XML 41 R31.htm IDEA: XBRL DOCUMENT

Secured Debt Arrangements, Net (Tables)

6 Months Ended

Jun. 30, 2020

Schedule of Weighted Average Maturities and Interest Rates of Borrowings

At June 30, 2020 and December 31, 2019, our borrowings included the following secured debt arrangements, maturities and weighted-average interest rates ($ in thousands):



	June 30, 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)	$	1,138,858	$	993,495		June 2024	$	1,154,109	$	1,090,160		June 2024
JPMorgan (GBP)	93,738		93,738			June 2024	51,702		50,410			June 2024
JPMorgan (EUR)	67,404		67,404			June 2024	94,189		94,189			June 2024
DB (USD)	1,000,000		509,800			March 2023	1,250,000		513,876			March 2021
Goldman (USD)	500,000		354,562			November 2021	500,000		322,170			November 2021
CS - USD	332,444		321,518			January 2023⁽³⁾	226,068		218,644			June 2020
CS - GBP	84,618		84,618			March 2021⁽³⁾	93,915		93,915			June 2020
HSBC - USD	47,223		47,223			January 2021	50,625		50,625			October 2020
HSBC - GBP	—		—			N/A	34,634		34,634			June 2020
HSBC - EUR	150,621		150,621			July 2021	154,037		154,037			January 2021
Barclays (USD)	200,000		35,192			March 2024	N/A		N/A			N/A
Barclays (GBP)	—		—			N/A⁽⁴⁾	538,916		290,347			February 2024⁽⁵⁾
Barclays (EUR)	—		—			N/A⁽⁴⁾	182,549		182,549			November 2020
Total Secured Credit Facilities	3,614,906		2,658,171				4,330,744		3,095,556
Barclays Private Securitization	782,006		782,006			July 2023⁽⁵⁾	N/A		N/A			N/A
Total Secured Debt Arrangements	4,396,912		3,440,177				4,330,744		3,095,556
less: deferred financing costs	N/A		(15,079		)		N/A		(17,190		)
Total Secured Debt Arrangements, net^(6)(7)(8)	$	4,396,912	$	3,425,098			$	4,330,744	$	3,078,366
Total Secured Debt Arrangements, net^(6)(7)(8)	$	4,396,912	$	3,425,098			$	4,330,744	$	3,078,366

———————


(1)	As of June 30, 2020, British Pound Sterling ("GBP") and Euros ("EUR") borrowings were converted to U.S. Dollars ("USD") at a rate of 1.24 and 1.12, 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) As of June 30, 2020, there are no loans pledged to this facility.

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

(6) Weighted-average borrowing costs as of June 30, 2020 and December 31, 2019 were USD L + 2.13% / GBP L + 1.87% / EUR L + 1.46% and USD L + 2.07% / GBP L + 1.75% / EUR L + 1.36%, respectively.

(7) Weighted average advance rates based on cost as of June 30, 2020 and December 31, 2019 were 64.5% (63.6% (USD) / 68.8% (GBP) / 61.6% (EUR)) and 63.8% (66.7% (USD) / 47.1% (GBP) / 76.1% (EUR)).

(8) As of June 30, 2020 and December 31, 2019, approximately 56% and 54% of the outstanding balance under these secured borrowings were recourse to us.

Schedule of Assets Under The Private Barclays Securitization

The table below provides the borrowings outstanding and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization ($ in thousands):



	Borrowings outstanding	Fully-Extended Maturity⁽¹⁾
Total/Weighted-Average GBP	$644,397	December 2023
Total/Weighted-Average EUR	137,609	May 2021⁽²⁾
Total/Weighted-Average Securitization	$782,006	July 2023

———————

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

(2) The EUR portion of the Barclays Private Securitization 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 months' notice.

Schedule of Assets and Liabilities

The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheet ($ in thousands):



	June 30, 2020
Assets:
Commercial mortgage loans, net⁽¹⁾	$	1,169,978
Liabilities:
Secured debt arrangements, net	$	782,006
Accounts payable, accrued expenses and other liabilities⁽²⁾	317
Total Liabilities	782,323

———————

(1) Net of the General CECL Allowance of $6.9 million.

(2) Represents General CECL Allowance related to unfunded commitments.

Schedule of Remaining Maturities of Borrowings

At June 30, 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	$	415,766	$	677,035	$	—	$	1,154,637
DB	15,594		494,206		—		—		509,800
Goldman	—		354,562		—		—		354,562
CS - USD	—		198,154		123,364		—		321,518
CS - GBP⁽¹⁾	84,618		—		—		—		84,618



HSBC - USD	47,223		—		—		—		47,223
HSBC - EUR	—		150,621		—		—		150,621
Barclays (USD)	—		—		35,192		—		35,192
Barclays Private Securitization	137,610		156,718		487,678		—		782,006
Total	$	346,881	$	1,770,027	$	1,323,269	$	—	$	3,440,177

———————

(1) Subsequent to quarter end, the outstanding balance was repaid in connection with the sale of the underlying loan. For more information, see "Note 18 - Subsequent Events."

Schedule of Outstanding, Maximum and Average Balances of Debt

The table below summarizes the outstanding balances at June 30, 2020, as well as the maximum and average month-end balances for the six months ended June 30, 2020 for our borrowings under secured debt arrangements ($ in thousands).



	As of June 30, 2020				For the six months ended June 30, 2020
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan	$	1,154,637	$	1,934,291	$	1,192,288	$	1,080,012
DB	509,800		786,913		514,301		491,215
Goldman	354,562		546,776		359,541		337,854
CS - USD	321,518		451,872		336,448		324,101
CS - GBP	84,618		121,288		90,111		86,189
HSBC - USD	47,223		67,122		50,625		48,924
HSBC - GBP	—		—		34,501		27,417
HSBC - EUR	150,621		195,326		152,389		150,289
Barclays (USD)	35,192		49,865		35,193		23,462
Barclays (GBP)	—		—		666,810		521,385
Barclays (EUR)	—		—		180,595		141,042
Barclays Private Securitization	782,006		1,176,927		782,006		130,334
Total	$	3,440,177	$	5,330,380

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

- Definition

Tabular disclosure of long-debt instruments or arrangements, including identification, terms, features, collateral requirements and other information necessary to a fair presentation. These are debt arrangements that originally required repayment more than twelve months after issuance or greater than the normal operating cycle of the entity, if longer.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 210
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.5-02.22)
-URI http://asc.fasb.org/extlink&oid=120391452&loc=d3e13212-122682

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 835
-SubTopic 30
-Section 45
-Paragraph 1A
-URI http://asc.fasb.org/extlink&oid=119993939&loc=d3e28541-108399

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 505
-SubTopic 10
-Section 50
-Paragraph 6
-URI http://asc.fasb.org/extlink&oid=109259400&loc=d3e21506-112644

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08.(e),(f))
-URI http://asc.fasb.org/extlink&oid=120395691&loc=d3e23780-122690

Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 835
-SubTopic 30
-Section 45
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=119993939&loc=d3e28551-108399

Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 505
-SubTopic 10
-Section 50
-Paragraph 7
-URI http://asc.fasb.org/extlink&oid=109259400&loc=d3e21521-112644

Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 505
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=109259400&loc=d3e21538-112644

Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 942
-SubTopic 470
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=75038535&loc=d3e64711-112823

Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 835
-SubTopic 30
-Section 55
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=114775985&loc=d3e28878-108400

Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 505
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=109259400&loc=d3e21475-112644

+ Details

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References + Details