Secured Credit Agreements and Mortgage Loan Payable (Tables)

6 Months Ended

Jun. 30, 2021

Schedule of Information Related to Secured Credit Agreements

The following table presents certain information regarding the Company’s secured credit agreements as of June 30, 2021 and December 31, 2020. Except as otherwise noted, all agreements are on a partial (25%) recourse basis (dollars in thousands):

	June 30, 2021
Secured Credit Agreements and Mortgage Loan Payable:	Initial Maturity Date	Extended Maturity Date	Index Rate	Weighted Average Credit Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding		Principal Balance of Collateral			Amortized Cost of Collateral
Secured Credit Facilities
Goldman Sachs⁽¹⁾⁽³⁾	08/19/21	08/19/22	1 Month LIBOR		2.0	%		2.1	%	$	250,000	$	152,011	$	97,989	$	160,959		$	160,206
Wells Fargo⁽¹⁾	04/18/22	04/18/22	1 Month LIBOR		1.8	%		1.9	%		750,000		686,931		63,069		169,396			167,834
Barclays⁽¹⁾	08/13/22	08/13/22	1 Month LIBOR		1.5	%		1.6	%		750,000		599,620		150,380		229,722			229,292
Morgan Stanley⁽¹⁾	05/04/22	05/04/22	1 Month LIBOR		1.8	%		1.9	%		500,000		330,917		169,083		223,976			222,838
JP Morgan⁽¹⁾	10/30/23	10/30/25	1 Month LIBOR		1.7	%		1.8	%		400,000		257,315		142,685		223,856			221,806
US Bank⁽¹⁾	07/09/22	07/09/24	1 Month LIBOR		1.4	%		1.7	%		44,730		5,485		39,245		58,519			58,519
Bank of America⁽¹⁾	09/29/21	09/29/22	1 Month LIBOR		1.8	%		1.9	%		200,000		168,336		31,664		42,813			42,813
Institutional Financing⁽¹⁾	10/30/23	10/30/25	1 Month LIBOR		4.5	%		4.8	%		249,546		80,450		169,096		293,120			292,918
Subtotal										$	3,144,276	$	2,281,065	$	863,211	$	1,402,361		$	1,396,226

Mortgage Loan Payable
Institutional Lender	12/15/21	12/15/22	1 Month LIBOR		4.5	%		5.0	%		50,000		—		50,000		99,200	⁽²⁾		—
Subtotal										$	50,000	$	—	$	50,000	$	99,200		$	—

Total										$	3,194,276	$	2,281,065	$	913,211	$	1,501,561		$	1,396,226

(1)	Borrowings under secured credit facilities with a guarantee for 25% recourse from Holdco.

(2)	Represents the fair value of the REO Property at the time of acquisition as described in Note 4.

(3)	In August 2021, the Company extended the initial maturity date from August 19, 2021 to August 19, 2022, with two additional one-year extensions at the Company’s option, provided the secured credit facility is not in default.

	December 31, 2020
Secured Credit Agreements and Mortgage Loan Payable:	Initial Maturity Date	Extended Maturity Date	Index Rate	Weighted Average Credit Spread			Interest Rate			Commitment Amount		Maximum Current Availability		Balance Outstanding		Principal Balance of Collateral			Amortized Cost of Collateral
Secured Credit Facilities
Goldman Sachs⁽¹⁾	08/19/21	08/19/22	1 Month LIBOR		2.7	%		2.9	%	$	250,000	$	199,113	$	50,887	$	96,381		$	94,971
Wells Fargo⁽¹⁾	04/18/22	04/18/22	1 Month LIBOR		1.7	%		1.9	%		750,000		533,601		216,399		290,237			288,696
Barclays⁽¹⁾	08/13/22	08/13/22	1 Month LIBOR		1.5	%		1.7	%		750,000		433,739		316,261		443,845			442,757
Morgan Stanley⁽¹⁾⁽³⁾	05/04/21	05/04/22	1 Month LIBOR		1.8	%		2.0	%		500,000		174,045		325,955		434,630			433,031
JP Morgan⁽¹⁾	10/30/23	10/30/25	1 Month LIBOR		1.6	%		1.8	%		400,000		192,906		207,094		351,123			347,852
US Bank⁽¹⁾	07/09/22	07/09/24	1 Month LIBOR		1.5	%		1.8	%		139,960		70,376		69,584		101,372			101,287
Bank of America⁽¹⁾	09/29/21	09/29/22	1 Month LIBOR		1.8	%		1.9	%		200,000		112,867		87,133		117,393			117,393
Institutional Financing⁽¹⁾	10/30/23	10/30/25	1 Month LIBOR		4.5	%		4.8	%		249,546		—		249,546		427,330			426,984
Subtotal										$	3,239,506	$	1,716,647	$	1,522,859	$	2,262,311		$	2,252,971

