XML 34 R15.htm IDEA: XBRL DOCUMENT

Secured Debt Arrangements, Net

3 Months Ended

Mar. 31, 2020

At March 31, 2020 and December 31, 2019, our borrowings had the following secured debt arrangements, maturities and weighted-average interest rates ($ in thousands):



	March 31, 2020						December 31, 2019
	Maximum Amount of Borrowings⁽¹⁾		Borrowings Outstanding⁽¹⁾			Maturity ⁽²⁾	Maximum Amount of Borrowings⁽¹⁾		Borrowings Outstanding⁽¹⁾			Maturity ⁽²⁾
JPMorgan (USD)	$	1,139,932	$	1,024,617		June 2024	$	1,154,109	$	1,090,160		June 2024
JPMorgan (GBP)	93,882		93,882			June 2024	51,702		50,410			June 2024
JPMorgan (EUR)	66,186		66,186			June 2024	94,189		94,189			June 2024
DB (USD)	1,000,000		506,977			March 2023	1,250,000		513,876			March 2021
Goldman (USD)	500,000		359,540			November 2021	500,000		322,170			November 2021
CS - USD	328,141		325,868			January 2023⁽³⁾	226,068		218,644			June 2020
CS - GBP	84,748		84,748			September 2020	93,915		93,915			June 2020
HSBC - USD	50,625		50,625			January 2021	50,625		50,625			October 2020
HSBC - GBP	32,230		32,230			June 2020	34,634		34,634			June 2020
HSBC - EUR	151,537		151,537			July 2021	154,037		154,037			January 2021
Barclays (USD)	200,000		35,192			March 2024	N/A		N/A			N/A
Barclays (GBP)	645,854		645,854			November 2023⁽⁴⁾	538,916		290,347			February 2024⁽⁴⁾
Barclays (EUR)	179,586		179,586			August 2024⁽³⁾	182,549		182,549			November 2020
Sub-total^(5)(6)(7)	4,472,721		3,556,842				4,330,744		3,095,556
less: deferred financing costs	N/A		(16,917		)		N/A		(17,190		)
Total	$	4,472,721	$	3,539,925			$	4,330,744	$	3,078,366
Total	$	4,472,721	$	3,539,925			$	4,330,744	$	3,078,366

———————

(1) As of March 31, 2020, GBP and EUR borrowings were converted at a rate of 1.24 and 1.10, respectively. As of December 31, 2019, GBP and EUR borrowings were converted at a rate of 1.33 and 1.12, respectively.

(2) Maturity date assumes extensions at our option are exercised with consent of financing providers, where applicable.

(3) Assumes financings are extended in line with the underlying loans.

(4) Represents weighted average maturity across various financings with the counterparty. See below for additional details.

(5) Weighted-average borrowing costs as of March 31, 2020 and December 31, 2019 were USD L + 2.05% / GBP L + 1.66% / EUR L + 1.35% and USD L + 2.07% / GBP L + 1.75% / EUR L + 1.36%, respectively.

(6) Weighted average advance rates based on cost as of March 31, 2020 and December 31, 2019 were 67.3% (65.6% (USD) / 70.6% (GBP) / 70.7% (EUR)) and 63.8% (66.7% (USD) / 47.1% (GBP) / 76.1% (EUR)).

(7) As of March 31, 2020 and December 31, 2019, approximately 54% of the outstanding balance under these secured borrowings were recourse to us.

Each of our existing secured debt arrangements include "credit based and other mark-to-market" features. "Credit mark-to-market" provisions in repurchase facilities are designed to keep the lenders' credit exposure generally constant as a percentage of the underlying collateral value of the assets pledged as security to them. If the credit underlying collateral value decreases, the amount of leverage available to us will be reduced as our assets are marked-to-market, which would reduce our

liquidity. The lender under the applicable repurchase facility sets the valuation and any revaluation of the collateral assets in its sole, good faith discretion. Generally, if the lender determines (subject to certain conditions) that the market value of the collateral in a repurchase transaction has decreased by more than a defined minimum amount, the lender may require us to provide additional collateral or may make margin calls, which may require us to repay all or a portion of the funds advanced. We closely monitor our liquidity and intend to maintain sufficient liquidity on our balance sheet in order to meet any margin calls in the event of any significant decreases in asset values. As of March 31, 2020 and December 31, 2019, the weighted average haircut under our repurchase agreements was approximately 33% and 36%, respectively. In addition, our existing secured debt arrangements are not entirely term-matched financings and may mature before our commercial real estate debt investments that represent underlying collateral to those financings. We are in frequent dialogue with the lenders under our secured debt arrangements regarding our management of their collateral assets and as we negotiate renewals and extensions of these liabilities, we may experience lower advance rates and higher pricing under the renewed or extended agreements.

