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Secured Debt Arrangements, Net (Tables)

12 Months Ended

Dec. 31, 2020

Schedule of Weighted Average Maturities and Interest Rates of Borrowings

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


	December 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)	$	1,113,156	$	984,125	June 2024	$	1,154,109	$	1,090,160	June 2024
JPMorgan (GBP)	113,548		113,548		June 2024	51,702		50,410		June 2024
JPMorgan (EUR)	73,296		73,296		June 2024	94,189		94,189		June 2024
DB (USD)	1,000,000		520,457		March 2023	1,250,000		513,876		March 2021
Goldman (USD)	500,000		332,352		November 2023(3)	500,000		322,170		November 2021
CS Facility - USD	374,251		369,182		March 2023(4)(6)	226,068		218,644		June 2020
CS Facility - GBP	—		—		N/A(5)	93,915		93,915		June 2020
HSBC Facility - USD	—		—		N/A(5)	50,625		50,625		October 2020
HSBC Facility - GBP	—		—		N/A(5)	34,634		34,634		June 2020


HSBC Facility - EUR	163,785		163,785		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(5)	538,916		290,347		February 2024(5)
Barclays (EUR)	—		—		N/A(5)	182,549		182,549		November 2020
Total Secured Credit Facilities	3,538,036		2,591,937			4,330,744		3,095,556
Barclays Private Securitization	857,728		857,728		September 2023(6)	N/A		N/A		N/A
Total Secured Debt Arrangements	4,395,764		3,449,665			4,330,744		3,095,556
less: deferred financing costs	N/A		(12,993)			N/A		(17,190)
Total Secured Debt Arrangements, net(7)(8)(9)	$	4,395,764	$	3,436,672		$	4,330,744	$	3,078,366

———————

(1)As of December 31, 2020, GBP and EUR borrowings were converted to USD at a rate of 1.37 and 1.22, 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 facility enters the amortization period described below.

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

(5)As of December 31, 2020, there are no loans pledged to this facility.

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

(7)Weighted-average borrowing costs as of December 31, 2020 and 2019 were USD L + 2.16% / GBP L + 1.83% / EUR L + 1.46% and USD L + 2.07% / GBP L + 1.75% / EUR L + 1.36%, respectively.

(8)Weighted average advance rates based on cost as of December 31, 2020 and 2019 were 63.7% (62.5% (USD) / 68.7% (GBP) / 60.8% (EUR)) and 63.8% (66.7% (USD) / 47.1% (GBP) / 76.1% (EUR)).

(9)As of December 31, 2020 and 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 December 31, 2020 ($ in thousands):


	Borrowings outstanding	Fully-Extended Maturity(1)
Total/Weighted-Average GBP	$708,130	February 2024
Total/Weighted-Average EUR	149,598	November 2021(2)
Total/Weighted-Average Securitization	$857,728	September 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 consolidated balance sheet ($ in thousands):


	December 31, 2020
Assets:
Cash	$	2,020
Commercial mortgage loans, net(1)	1,290,393
Other Assets	15,831
Total Assets	$	1,308,244
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $0.7 million)	$	857,043
Accounts payable, accrued expenses and other liabilities(2)	1,307
Total Liabilities	$	858,350

———————

(1)Net of the General CECL Allowance of $4.4 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


	Year Ended
	December 31, 2020
Net Interest Income:
Interest income from commercial mortgage loans	$	29,511
Interest expense	(8,312)
Net interest income	$	21,199
General and administrative expense	(178)
Provision for loan losses and impairments	(916)
Foreign currency gain	39,731
Net Income	$	59,836

Schedule of Remaining Maturities of Borrowings

At December 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 Facility	$	84,497	$	543,292	$	543,180	$	—	$	1,170,969
DB Facility	11,375		509,082		—		—		520,457
Goldman Facility	—		332,352		—		—		332,352
CS Facility - USD	44,200		187,494		137,488		—		369,182
HSBC Facility - EUR	163,785		—		—		—		163,785
Barclays Facility - USD	—		—		35,192		—		35,192
Barclays Private Securitization	149,598		544,905		163,225		—		857,728
Total	$	453,455	$	2,117,125	$	879,085	$	—	$	3,449,665

Schedule of Outstanding, Maximum and Average Balances of Debt

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


	As of December 31, 2020				For the year ended December 31, 2020
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,170,969	$	2,009,249	$	1,192,288	$	1,119,997
DB Facility	520,457		814,715		526,743		506,831
Goldman Facility	332,352		510,371		362,139		343,621
CS Facility - USD	369,182		524,139		378,781		348,464
CS Facility - GBP	—		—		90,111		43,094
HSBC Facility - USD	—		—		50,625		44,000
HSBC Facility - GBP	—		—		34,500		20,563
HSBC Facility - EUR	163,785		215,509		163,788		154,725
Barclays Facility - USD	35,192		49,993		35,193		29,327
Barclays Facility - GBP	—		—		666,810		260,692
Barclays Facility - EUR	—		—		180,595		70,521
Barclays Private Securitization	857,728		1,295,023		857,728		823,915
Total	$	3,449,665	$	5,418,999

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 Facility	$	1,234,759	$	1,845,400	$	1,234,759	$	947,400
DB Facility	513,876		766,676		757,117		604,067
Goldman Facility	322,170		513,559		324,821		246,318
CS Facility - USD	218,644		308,884		218,644		182,646
CS Facility - GBP	93,915		129,723		150,811		134,694
HSBC Facility - USD	50,625		66,960		50,625		50,625
HSBC Facility - GBP	34,634		49,976		50,784		42,296
HSBC Facility - EUR	154,037		190,780		154,037		151,889
Barclays Facility - GBP	290,347		738,455		290,347		139,004
Barclays Facility - 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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+ 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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