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Secured Debt Arrangements, Net (Tables) | 9 Months Ended
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Sep. 30, 2020
Debt Disclosure [Abstract] |
Schedule of Weighted Average Maturities and Interest Rates of Borrowings | At September 30, 2020 and December 31, 2019, our borrowings included the following secured debt arrangements, maturities and weighted-average interest rates ($ in thousands):
| September 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) | $ | 1,132,013 |  |  | $ | 989,278 |  |  | June 2024 |  | $ | 1,154,109 |  |  | $ | 1,090,160 |  |  | June 2024
JPMorgan (GBP) | 97,661 |  |  | 97,661 |  |  | June 2024 |  | 51,702 |  |  | 50,410 |  |  | June 2024
JPMorgan (EUR) | 70,326 |  |  | 70,326 |  |  | June 2024 |  | 94,189 |  |  | 94,189 |  |  | June 2024
DB (USD) | 1,000,000 |  |  | 526,743 |  |  | March 2023 |  | 1,250,000 |  |  | 513,876 |  |  | March 2021
Goldman (USD) | 500,000 |  |  | 362,139 |  |  | November 2021 |  | 500,000 |  |  | 322,170 |  |  | November 2021
CS - USD | 378,903 |  |  | 378,781 |  |  | January 2023(3) |  | 226,068 |  |  | 218,644 |  |  | June 2020
CS - GBP | — |  |  | — |  |  | N/A(4) |  | 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 | 157,148 |  |  | 157,148 |  |  | 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 | 3,583,274 |  |  | 2,664,491 |  |  |  |  | 4,330,744 |  |  | 3,095,556 |  |  |
Barclays Private Securitization | 813,592 |  |  | 813,592 |  |  | March 2024(5) |  | N/A |  | N/A |  | N/A
Total Secured Debt Arrangements | 4,396,866 |  |  | 3,478,083 |  |  |  |  | 4,330,744 |  |  | 3,095,556 |  |  |
less: deferred financing costs | N/A |  | (12,746) |  |  |  |  | N/A |  | (17,190) |  |  |
Total Secured Debt Arrangements, net(6)(7)(8) | $ | 4,396,866 |  |  | $ | 3,465,337 |  |  |  |  | $ | 4,330,744 |  |  | $ | 3,078,366 |  |  |
——————— (1)As of September 30, 2020, British Pound Sterling ("GBP") and Euros ("EUR") borrowings were converted to U.S. Dollars ("USD") at a rate of 1.29 and 1.17, 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 September 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 September 30, 2020 and December 31, 2019 were USD L + 2.15% / GBP L + 1.82% / 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 September 30, 2020 and December 31, 2019 were 64.3% (63.8% (USD) / 67.9% (GBP) / 61.3% (EUR)) and 63.8% (66.7% (USD) / 47.1% (GBP) / 76.1% (EUR)). (8)As of September 30, 2020 and December 31, 2019, approximately 55% 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 (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of September 30, 2020 ($ in thousands):
| Borrowings outstanding | Fully-Extended Maturity(1)
Total/Weighted-Average GBP | $670,024 | January 2024
Total/Weighted-Average EUR | 143,568 | August 2021(2)
Total/Weighted-Average Securitization | $813,592 | March 2024
——————— (1)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised. (2)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.
Schedule of Assets and Liabilities | The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheet ($ in thousands):
| September 30, 2020
Assets: |
Cash | $ | 921 |
Commercial mortgage loans, net(1) | 1,224,154 |
Other Assets | 9,401 |
Total Assets | $ | 1,234,476 |
Liabilities: |
Secured debt arrangements, net (net of deferred financing costs of $0.2 million) | $ | 813,431 |
Accounts payable, accrued expenses and other liabilities(2) | 1,084 |
Total Liabilities | $ | 814,515 |
——————— (1)Net of the General CECL Allowance of $6.1 million. (2)Represents General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $0.3 million.
Interest Income and Interest Expense Disclosure |
| Three months ended
| September 30, 2020
Net Interest Income: |
Interest income from commercial mortgage loans | $ | 15,075 |
Interest expense | (4,278) |
Net interest income | $ | 10,797 |
Provision for loan losses and impairments | $ | (2,318) |
Foreign currency gain | 17,078
Net Income | $ | 25,557 |
Schedule of Remaining Maturities of Borrowings | At September 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 | $ | 45,918 |  |  | $ | 432,440 |  |  | $ | 678,907 |  |  | $ | — |  |  | $ | 1,157,265 |
DB | 15,594 |  |  | 511,149 |  |  | — |  |  | — |  |  | 526,743 |
Goldman | — |  |  | 362,139 |  |  | — |  |  | — |  |  | 362,139 |
CS - USD | 94,299 |  |  | 146,994 |  |  | 137,488 |  |  | — |  |  | 378,781 |
HSBC - USD | 47,223 |  |  | — |  |  | — |  |  | — |  |  | 47,223 |
HSBC - EUR | 157,148 |  |  | — |  |  | — |  |  | — |  |  | 157,148 |
Barclays - USD | — |  |  | — |  |  | 35,192 |  |  | — |  |  | 35,192 |
Barclays Private Securitization | 143,568 |  |  | 289,769 |  |  | 380,255 |  |  | — |  |  | 813,592 |
Total | $ | 503,750 |  |  | $ | 1,742,491 |  |  | $ | 1,231,842 |  |  | $ | — |  |  | $ | 3,478,083 |
Schedule of Outstanding, Maximum and Average Balances of Debt | The table below summarizes the outstanding balances at September 30, 2020, as well as the maximum and average month-end balances for the nine months ended September 30, 2020 for our borrowings under secured debt arrangements ($ in thousands).
| As of September 30, 2020 |  |  |  | For the nine months ended September 30, 2020 |  |
| Balance |  | Amortized Cost of Collateral |  | Maximum Month-End Balance |  | Average Month-End Balance
JPMorgan | $ | 1,157,265 |  |  | $ | 1,976,965 |  |  | $ | 1,192,288 |  |  | $ | 1,106,461 |
DB | 526,743 |  |  | 804,835 |  |  | 526,743 |  |  | 501,470 |
Goldman | 362,139 |  |  | 548,671 |  |  | 362,139 |  |  | 343,882 |
CS - USD | 378,781 |  |  | 523,272 |  |  | 378,781 |  |  | 339,425 |
CS - GBP | — |  |  | — |  |  | 90,111 |  |  | 57,459 |
HSBC - USD | 47,223 |  |  | 67,203 |  |  | 50,625 |  |  | 48,357 |
HSBC - GBP | — |  |  | — |  |  | 34,500 |  |  | 32,900 |
HSBC - EUR | 157,148 |  |  | 204,040 |  |  | 160,034 |  |  | 152,982 |
Barclays - USD | 35,192 |  |  | 49,929 |  |  | 35,193 |  |  | 27,372 |
Barclays - GBP | — |  |  | — |  |  | 666,810 |  |  | 347,590 |
Barclays - EUR | — |  |  | — |  |  | 180,595 |  |  | 94,028 |
Barclays Private Securitization | 813,592 |  |  | 1,230,305 |  |  | 839,563 |  |  | 814,844 |
Total | $ | 3,478,083 |  |  | $ | 5,405,220 |  |  |  |  |
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 |  |  |  |  |

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