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Secured Debt Arrangements, Net (Tables)

9 Months Ended

Sep. 30, 2021

Schedule of Weighted Average Maturities and Interest Rates of Borrowings

At September 30, 2021 and December 31, 2020, our borrowings included the following secured debt arrangements, maturities and weighted-average interest rates ($ in thousands):


	September 30, 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)	$	1,344,044	$	912,228	September 2026	$	1,113,156	$	984,125	June 2024
JPMorgan (GBP)	86,476		86,476		September 2026	113,548		113,548		June 2024
JPMorgan (EUR)	69,480		69,480		September 2026	73,296		73,296		June 2024
DB (USD)	700,000		398,452		March 2023	1,000,000		520,457		March 2023
Goldman (USD)	500,000		142,771		November 2023(3)	500,000		332,352		November 2023(3)
CS Facility - USD	189,220		189,220		July 2024(4)(5)	374,251		369,182		December 2023(4)(5)



HSBC Facility - EUR	165,947		165,947		July 2022	163,785		163,785		July 2021
Barclays (USD)	200,000		32,693		March 2024	200,000		35,192		March 2024


Total Secured Credit Facilities	3,255,167		1,997,267			3,538,036		2,591,937
Barclays Private Securitization	1,453,591		1,453,591		October 2023(5)	857,728		857,728		September 2023(5)
Total Secured Debt Arrangements	4,708,758		3,450,858			4,395,764		3,449,665
Less: deferred financing costs	N/A		(11,556)			N/A		(12,993)
Total Secured Debt Arrangements, net(6)(7)(8)	$	4,708,758	$	3,439,302		$	4,395,764	$	3,436,672

———————

(1)As of September 30, 2021, British Pound Sterling ("GBP"), Euros ("EUR"), and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.35, 1.16, 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 September 30, 2021 and December 31, 2020 were USD L+1.97% / GBP L+2.04% / EUR L+1.41% / 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 September 30, 2021 and December 31, 2020 were 61.7% (54.8% (USD) / 69.4% (GBP) / 67.4% (EUR) / 80.7% (SEK)) and 63.7% (62.5% (USD) / 68.7% (GBP) / 60.8% (EUR)).

(8)As of September 30, 2021 and December 31, 2020, approximately 53% and 55% 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, 2021 ($ in thousands):


	Borrowings outstanding	Fully-Extended Maturity(1)
Total/Weighted-Average GBP	$854,768	August 2024
Total/Weighted-Average EUR	361,713	August 2022(2)
Total/Weighted-Average SEK	237,110	August 2022
Total/Weighted-Average Securitization	$1,453,591	October 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 following table summarizes the terms of our Term Loans as of September 30, 2021 ($ in thousands):


	Principal Amount		Unamortized Issuance Discount		Deferred Financing Costs		Carrying Value		Spread		Maturity Date
2026 Term Loan	$	488,750	$	(1,637)	$	(5,881)	$	481,232	2.75	%	5/15/2026
2028 Term Loan	298,500		(2,750)		(3,585)		292,165		3.50	%	3/11/2028
Total	$	787,250	$	(4,387)	$	(9,466)	$	773,397

The following table summarizes the terms of our Term Loans as of December 31, 2020 ($ in thousands):


	Principal Amount		Unamortized Issuance Discount		Deferred Financing Costs		Carrying Value		Spread		Maturity Date
2026 Term Loan	$	492,500	$	(1,905)	$	(7,130)	$	483,465	2.75	%	5/15/2026

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, 2021		December 31, 2020
Assets:
Cash	$	2,500	$	2,020
Commercial mortgage loans, net(1)	2,067,012		1,290,393
Other Assets	10,700		15,831
Total Assets	$	2,080,212	$	1,308,244
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.1 million and $0.7 million in 2021 and 2020, respectively)	$	1,451,486	$	857,043
Accounts payable, accrued expenses and other liabilities(2)	2,345		1,307
Total Liabilities	$	1,453,831	$	858,350

———————

(1)Net of the General CECL Allowance of $8.5 million and $4.4 million as of September 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

September 30, 2021 and December 31, 2020, respectively.

Interest Income and Interest Expense Disclosure

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 September 30,				Nine months ended September 30,
	2021		2020		2021		2020
Net Interest Income:
Interest income from commercial mortgage loans	$	23,446	$	15,075	$	60,482	$	15,075
Interest expense	(7,014)		(4,278)		(18,000)		(4,278)
Net interest income	$	16,432	$	10,797	$	42,482	$	10,797

Provision for loan losses and impairments	1,819		(2,318)		(3,849)		(2,318)
Foreign currency (loss)	(15,866)		17,078		(13,976)		17,078
Net Income	$	2,385	$	25,557	$	24,657	$	25,557

Schedule of Remaining Maturities of Borrowings

At September 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	$	144,303	$	595,800	$	328,081	$	—	$	1,068,184
DB Facility	—		398,452		—		—		398,452
Goldman Facility	142,771		—		—		—		142,771
CS Facility - USD	40,500		—		148,720		—		189,220
HSBC Facility - EUR	165,947		—		—		—		165,947
Barclays Facility - USD	—		32,693		—		—		32,693
Barclays Private Securitization	598,823		532,777		321,991		—		1,453,591
Total	$	1,092,344	$	1,559,722	$	798,792	$	—	$	3,450,858

Schedule of Outstanding, Maximum and Average Balances of Debt

The table below summarizes the outstanding balances at September 30, 2021, as well as the maximum and average month-end balances for the nine months ended September 30, 2021 for our borrowings under secured debt arrangements ($ in thousands).


	As of September 30, 2021				For the nine months ended September 30, 2021
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,068,184	$	2,111,256	$	1,359,053	$	1,177,128
DB Facility	398,452		617,745		520,217		443,190
Goldman Facility	142,771		288,320		331,154		241,145
CS Facility - USD	189,220		277,828		369,182		240,562



HSBC Facility - EUR	165,947		209,407		174,717		166,717
Barclays Facility - USD	32,693		50,186		35,193		33,804


Barclays Private Securitization	1,453,591		2,038,763		1,499,314		1,286,587
Total	$	3,450,858	$	5,593,505

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

- 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.

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- 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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