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Repurchase Agreements, Loan Participations Sold, Notes Payable and Secured Term Loan, Net

12 Months Ended

Dec. 31, 2021

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

Repurchase Agreements, Loan Participations Sold, Notes Payable and Secured Term Loan, Net

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

As of December 31, 2021 and 2020, the Company had financed certain of its loans receivables using repurchase agreements, the sale of loan participations and notes payable. The financings bear interest at a rate equal to LIBOR or SOFR plus a credit spread determined by an advance rate and the value of the collateral, among other factors. 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. The Company was in compliance with all covenants as of December 31, 2021 and 2020.

Repurchase Agreements

The following table summarizes the Company’s repurchase agreements by lender as of December 31, 2021 (in thousands):

		Lender	Initial Maturity	Fully Extended Maturity (1)	Facility Amount		Borrowing Outstanding		Undrawn Capacity
(2	)	JP Morgan Chase Bank, N.A. - Main Pool	6/29/2025	6/29/2027	$	1,250,000	$	1,173,280	$	76,720
(3	)	JP Morgan Chase Bank, N.A. - Side Car	5/27/2023	5/27/2024		271,171		215,003		56,168
(4	)	Morgan Stanley Bank, N.A.	1/26/2023	1/26/2024		1,000,000		1,000,000		—
(5	)	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
(6	)	Wells Fargo Bank, N.A.	9/29/2023	9/29/2026		300,000		285,421		14,579
					$	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)	This financing has a LIBOR floor of 0.25%

(4)	One asset on this financing has a LIBOR floor of 1.00% and one asset has a LIBOR floor of 0.25%. 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.

(5)	This financing has a LIBOR floor of 0.35% with respect to transactions where the initial financing date was before May 27, 2021.

(6)	On March 7, 2022, the facility’s capacity was increased to $750.0 million.

The following table summarizes the Company’s repurchase agreements by lender as of December 31, 2020 (in thousands):

		Lender	Initial Maturity	Fully Extended Maturity (1)	Facility Amount		Borrowing Outstanding		Undrawn Capacity
		JP Morgan Chase Bank, N.A. - Main Pool	6/29/2022	6/29/2024	$	1,250,000	$	937,800	$	312,200
(2	)	Morgan Stanley Bank, N.A.	1/26/2022	1/26/2023		1,000,000		844,283		155,717
(3	)	Goldman Sachs Bank USA	5/31/2021	5/31/2023		750,000		578,015		171,985
(4	)	Societe General, New York Branch	4/30/2022	10/31/2022		300,000		50,000		250,000
		Barclays Bank PLC	12/20/2021	12/20/2022		500,000		201,384		298,616
		Deutsche Bank AG, New York Branch	6/26/2021	6/26/2023		250,000		73,721		176,279
					$	4,050,000	$	2,685,203	$	1,364,797

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

(2)	One asset on this financing has a LIBOR floor of 1.00%

(3)

This financing has a LIBOR floor of 0.35%. Unless modified prior to the initial maturity date, during the period between this facility’s initial maturity date and its fully extended maturity date, the facility may not be used to finance any of the Company’s new investments and 100% of the principal repayments received from pledged loans will be applied to the outstanding balance of the facility.

(4)	This facility’s amount can be increased up to $500,000,000, upon the occurrence of certain events. This financing has a LIBOR floor of 1.00%

Liabilities under the Company’s repurchase agreements as of December 31, 2021 are summarized as follows (in thousands):

Lender	Weighted Average Term (1)		Par Value		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⁽²⁾			$	3,489,511	$	3,489,511	$	5,336,756

(1)	The weighted average term (years) is determined based on the contractual maturity date of the corresponding loans collateralizing each facility.

(2)	Weighted average interest rate as of December 31, 2021 was LIBOR plus 2.16%. One-month LIBOR as of December 31, 2021 was 0.10%. Weighted average is based on outstanding principal as of December 31, 2021.

Liabilities under the Company’s repurchase agreements as of December 31, 2020 are summarized as follows (in thousands):

Lender	Weighted Average Term (1)		Par Value		Carrying Value		Carrying Value of Collateral
JP Morgan Chase Bank, N.A.		1.5	$	937,800	$	937,800	$	1,549,663
Morgan Stanley Bank, N.A.		1.7		844,283		844,283		1,417,877
Goldman Sachs Bank USA		1.2		578,015		578,015		961,148
Societe Generale, New York Branch		1.8		50,000		50,000		97,262
Barclays Bank PLC		1.8		201,384		201,384		277,948
Deutsche Bank AG, Cayman Island Branch		2.7		73,721		73,721		106,984
Total/Weighted Average⁽²⁾			$	2,685,203	$	2,685,203	$	4,410,882

(1)	The weighted average term (years) is determined based on the contractual maturity date of the corresponding loans collateralizing each facility.

(2)	Weighted average interest rate as of December 31, 2020 was LIBOR plus 2.17%. One-month LIBOR as of December 31, 2020 was 0.14%. Weighted average is based on outstanding principal as of December 31, 2020.

As part of its repurchase agreements, the Company must comply with certain financial covenants on an ongoing basis. The Company’s financial covenants are measured at the end of each quarter. As of December 31, 2021 and 2020, the Company was in compliance with all covenants under its repurchase agreements. The repurchase facilities are partially recourse to the Company. The maximum guaranty that the Company would be responsible for as of December 31, 2021 and 2020 was $944.0 million and $701.3 million, respectively, under the repurchase agreements.

