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.