| Repurchase Obligations Outstanding |
The following table details the repurchase obligations outstanding
as of September 30, 2013 ($ in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Collateral Assets |
|
|
Repurchase Borrowings2 |
|
| |
|
Maximum |
|
|
Principal |
|
|
Net Book |
|
|
|
|
|
|
|
|
|
|
|
Lender
|
|
Facility Size |
|
|
Balance (1) |
|
|
Value (1) |
|
|
Potential |
|
|
Current |
|
|
Available |
|
|
Revolving Repurchase Facilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America
|
|
$ |
500,000 |
|
|
$ |
278,811 |
|
|
$ |
277,336 |
|
|
$ |
210,930 |
|
|
$ |
59,404 |
|
|
$ |
151,526 |
|
|
Citibank
|
|
|
500,000 |
|
|
|
232,875 |
|
|
|
232,162 |
|
|
|
176,168 |
|
|
|
5,000 |
|
|
|
171,168 |
|
|
JP Morgan (3)
|
|
|
362,000 |
|
|
|
378,950 |
|
|
|
376,949 |
|
|
|
296,760 |
|
|
|
274,913 |
|
|
|
21,847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal
|
|
|
1,362,000 |
|
|
|
890,636 |
|
|
|
886,447 |
|
|
|
683,858 |
|
|
|
339,317 |
|
|
|
344,541 |
|
|
|
|
|
|
|
|
|
Asset-Specific Repurchase Agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wells Fargo (4)
|
|
|
334,721 |
|
|
|
401,352 |
|
|
|
399,444 |
|
|
|
334,721 |
|
|
|
303,723 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
1,696,721 |
|
|
$ |
1,291,988 |
|
|
$ |
1,285,891 |
|
|
$ |
1,018,579 |
|
|
$ |
643,040 |
|
|
$ |
344,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
The difference between principal
balance and net book value of collateral assets is due to deferred
origination fees. |
| (2) |
Potential borrowings represent the
total amount we could draw under each facility based on collateral
already approved and pledged. When undrawn, these amounts are
immediately available to us at our sole discretion under the terms
of each revolving credit facility. |
| (3) |
JP Morgan has a maximum facility size
of $250.0 million plus $112.0 million related solely to a specific
asset with a repurchase date of June 27, 2014. |
| (4) |
Represents an aggregate of three
asset-specific repurchase agreements with Wells Fargo. The $31.0
million of potential borrowings under these agreements are
contingent on our funding additional draws by the borrower under a
specific collateral asset. |
|
| Balances of Each Entity's Outstanding Securitized Debt Obligations, their Respective Coupons and All-in Effective Costs, Including Amortization of Fees and Expenses |
The balances of each of our consolidated securitization
vehicles’ outstanding securitized debt obligations, their
respective coupons and all-in effective costs, including the
amortization of fees and expenses, were as follows ($ in
thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
September 30, |
|
|
December 31, |
|
|
|
|
September 30, |
| |
|
2013 |
|
|
2012 |
|
|
|
|
2013 |
| Non-Recourse
Securitized |
|
Principal |
|
|
Book |
|
|
Book |
|
|
|
|
|
|
|
All-In |
|
|
Maturity |
|
Debt Obligations
|
|
Balance |
|
|
Value |
|
|
Value |
|
|
|
|
Coupon(1) |
|
|
Cost(1) |
|
|
Date(2) |
|
CT CDO I
|
|
$ |
74,203 |
|
|
$ |
74,203 |
|
|
$ |
91,131 |
|
|
|
|
|
L+1.60 |
% |
|
|
L+1.60 |
% |
|
July 2039 |
|
GSMS 2006-FL8A
|
|
|
— |
|
|
|
— |
|
|
|
48,053 |
|
|
|
|
|
— |
|
|
|
— |
|
|
N/A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total/Weighted-Average
|
|
$ |
74,203 |
|
|
$ |
74,203 |
|
|
$ |
139,184 |
|
|
|
|
|
L+1.60 |
% |
|
|
L+1.60 |
% |
|
July 2039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Represents a weighted-average for the
facility. All non-recourse securitization obligations are floating
rate obligations indexed to LIBOR as of September 30, 2013.
LIBOR was 0.18% as of September 30, 2013. |
| (2) |
Maturity date represent the
contractual maturity of the securitization vehicle. Repayment of
securitized debt is a function of collateral cash flows which are
disbursed in accordance with the contractual provisions of each
vehicle, and is generally expected to occur prior to the maturity
date above. |
|