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Participations Sold | 3 Months Ended
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Mar. 31, 2022
Debt Disclosure [Abstract] |
Secured Debt Arrangement, Net/Participations Sold | Secured Debt Arrangements, Net At March 31, 2022 and December 31, 2021, our borrowings included the following secured debt arrangements, maturities and weighted-average interest rates ($ in thousands):
| March 31, 2022 |  | December 31, 2021
| Maximum Amount of Borrowings(1) |  | Borrowings Outstanding(1) |  | Maturity (2) |  | Maximum Amount of Borrowings(1) |  | Borrowings Outstanding(1) |  | Maturity (2)
JPMorgan - USD | $ | 1,415,051 |  |  | $ | 1,269,796 |  |  | September 2026 |  | $ | 1,344,283 |  |  | $ | 1,329,923 |  |  | September 2026
JPMorgan - GBP | 84,949 |  |  | 84,320 |  |  | September 2026 |  | 87,497 |  |  | 86,849 |  |  | September 2026
JPMorgan - EUR | — |  |  | — |  |  | N/A |  | 68,220 |  |  | 68,220 |  |  | September 2026
DB - USD | 700,000 |  |  | 421,461 |  |  | March 2023 |  | 700,000 |  |  | 259,073 |  |  | March 2023
Goldman - USD | 300,000 |  |  | 159,618 |  |  | November 2025(3) |  | 300,000 |  |  | 168,231 |  |  | November 2025(3)
CS Facility - USD | 486,319 |  |  | 470,651 |  |  | June 2026(4)(5) |  | 161,609 |  |  | 148,720 |  |  | February 2025(4)(5)
HSBC Facility - EUR | 163,285 |  |  | 158,592 |  |  | July 2022 |  | 167,756 |  |  | 162,937 |  |  | July 2022
Barclays - USD | 200,000 |  |  | 32,693 |  |  | June 2022 |  | 200,000 |  |  | 32,693 |  |  | March 2024
Santander - EUR | 59,762 |  |  | 52,222 |  |  | August 2024 |  | — |  |  | — |  |  | N/A
Total Secured Credit Facilities | 3,409,366 |  |  | 2,649,353 |  |  |  |  | 3,029,365 |  |  | 2,256,646 |  |  |
Barclays Private Securitization - GBP, EUR, SEK | 1,932,666 |  |  | 1,932,666 |  |  | February 2026(5) |  | 1,902,684 |  |  | 1,902,684 |  |  | August 2024(5)
Total Secured Debt Arrangements | 5,342,032 |  |  | 4,582,019 |  |  |  |  | 4,932,049 |  |  | 4,159,330 |  |  |
Less: deferred financing costs | N/A |  | (10,705) |  |  |  |  | N/A |  | (9,062) |  |  |
Total Secured Debt Arrangements, net(6)(7)(8) | $ | 5,342,032 |  |  | $ | 4,571,314 |  |  |  |  | $ | 4,932,049 |  |  | $ | 4,150,268 |  |
——————— (1)As of March 31, 2022, GBP, EUR, and Swedish Krona ("SEK") borrowings were converted to USD at a rate o f 1.31, 1.11, and 0.11, r espectively. As of December 31, 2021, GBP, EUR and SEK borrowings were converted to USD at a rat e of 1.35, 1.14 and 0.11 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, 2022 and December 31, 2021 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.08% / GBP: +1.82% / EUR: +1.49% / SEK: +1.50% and USD: +2.00% / GBP: +1.86% / EUR: +1.42%/ SEK : +1.50%, respectively. (7)Weighted average advance rates based on cost as of March 31, 2022 and December 31, 2021 were 70.5% (66.5% (USD) / 75.6% (GBP) / 72.9% (EUR) / 80.7% (SEK)) and 69.8% (67.1% (USD) / 72.7% (GBP) / 68.9% (EUR)/ 80.7% (SEK)), respectively. (8)As of March 31, 2022 and December 31, 2021, approximately 52% and 50% of the outstanding balance under these secured borrowings were recourse to us. Each of our existing secured credit facilities incl ude "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, 2022 and December 31, 2021, t he weighted average haircut under our secured debt arrangements was approxi mately 29.5% and 30.2%, 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 wholly-owned subsidiaries, we entered into a Sixth Amended and Restated Master Repurchase Agreement with JPMorgan Chase Bank, National Association (the "JPMorgan Facility"). During the third quarter of 2021, we amended the JPMorgan Facility to allow for $1.5 billion of maximum borrowings and maturity in September 2024, plus 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, 2022, we had $1.4 billion, including £64.2 million ($84.3 million assuming conversion into USD) of borrowings outstanding under the JPMorgan Facility