Repurchase Agreements, Loan Participations Sold, Net, Notes Payable, Net, Secured Term Loan, Net, Debt Related to Real Estate Owned, Net, and Acquisition Facility

6 Months Ended

Jun. 30, 2022

Securities Loaned And Securities Sold Under Agreement To Repurchase Gross Including Not Subject To Master Netting Arrangement [Abstract]

Repurchase Agreements, Loan Participations Sold, Net, Notes Payable, Net, Secured Term Loan, Net, Debt Related to Real Estate Owned, Net, and Acquisition Facility

Note 5. Repurchase Agreements, Loan Participations Sold, Net, Notes Payable, Net, Secured Term Loan, Net, Debt Related to Real Estate Owned, Net, and Acquisition Facility

As of June 30, 2022 and December 31, 2021, we financed certain of our loans receivables using repurchase agreements, the sale of loan participations, and notes payable. The financings bear interest at a rate equal to LIBOR/SOFR plus a credit spread or at a fixed rate. Financing agreements generally contain covenants that include certain financial requirements, including maintenance of minimum liquidity, minimum tangible net worth, maximum debt to tangible net worth ratio, and minimum debt service coverage ratio as defined in agreements. As of June 30, 2022 and December 31, 2021, we are in compliance with all covenants under our financing agreements.

The following table summarizes our portfolio financings as of June 30, 2022 and December 31, 2021 ($ in thousands):


	June 30, 2022						December 31, 2021
	Capacity		Borrowing Outstanding		Weighted Average Spread(1)		Capacity		Borrowing Outstanding		Weighted Average Spread(1)
Repurchase agreements	$	4,515,000	$	3,703,306		+ 2.05%	$	4,065,000	$	3,274,508		+ 2.00%
Repurchase agreements - Side Car		271,171		215,397		+ 4.51%		271,171		215,003		+ 4.50%
Loan participations sold		274,252		274,252		+ 3.84%		168,322		168,322		+ 3.79%
Notes payable		229,950		100,512		+ 3.04%		48,000		48,000		+ 4.00%
Secured Term Loan		758,904		758,904		+ 4.50%		762,717		762,717		+ 4.50%
Debt related to real estate owned		290,000		290,000		+ 2.78%		290,000		290,000		+ 2.78%
Total / weighted average	$	6,339,277	$	5,342,371		+ 2.65%	$	5,605,210	$	4,758,550		+ 2.65%

(1)

Weighted average spread over the applicable benchmark rate is based on unpaid principal balance. One-month LIBOR as of June 30, 2022 was 1.79%. One-month SOFR at June 30, 2022 was 1.69%.

Repurchase Agreements

The following table summarizes our repurchase agreements by lender as of June 30, 2022 ($ in thousands):


Lender	Initial Maturity	Fully Extended Maturity (1)	Maximum Capacity		Borrowing Outstanding		Undrawn Capacity
JP Morgan Chase Bank, N.A. - Main Pool	6/29/2025	6/29/2027	$	1,500,000	$	1,355,946	$	144,054
JP Morgan Chase Bank, N.A. - Side Car	5/27/2023	5/27/2024		271,171		215,397		55,774
Morgan Stanley Bank, N.A.	1/26/2023	1/26/2025		1,000,000		840,996		159,004
Goldman Sachs Bank USA	5/31/2023	5/31/2025		500,000		393,398		106,602
Wells Fargo Bank, N.A.	9/29/2023	9/29/2026		750,000		704,000		46,000
Barclays Bank PLC	12/20/2022	12/20/2025		500,000		186,383		313,617
Deutsche Bank AG, New York Branch	6/26/2023	6/26/2023		265,000		222,583		42,417
Total			$	4,786,171	$	3,918,703	$	867,468

(1)

Facility maturity dates may be extended based on certain conditions being met.

The following table summarizes our repurchase agreements by lender as of December 31, 2021 ($ in thousands):


Lender	Initial Maturity	Fully Extended Maturity (1)	Maximum Capacity		Borrowing Outstanding		Undrawn Capacity
JP Morgan Chase Bank, N.A. - Main Pool(2)	6/29/2025	6/29/2027	$	1,250,000	$	1,173,280	$	76,720
JP Morgan Chase Bank, N.A. - Side Car	5/27/2023	5/27/2024		271,171		215,003		56,168
Morgan Stanley Bank, N.A.(3)	1/26/2023	1/26/2024		1,000,000		1,000,000		-
Goldman Sachs Bank USA	5/31/2022	5/31/2023		750,000		410,551		339,449
Barclays Bank PLC	12/20/2022	12/20/2025		500,000		193,884		306,116
Deutsche Bank AG, New York Branch	6/26/2022	6/26/2023		265,000		211,372		53,628
Wells Fargo Bank, N.A.	9/29/2023	9/29/2026		300,000		285,421		14,579
Total			$	4,336,171	$	3,489,511	$	846,660

(1)

Facility maturity dates may be extended based on certain conditions being met.