JPMorgan Facility

In November 2019, through three indirect wholly-owned subsidiaries, we entered into a Sixth Amended and Restated Master Repurchase Agreement with JPMorgan Chase Bank, National Association (as amended, the "JPMorgan Facility"). The JPMorgan Facility allows for $1.3 billion of maximum borrowings (with amounts borrowed in British pounds and Euros converted to U.S. dollars for purposes of calculating availability based on the greater of the spot rate as of the initial financing under the corresponding mortgage loan and the then-current spot rate) and matures in June 2022 and has two one-year extensions available at our option, which are 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.

As of March 31, 2020, we had $1.2 billion (including £75.6 million and €60.0 million assuming conversion into USD) of borrowings outstanding under the JPMorgan Facility secured by certain of our commercial mortgage loans.

DB Facility

In March 2020, through an indirect wholly-owned subsidiary, we entered into a Third Amended and Restated Master Repurchase Agreement with Deutsche Bank AG, Cayman Islands Branch, London Branch (as amended, the "DB Facility"), which provides for advances of up to $1.0 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 2021, and has two one-year extensions available at our option, subject to certain conditions. Margin calls may occur any time at specified aggregate margin deficit thresholds.

As of March 31, 2020, we had $507.0 million of borrowings outstanding under the DB 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 provides advances up to $500.0 million and matures in November 2020, and has one one-year extension available at our option, subject to certain conditions. Margin calls may occur any time at specified margin deficit thresholds.

As of March 31, 2020, we had $359.5 million of borrowings outstanding under the Goldman Facility secured by certain of our commercial mortgage loans.

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 has an "evergreen" feature such that the facility continues unless terminated at any time by Credit Suisse with six months' notice. Margin calls may occur any time at specified aggregate margin deficit thresholds.

As of March 31, 2020, we had $325.9 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 Global Master Repurchase Agreement with Credit Suisse Securities (Europe) Limited (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 in September 2020. Margin calls may occur any time at specified aggregate margin deficit thresholds.

As of March 31, 2020, we had $84.7 million (£68.2 million assuming conversion into USD) of borrowings outstanding under the CS Facility - GBP secured by one commercial mortgage loan.

HSBC Facility - USD

In October 2019, through an indirect wholly-owned subsidiary, we entered into a secured debt arrangement with HSBC Bank plc (the "HSBC Facility - USD"), which provides for a single asset financing. The facility is scheduled to mature in January 2021. Margin calls may occur any time at specified aggregate margin thresholds.

As of March 31, 2020, we had $50.6 million of borrowings under the HSBC Facility - USD secured by one commercial mortgage loan.

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 is scheduled to mature in June 2020. Margin calls may occur any time at specified aggregate margin deficit thresholds.

As of March 31, 2020, we had $32.2 million (£26.0 million assuming conversion into USD) of borrowings outstanding under the HSBC Facility - GBP secured by one commercial mortgage loan.

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 July 2021. Margin calls may occur any time at specified aggregate margin deficit thresholds.

As of March 31, 2020, we had $151.5 million (€137.4 million assuming conversion into USD) of borrowings outstanding under the HSBC Facility - EUR secured by one of our commercial mortgage loans.

Barclays Facility - USD

In March 2020, through an indirect wholly-owned subsidiary, we entered into a secured debt arrangement pursuant to a Master Repurchase Agreement with Barclays Bank plc ("Barclays Facility - USD"). The Barclays Facility - USD allows for $200.0 million of maximum borrowings and initially matures in March 2023 with extensions available at our option, subject to certain conditions. Margin calls may occur any time at specified aggregate margin deficit thresholds.

Barclays Facility - GBP/EUR

Beginning in October 2019, through an indirect wholly-owned subsidiary, we entered into five secured debt arrangements pursuant to a Global Master Repurchase Agreement with Barclays Bank plc (the "Barclays Facility - GBP/EUR"). Margin calls may occur any time at specified aggregate margin deficit thresholds.