Mortgage Loan Payable
Institutional Lender	12/15/21	12/15/22	1 Month LIBOR		4.5	%		5.0	%		50,000		—		50,000		99,200	⁽²⁾		—
Subtotal										$	50,000	$	—	$	50,000	$	99,200		$	—

Total										$	3,289,506	$	1,716,647	$	1,572,859	$	2,361,511		$	2,252,971

(1)	Borrowings under secured credit facilities with a guarantee for 25% recourse from Holdco.

(2)	Represents the fair value of the REO Property at the time of acquisition as described in Note 4.

(3)	The Company extended its existing secured facility with Morgan Stanley on May 3, 2021 to a new initial maturity date of May 4, 2022.

Summary of Recourse and Market-to-Market Provisions

The Company’s secured credit facilities contain defined mark-to-market provisions that permit the lenders to issue margin calls in the event collateral properties securing the Company’s borrowings experience a non-temporary decline in value or net cash flow (“credit marks”). In connection with one of these borrowing arrangements, the lender is also permitted to issue margin calls to the Company in the event the lender determines capital markets events have caused credit spreads to change for similar borrowing obligations (“spread marks”). Furthermore, in connection with one of these borrowing arrangements, the lender has the right to re-margin the secured credit facility based solely on appraised loan-to-values after the second anniversary date of the facility. The following table presents the recourse and mark-to-market provisions for the Company’s secured credit agreements as of June 30, 2021:

Secured Credit Agreements and Mortgage Loan Payable: Secured Credit Facilities	Initial Maturity Date	Extended Maturity Date	Recourse Percentage			Basis of Margin Calls
Loan Investments
Goldman Sachs⁽¹⁾	08/19/21	08/19/22		25	%	Credit
Wells Fargo	04/18/22	04/18/22		25	%	Credit
Barclays	08/13/22	08/13/22		25	%	Credit
Morgan Stanley	05/04/22	05/04/22		25	%	Credit
JP Morgan	10/30/23	10/30/25		25	%	Credit and Spread
US Bank	07/09/22	07/09/24		25	%	Credit
Bank of America	09/29/21	09/29/22		25	%	Credit
Institutional Financing	10/30/23	10/30/25		25	%	Credit

Mortgage Loan Payable
Institutional Lender	12/15/21	12/15/22	N/A			N/A

(1)	In August 2021, the Company extended the initial maturity date from August 19, 2021 to August 19, 2022, with two additional one-year extensions at the Company’s option, provided the secured credit facility is not in default.

The following table presents the recourse and mark-to-market provisions for the Company’s secured credit agreements as of December 31, 2020:

Secured Credit Agreements and Mortgage Loan Payable: Secured Credit Facilities	Initial Maturity Date	Extended Maturity Date	Recourse Percentage			Basis of Margin Calls
Loan Investments
Goldman Sachs	08/19/21	08/19/22		25	%	Credit
Wells Fargo	04/18/22	04/18/22		25	%	Credit
Barclays	08/13/22	08/13/22		25	%	Credit
Morgan Stanley⁽¹⁾	05/04/21	05/04/22		25	%	Credit
JP Morgan	10/30/23	10/30/25		25	%	Credit and Spread
US Bank	07/09/22	07/09/24		25	%	Credit
Bank of America	09/29/21	09/29/22		25	%	Credit
Institutional Financing	10/30/23	10/30/25		25	%	Credit

Mortgage Loan Payable
Institutional Lender	12/15/21	12/15/22	N/A			N/A

(1)	The Company extended its existing secured credit facility with Morgan Stanley on May 3, 2021 to a new initial maturity date of May 4, 2022.

