Secured Debt Agreements (Tables)
|
6 Months Ended |
Jun. 30, 2016 |
|---|
| Debt Disclosure [Abstract] |
|
| Schedule of Secured Debt Agreements |
The following table details our secured debt
agreements ($ in thousands):
|
|
|
|
|
|
|
|
|
| |
|
Secured Debt
Agreements |
|
| |
|
Borrowings Outstanding |
|
| |
|
June 30, 2016 |
|
|
December 31, 2015 |
|
|
Revolving repurchase facilities
|
|
$ |
3,142,404 |
|
|
$ |
2,495,805 |
|
|
GE portfolio acquisition facility
|
|
|
2,581,776 |
|
|
|
3,161,291 |
|
|
Asset-specific financings
|
|
|
490,702 |
|
|
|
474,655 |
|
|
Revolving credit agreement
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total secured debt agreements
|
|
$ |
6,214,882 |
|
|
$ |
6,131,751 |
|
|
|
|
|
|
|
|
|
|
|
Deferred financing costs(1)
|
|
|
(16,789 |
) |
|
|
(15,646 |
) |
|
|
|
|
|
|
|
|
|
|
Net book value of secured debt
|
|
$ |
6,198,093 |
|
|
$ |
6,116,105 |
|
|
|
|
|
|
|
|
|
|
| (1) |
Costs incurred in connection with our secured debt
agreements are recorded on our consolidated balance sheet when
incurred and recognized as a component of interest expense over the
life of each related agreement.
|
|
|
| Revolving Repurchase Facilities |
The following table details our revolving
repurchase facilities ($ in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
June 30,
2016 |
|
| |
|
Maximum |
|
|
Collateral |
|
|
Repurchase
Borrowings |
|
|
Lender
|
|
Facility Size(1) |
|
|
Assets(2) |
|
|
Potential(3) |
|
|
Outstanding |
|
|
Available(3) |
|
|
Wells Fargo
|
|
$ |
2,000,000 |
|
|
$ |
1,421,595 |
|
|
$ |
1,099,823 |
|
|
$ |
826,255 |
|
|
$ |
273,568 |
|
|
MetLife
|
|
|
1,000,000 |
|
|
|
946,957 |
|
|
|
739,102 |
|
|
|
739,102 |
|
|
|
— |
|
|
Bank of America
|
|
|
750,000 |
|
|
|
649,974 |
|
|
|
512,679 |
|
|
|
498,334 |
|
|
|
14,345 |
|
|
JP Morgan(4)
|
|
|
500,000 |
|
|
|
519,014 |
|
|
|
404,031 |
|
|
|
393,738 |
|
|
|
10,293 |
|
|
Citibank
|
|
|
500,000 |
|
|
|
533,589 |
|
|
|
412,130 |
|
|
|
369,145 |
|
|
|
42,985 |
|
|
Morgan Stanley(5)
|
|
|
335,725 |
|
|
|
267,152 |
|
|
|
210,432 |
|
|
|
210,432 |
|
|
|
— |
|
|
Société Générale(6)
|
|
|
445,000 |
|
|
|
166,513 |
|
|
|
133,211 |
|
|
|
105,398 |
|
|
|
27,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,530,725 |
|
|
$ |
4,504,794 |
|
|
$ |
3,511,408 |
|
|
$ |
3,142,404 |
|
|
$ |
369,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
December 31,
2015 |
|
| |
|
Maximum |
|
|
Collateral |
|
|
Repurchase
Borrowings |
|
|
Lender
|
|
Facility Size(1) |
|
|
Assets(2) |
|
|
Potential(3) |
|
|
Outstanding |
|
|
Available(3) |
|
|
Bank of America
|
|
$ |
750,000 |
|
|
$ |
840,884 |
|
|
$ |
665,861 |
|
|
$ |
618,944 |
|
|
$ |
46,917 |
|
|
Wells Fargo
|
|
|
1,000,000 |
|
|
|
879,155 |
|
|
|
687,200 |
|
|
|
562,382 |
|
|
|
124,818 |
|
|
JP Morgan(4)
|
|
|
524,547 |
|
|
|
589,752 |
|
|
|
464,723 |
|
|
|
382,042 |
|
|
|
82,681 |
|
|
Citibank
|
|
|
500,000 |
|
|
|
568,032 |
|
|
|
436,217 |
|
|
|
344,879 |
|
|
|
91,338 |
|
|
MetLife
|
|
|
750,000 |
|
|
|
593,273 |
|
|
|
462,849 |
|
|
|
324,587 |
|
|
|
138,262 |
|
|
Morgan Stanley(5)
|
|
|
370,400 |
|
|
|
273,280 |
|
|
|
212,050 |
|
|
|
209,038 |
|
|
|
3,012 |
|
|
Société Générale(6)
|
|
|
437,320 |
|
|
|
67,416 |
|
|
|
53,933 |
|
|
|
53,933 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4,332,267 |
|
|
$ |
3,811,792 |
|
|
$ |
2,982,833 |
|
|
$ |
2,495,805 |
|
|
$ |
487,028 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Maximum facility size represents the largest
amount of borrowings available under a given facility once
sufficient collateral assets have been approved by the lender and
pledged by us.
