| Schedule of Secured Debt Agreements |
The following table details our secured debt agreements ($ in
thousands):
|
|
|
|
|
|
|
|
|
| |
|
Secured Debt
Agreements |
|
| |
|
Borrowings Outstanding |
|
| |
|
March 31, 2017 |
|
|
December 31, 2016 |
|
|
Credit facilities
|
|
$ |
3,958,064 |
|
|
$ |
3,572,837 |
|
|
GE portfolio acquisition facility
|
|
|
1,250,524 |
|
|
|
1,479,582 |
|
|
Asset-specific financings
|
|
|
567,577 |
|
|
|
679,207 |
|
|
Revolving credit agreement
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total secured debt agreements
|
|
$ |
5,776,165 |
|
|
$ |
5,731,626 |
|
|
|
|
|
|
|
|
|
|
|
Deferred financing costs(1)
|
|
|
(15,974 |
) |
|
|
(15,272 |
) |
|
|
|
|
|
|
|
|
|
|
Net book value of secured debt
|
|
$ |
5,760,191 |
|
|
$ |
5,716,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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.
|
|
| Credit Facilities |
The following tables detail our credit facilities ($ in
thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
March 31, 2017 |
|
| |
|
Maximum |
|
|
Collateral |
|
|
Credit Borrowings |
|
|
Lender
|
|
Facility Size(1) |
|
|
Assets(2) |
|
|
Potential(3) |
|
|
Outstanding |
|
|
Available(3) |
|
|
Wells Fargo
|
|
$ |
2,000,000 |
|
|
$ |
1,895,248 |
|
|
$ |
1,468,184 |
|
|
$ |
1,238,872 |
|
|
$ |
229,312 |
|
|
MetLife
|
|
|
1,000,000 |
|
|
|
1,104,478 |
|
|
|
866,114 |
|
|
|
866,114 |
|
|
|
— |
|
|
Bank of America
|
|
|
750,000 |
|
|
|
813,305 |
|
|
|
641,066 |
|
|
|
641,066 |
|
|
|
— |
|
|
Citibank(4)
|
|
|
766,300 |
|
|
|
509,582 |
|
|
|
393,933 |
|
|
|
295,777 |
|
|
|
98,156 |
|
|
Deutsche Bank
|
|
|
500,000 |
|
|
|
374,119 |
|
|
|
278,851 |
|
|
|
278,851 |
|
|
|
— |
|
|
Morgan Stanley(5)
|
|
|
627,500 |
|
|
|
329,767 |
|
|
|
260,623 |
|
|
|
220,969 |
|
|
|
39,654 |
|
|
Société Générale(6)
|
|
|
426,080 |
|
|
|
281,623 |
|
|
|
220,915 |
|
|
|
214,678 |
|
|
|
6,237 |
|
|
JP Morgan(7)
|
|
|
500,000 |
|
|
|
359,098 |
|
|
|
277,914 |
|
|
|
201,737 |
|
|
|
76,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
6,569,880 |
|
|
$ |
5,667,220 |
|
|
$ |
4,407,600 |
|
|
$ |
3,958,064 |
|
|
$ |
449,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
December 31, 2016 |
|
| |
|
Maximum |
|
|
Collateral |
|
|
Credit Borrowings |
|
|
Lender
|
|
Facility Size(1) |
|
|
Assets(2) |
|
|
Potential(3) |
|
|
Outstanding |
|
|
Available(3) |
|
|
Wells Fargo
|
|
$ |
2,000,000 |
|
|
$ |
1,718,874 |
|
|
$ |
1,339,942 |
|
|
$ |
1,107,733 |
|
|
$ |
232,209 |
|
|
MetLife
|
|
|
1,000,000 |
|
|
|
1,106,017 |
|
|
|
862,454 |
|
|
|
862,454 |
|
|
|
— |
|
|
Bank of America
|
|
|
750,000 |
|
|
|
794,881 |
|
|
|
617,694 |
|
|
|
617,694 |
|
|
|
— |
|
|
JP Morgan(7)
|
|
|
500,000 |
|
|
|
550,560 |
|
|
|
420,414 |
|
|
|
316,219 |
|
|
|
104,195 |
|
|
Morgan Stanley(5)
|
|
|
308,500 |
|
|
|
344,056 |
|
|
|
272,221 |
|
|
|
231,930 |
|
|
|
40,291 |
|
|
Citibank(4)
|
|
|
500,000 |
|
|
|
508,989 |
|
|
|
394,677 |
|
|
|
229,629 |
|
|
|
165,048 |
|
|
Société Générale(6)
|
|
|
420,680 |
|
|
|
274,351 |
|
|
|
207,178 |
|
|
|
207,178 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
5,479,180 |
|
|
$ |
5,297,728 |
|
|
$ |
4,114,580 |
|
|
$ |
3,572,837 |
|
|
$ |
541,743 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 credit
facility.