secured by certain of our commercial mortgage loans. DB Facility In January 2022, through an indirect wholly-owned subsidiary, we entered into a Fourth Amended and Restated Master Repurchase Agreement with Deutsche Bank AG, Cayman Islands Branch, London Branch (the "DB Facility"). The DB Facility allows for $700.0 million in maximum borrowings ($421.5 million drawn at March 31, 2022) fo r the sale and repurchase of eligible first mortgage loans secured by commercial or residential-for-rent 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. In March 2022, we exercised our second extension option and extended maturity to March 2023. Margin calls may occur any time at specified aggregate margin deficit thresholds. As of March 31, 2022, we had $421.5 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"). During the fourth quarter of 2021, we amended the Goldman Facility to reduce the maximum borrowings from $500.0 million to $300.0 million and extended maturity to November 2023. In addition, the Goldman Facility contains a two-year amortization period subsequent to the November 2023 maturity, which allows for the refinancing or pay down of assets under the facilit y. Margin calls may occur any time at specified margin deficit thresholds. As of March 31, 2022, we had $159.6 million of borrowings outstanding under the Goldman Facility secured by certain of our commercial mortgage loans. CS Facility 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"), 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, 2022, we had $470.7 million of borrowings outstanding under the CS Facility secured by certain of our commercial mortgage loans. HSBC Facility In July 2019, through an indirect wholly-owned subsidiary, we entered into a secured credit facility with HSBC Bank plc, which provides for a single asset financing (the "HSBC Facility"). The HSBC Facility was extended during the first quarter 2021 and matures in July 2022. M argin calls may occur any time at specified aggregate margin deficit thresholds. As of March 31, 2022, we had €143.3 million ($158.6 million assuming conversion into USD) of borrowings outstanding under the HSBC Facility secured by one commercial mortgage loan. Barclays Facility In March 2020, through an indirect wholly-owned subsidiary, we entered into a secured credit facility pursuant to a Master Repurchase Agreement with Barclays Bank plc (the "Barclays Facility"). The Barclays Facility allows for $200.0 million of maximum borrowings and matures in June 2022 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, 2022, we had $32.7 million of borrowings outstanding under the Barclays Facility secured by one commercial mortgage loan. Santander Facility In March 2022, through an indirect wholly-owned subsidiary, we entered into a secured credit facility with Santander Bank, which provides for a single asset financing (the "Santander Facility"). The Santander Facility allows for €54.0 million ($59.8 million assuming conversion to USD) of maximum borrowings and initially matures in August 2024. Margin calls may occur any time at specified aggregate margin deficit thresholds. As of March 31, 2022, we had €47.2 million ($52.2 million assuming conversion into USD) of borrowings outstanding under the Santander Facility 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"). During 2021, we pledged five additional commercial mortgage loans and additional collateral with a total outstanding principal balance as of December 31, 2021 of €237.6 million, £572.7 million, and kr2.6 billion (totaling $1.3 billion assuming conversion into USD). During the first quarter of 2022, we pledged three additional commercial mortgage loans with outstanding principal balances of £134.8 million ($177.1 million assuming conversion into USD) and €157.4 million ($174.2 million assuming conversion into USD), and pledged additional collateral of a financed loan of £78.8 million ($103.5 million assuming conversion into USD) for a total of $454.8 million. 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 in June 2020 noted above, we paid down the previous financing by €16.5 million (totaling $18.5 million in USD) and agreed to increase the financing spreads by 0.25%. The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of March 31, 2022 ($ in thousands):
