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Secured Debt Arrangements, Net
 6 Months Ended
Jun. 30, 2021
Debt Instrument [Line Items]  
Secured Debt Arrangement, Net and Senior Secured Term Loans and Notes, Net Senior Secured Notes, Net
In June 2021, we issued $500.0 million of 4.625% Senior Secured Notes due 2029 (the "2029 Notes"), for which we received net proceeds of $495.0 million, after offering expenses. The 2029 Notes will mature on June 15, 2029, unless earlier repurchased or redeemed. The 2029 Notes are secured by a first-priority lien, and rank pari passu in right of payment with all of our existing and future first lien obligations, including indebtedness under the Term Loans. The 2029 Notes were issued at par and contain covenants relating to liens, indebtedness, and investments in non-wholly owned entities. As of June 30, 2021, the 2029 Notes had a carrying value of $493.7 million net of deferred financing costs of $6.3 million.
Covenants
The 2029 Notes include certain covenants including a requirement that we maintain a ratio of total unencumbered assets to total pari-passu indebtedness of at least 1.20:1. As of June 30, 2021, we were in compliance with all covenants.
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 accrued payment-in-kind interest, was accounted for as a secured borrowing on our condensed consolidated balance sheet, and was subordinate to our remaining mezzanine loan. The mezzanine loan was repaid at par in June 2021, and therefore, we de-recognized the related participating interest of $27.7 million, which included $2.7 million in 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 £70.7 million ($97.7 million assuming conversion into USD) first mortgage loan and is accounted for as a secured borrowing on our condensed consolidated balance sheet.
The table below details participations sold included in our condensed consolidated balance sheet ($ in thousands):
June 30, 2021December 31, 2020
Participation sold on Commercial mortgage loans$27,662 $9,217 
Participation sold on Subordinate loans and other lending assets (1)
— 25,757 
Total Participations sold$27,662 $34,974 
———————
(1)Includes $0 and $0.8 million of PIK interest in 2021 and 2020, respectively.
Senior Notes  
Debt Instrument [Line Items]  
Secured Debt Arrangement, Net and Senior Secured Term Loans and Notes, Net Secured Debt Arrangements, Net
At June 30, 2021 and December 31, 2020, our borrowings included the following secured debt arrangements, maturities and weighted-average interest rates ($ in thousands):
 
June 30, 2021December 31, 2020
 
Maximum Amount of Borrowings(1)
Borrowings Outstanding(1)
Maturity (2)
Maximum Amount of Borrowings(1)
Borrowings Outstanding(1)
Maturity (2)
JPMorgan (USD)$1,113,966 $1,069,071 June 2024$1,113,156 $984,125 June 2024
JPMorgan (GBP)114,886 114,886 June 2024113,548 113,548 June 2024
JPMorgan (EUR)71,148 71,148 June 202473,296 73,296 June 2024
DB (USD)700,000 413,325 March 20231,000,000 520,457 March 2023
Goldman (USD)500,000 133,955 
November 2023(3)
500,000 332,352 
November 2023(3)
CS Facility - USD189,219 189,219 
July 2024(4)(5)
374,251 369,182 
December 2023(4)(5)
HSBC Facility - EUR169,930 169,930 July 2022163,785 163,785 July 2021
Barclays (USD)200,000 32,693 March 2024200,000 35,192 March 2024
Total Secured Credit Facilities3,059,149 2,194,227 3,538,036 2,591,937 
Barclays Private Securitization1,495,432 1,495,432 
September 2023(5)
857,728 857,728 
September 2023(5)
Total Secured Debt Arrangements4,554,581 3,689,659 4,395,764 3,449,665 
Less: deferred financing costsN/A(9,753)N/A(12,993)
Total Secured Debt Arrangements, net(6)(7)(8)
$4,554,581 $3,679,906 $4,395,764 $3,436,672  
———————
(1)As of June 30, 2021, British Pound Sterling ("GBP"), Euros ("EUR"), and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.38, 1.19, and 0.12, 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 June 30, 2021 and December 31, 2020 were USD L+2.00% / GBP L+2.03% / EUR L+1.43% / 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 June 30, 2021 and December 31, 2020 were 67.2% (64.8% (USD) / 68.8% (GBP) / 67.6% (EUR) / 80.8% (SEK)) and 63.7% (62.5% (USD) / 68.7% (GBP) / 60.8% (EUR)).
(8)As of June 30, 2021 and December 31, 2020, approximately 54% 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 June 30, 2021 and December 31, 2020, the weighted average haircut under our secured debt arrangements was approximately 32.8% 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 June 30, 2021, we had $1.3 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 ($413.3 million drawn at June 30, 2021) for 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 June 30, 2021, we had $413.3 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 June 30, 2021, we had $134.0 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 June 30, 2021, we had $189.2 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 first quarter 2021 and matures in July 2022. Margin calls may occur any time at specified aggregate margin deficit thresholds.