Schedule of Key Terms of Financial Covenants Before and After Modification

The financial covenants and guarantees for outstanding borrowings related to the Company’s secured credit facilities require Holdco to maintain compliance with the following financial covenants (among others), which were revised on June 7, 2021 as follows:

Financial Covenant	Current	Prior to June 7, 2021
Cash Liquidity	Minimum cash liquidity of no less than the greater of: $15.0 million; and 5.0% of Holdco’s recourse indebtedness	Minimum cash liquidity of no less than the greater of: $10.0 million; and 5.0% of Holdco’s recourse indebtedness
Tangible Net Worth	$1.0 billion, plus 75% of all subsequent equity issuances (net of discounts, commissions, expense), minus 75% of the redeemed or repurchased preferred or redeemable equity or stock	$1.1 billion as of April 1, 2020, plus 75% of future equity issuances thereafter (net of discounts, commissions, expense)
Debt-to-Equity	Debt-to-Equity ratio not to exceed 4.25 to 1.0 with "equity" and "equity adjustment" as defined below	Debt-to-Equity ratio not to exceed 3.5 to 1.0 with "equity" and "equity adjustment" as defined below
Interest Coverage	Minimum interest coverage ratio of no less than 1.5 to 1.0	Minimum interest coverage ratio of no less than 1.5 to 1.0

Commercial Mortgage Loans

Debt Instrument [Line Items]

Summary of Secured Credit Facilities Secured by Commercial Mortgage Loans, CRE Debt Securities and Counterparty Concentration Risks

The following table summarizes certain characteristics of the Company’s secured credit facilities secured by commercial mortgage loans, including counterparty concentration risks, as of June 30, 2021 (dollars in thousands):

	June 30, 2021
Secured Credit Facilities	Commitment Amount		UPB of Collateral		Amortized Cost of Collateral(1)		Amount Payable(2)		Net Counterparty Exposure(3)		Percent of Stockholders' Equity			Days to Extended Maturity
Goldman Sachs Bank	$	250,000	$	160,959	$	162,403	$	98,021	$	64,382		5.0	%		415
Wells Fargo		750,000		169,396		169,522		63,295		106,227		8.3	%		292
Barclays		750,000		229,722		229,633		150,497		79,136		6.2	%		409
Morgan Stanley Bank		500,000		223,976		223,790		169,157		54,633		4.3	%		308
JP Morgan Chase Bank		649,546		516,976		515,284		311,868		203,416		15.9	%		1,583
US Bank		44,730		58,519		58,885		39,300		19,585		1.5	%		1,105
Bank of America		200,000		42,813		43,045		31,613		11,432		0.9	%		456
Total / Weighted Average	$	3,144,276	$	1,402,361	$	1,402,562	$	863,751	$	538,811					839

(1)	Loan amounts include interest receivable of $6.3 million and are net of premium, discount and origination fees of $6.1 million.

(2)	Loan amounts include interest payable of $0.5 million and do not reflect unamortized deferred financing fees of $4.6 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.

	December 31, 2020
Secured Credit Facilities	Commitment Amount		UPB of Collateral		Amortized Cost of Collateral(1)		Amount Payable(2)		Net Counterparty Exposure(3)		Percent of Stockholders' Equity			Days to Extended Maturity
Goldman Sachs Bank⁽⁴⁾	$	250,000	$	96,381	$	96,843	$	50,909	$	45,934		3.6	%		596
Wells Fargo		750,000		290,237		290,403		216,734		73,669		5.8	%		473
Barclays		750,000		443,845		443,620		316,524		127,096		10.0	%		590
Morgan Stanley Bank		500,000		434,630		433,948		326,199		107,749		8.5	%		489
JP Morgan Chase Bank		649,546		778,453		777,862		457,041		320,821		25.3	%		1,764
US Bank		139,960		101,372		101,599		69,649		31,950		2.5	%		1,286
Bank of America⁽⁵⁾		200,000		117,393		117,637		87,119		30,518		2.4	%		637
Total / Weighted Average	$	3,239,506	$	2,262,311	$	2,261,912	$	1,524,175	$	737,737					938

(1)	Loan amounts include interest receivable of $10.4 million and are net of premium, discount and origination fees of $11.8 million.

(2)	Loan amounts include interest payable of $1.0 million and do not reflect unamortized deferred financing fees of $8.3 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.

(4)

Maximum commitment amount was reduced from $750.0 million to $250.0 million at the Company’s election as part of an as-of-right extension executed in June 2020. The secured credit facility has an accordion feature that permits the Company to increase the commitment amount in increments of $50.0 million up to a maximum of $500.0 million.

(5)

Maximum commitment amount was reduced from $500.0 million to $200.0 million at the Company’s election as part of an as-of-right extension executed in June 2020. The secured credit facility has an accordion feature that permits the Company to increase the commitment amount in increments of $50.0 million up to a maximum of $500.0 million.