The table below provides the currency, outstanding balance, stated maturity, and extended maturity for each of the five secured debt arrangements under the Barclays Facility - GBP/EUR:



Local Currency	Borrowings outstanding (in $)	Fully-Extended Maturity⁽¹⁾
GBP	$217,350	December 2023
GBP	156,958	February 2023
GBP	149,830	October 2024
GBP	121,716	September 2023
Sub-total/Weighted-Average	$645,854	November 2023
EUR	179,586	see below⁽²⁾
Total/Weighted-Average	$825,440

———————

(1) Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(2) The Barclays Facility - EUR has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve month notice.

As of March 31, 2020, we had $825.4 million (£520.0 million and €162.8 million assuming conversion into U.S.

dollars) of borrowings outstanding under the Barclays Facility - GBP/EUR secured by five of our commercial mortgage loans.

At March 31, 2020, our borrowings had the following remaining maturities ($ in thousands):



	Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years		Total
JPMorgan	$	61,836	$	289,842	$	833,007	$	—	$	1,184,685
DB	27,900		196,477		282,600		—		506,977
Goldman	—		359,540		—		—		359,540
CS - USD	—		200,307		125,561		—		325,868
CS - GBP	84,748		—		—		—		84,748
HSBC - USD	50,625		—		—		—		50,625
HSBC - GBP	32,230		—		—		—		32,230
HSBC - EUR	—		151,537		—		—		151,537
Barclays (GBP)	—		—		645,854		—		645,854
Barclays (EUR)	—		—		179,586		—		179,586
Barclays (USD)	—		—		35,192		—		35,192
Total	$	257,339	$	1,197,703	$	2,101,800	$	—	$	3,556,842

———————

(1) The table above reflects the fully extended maturity date of the facility and assumes facilities with an "evergreen" feature continue to extend through the fully-extended maturity of the underlying asset and assumes underlying loans are extended with consent of financing providers.

The table below summarizes the outstanding balances at March 31, 2020, as well as the maximum and average month-end balances for the three months ended March 31, 2020 for our borrowings under secured debt arrangements ($ in thousands).



	As of March 31, 2020				For the three months ended March 31, 2020
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan	$	1,184,685	$	1,912,345	$	1,184,685	$	989,915
DB	506,977		778,607		506,977		470,077
Goldman	359,540		537,249		359,540		319,369
CS - USD	325,868		439,725		336,448		326,684
CS - GBP	84,748		121,286		90,111		87,452
HSBC - USD	50,625		67,041		50,625		50,625
HSBC - GBP	32,230		46,565		34,501		33,336
HSBC - EUR	151,537		191,565		152,389		151,798
Barclays (USD)	35,192		49,800		35,192		11,731
Barclays (GBP)	645,854		899,075		666,810		610,833
Barclays (EUR)	179,586		239,483		180,595		179,895
Total	$	3,556,842	$	5,282,741

The table below summarizes the outstanding balances at December 31, 2019, as well as the maximum and average month-end balances for the year ended December 31, 2019 for our borrowings under secured debt arrangements ($ in thousands).

As of December 31, 2019

For the year ended December 31, 2019



	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan	$	1,234,759	$	1,845,400	$	1,234,759	$	947,400
DB	513,876		766,676		757,117		604,067
Goldman	322,170		513,559		324,821		246,318
CS - USD	218,644		308,884		218,644		182,646
CS - GBP	93,915		129,723		150,811		134,694
HSBC - USD	50,625		66,960		50,625		50,625
HSBC - GBP	34,634		49,976		50,784		42,296
HSBC - EUR	154,037		190,780		154,037		151,889
Barclays (GBP)	290,347		738,455		290,347		139,004
Barclays (EUR)	182,549		241,674		182,549		181,159
Total	$	3,095,556	$	4,852,087

We were in compliance with the covenants under each of our secured debt arrangements at March 31, 2020 and December 31, 2019.

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 March 31, 2020, we repaid $1.3 million of principal related to the senior secured term loan. The outstanding principal balance as of March 31, 2020 and December 31, 2019 was $496.3 million and $497.5 million, respectively. As of March 31, 2020, the senior secured term loan had a carrying value of $487.1 million net of deferred financing costs of $7.0 million and an unamortized discount of $2.2 million. As of December 31, 2019, the senior secured term loan had a carrying value of $488.0 million net of deferred financing costs of $7.3 million and an unamortized discount of $2.2 million.

Covenants

The senior secured term loan includes the following financial covenants: (i) our ratio of total 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 March 31, 2020 and December 31, 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%.