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Secured Debt Arrangements, Net

9 Months Ended

Sep. 30, 2019

At September 30, 2019 and December 31, 2018, our borrowings had the following secured debt arrangements, maturities and weighted-average interest rates ($ in thousands):



	September 30, 2019 ⁽²⁾						December 31, 2018 ⁽²⁾
	Maximum Amount of Borrowings		Borrowings Outstanding			Maturity ⁽¹⁾	Maximum Amount of Borrowings		Borrowings Outstanding			Maturity ⁽¹⁾
JPMorgan Facility (USD)	$	1,253,271	$	1,067,635		June 2024	$	1,333,503	$	680,141		June 2021
JPMorgan Facility (GBP)	46,729		46,729			June 2024	48,497		48,497			June 2021
DB Repurchase Facility (USD)	1,116,993		558,905			March 2021	904,181		419,823			March 2021
DB Repurchase Facility (GBP)	133,007		133,007			March 2021	150,819		150,819			March 2021
Goldman Facility	500,000		267,711			November 2021	300,000		210,072			November 2020
CS Facility - USD	174,279		174,279			March 2020	187,117		187,117			June 2019
CS Facility - GBP	124,707		124,707			March 2020	151,773		151,773			June 2019
HSBC Facility - GBP	36,621		36,621			December 2019	48,835		48,835			December 2019
HSBC Facility - EUR	149,724		149,724			January 2021	—		—			N/A
Sub-total	3,535,331		2,559,318				3,124,725		1,897,077
less: deferred financing costs	N/A		(18,031		)		N/A		(17,555		)
Total / Weighted-Average	$	3,535,331	$	2,541,287			$	3,124,725	$	1,879,522
Total / Weighted-Average	$	3,535,331	$	2,541,287			$	3,124,725	$	1,879,522

———————

(1) Maturity date assumes extensions at our option are exercised.

(2) Weighted-average rates as of September 30, 2019 and December 31, 2018 were USD L + 2.09% / GBP L + 2.31% / EUR L + 1.35% and USD L + 2.17% / GBP L + 2.28%, respectively.

JPMorgan Facility

In May 2017, through two indirect wholly-owned subsidiaries, we entered into a Fifth Amended and Restated Master Repurchase Agreement with JPMorgan Chase Bank, National Association (as amended, the "JPMorgan Facility"). During the third quarter of 2019, we amended the JPMorgan Facility to allow for $1.3 billion of maximum borrowings and maturity in June 2022, plus two one-year extensions available at our option, subject to certain conditions. The JPMorgan Facility enables us to elect to receive advances in U.S. dollars ("USD"), British pounds ("GBP"), or Euros ("EUR"). Margin calls may occur any time at specified aggregate margin deficit thresholds. We have agreed to provide a limited guarantee of the obligations of our indirect wholly-owned subsidiaries under the JPMorgan Facility.

As of September 30, 2019, we had $1.1 billion (including £38.0 million assuming conversion into USD) of borrowings outstanding under the JPMorgan Facility secured by certain of our commercial mortgage loans.

DB Repurchase Facility

In April 2018, through an indirect wholly-owned subsidiary, we entered into a Second Amended and Restated Master Repurchase Agreement with Deutsche Bank AG, Cayman Islands Branch and Deutsche Bank AG, London Branch (as amended, the "DB Repurchase Facility"), which was upsized in September 2019, and provides for advances of up to $1.25 billion for the sale and repurchase of eligible first mortgage loans secured by commercial or multifamily properties located in the United States, United Kingdom and the European Union, and enables us to elect to receive advances in USD, GBP, or EUR.

The repurchase facility matures in March 2020, plus a one-year extension available at our option, subject to certain conditions. Margin calls may occur any time at specified aggregate margin deficit thresholds. We have agreed to provide a limited guarantee of the obligations of our indirect wholly-owned subsidiaries under this facility.

As of September 30, 2019, we had $691.9 million (including £108.2 million assuming conversion into USD) of borrowings outstanding under the DB Repurchase Facility secured by certain of our commercial mortgage loans.

Goldman Facility

In November 2017, through an indirect wholly-owned subsidiary, we entered into a master repurchase and securities contract agreement with Goldman Sachs Bank USA (the "Goldman Facility"), which was upsized in March 2019 from $300.0 million to $500.0 million and matures in November 2019, plus two one-year extensions available at our option, subject to certain conditions. Margin calls may occur any time at specified margin deficit thresholds. We have agreed to provide a limited guarantee of the obligations of our indirect wholly-owned subsidiaries under this facility.

As of September 30, 2019, we had $267.7 million of borrowings outstanding under the Goldman Facility.

CS Facility - USD

In July 2018, through an indirect wholly-owned subsidiary, we entered into a Master Repurchase Agreement with Credit Suisse AG, acting through its Cayman Islands Branch and Alpine Securitization Ltd (the "CS Facility - USD"), which provides for advances for the sale and repurchase of eligible commercial mortgage loans secured by real estate. The CS Facility - USD matures six months after either party notifies the other party of intention to terminate. Margin calls may occur any time at specified aggregate margin deficit thresholds. We have agreed to provide a guarantee of the obligations of our indirect wholly-owned subsidiary under this facility.

