Secured Debt Agreements (Tables)

9 Months Ended

Sep. 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
	September 30, 2016			December 31, 2015
Revolving repurchase facilities	$	3,044,434		$	2,495,805
GE portfolio acquisition facility		1,587,822			3,161,291
Asset-specific financings		653,652			474,655
Revolving credit agreement		50,000			—
Total secured debt agreements	$	5,335,908		$	6,131,751
Deferred financing costs(1)		(15,550	)		(15,646	)
Net book value of secured debt	$	5,320,358		$	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):

	September 30, 2016
	Maximum		Collateral		Repurchase Borrowings
Lender	Facility Size(1)		Assets(2)		Potential(3)		Outstanding		Available(3)
Wells Fargo	$	2,000,000	$	1,390,190	$	1,085,153	$	801,271	$	283,882
MetLife		1,000,000		967,359		756,054		756,054		—
Bank of America		750,000		742,081		577,694		577,694		—
JP Morgan(4)		500,000		524,516		403,483		353,630		49,853
Citibank		500,000		623,857		481,572		252,175		229,397
Morgan Stanley(5)		324,200		254,803		200,665		200,665		—
Société Générale(6)		448,880		166,369		131,000		102,945		28,055
	$	5,523,080	$	4,669,175	$	3,635,621	$	3,044,434	$	591,187

	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 September 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 $324.2 million as of September 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 $448.9 million as of September 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 September 30, 2016:

Lender	Currency	Rate(1)	Guarantee(2)	Advance Rate(3)	Margin Call(4)	Term/Maturity
Wells Fargo	$	L+1.77%	25%	79.6%	Collateral marks only	Term matched(5)
MetLife	$	L+1.84%	50%	78.8%	Collateral marks only	April 22, 2022(6)
Bank of America	$	L+1.67%	50%	79.3%	Collateral marks only	May 21, 2021(7)
JP Morgan	$ / £	L+1.84%	50%	78.8%	Collateral marks only	January 7, 2019
Citibank	$	L+1.85%	25%	78.3%	Collateral marks only	Term matched(5)
Morgan Stanley	£  / €	L+2.35%	25%	78.8%	Collateral marks only	March 1, 2019
Société Générale	£  / €	L+1.71%	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):

	September 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		$    278,963		L+3.88%		n/a		Jan. 2020
Financing provided		1		233,679		233,541		L+1.89%		$116,839		Jan. 2020
Citibank(3)
Collateral assets		2		201,270		201,135		L+4.45%		n/a		Nov. 2020
Financing provided		2		158,652		158,605		L+2.48%		39,663		Nov. 2020
Deutsche Bank
Collateral assets		1		180,740		178,107		L+5.17%		n/a		Aug. 2021
Financing provided		1		135,075		133,599		L+3.00%		67,538		Aug. 2021
Bank of the Ozarks
Collateral assets		2		108,423		105,630		L+6.20%		n/a		Feb. 2020
Financing provided		2		81,907		80,603		L+3.59%		—		Feb. 2020
Wells Fargo
Collateral assets		1		63,341		62,955		L+6.05%		n/a		Dec. 2019
Financing provided		1		44,339		44,067		L+3.20%		8,868		Dec. 2019
Total
Collateral assets		7		$    834,189		$    826,790		L+4.76%		n/a
Financing provided		7		$    653,652		$    650,415		L+2.57%		$232,908

(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.