(2)

On January 14, 2022, the facility capacity was increased to $1.5 billion.

(3)

On January 25, 2022, the reference rate on this facility was changed from LIBOR to SOFR, and the fully extended maturity was extended to January 26, 2025.

Liabilities under our repurchase agreements as of June 30, 2022 are summarized as follows ($ in thousands):


Lender	Weighted Average Term(1)		Borrowing Outstanding		Carrying Value		Carrying Value of Collateral
JP Morgan Chase Bank, N.A. - Main Pool		2.4	$	1,355,946	$	1,355,946	$	1,851,860
JP Morgan Chase Bank, N.A. - Side Car		0.7		215,397		215,397		451,048
Morgan Stanley Bank, N.A.		2.1		840,996		840,996		1,298,072
Goldman Sachs Bank USA		1.3		393,398		393,398		578,900
Wells Fargo Bank, N.A.		2.6		704,000		704,000		911,857
Barclays Bank PLC		1.4		186,383		186,383		285,166
Deutsche Bank AG, New York Branch		1.8		222,583		222,583		352,989
Total/Weighted Average		2.1	$	3,918,703	$	3,918,703	$	5,729,892

(1)

The weighted average term (years) is determined based on the contractual initial maturity date of the corresponding loans collateralizing each facility. Weighted average is based on borrowing outstanding as of June 30, 2022.

Liabilities under our repurchase agreements as of December 31, 2021 are summarized as follows ($ in thousands):


Lender	Weighted Average Term(1)		Borrowing Outstanding		Carrying Value		Carrying Value of Collateral
JP Morgan Chase Bank, N.A. - Main Pool		1.6	$	1,173,280	$	1,173,280	$	1,626,719
JP Morgan Chase Bank, N.A. - Side Car		0.9		215,003		215,003		436,325
Morgan Stanley Bank, N.A.		2.4		1,000,000		1,000,000		1,709,758
Goldman Sachs Bank USA		1.3		410,551		410,551		589,825
Barclays Bank PLC		1.4		193,884		193,884		283,716
Deutsche Bank AG, New York Branch		2.3		211,372		211,372		327,671
Wells Fargo Bank, N.A.		2.8		285,421		285,421		362,742
Total/Weighted Average		1.9	$	3,489,511	$	3,489,511	$	5,336,756

(1)

The repurchase facilities are partially recourse to us. The maximum guaranty under the repurchase agreements that we would be responsible for as of June 30, 2022 and December 31, 2021 was $1.1 billion and $944.0 million, respectively.

Loan Participations Sold

Our loan participations sold as of June 30, 2022 are summarized as follows ($ in thousands):


	Contractual Maturity Date	Maximum Extension Date	Borrowing Outstanding		Carrying Value		Carrying Value of Collateral(1)
Variable:
(2)	8/1/2022	8/1/2023		148,322		148,295		291,353
	10/18/2023	10/18/2024		105,930		105,473		193,033
Fixed:
	12/31/2024	12/31/2025		20,000		19,719		143,941
Total			$	274,252	$	273,487	$	628,327

(1)

Includes all cash reserve balances held by the servicer.

(2)

Subsequent to June 30, 2022, this participation was extended to its maximum extension date.

Our loan participations sold as of December 31, 2021 are summarized as follows ($ in thousands):


	Contractual Maturity Date	Maximum Extension Date	Borrowing Outstanding		Carrying Value		Carrying Value of Collateral
Variable:
	8/1/2022	8/1/2023		148,322		148,133		290,783
Fixed:
	12/31/2024	12/31/2025		20,000		19,611		130,061
Total			$	168,322	$	167,744	$	420,844

Notes Payable

Our notes payable as of June 30, 2022 are summarized as follows ($ in thousands):


Contractual Maturity Date	Maximum Extension Date	Borrowing Outstanding		Carrying Value		Carrying Value of Collateral
12/31/2024	12/31/2025		94,322		92,915		143,941
2/2/2026	2/2/2027		6,190		5,192		9,274
Total		$	100,512	$	98,107	$	153,215

Our notes payable as of December 31, 2021 are summarized as follows ($ in thousands):


Contractual Maturity Date	Maximum Extension Date	Borrowing Outstanding		Carrying Value		Carrying Value of Collateral(1)
1/4/2022 (2)	1/4/2022	$	48,000	$	48,000	$	116,512

(1)

Includes all reserve balances held by servicer.