| Borrowings outstanding |  | Fully-Extended Maturity(1)
Total/Weighted-Average GBP | $ | 1,215,814 |  |  | April 2026
Total/Weighted-Average EUR | 496,625 |  | July 2025(2)
Total/Weighted-Average SEK | 220,227 |  | May 2026
Total/Weighted-Average Securitization | $ | 1,932,666 |  |  | February 2026
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, 2021 ($ in thousands):
| Borrowings outstanding |  | Fully-Extended Maturity(1)
Total/Weighted-Average GBP | $ | 1,299,321 |  |  | June 2025
Total/Weighted-Average EUR | 373,904 |  | November 2022(2)
Total/Weighted-Average SEK | 229,458 |  | November 2022
Total/Weighted-Average Securitization | $ | 1,902,683 |  |  | August 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. 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, 2022 |  | December 31, 2021
Assets: |  |  |
Cash | $ | 873 |  |  | $ | 3,456 |
Commercial mortgage loans, net(1) | 2,536,735 |  |  | 2,559,266 |
Other Assets | 19,352 |  |  | 20,765 |
Total Assets | $ | 2,556,960 |  |  | $ | 2,583,487 |
Liabilities: |  |  |
Secured debt arrangements, net (net of deferred financing costs of $2.5 million and $2.0 million in 2022 and 2021, respectively) | $ | 1,930,163 |  |  | $ | 1,900,640 |
Accounts payable, accrued expenses and other liabilities(2) | 4,374 |  |  | 2,671 |
Total Liabilities | $ | 1,934,537 |  |  | $ | 1,903,311 |
——————— (1)Net of the General CECL Al lowance of $7.0 million and $11.8 million as of March 31, 2022 and December 31, 2021, respectively. (2)Includes General CECL Allowance related to unfunded commitments on commercial mortgage loans, net o f $1.8 million and $0.4 million as of March 31, 2022 and December 31, 2021, respectively. The table below provides the net income of the Barclays Private Securitization VIE included in our condensed consolidated statement of operations ($ in thousands):
| Three months ended March 31,
| 2022 |  | 2021
Net Interest Income: |  |  |
Interest income from commercial mortgage loans | $ | 28,714 |  |  | $ | 16,093 |
Interest expense | (9,588) |  |  | (4,590) |
Net interest income | $ | 19,126 |  |  | $ | 11,503 |
Reversal of (provision for) loan losses and impairments | 3,341 |  |  | (3,628) |
Foreign currency loss | (19,629) |  |  | (913) |
Net Income | $ | 2,838 |  |  | $ | 6,962 |
As of March 31, 2022, we had £925.4 million, €448.7 million, and kr2.1 billion ($1.9 billion assuming conversion into USD) of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans. At March 31, 2022, our borrowings had the following remaining maturities ($ in thousands):
| Less than 1 year |  | 1 to 3 years |  | 3 to 5 years |  | More than 5 years |  | Total
JPMorgan Facility | $ | 127,524 |  |  | $ | 770,775 |  |  | $ | 455,817 |  |  | $ | — |  |  | $ | 1,354,116 |
DB Facility | 10,630 |  |  | 410,831 |  |  | — |  |  | — |  |  | 421,461 |
Goldman Facility | 84,898 |  |  | 35,886 |  |  | 38,834 |  |  | — |  |  | 159,618 |
CS Facility | — |  |  | 148,720 |  |  | 321,931 |  |  | — |  |  | 470,651 |
HSBC Facility | 158,592 |  |  | — |  |  | — |  |  | — |  |  | 158,592 |
Barclays Facility | 32,693 |  |  | — |  |  | — |  |  | — |  |  | 32,693 |
Santander Facility | — |  |  | 52,222 |  |  | — |  |  | — |  |  | 52,222 |
Barclays Private Securitization | — |  |  | 567,640 |  |  | 1,365,026 |  |  | — |  |  | 1,932,666 |
Total | $ | 414,337 |  |  | $ | 1,986,074 |  |  | $ | 2,181,608 |  |  | $ | — |  |  | $ | 4,582,019 |
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, 2022, as well as the maximum and average month-end balances for the three months ended March 31, 2022 for our borrowings under secured debt arrangements ($ in thousands).
