank is excluded from the “Days to Extended Maturity” column because it does not have a limit on the maximum number of permitted extensions. CMBS and CRE CLO investment extended maturity represents the sooner of the next maturity date of the CMBS and CRE CLO investment secured revolving repurchase agreement, or roll date for the applicable underlying trade confirmation, subsequent to March 31, 2019.

	December 31, 2018
Loan Financings	Commitment Amount		UPB of Collateral		Carrying Value of Collateral⁽¹⁾		Amounts Payable⁽²⁾		Net Counterparty Exposure⁽³⁾		Percent of Stockholders' Equity			Days to Extended Maturity⁽⁴⁾
Goldman Sachs Bank	$	750,000	$	474,243	$	472,797	$	191,705	$	281,092		21.2	%		231
Wells Fargo Bank		750,000		339,012		338,531		246,635		91,896		6.9			876
Morgan Stanley Bank⁽⁴⁾		500,000		244,936		245,932		183,901		62,031		4.7		N/A
JP Morgan Chase Bank		400,000		254,026		253,145		185,892		67,253		5.1			1,693
US Bank		212,840		262,929		261,916		206,422		55,494		4.2			1,743
Subtotal / Weighted Average	$	2,612,840	$	1,575,146	$	1,572,321	$	1,014,555	$	557,766					1,125

CMBS and CRE CLO Investment Financings
Goldman Sachs Bank	$	100,000	$	38,517	$	36,414	$	32,984	$	3,430		0.3	%		2
Royal Bank of Canada		100,000		—		—		—		—		—			—
Subtotal / Weighted Average	$	200,000	$	38,517	$	36,414	$	32,984	$	3,430					2

Total / Weighted Average - Loans, CMBS and CRE CLO	$	2,812,840	$	1,613,663	$	1,608,735	$	1,047,539	$	561,196					1,083

(1)

Loan amounts shown in the table include interest receivable of $14.5 million and are net of premium, discount and origination fees of $17.3 million. CMBS and CRE CLO investment amounts shown in the table include interest receivable of $0.1 million and are net of premium, discount, and unrealized gains of $2.2 million.

(2)	Loan amounts shown in the table include interest payable of $3.1 million and do not reflect unamortized deferred financing fees of $6.7 million. CMBS and CRE CLO investment amounts shown in the table include interest payable of $0.3 million.

(3)

Loan amounts represent 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. CMBS and CRE CLO investment amounts represent 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)

The secured revolving repurchase agreement provided by Morgan Stanley Bank is excluded from the “Days to Extended Maturity” column because it does not have a limit on the maximum number of permitted extensions. CMBS and CRE CLO investment extended maturity represents the sooner of the next maturity date of the CMBS and CRE CLO secured revolving repurchase agreement, or roll date for the applicable underlying trade confirmation, subsequent to December 31, 2018.

The agreements include various covenants covering net worth, liquidity, recourse limitations, and debt coverage. The Company was in compliance with all covenants as of March 31, 2019 and December 31, 2018.

Senior Secured and Secured Credit Agreements

The Company has a senior secured credit agreement with Bank of America N.A. that has a maximum commitment amount of $500 million and $398.4 million outstanding as of March 31, 2019. The senior secured credit agreement bears interest at LIBOR plus 1.81%. The current extended maturity of this agreement is September 29, 2022.

The Company has a secured credit agreement (the “Credit Agreement”), as borrower, with Citibank, N.A. as administrative agent and lender, and Citigroup Global Markets Inc. as sole lead arranger and sole lead book running manager. The Credit Agreement governs a secured revolving credit agreement with aggregate secured borrowing capacity of up to $160.0 million, subject to borrowing base availability and certain other conditions, which the Company occasionally uses to finance originations or acquisitions of eligible loans on an interim basis until permanent financing is arranged. The Credit Agreement has an initial maturity date of July 12, 2020, and borrowings bear interest at an interest rate per annum equal to one-month LIBOR or the applicable base rate plus a margin of 2.25%. The initial advance rate on borrowings under the Credit Agreement with respect to individual pledged assets can vary up to 70%, and may decline over the borrowing term of up to a 90-day period, after which borrowings against that respective asset must be repaid. At March 31, 2019, $61.4 million was outstanding on the Credit Agreement.

Term Loan Facility

The Company entered into a term loan facility, as the borrower, with an institutional asset manager as the lender. The term loan facility has capacity up to $750 million, bears interest at LIBOR plus 1.85%, and allows for an advance rate of no less than 70% and up to 85% based on the loans pledged to the facility. As of March 31, 2019, the Company pledged five loan investments to the term loan facility supporting outstanding borrowings of $267.7 million.

The agreement includes various covenants covering net worth, liquidity, recourse limitations, and debt coverage. The Company was in compliance with all covenants as of March 31, 2019 and December 31, 2018.