As of June 30, 2021, we had $169.9 million (€143.3 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 June 30, 2021, we had $32.7 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 first quarter 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). During the three months ended June 30, 2021, we pledged an additional commercial mortgage loan with an outstanding principal balance of $281.7 million (€237.6 million assuming conversion into USD), and pledged additional collateral of a financed loan of $114.7 million (kr1.0 billion assuming conversion into USD).
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 $18.5 million in USD) and agreed to increase the financing spreads by 0.25%.
The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of June 30, 2021 ($ in thousands):
Borrowings outstanding
Fully-Extended Maturity(1)
Total/Weighted-Average GBP$881,976
August 2024
Total/Weighted-Average EUR370,492
June 2022(2)
Total/Weighted-Average SEK242,964May 2022
Total/Weighted-Average Securitization$1,495,432September 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):
June 30, 2021December 31, 2020
Assets:
Cash$1,955 $2,020 
Commercial mortgage loans, net(1)
2,110,376 1,290,393 
Other Assets17,119 15,831 
Total Assets$2,129,450 $1,308,244 
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.2 million and $0.7 million in 2021 and 2020, respectively)
$1,493,222 $857,043 
Accounts payable, accrued expenses and other liabilities(2)
2,228 1,307 
Total Liabilities$1,495,450 $858,350 
———————
(1)Net of the General CECL Allowance of $10.2 million and $4.4 million as of June 30, 2021 and December 31, 2020, respectively.
(2)Represents General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $0.4 million and $0.3 million as of June 30, 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 endedSix months ended
June 30, 2021June 30, 2021
Net Interest Income:
Interest income from commercial mortgage loans$20,943 $37,036 
Interest expense(6,396)(10,986)
Net interest income$14,547 $26,050 
General and administrative expense— (1)
Provision for loan losses and impairments(2,040)(5,668)
Foreign currency gain 2,802 1,890 
Net Income$15,309 $22,271 
As of June 30, 2021, we had $1.5 billion (£637.7 million, €312.4 million, and kr2.1 billion assuming conversion into USD) of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.
At June 30, 2021, our borrowings had the following remaining maturities ($ in thousands):
Less than
1 year		1 to 3
years		3 to 5
years		More than
5 years		Total
JPMorgan Facility$121,115 $1,133,991 $— $— $1,255,106 
DB Facility— 413,325 — — 413,325 
Goldman Facility133,955 — — — 133,955 
CS Facility - USD— 40,500 148,719 — 189,219 
HSBC Facility - EUR— 169,930 — — 169,930 
Barclays Facility - USD— 32,693 — — 32,693 
Barclays Private Securitization 613,455 550,784 331,192 — 1,495,431 
Total$868,525 $2,341,223 $479,911 $— $3,689,659 
The table above reflects the fully extended maturity date of the facility and assumes facilities with an "evergreen" feature continue to extend through the fully-extended maturity of the underlying asset and assumes underlying loans are extended with consent of financing providers.
The table below summarizes the outstanding balances at June 30, 2021, as well as the maximum and average month-end balances for the six months ended June 30, 2021 for our borrowings under secured debt arrangements ($ in thousands).
As of June 30, 2021For the six months ended June 30, 2021
 BalanceAmortized Cost of Collateral Maximum Month-End
Balance		Average Month-End
Balance
JPMorgan Facility$1,255,105 $2,018,979 $1,359,053 $1,191,150 
DB Facility413,325 610,654 520,217 463,607 
Goldman Facility133,955 202,812 331,154 293,899 
CS Facility - USD189,219 271,691 369,182 266,233 
HSBC Facility - EUR169,930 214,185 174,717 165,863 
Barclays Facility - USD32,693 50,121 35,193 34,359 
Barclays Private Securitization1,495,432 2,120,617 1,495,432 1,190,667 
Total$3,689,659 $5,489,059 
The table below summarizes the outstanding balances at December 31, 2020, as well as the maximum and average month-end balances for the year ended December 31, 2020 for our borrowings under secured debt arrangements ($ in thousands).
As of December 31, 2020
For the year ended December 31, 2020
 BalanceAmortized Cost of CollateralMaximum Month-End
Balance		Average Month-End
Balance
JPMorgan Facility$1,170,969 $2,009,249 $1,192,288 $1,119,997 
DB Facility520,457 814,715 526,743 506,831 
Goldman Facility332,352 510,371 362,139 343,621 
CS Facility - USD369,182 524,139 378,781 348,464 
CS Facility - GBP— — 90,111 43,094 
HSBC Facility - USD— — 50,625 44,000 
HSBC Facility - GBP— — 34,500 20,563 
HSBC Facility - EUR163,785 215,509 163,788 154,725 
Barclays Facility - USD35,192 49,993 35,193 29,327 
Barclays Facility - GBP— — 666,810 260,692 
Barclays Facility - EUR— — 180,595 70,521 
Barclays Private Securitization857,728 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 June 30, 2021 and December 31, 2020.