|
| (2) |
Represents the principal balance of the collateral
assets.
|
| (3) |
Potential borrowings represents 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.
|
| (4) |
As of June 30, 2016, the JP Morgan maximum
facility size was composed of a general $500.0 million
facility size, under which U.S. Dollars and British Pound Sterling
borrowings are contemplated. As of December 31, 2015, the JP Morgan
maximum facility was composed of general $250.0 million facility
size plus a general £153.0 million ($226.7 million)
facility size provided under a related agreement that contemplated
U.S. Dollars and British Pound Sterling borrowings, and additional
capacity of £32.3 million ($47.8 million) on the
£153.0 million facility.
|
| (5) |
The Morgan Stanley maximum facility size represents
a £250.0 million facility size that was translated to
$335.7 million as of June 30, 2016, and
$370.4 million as of December 31, 2015.
|
| (6) |
The Société Générale maximum
facility size represents a €400.0 million facility size
that was translated to $445.0 million as of June 30,
2016, and $437.3 million as of December 31, 2015.
|
|
| Summary of Key Terms of Revolving Repurchase Facilities |
The following table outlines the key terms of our
revolving repurchase facilities as of June 30, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lender
|
|
Currency
|
|
Rate(1)
|
|
Guarantee(2) |
|
Advance Rate(3) |
|
Margin Call(4)
|
|
Term/Maturity
|
|
Wells Fargo
|
|
$ |
|
L+1.82% |
|
25% |
|
79.5% |
|
Collateral marks only
|
|
Term matched(5) |
|
MetLife
|
|
$ |
|
L+1.84% |
|
50% |
|
78.8% |
|
Collateral marks only
|
|
April 22, 2022(6) |
|
Bank of America
|
|
$ |
|
L+1.68% |
|
50% |
|
79.3% |
|
Collateral marks only
|
|
May 21, 2021(7) |
|
JP Morgan
|
|
$ / £ |
|
L+1.86% |
|
25% |
|
78.8% |
|
Collateral marks only
|
|
January 7, 2018 |
|
Citibank
|
|
$ |
|
L+1.92% |
|
25% |
|
78.1% |
|
Collateral marks only
|
|
Term matched(5) |
|
Morgan Stanley
|
|
£ / € |
|
L+2.35% |
|
25% |
|
78.8% |
|
Collateral marks only
|
|
March 1, 2019 |
|
Société Générale
|
|
£ / € |
|
L+1.60% |
|
25% |
|
80.0% |
|
Collateral marks only
|
|
Term matched(5) |
| (1) |
Represents weighted-average cash coupon based on
borrowings outstanding. In instances where our borrowings are
denominated in currencies other than the U.S. Dollar, interest
accrues at a rate equivalent to a margin plus a base rate other
than 1-month USD LIBOR, such as 3-month GBP LIBOR, 3-month EURIBOR,
or 3-month CDOR.
|
| (2) |
Other than amounts guaranteed based on specific
collateral asset types, borrowings under our revolving repurchase
facilities are non-recourse to us.
|
| (3) |
Represents weighted-average advance rate based on
the outstanding principal balance of the collateral assets
pledged.
|
| (4) |
Margin call provisions under our revolving
repurchase facilities do not permit valuation adjustments based on
capital markets events, and are limited to collateral-specific
credit marks.
|
| (5) |
These revolving repurchase facilities have various
availability periods during which new advances can be made and
which are generally subject to each lender’s discretion.
Maturity dates for advances outstanding are tied to the term of
each respective collateral asset.
|
| (6) |
Includes five one-year extension options which may
be exercised at our sole discretion.
|
| (7) |
Includes two one-year extension options which may
be exercised at our sole discretion.
|
|
| Summary of Statistics for Asset-Specific Financings |
The following table details statistics for our
asset-specific financings ($ in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
June 30,
2016 |
|
Lender
|
|
Count |
|
|
Principal
Balance |
|
|
Book
Value |
|
|
Wtd. Avg.
Yield/Cost(1) |
|
|
Guarantee(2) |
|
|
Wtd. Avg.