|
|
(4)
|
|
As of March 31, 2017, the Citibank maximum
facility size was composed of a general $500.0 million
facility size denominated in U.S. Dollars plus a general
€250.0 million ($266.3 million) facility size that
contemplated British Pound Sterling and Euro borrowings. As of
December 31, 2016, the maximum facility size was composed of a
general $500.0 million facility.
|
|
(5)
|
|
As of March 31, 2017, the Morgan Stanley
maximum facility size was composed of a £500.0 million
facility size that was translated to $627.5 million. As of
December 31, 2016, the maximum facility size was composed of a
£250.0 million facility size that was translated to
$308.5 million. Borrowings denominated in British
Pound Sterling and Euro are contemplated under this
facility.
|
|
(6)
|
|
As of March 31, 2017 and December 31,
2016, the Société Générale maximum facility
size was composed of a €400.0 million facility size that
was translated to $426.1 million and $420.7 million,
respectively. Borrowings denominated in U.S. Dollars, British
Pound Sterling, and Euro are contemplated under this
facility.
|
|
(7)
|
|
As of March 31, 2017 and December 31,
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.
|
|
| Summary of Key Terms of Credit Facilities |
The following tables outline the key terms of our
credit facilities as of March 31, 2017:
|
|
|
|
|
|
|
|
|
|
Lender
|
|
Currency |
|
Guarantee(1) |
|
Margin Call(2) |
|
Term/Maturity |
|
Wells Fargo
|
|
$ |
|
25% |
|
Collateral marks only |
|
Term matched(3) |
|
MetLife
|
|
$ |
|
50% |
|
Collateral marks only |
|
April 22, 2022(4) |
|
Bank of America
|
|
$ |
|
50% |
|
Collateral marks only |
|
May 21, 2021(5) |
|
Citibank
|
|
$ / £/ € |
|
25% |
|
Collateral marks only |
|
Term matched(3) |
|
Deutsche Bank
|
|
$ |
|
25% |
|
Collateral marks only |
|
Term matched(3) |
|
Morgan Stanley
|
|
£ / € |
|
25% |
|
Collateral marks only |
|
March 1, 2020 |
|
Société Générale
|
|
$ /£/ € |
|
25% |
|
Collateral marks only |
|
Term matched(3) |
|
JP Morgan
|
|
$ / £ |
|
50% |
|
Collateral marks only |
|
January 7, 2019 |
|
|
|
|
|
|
(1)
|
|
Other than amounts guaranteed based on specific
collateral asset types, borrowings under our credit facilities are
non-recourse to us.
|
|
(2)
|
|
Margin call provisions under our credit facilities
do not permit valuation adjustments based on capital markets
events, and are limited to collateral-specific credit marks.
|
|
(3)
|
|
These credit 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.
|
|
(4)
|
|
Includes five one-year extension options which may
be exercised at our sole discretion.
|
|
(5)
|
|
Includes two one-year extension options which may
be exercised at our sole discretion.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
|
|
Outstanding
Borrowings |
|
|
Potential
Borrowings(1) |
|
|
Index
|
|
Rate(2)
|
|
Advance
Rate(3) |
| $ |
|
|
$3,639,921 |
|
|
|
$4,030,008 |
|
|
1-month USD LIBOR |
|
L+1.88% |
|
78.9% |
| € |
|
|
€ — |
|
|
|
€ 38,269 |
|
|
3-month EURIBOR |
|
n/a |
|
77.8% |
| £ |
|
|
£ 253,500 |
|
|
|
£ 269,273 |
|
|
3-month GBP LIBOR |
|
L+2.15% |
|
79.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$3,958,064 |
|
|
|
$4,407,600 |
|
|
|
|
L+1.90% |
|
78.9% |
|
|
|
|
|
|
(1)
|
|
Potential borrowings represents the total amount we
could draw under each facility based on collateral already approved
and pledged. When undrawn, these amounts are immediately available
to us at our sole discretion under the terms of each credit
facility.
|
|
(2)
|
|
Represents weighted-average cash coupon based on
borrowings outstanding.
|
|
(3)
|
|
Represents weighted-average advance rate based on
the outstanding principal balance of the collateral assets
pledged.
|
|
| Summary of Statistics for Asset-Specific Financings |
The following tables detail statistics for our
asset-specific financings ($ in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
March 31,
2017 |
|
|
Lender
|
|
Count |
|
|
Principal
Balance |
|
|
Book
Value |
|
|
Wtd. Avg.
Yield/Cost(1) |
|
|
Guarantee(2) |
|
|
Wtd. Avg.
