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Secured Debt Arrangements, Net | 3 Months Ended
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Mar. 31, 2021
Debt Instrument [Line Items] |
Secured Debt Arrangement, Net and Senior Secured Term Loans, Net | Participations Sold Participations sold represents the subordinate interests in loans we originated and subsequently partially sold. We account for participations sold as secured borrowings on our condensed consolidated balance sheet with both assets and non-recourse liabilities because the participations do not qualify as a sale under ASC 860 - "Transfers and Servicing." The income earned on the participations sold is recorded as interest income and an identical amount is recorded as interest expense on our condensed consolidated statements of operations. In October 2020, we sold a $25.0 million interest, at par, in a mezzanine loan collateralized by a ground-up condominium development in New York City that we originated in December 2017. The participation interest sold is subordinate to our remaining $88.5 million mezzanine loan and is accounted for as a secured borrowing on our condensed consolidated balance sheet. The participation sold accrues payment-in-kind interest. In December 2020, we sold a £6.7 million ($8.9 million assuming conversion into USD) interest, at par, in a first mortgage loan collateralized by an office building located in London, United Kingdom that was originated by us in December 2017. In connection with this sale, we transferred our remaining unfunded commitment of £19.1 million ($25.3 million assuming conversion into USD). The participation interest sold is subordinate to our remaining £70.5 million ($97.1 million assuming conversion into USD) first mortgage loan and is accounted for as a secured borrowing on our condensed consolidated balance sheet. The table below details participations sold included in our condensed consolidated balance sheet ($ in thousands):
| March 31, 2021 |  | December 31, 2020
Participation sold on Commercial mortgage loans | $ | 23,974 |  |  | $ | 9,217 |
Participation sold on Subordinate loans and other lending assets (1) | 26,735 |  |  | 25,757 |
Total Participations sold | $ | 50,709 |  |  | $ | 34,974 |
——————— (1)Includes $1.0 million and $0.8 million of PIK interest in 2021 and 2020, respectively.
Senior Notes |
Debt Instrument [Line Items] |
Secured Debt Arrangement, Net and Senior Secured Term Loans, Net | Secured Debt Arrangements, Net At March 31, 2021 and December 31, 2020, our borrowings included the following secured debt arrangements, maturities and weighted-average interest rates ($ in thousands):
| March 31, 2021 |  | December 31, 2020
| Maximum Amount of Borrowings(1) |  | Borrowings Outstanding(1) |  | Maturity (2) |  | Maximum Amount of Borrowings(1) |  | Borrowings Outstanding(1) |  | Maturity (2)
JPMorgan (USD) | $ | 1,115,133 |  |  | $ | 911,539 |  |  | June 2024 |  | $ | 1,113,156 |  |  | $ | 984,125 |  |  | June 2024
JPMorgan (GBP) | 114,487 |  |  | 114,487 |  |  | June 2024 |  | 113,548 |  |  | 113,548 |  |  | June 2024
JPMorgan (EUR) | 70,380 |  |  | 70,380 |  |  | June 2024 |  | 73,296 |  |  | 73,296 |  |  | June 2024
DB (USD) | 700,000 |  |  | 425,803 |  |  | March 2023 |  | 1,000,000 |  |  | 520,457 |  |  | March 2023
Goldman (USD) | 500,000 |  |  | 322,217 |  |  | November 2023(3) |  | 500,000 |  |  | 332,352 |  |  | November 2023(3)
CS Facility - USD | 230,205 |  |  | 220,193 |  |  | December 2023(4)(5) |  | 374,251 |  |  | 369,182 |  |  | December 2023(4)(5)
HSBC Facility - EUR | 157,270 |  |  | 157,270 |  |  | July 2022 |  | 163,785 |  |  | 163,785 |  |  | July 2021
Barclays (USD) | 200,000 |  |  | 35,192 |  |  | March 2024 |  | 200,000 |  |  | 35,192 |  |  | March 2024
Total Secured Credit Facilities | 3,087,475 |  |  | 2,257,081 |  |  |  |  | 3,538,036 |  |  | 2,591,937 |  |  |
Barclays Private Securitization | 1,173,298 |  |  | 1,173,298 |  |  | December 2023(5) |  | 857,728 |  |  | 857,728 |  |  | September 2023(5)
Total Secured Debt Arrangements | 4,260,773 |  |  | 3,430,379 |  |  |  |  | 4,395,764 |  |  | 3,449,665 |  |  |
Less: deferred financing costs | N/A |  | (11,800) |  |  |  |  | N/A |  | (12,993) |  |  |
Total Secured Debt Arrangements, net(6)(7)(8) | $ | 4,260,773 |  |  | $ | 3,418,579 |  |  |  |  | $ | 4,395,764 |  |  | $ | 3,436,672 |  |
——————— (1)As of March 31, 2021, British Pound Sterling ("GBP"), Euros ("EUR"), and Swedish Krona ("SEK") borrowings were converted to USD at a rate o f 1.38, 1.17, and 0.11, respectively. As of December 31, 2020, GBP and EUR borrowings were converted to USD at a rate of 1.37 and 1.22, 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)Represents weighted average maturity across various financings with the counterparty. See below for additional details. (6)Weighted-average borrowing costs as of March 31, 2021 and 2020 were USD L+2.14% / GBP L+2.03% / EUR L+1.46% / SEK L+1.50% and USD L+2.16% / GBP L+1.83% / EUR L+1.46%, respectively. (7)Weighted average advance rates based on cost as of March 31, 2021 and 2020 were 64.5% (62.2% (USD) / 69.0% (GBP) / 60.6% (EUR) / 80.8% (SEK)) and 