As of September 30, 2019, we had $174.3 million of borrowings outstanding under the CS Facility - USD secured by certain of our commercial mortgage loans.

CS Facility - GBP

In June 2018, through an indirect wholly-owned subsidiary, we entered into a Master Repurchase Agreement with Credit Suisse AG, acting through its Cayman Islands Branch and Alpine Securitization Ltd (the "CS Facility - GBP"), which provides for advances for the sale and repurchase of eligible commercial mortgage loans secured by real estate. The CS Facility - GBP matures six months after either party notifies the other party of intention to terminate. Margin calls may occur any time at specified aggregate margin deficit thresholds. We have agreed to provide a guarantee of the obligations of our indirect wholly-owned subsidiary under this facility.

As of September 30, 2019, we had $124.7 million (£101.5 million assuming conversion into USD) of borrowings outstanding under the CS Facility - GBP secured by one of our commercial mortgage loans.

HSBC Facility - GBP

In September 2018, through an indirect wholly-owned subsidiary, we entered into a secured debt arrangement with HSBC Bank plc (the "HSBC Facility - GBP"), which provides for a single asset financing. The facility matures in December 2019. Margin calls may occur any time at specified aggregate margin deficit thresholds. We have agreed to provide a guarantee of the obligations of our indirect wholly-owned subsidiary under this facility.

As of September 30, 2019, we had $36.6 million (£29.8 million assuming conversion into USD) of borrowings outstanding under the HSBC Facility - GBP secured by one of our commercial mortgage loans.

HSBC Facility - EUR

In July 2019, through an indirect wholly-owned subsidiary, we entered into a secured debt arrangement with HSBC Bank plc (the "HSBC Facility - EUR"), which provides for a single asset financing. The facility matures in January 2021. Margin calls may occur any time at specified aggregate margin deficit thresholds. We have agreed to provide a guarantee of the obligations of our indirect wholly-owned subsidiary under this facility.

As of September 30, 2019, we had $149.7 million (€137.4 million assuming conversion into USD) of borrowings outstanding under the HSBC Facility - EUR secured by one of our commercial mortgage loans.

At September 30, 2019, our borrowings had the following remaining maturities ($ in thousands):



	Less than 1 year⁽¹⁾		1 to 3 years⁽¹⁾		3 to 5 years ⁽¹⁾		More than 5 years		Total
JPMorgan Facility	$	60,500	$	311,219	$	742,645	$	—	$	1,114,364
DB Repurchase Facility	102,896		589,016		—		—		691,912
Goldman Facility	—		267,711		—		—		267,711
CS Facility - USD	174,279		—		—		—		174,279
CS Facility - GBP	124,707		—		—		—		124,707
HSBC Facility - GBP	36,621		—		—		—		36,621
HSBC Facility - EUR	—		149,724		—		—		149,724
Total	$	499,003	$	1,317,670	$	742,645	$	—	$	2,559,318

———————

(1) Assumes underlying assets are financed through the fully extended maturity date of the facility.

The table below summarizes the outstanding balances at September 30, 2019, as well as the maximum and average month-end balances for the nine months ended September 30, 2019 for our borrowings under secured debt arrangements ($ in thousands).



	As of September 30, 2019				For the nine months ended September 30, 2019
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,114,364	$	1,809,170	$	1,150,317	$	875,895
DB Repurchase Facility	691,912		1,205,456		691,912		598,285
Goldman Facility	267,711		445,898		312,507		220,631
CS Facility - USD	174,279		241,989		188,037		180,792
CS Facility - GBP	124,707		178,612		150,811		139,991
HSBC Facility - GBP	36,621		52,593		50,784		44,007
HSBC Facility - EUR	149,724		185,208		152,155		150,914
Total	$	2,559,318	$	4,118,926

We were in compliance with the covenants under each of our secured debt arrangements at September 30, 2019 and December 31, 2018.

Senior Secured Term Loan, Net

In May 2019, we entered into a $500.0 million senior secured term loan. The senior secured term loan bears interest at LIBOR plus 2.75% and was issued at a price of 99.5%. The senior secured term loan matures in May 2026 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities.

During the three months ended September 30, 2019, we repaid $1.3 million of principal related to the senior secured term loan.

Covenants

The senior secured term loan includes the following financial covenants: (i) our ratio of total non-recourse debt to tangible net worth cannot be greater than 3:1; and (ii) our ratio of total unencumbered assets to total pari-passu indebtedness must be at least 1.25:1.

We were in compliance with the covenants under the senior secured term loan at September 30, 2019.

Interest Rate Swap

In connection with the senior secured term loan, we entered into an interest rate swap to fix LIBOR at 2.12% effectively fixing our all-in coupon on the senior secured term loan at 4.87%.