| As of March 31, 2022 |  | For the three months ended March 31, 2022
| Balance |  | Amortized Cost of Collateral |  | Maximum Month-End Balance |  | Average Month-End Balance
JPMorgan Facility | $ | 1,354,116 |  |  | $ | 2,105,790 |  |  | $ | 1,467,343 |  |  | $ | 1,392,462 |
DB Facility | 421,461 |  |  | 625,530 |  |  | 421,461 |  |  | 354,967 |
Goldman Facility | 159,618 |  |  | 257,227 |  |  | 164,607 |  |  | 161,743 |
CS Facility | 470,651 |  |  | 645,392 |  |  | 470,651 |  |  | 274,050 |
HSBC Facility | 158,592 |  |  | 206,168 |  |  | 161,003 |  |  | 160,124 |
Barclays Facility | 32,693 |  |  | 50,149 |  |  | 32,693 |  |  | 32,693 |
Santander Facility | 52,222 |  |  | 67,545 |  |  | 52,222 |  |  | 52,222 |
Barclays Private Securitization | 1,932,666 |  |  | 2,543,761 |  |  | 1,963,837 |  |  | 1,878,007 |
Total | $ | 4,582,019 |  |  | $ | 6,501,562 |  |  |  |  |
The table below summarizes the outstanding balances at December 31, 2021, as well as the maximum and average month-end balances for the year ended December 31, 2021 for our borrowings under secured debt arrangements ($ in thousands).
| As of December 31, 2021 |  | For the year ended December 31, 2021
| Balance |  | Amortized Cost of Collateral |  | Maximum Month-End Balance |  | Average Month-End Balance
JPMorgan Facility | $ | 1,484,992 |  |  | $ | 2,259,376 |  |  | $ | 1,484,992 |  |  | $ | 1,219,072 |
DB Facility | 259,073 |  |  | 389,238 |  |  | 520,217 |  |  | 407,428 |
Goldman Facility | 168,231 |  |  | 261,848 |  |  | 331,154 |  |  | 228,312 |
CS Facility | 148,720 |  |  | 214,124 |  |  | 369,182 |  |  | 224,351 |
HSBC Facility | 162,937 |  |  | 211,813 |  |  | 174,717 |  |  | 165,958 |
Barclays Facility | 32,693 |  |  | 50,241 |  |  | 35,193 |  |  | 33,526 |
Barclays Private Securitization | 1,902,684 |  |  | 2,571,067 |  |  | 1,902,684 |  |  | 1,396,411 |
Total | $ | 4,159,330 |  |  | $ | 5,957,707 |  |  |  |  |
We were in compliance with the covenants under each of our secured debt arrangements at March 31, 2022 and December 31, 2021. Senior Secured Term Loans, Net In May 2019, we entered into a $500.0 million senior secured term loan (the "2026 Term Loan"), which matures in May 2026 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2026 Term Loan bears interest at LIBOR plus 2.75% and was issued at a price of 99.5%. In March 2021, we entered into an additional $300.0 million senior secured term loan, with substantially the same terms as the 2026 Term Loan, (the "2028 Term Loan" and, together with the 2026 Term Loan, the "Term Loans"), which matures in March 2028 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2028 Term Loan bears interest at LIBOR (with a floor of 0.50%) plus 3.50% and was issued at a price of 99.0%. The Term Loans are amortizing with repayments of 0.25% per quarter of the total committed principal. During the three months ended March 31, 2022 and 2021, we repaid $1.3 million of principal respectively related to the 2026 Term Loan. During the three months ended March 31, 2022, we repaid $0.7 million of principal related to the 2028 Term Loan. The following table summarizes the terms of our Term Loans as of March 31, 2022 ($ in thousands):
| Principal Amount | Unamortized Issuance Discount(1) | Deferred Financing Costs(1) | Carrying Value | Spread | Maturity Date
2026 Term Loan | $ | 486,250 |  | $ | (1,458) |  | $ | (7,469) |  | $ | 477,323 |  | 2.75 | % | 5/15/2026
2028 Term Loan | 297,000 |  | (2,536) |  | (4,490) |  | 289,974 |  | 3.50 | % | 3/11/2028
Total | $ | 783,250 |  | $ | (3,994) |  | $ | (11,959) |  | $ | 767,297 |  |  |
——————— (1) Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans. The following table summarizes the terms of our Term Loans as of December 31, 2021 ($ in thousands):
| Principal Amount | Unamortized Issuance Discount(1) | Deferred Financing Costs(1) | Carrying Value | Spread | Maturity Date
2026 Term Loan | $ | 487,500 |  | $ | (1,548) |  | $ | (7,933) |  | $ | 478,019 |  | 2.75 | % | 5/15/2026