(2)

In January 2022, the initial maturity was extended to July 5, 2022 and the maximum maturity date was extended to January 4, 2023.

Secured Term Loan, Net

On August 9, 2019, we entered into a $450.0 million secured term loan. On December 1, 2020, the secured term loan was modified to increase the aggregate principal amount by $325.0 million, increase the interest rate, and to increase the quarterly amortization payment. On December 2, 2021, we entered into a modification of our secured term loan which reduced the interest rate to the greater of (i) 1-month SOFR plus a 0.10% credit spread adjustment, and (ii) 0.50%, plus a credit spread of 4.50%.

The secured term loan as of June 30, 2022 is summarized as follows ($ in thousands):

Contractual

Stated

Borrowing

Maturity Date

Rate (1)

Interest Rate

Outstanding

Carrying Value

8/9/2026

S + 4.50%

6.29%

758,904

738,180

(1)

One-month SOFR at June 30, 2022 was 1.69%.

The secured term loan as of December 31, 2021 is summarized as follows ($ in thousands):

Contractual

Stated

Borrowing

Maturity Date

Rate (1)

Interest Rate

Outstanding

Carrying Value

8/9/2026

S + 4.50%

5.00%

762,717

739,762

(1)

One-month SOFR at December 31, 2021 was 0.05%.

The secured term loan is partially amortizing, with principal payments of $1.9 million due in quarterly installments.

Debt Related to Real Estate Owned, Net

On February 8, 2021 we assumed a $300.0 million securitized senior mortgage in connection with a UCC foreclosure on a portfolio of seven limited service hotels. On June 2, 2021, we entered into an agreement to amend the terms of the securitized senior mortgage which included an extension of the maturity date to February 9, 2024, a principal repayment of $10.0 million, and the payment of $7.6 million of fees and modification costs, which included among other items, $6.3 million of interest expense, $1.1 million of general and administrative expenses, and $0.2 million of debt issuance costs.

Our debt related to real estate owned as of June 30, 2022 is summarized as follows ($ in thousands):

Contractual

Stated

Borrowing

Maturity Date

Rate (1)

Interest Rate

Outstanding

Carrying Value

February 9, 2024

L + 2.78%

4.57

290,000

289,852

(1)

One-month LIBOR at June 30, 2022 was 1.79%.

Our debt related to real estate owned as of December 31, 2021 is summarized as follows ($ in thousands):

Contractual

Stated

Borrowing

Maturity Date

Rate (1)

Interest Rate

Outstanding

Carrying Value

February 9, 2024

L + 2.78%

3.53

290,000

289,806

(1)

One-month LIBOR at December 31, 2021 was 0.10%.

Acquisition Facility

On June 29, 2022, we entered into a $150.0 million full recourse credit facility. The facility generally provides interim financing for eligible loans for up to 180 days at an initial advance rate of 75%, which begins to decline after the 90th day. The facility matures on June 29, 2025 and earns interest at a rate of 1-month SOFR, plus a 0.10% credit spread adjustment, plus a spread of 2.25%. With the consent of our lenders, and subject to certain conditions, the commitment of the facility may be increased up to $500.0 million. As of June 30, 2022, the outstanding balance of the facility is $0.

Interest Expense and Amortization

The following table summarizes our interest and amortization expense on secured financings, debt related to real estate owned and on the secured term loan for the three and six months ended June 30, 2022 and 2021 ($ in thousands):


	Three Months Ended				Six Months Ended
	June 30, 2022		June 30, 2021		June 30, 2022		June 30, 2021
Interest on secured financings	$	31,702	$	28,887	$	57,113	$	58,589
Interest on secured term loan		10,299		11,652		19,858		23,205
Interest on debt related to real estate owned (1)		2,719		8,886		5,303		10,361
Amortization of financing costs		4,870		5,931		9,480		10,963
Total interest and related expense	$	49,590	$	55,356	$	91,754	$	103,118

(1)

Interest on debt related to real estate owned includes $22,000 and $12,000 of amortization of financing costs for the three months ended June 30, 2022 and 2021, respectively. Interest on debt related to real estate owned includes $45,000 and $12,000 of amortization of financing costs for the six months ended June 30, 2022 and 2021, respectively.