Term(3) |
|
|
JP Morgan(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
1 |
|
|
$ |
286,887 |
|
|
$ |
285,955 |
|
|
|
L+3.88 |
% |
|
|
n/a |
|
|
|
Jan. 2020 |
|
|
Financing provided
|
|
|
1 |
|
|
|
233,679 |
|
|
|
233,413 |
|
|
|
L+1.89 |
% |
|
$ |
116,839 |
|
|
|
Jan. 2020 |
|
|
Citibank(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
2 |
|
|
|
204,617 |
|
|
|
204,548 |
|
|
|
L+4.40 |
% |
|
|
n/a |
|
|
|
Nov. 2020 |
|
|
Financing provided
|
|
|
2 |
|
|
|
161,163 |
|
|
|
161,123 |
|
|
|
L+2.42 |
% |
|
|
40,291 |
|
|
|
Nov. 2020 |
|
|
Bank of the Ozarks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
2 |
|
|
|
169,986 |
|
|
|
167,510 |
|
|
|
L+6.51 |
% |
|
|
n/a |
|
|
|
June 2020 |
|
|
Financing provided
|
|
|
2 |
|
|
|
128,969 |
|
|
|
128,045 |
|
|
|
L+3.83 |
% |
|
|
— |
|
|
|
June 2020 |
|
|
Wells Fargo
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
1 |
|
|
|
62,523 |
|
|
|
62,302 |
|
|
|
L+6.05 |
% |
|
|
n/a |
|
|
|
Dec. 2019 |
|
|
Financing provided
|
|
|
1 |
|
|
|
43,766 |
|
|
|
43,609 |
|
|
|
L+3.14 |
% |
|
|
8,753 |
|
|
|
Dec. 2019 |
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
6 |
|
|
$ |
724,013 |
|
|
$ |
720,315 |
|
|
|
L+4.83 |
% |
|
|
n/a |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financing provided
|
|
|
6 |
|
|
$ |
567,577 |
|
|
$ |
566,190 |
|
|
|
L+2.58 |
% |
|
$ |
165,883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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)
|
|
The weighted-average term is determined based on
the maximum maturity of the corresponding loans, assuming all
extension options are exercised by the borrower. Each of our
asset-specific financings are term-matched to the corresponding
collateral loans.
|
|
(4)
|
|
Borrowings under these asset specific financings
are cross collateralized with the related credit facility with the
same lender.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
December 31, 2016 |
|
|
Lender
|
|
Count |
|
|
Principal
Balance |
|
|
Book
Value |
|
|
Wtd. Avg.
Yield/Cost(1) |
|
|
Guarantee(2) |
|
|
Wtd. Avg.
Term(3) |
|
|
JP Morgan(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
1 |
|
|
$ |
284,012 |
|
|
$ |
282,818 |
|
|
|
L+3.88 |
% |
|
|
n/a |
|
|
|
Jan. 2020 |
|
|
Financing provided
|
|
|
1 |
|
|
|
233,679 |
|
|
|
233,626 |
|
|
|
L+1.89 |
% |
|
$ |
116,839 |
|
|
|
Jan. 2020 |
|
|
Citibank(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
2 |
|
|
|
203,656 |
|
|
|
203,555 |
|
|
|
L+4.40 |
% |
|
|
n/a |
|
|
|
Nov. 2020 |
|
|
Financing provided
|
|
|
2 |
|
|
|
158,652 |
|
|
|
158,609 |
|
|
|
L+2.42 |
% |
|
|
39,663 |
|
|
|
Nov. 2020 |
|
|
Deutsche Bank
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
1 |
|
|
|
183,300 |
|
|
|
180,866 |
|
|
|
L+5.18 |
% |
|
|
n/a |
|
|
|
Aug. 2021 |
|
|
Financing provided
|
|
|
1 |
|
|
|
135,075 |
|
|
|
133,621 |
|
|
|
L+3.03 |
% |
|
|
66,410 |
|
|
|
Aug. 2021 |
|
|
Bank of the Ozarks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
2 |
|
|
|
143,164 |
|
|
|
140,524 |
|
|
|
L+6.42 |
% |
|
|
n/a |
|
|
|
Apr. 2020 |
|
|
Financing provided
|
|
|
2 |
|
|
|
108,435 |
|
|
|
107,323 |
|
|
|
L+3.68 |
% |
|
|
— |
|
|
|
Apr. 2020 |
|
|
Wells Fargo
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
1 |
|
|
|
61,951 |
|
|
|
61,654 |
|
|
|
L+6.05 |
% |
|
|
n/a |
|
|
|
Dec. 2019 |
|
|
Financing provided
|
|
|
1 |
|
|
|
43,366 |
|
|
|
43,154 |
|
|
|
L+2.97 |
% |
|
|
8,673 |
|
|
|
Dec. 2019 |
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateral assets
|
|
|
7 |
|
|
$ |
876,083 |
|
|
$ |
869,417 |
|
|
|
L+4.84 |
% |
|
|
n/a |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financing provided
|
|
|
7 |
|
|
$ |
679,207 |
|
|
$ |
676,333 |
|
|
|
L+2.60 |
% |
|
$ |
231,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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)
|
|
The weighted-average term is determined based on
the maximum maturity of the corresponding loans, assuming all
extension options are exercised by the borrower. Each of our
asset-specific financings are term-matched to the corresponding
collateral loans.
|
|
(4)
|
|
Borrowings under these asset specific financings
are cross collateralized with the related credit facility with the
same lender.
|
|