Loan Participations Sold

The Company’s loan participations sold as of December 31, 2021 are summarized as follows (in thousands):

			Contractual Maturity Date	Maximum Extension Date	Par Value		Carrying Value		Carrying Value of Collateral
Variable:
	(2	)	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/Weighted Average⁽¹⁾					$	168,322	$	167,744	$	420,844

(1)	Weighted average interest rate as of December 31, 2021 was 5.43%. Weighted average is based on outstanding principal as of December 31, 2021.

(2)	This financing has a LIBOR floor of 1.85%.

The Company’s loan participations sold as of December 31, 2020 are summarized as follows (in thousands):

Contractual Maturity Date	Maximum Extension Date	Par Value		Carrying Value		Carrying Value of Collateral
8/1/2022	8/1/2023	$	189,750	$	188,995	$	370,541
8/20/2022	8/20/2024		138,071		136,843		177,732
3/21/2021	3/21/2023		27,582		27,493		49,710
9/9/2021	9/9/2024		44,645		44,479		109,007
9/9/2021	9/9/2024		42,859		42,701		104,649
9/9/2022	9/9/2024		76,513		75,973		76,593
Total/Weighted Average⁽¹⁾		$	519,420	$	516,484	$	888,232

(1)	Weighted average interest rate as of December 31, 2020 was 5.09%. Weighted average is based on outstanding principal as of December 31, 2020.

Notes Payable

The Company’s notes payable as of December 31, 2021 are summarized as follows (in thousands):

Contractual

Maturity

Date

Maximum

Extension

Date

Par Value

Carrying

Value

Carrying

Value of

Collateral (2)

(1,3)

1/4/2022

48,000

116,512

(1)	Weighted average interest rate as of December 31, 2021 was LIBOR plus 4.00%. One-month LIBOR as of December 31, 2021 was 0.10%. This financing has a LIBOR floor of 2.43%. Weighted average is based on outstanding principal as of December 31, 2021.

(2)	Includes all cash reserve balances held by the servicer.

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

The Company’s notes payable as of December 31, 2020 are summarized as follows (in thousands):

		Contractual Maturity Date	Maximum Extension Date	Par Value		Carrying Value		Carrying Value of Collateral (2)
(3	)	1/4/2021	4/1/2021	$	52,938	$	52,938	$	116,514
		8/2/2022	8/2/2023		99,579		98,553		132,761
(4	)	1/31/2021	7/30/2021		40,000		39,950		67,146
(5	)	7/30/2021	7/30/2023		92,777		92,322		117,165
		1/15/2022	1/15/2022		20,000		19,752		106,618
		Total/Weighted Average⁽¹⁾		$	305,294	$	303,515	$	540,204

(1)	Weighted average interest rate as of December 31, 2020 was LIBOR plus 3.44%. One-month LIBOR as of December 31, 2020 was 0.14%. Weighted average is based on outstanding principal as of December 31, 2020.

(2)	Includes all cash reserve balances held by the servicer.

(3)	On January 5, 2021, the note was extended to the maximum extended maturity date of April 1, 2021. On March 12, 2021, the Company entered into an agreement to extend the contractual maturity date to October 1, 2021 and the maximum extended maturity date to January 4, 2022.

(4)	On January 31, 2021, the note was extended to the maximum extended maturity date of July 30, 2021.

(5)	The Company has guaranteed a portion of this note payable. The Company’s maximum exposure is limited to $20.0 million.

Secured Term Loan, Net

On August 9, 2019, the Company entered into a $450.0 million secured term loan facility. On December 1, 2020, the secured term loan facility 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, the Company entered into a modification of its 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 December 31, 2021 is summarized as follows (in thousands):

Contractual

Stated

Maturity Date

Rate (1)

Interest Rate

Par Value

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%. Following the modification on December 1, 2021, the secured term loan has a floor equal to the greater of one-month SOFR plus 0.10%, and 0.50%.

The secured term loan as of December 31, 2020 is summarized as follows (in thousands):

Contractual

Stated

Maturity Date

Rate (1)

Interest Rate

Par Value

Carrying Value

8/9/2026

L + 5.00%

6.00%

768,554

746,095

(1)	One-month LIBOR at December 31, 2020 was 0.14%. The secured term loan has a LIBOR floor of 1.00%.

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 the Company 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, the Company 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.

The Company’s debt related to real estate owned is summarized as follows (dollars in thousands):

Contractual	Stated
Maturity Date	Rate (1)	Interest Rate			Par Value		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%. This financing has a LIBOR floor of 0.75%.

Interest Expense and Amortization

The following table summarizes the Company’s interest and amortization expense on secured financings, on the secured term loan and on debt related to real estate owned for the years ended December 31, 2021, 2020 and 2019 (in thousands):

	Year Ended
	December 31, 2021		December 31, 2020		December 31, 2019
Interest on secured financings	$	113,300	$	132,389	$	116,893
Interest on secured term loan		46,038		20,205		9,454
Interest on debt related to real estate owned		15,587		-		-
Amortization of financing costs		21,307		19,638		13,400
Total interest and related expense	$	196,232	$	172,232	$	139,747