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Secured Debt Arrangements, Net (Tables)

9 Months Ended

Sep. 30, 2020

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

- 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

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-Name Accounting Standards Codification
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+ 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.

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