XML 42 R28.htm IDEA: XBRL DOCUMENT v3.19.1
Secured Revolving Repurchase Agreements, Senior Secured and Secured Credit Agreements, Term Loan Facility, and Asset-Specific Financings (Tables)
 3 Months Ended
Mar. 31, 2019
Debt Instrument [Line Items]  
Schedule of Information Related to Secured Revolving Repurchase Agreements, Senior Secured and Secured Credit Agreements, and Asset-Specific Financings

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)

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 December 31, 2018.

(3)

Borrowings under the secured credit agreement with a guarantee for 100% recourse.
Commercial Mortgage Loans  
Debt Instrument [Line Items]  
Summary of Repurchase Agreements Secured by Commercial Mortgage Loans, CMBS, CRE CLO Investments, Long - term Borrowings, and Counterparty Concentration

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.

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 December 31, 2018 (dollars in thousands):

 

 

 

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.