Term |
|
JP Morgan(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
1 |
|
|
$ |
280,415 |
|
|
$ |
278,709 |
|
|
|
L+3.87 |
% |
|
$ |
n/a |
|
|
Jan., 2020 |
|
Financing provided
|
|
|
1 |
|
|
|
233,679 |
|
|
|
233,456 |
|
|
|
L+1.89 |
% |
|
|
58,420 |
|
|
Jan., 2020 |
|
Citibank(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
2 |
|
|
|
201,270 |
|
|
|
201,101 |
|
|
|
L+4.45 |
% |
|
|
n/a |
|
|
Nov., 2020 |
|
Financing provided
|
|
|
2 |
|
|
|
156,461 |
|
|
|
156,446 |
|
|
|
L+2.45 |
% |
|
|
39,115 |
|
|
Nov., 2020 |
|
Bank of the Ozarks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
2 |
|
|
|
73,751 |
|
|
|
70,823 |
|
|
|
L+6.00 |
% |
|
|
n/a |
|
|
Nov., 2019 |
|
Financing provided
|
|
|
2 |
|
|
|
55,500 |
|
|
|
54,003 |
|
|
|
L+3.84 |
% |
|
|
— |
|
|
Nov., 2019 |
|
Wells Fargo
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
1 |
|
|
|
64,375 |
|
|
|
63,899 |
|
|
|
L+6.32 |
% |
|
|
n/a |
|
|
Dec., 2019 |
|
Financing provided
|
|
|
1 |
|
|
|
45,062 |
|
|
|
44,729 |
|
|
|
L+3.20 |
% |
|
|
9,012 |
|
|
Dec., 2019 |
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
6 |
|
|
$ |
619,811 |
|
|
$ |
614,532 |
|
|
|
L+4.57 |
% |
|
$ |
n/a |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financing provided
|
|
|
6 |
|
|
$ |
490,702 |
|
|
$ |
488,634 |
|
|
|
L+2.41 |
% |
|
$ |
106,547 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
These floating rate loans and related liabilities
are indexed to the various benchmark rates relevant in each
arrangement in terms of currency and payment frequency. Therefore
the net exposure to each benchmark rate is in direct proportion to
our net assets indexed to that rate. In addition to cash coupon,
yield/cost includes the amortization of deferred origination fees /
financing costs.
|
| (2) |
Other than amounts guaranteed on an asset-by-asset
basis, borrowings under our asset-specific financings are
non-recourse to us.
|
| (3) |
Borrowings under these asset specific financings
are cross collateralized with the related revolving repurchase
facility with the same lender.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
December 31,
2015 |
|
Lender
|
|
Count |
|
|
Principal
Balance |
|
|
Book
Value |
|
|
Wtd. Avg.
Yield/Cost(1) |
|
|
Guarantee(2) |
|
|
Wtd. Avg.
Term |
|
Wells Fargo(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
3 |
|
|
$ |
319,897 |
|
|
$ |
318,693 |
|
|
|
L+4.92 |
% |
|
$ |
n/a |
|
|
Jun., 2019 |
|
Financing provided
|
|
|
3 |
|
|
|
234,850 |
|
|
|
234,115 |
|
|
|
L+2.37 |
% |
|
|
42,627 |
|
|
Jun., 2019 |
|
JP Morgan(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
1 |
|
|
|
274,878 |
|
|
|
272,632 |
|
|
|
L+3.88 |
% |
|
|
n/a |
|
|
Jan., 2020 |
|
Financing provided
|
|
|
1 |
|
|
|
214,491 |
|
|
|
214,391 |
|
|
|
L+1.94 |
% |
|
|
53,623 |
|
|
Jan., 2020 |
|
Citibank(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
1 |
|
|
|
36,749 |
|
|
|
36,514 |
|
|
|
L+4.42 |
% |
|
|
n/a |
|
|
Oct., 2018 |
|
Financing provided
|
|
|
1 |
|
|
|
25,314 |
|
|
|
25,293 |
|
|
|
L+2.08 |
% |
|
|
6,329 |
|
|
Oct., 2018 |
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
5 |
|
|
$ |
631,524 |
|
|
$ |
627,839 |
|
|
|
L+4.44 |
% |
|
$ |
n/a |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financing provided
|
|
|
5 |
|
|
$ |
474,655 |
|
|
$ |
473,799 |
|
|
|
L+2.16 |
% |
|
$ |
102,579 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
These floating rate loans and related liabilities
are indexed to the various benchmark rates relevant in each
arrangement in terms of currency and payment frequency. Therefore
the net exposure to each benchmark rate is in direct proportion to
our net assets indexed to that rate. In addition to cash coupon,
yield/cost includes the amortization of deferred origination fees /
financing costs.
|
| (2) |
Other than amounts guaranteed on an asset-by-asset
basis, borrowings under our asset-specific financings are
non-recourse to us.
|
| (3) |
Borrowings under these asset specific financings
are cross collateralized with the related revolving repurchase
facility with the same lender.
|
|