63.7% (62.5% (USD) / 68.7% (GBP) / 60.8% (EUR)). (8)As of March 31, 2021 and December 31, 2020, approximately 53% and 55% 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 of the 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. Generally, the lender under the applicable secured debt arrangement calls for and/or sets the valuation and any revaluation of the collateral assets in its sole, good faith discretion. If it is determined (subject to certain conditions) that the market value of the underlying collateral 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 condensed consolidated balance sheet in order to meet any margin calls in the event of any significant decreases in asset values. As of March 31, 2021 and December 31, 2020, t he weighted average haircut under our secured debt arrangements was approximately 35.5% and 36.3%, 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 (the "JPMorgan Facility"). The JPMorgan Facility allows for $1.3 billion of maximum borrowings (with amounts borrowed in GBP and EUR converted to USD 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 USD, GBP, or EUR. Margin calls may occur any time at specified aggregate margin deficit thresholds. As of March 31, 2021, we had $1.1 billion (including £83.1 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 (the "DB Facility"). During the first quarter 2021, we amended the DB Facility to reduce the commitment from $1.0 billion to $700.0 million ($425.8 million drawn at March 31, 2021) fo r 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 DB Facility matures in March 2022, and has a one-year extension available at our option, subject to certain conditions. Margin calls may occur any time at specified aggregate margin deficit thresholds. As of March 31, 2021, we had $425.8 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 2021. In addition, the Goldman Facility contains a two-year amortization period subsequent to the November 2021 maturity, which allows for the refinancing or pay down of assets under the facility. Margin calls may occur any time at specified margin deficit thresholds. As of March 31, 2021, we had $322.2 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, 2021, we had $220.2 million of borrowings outstanding under the CS Facility — USD secured by certain of our commercial mortgage loans. HSBC Facility - EUR In July 2019, through an indirect wholly-owned subsidiary, we entered into a secured debt arrangement with HSBC Bank plc, which provides for a single asset financing (the "HSBC Facility — EUR"). The HSBC Facility — EUR was extended during the three months ended March 31, 2021 and matures in July 2022. M argin calls may occur any time at specified aggregate margin deficit thresholds. As of March 31, 2021, we had $157.3 million (€134.1 million assuming conversion into USD) of borrowings outstanding under the HSBC Facility - EUR secured by one commercial mortgage loan. 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 (the "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. As of March 31, 2021, we had $35.2 million of borrowings outstanding under the Barclays Facility - USD secured by one commercial mortgage loan. Barclays Private Securitization In June 2020, through a newly formed entity, we entered into a private securitization with Barclays Bank plc, of which Barclays Bank plc retained $782.0 million of senior notes (the "Barclays Private Securitization"). The Barclays Private Securitization finances the loans that were previously financed under a Global Master Repurchase Agreement with Barclays Bank plc (the "Barclays Facility - GBP/EUR"). In June 2020, we pledged an additional commercial mortgage loan with an outstanding principal balance of £26.0 million and pledged additional collateral of a financed loan of €5.3 million as of June 30, 2020. During the quarter ended March 31, 2021, we pledged two additional commercial mortgage loans with outstanding principal balances of $227.4 million (£165.0 million assuming conversion into USD) and $187.4 million (kr1.6 billion assuming conversion into USD) as of March 31, 2021. The Barclays Private Securitization eliminates daily margining provisions and grants us significant discretion to modify certain terms of the underlying collateral including waiving certain loan-level covenant breaches and deferring or waiving of debt service payments for up to 18 months. The securitization includes LTV based covenants with significant headroom to previous levels included in the Barclays Facility - GBP/EUR. These deleveraging requirements are based on significant declines in the value of the collateral as determined by an annual third-party (engaged by us) appraisal process tied to the provisions of the underlying loan agreements. We believe this provides us with both cushion and predictability to avoid sudden unexpected outcomes and material repayment requirements. In addition to the pledge of the additional collateral noted above, we paid down the previous financing by €16.5 million (totaling $18.5 million in USD) and agreed to increase the financing spreads by 0.25%. The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of March 31, 2021 ($ in thousands):