2028 Term Loan | 297,750 |  | (2,643) |  | (4,801) |  | 290,306 |  | 3.50 | % | 3/11/2028
Total | $ | 785,250 |  | $ | (4,191) |  | $ | (12,734) |  | $ | 768,325 |  |  |
——————— (1) Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans. Covenants During the fourth quarter of 2021, we modified the financial covenants of the Term Loans which included the following: (i) increased our maximum ratio of total recourse debt to tangible net worth from 3:1 to 4:1; (ii) increased our maximum ratio of total unencumbered assets to total pari-passu indebtedness from 1.25:1 to 2.50:1; and (iii) amended the definition of unencumbered asset to include the carrying value of the residual equity in the entities where we hold assets financed under repurchase obligations. In conjunction with the modifications, we incurred $5.2 million in fees, $3.9 million of which were consent fees paid to borrowers recorded as deferred financing costs and $1.3 million of arrangement fees paid to the Term Loan arranger recorded as general and administrative expenses. We were in compliance with the covenants under the Term Loans at March 31, 2022 and December 31, 2021. Interest Rate Cap During the second quarter of 2020, we entered into a three-year interest rate cap to cap LIBOR at 0.75%. This effectively limits the maximum all-in coupon on our 2026 Term Loan to 3.50%. In connection with the interest rate cap, we incurred upfront fees of $1.1 million for the year ended December 31, 2020, which we recorded as a deferred financing cost on our consolidated balance sheet. The deferred financing cost is being amortized over the duration of the interest rate cap with respective amortization recognized as part of interest expense in our condensed consolidated statement of operations. 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 March 31, 2022, the 2029 Notes had a carrying value of $494.2 million net of deferred financing costs of $5.8 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 March 31, 2022 and December 31, 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 in 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 £70.5 million ($92.7 million assuming conversion into USD) first mortgage loan and is accounted for as a secured borrowing on our condensed consolidated balance sheet. During the three months ended March 31, 2022, the participation sold on commercial mortgage loans balance decreased by $0.8 million due to unrealized loss on foreign currency translation. The table below details participations sold included in our condensed consolidated balance sheet ($ in thousands):
| March 31, 2022 |  | December 31, 2021
Participation sold on Commercial mortgage loans | $ | 26,276 |  |  | $ | 27,064 |
Total participations sold | $ | 26,276 |  |  | $ | 27,064 |

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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 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -Subparagraph (h) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1C -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1I -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1I -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611 Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08(c)) -URI http://asc.fasb.org/extlink&oid=120395691&loc=d3e23780-122690 Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -Subparagraph (g) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611 Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1C -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495334-112611 Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1E -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495348-112611 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1I -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495371-112611 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 470 -SubTopic 20 -Section 50 -Paragraph 1B -Subparagraph (i) -URI http://asc.fasb.org/extlink&oid=123466505&loc=SL123495323-112611 + Details
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