| Borrowings outstanding |  | Fully-Extended Maturity(1)
Total/Weighted-Average GBP | $879,815 |  | July 2024
Total/Weighted-Average SEK | 149,883 |  | March 2022
Total/Weighted-Average EUR | 143,600 |  | February 2022(2)
Total/Weighted-Average Securitization | $1,173,298 |  | December 2023
——————— (1)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised. (2)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice. The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheet ($ in thousands):
| March 31, 2021 |  | December 31, 2020
Assets: |  |  |
Cash | $ | 2,572 |  |  | $ | 2,020 |
Commercial mortgage loans, net(1) | 1,712,897 |  |  | 1,290,393 |
Other Assets | 6,837 |  |  | 15,831 |
Total Assets | $ | 1,722,306 |  |  | $ | 1,308,244 |
Liabilities: |  |  |
Secured debt arrangements, net (net of deferred financing costs of $2.3 million and $0.7 million in 2021 and 2020, respectively) | $ | 1,171,036 |  |  | $ | 857,043 |
Accounts payable, accrued expenses and other liabilities(2) | 2,310 |  |  | 1,307 |
Total Liabilities | $ | 1,173,346 |  |  | $ | 858,350 |
——————— (1)Net of the General CECL Allowance of $7.4 million and $4.4 million as of March 31, 2021 and December 31, 2020, respectively. (2)Represents General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $1.2 million and $0.3 million as of March 31, 2021 and December 31, 2020, respectively. The table below provides the net income of the Barclays Private Securitization VIE included in our condensed consolidated statement of operations ($ in thousands):
| Three months ended
| March 31, 2021
Net Interest Income: |
Interest income from commercial mortgage loans | $ | 16,093 |
Interest expense | (4,590) |
Net interest income | $ | 11,503 |
General and administrative expense | (1) |
Provision for loan losses and impairments | (3,628) |
Foreign currency gain | (912) |
Net Income | $ | 6,962 |
As of March 31, 2021, we had $1.2 billion (£638.3 million, €122.4 million, and kr1.3 billion assuming conversion into USD) of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans. At March 31, 2021, our borrowings had the following remaining maturities ($ in thousands):
| Less than 1 year |  | 1 to 3 years |  | 3 to 5 years |  | More than 5 years |  | Total
JPMorgan Facility | $ | 96,740 |  |  | $ | 381,359 |  |  | $ | 618,307 |  |  | $ | — |  |  | $ | 1,096,406 |
DB Facility | — |  |  | 425,803 |  |  | — |  |  | — |  |  | 425,803 |
Goldman Facility | 322,217 |  |  | — |  |  | — |  |  | — |  |  | 322,217 |
CS Facility - USD | 42,205 |  |  | 40,500 |  |  | 137,488 |  |  | — |  |  | 220,193 |
HSBC Facility - EUR | — |  |  | 157,270 |  |  | — |  |  | — |  |  | 157,270 |
Barclays Facility - USD | — |  |  | 35,192 |  |  | — |  |  | — |  |  | 35,192 |
Barclays Private Securitization | 293,483 |  |  | 549,109 |  |  | 330,706 |  |  | — |  |  | 1,173,298 |
Total | $ | 754,645 |  |  | $ | 1,589,233 |  |  | $ | 1,086,501 |  |  | $ | — |  |  | $ | 3,430,379 |
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, 2021, as well as the maximum and average month-end balances for the three months ended March 31, 2021 for our borrowings under secured debt arrangements ($ in thousands).
| As of March 31, 2021 |  | For the three months ended March 31, 2021
| Balance |  | Amortized Cost of Collateral |  | Maximum Month-End Balance |  | Average Month-End Balance
JPMorgan Facility | $ | 1,096,406 |  |  | $ | 1,855,536 |  |  | $ | 1,172,308 |  |  | $ | 1,146,506 |
DB Facility | 425,803 |  |  | 658,672 |  |  | 520,217 |  |  | 488,746 |
Goldman Facility | 322,217 |  |  | 501,146 |  |  | 331,154 |  |  | 327,536 |
CS Facility - USD | 220,193 |  |  | 331,053 |  |  | 369,182 |  |  | 318,853 |
HSBC Facility - EUR | 157,270 |  |  | 207,182 |  |  | 162,715 |  |  | 160,628 |
Barclays Facility - USD | 35,192 |  |  | 50,057 |  |  | 35,193 |  |  | 35,193 |
Barclays Private Securitization | 1,173,298 |  |  | 1,715,975 |  |  | 1,173,298 |  |  | 1,023,076 |
Total | $ | 3,430,379 |  |  | $ | 5,319,621 |  |  |  |  |
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 |  |  |  |  |
We were in compliance with the covenants under each of our secured debt arrangements at March 31, 2021 and December 31, 2020.

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- Definition The entire disclosure for information about short-term and long-term debt arrangements, which includes amounts of borrowings under each line of credit, note payable, commercial paper issue, bonds indenture, debenture issue, own-share lending arrangements and any other contractual agreement to repay funds, and about the underlying arrangements, rationale for a classification as long-term, including repayment terms, interest rates, collateral provided, restrictions on use of assets and activities, whether or not in compliance with debt covenants, and other matters important to users of the financial statements, such as the effects of refinancing and noncompliance with debt covenants. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -URI http://asc.fasb.org/topic&trid=2208564 + Details
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