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Secured Debt Arrangements, Net (Tables)
 3 Months Ended
Mar. 31, 2022
Debt Disclosure [Abstract]  
Schedule of Weighted Average Maturities and Interest Rates of Borrowings
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, 2022December 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 - GBP84,949 84,320 September 202687,497 86,849 September 2026
JPMorgan - EUR— — N/A68,220 68,220 September 2026
DB - USD700,000 421,461 March 2023700,000 259,073 March 2023
Goldman - USD300,000 159,618 
November 2025(3)
300,000 168,231 
November 2025(3)
CS Facility - USD486,319 470,651 
June 2026(4)(5)
161,609 148,720 
February 2025(4)(5)
HSBC Facility - EUR163,285 158,592 July 2022167,756 162,937 July 2022
Barclays - USD200,000 32,693 June 2022200,000 32,693 March 2024
Santander - EUR59,762 52,222 August 2024— — N/A
Total Secured Credit Facilities3,409,366 2,649,353 3,029,365 2,256,646 
Barclays Private Securitization - GBP, EUR, SEK1,932,666 1,932,666 
February 2026(5)
1,902,684 1,902,684 
August 2024(5)
Total Secured Debt Arrangements5,342,032 4,582,019 4,932,049 4,159,330 
Less: deferred financing costsN/A(10,705)N/A(9,062)
Total Secured Debt Arrangements, net(6)(7)(8)
$5,342,032 $4,571,314 $4,932,049 $4,150,268  
———————
(1)As of March 31, 2022, GBP, EUR, and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.31, 1.11, and 0.11, respectively. As of December 31, 2021, GBP, EUR and SEK borrowings were converted to USD at a rate of 1.35, 1.14 and 0.11 respectively.
(2)Maturity date assumes extensions at our option are exercised with consent of financing providers, where applicable.
(3)Assumes facility enters the amortization period described below.
(4)Assumes financings are extended in line with the underlying loans.
(5)Represents weighted average maturity across various financings with the counterparty. See below for additional details.
(6)Weighted-average borrowing costs as of March 31, 2022 and December 31, 2021 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.08% / GBP: +1.82% / EUR: +1.49% / SEK: +1.50% and USD: +2.00% / GBP: +1.86% / EUR: +1.42%/ SEK : +1.50%, respectively.
(7)Weighted average advance rates based on cost as of March 31, 2022 and December 31, 2021 were 70.5% (66.5% (USD) / 75.6% (GBP) / 72.9% (EUR) / 80.7% (SEK)) and 69.8% (67.1% (USD) / 72.7% (GBP) / 68.9% (EUR)/ 80.7% (SEK)), respectively.
(8)As of March 31, 2022 and December 31, 2021, approximately 52% and 50% of the outstanding balance under these secured borrowings were recourse to us.
Schedule of Assets Under the Private Barclays Securitization
The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of March 31, 2022 ($ in thousands):
Borrowings outstanding
Fully-Extended Maturity(1)
Total/Weighted-Average GBP$1,215,814 
April 2026
Total/Weighted-Average EUR496,625
July 2025(2)
Total/Weighted-Average SEK220,227May 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 EUR373,904
November 2022(2)
Total/Weighted-Average SEK229,458November 2022
Total/Weighted-Average Securitization$1,902,683 August 2024
———————
(1)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.
(2)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.
The following table summarizes the terms of our Term Loans as of March 31, 2022 ($ in thousands):
Principal Amount
Unamortized Issuance Discount(1)
Deferred Financing Costs(1)
Carrying ValueSpreadMaturity Date
2026 Term Loan$486,250 $(1,458)$(7,469)$477,323 2.75 %5/15/2026
2028 Term Loan297,000 (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 ValueSpreadMaturity Date
2026 Term Loan$487,500 $(1,548)$(7,933)$478,019 2.75 %5/15/2026
2028 Term Loan297,750 (2,643)(4,801)290,306 3.50 %3/11/2028
Total$785,250 $(4,191)$(12,734)$768,325 
———————
(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.
Schedule of Assets and Liabilities
The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheet ($ in thousands):
March 31, 2022December 31, 2021
Assets:
Cash$873 $3,456 
Commercial mortgage loans, net(1)
2,536,735 2,559,266 
Other Assets19,352 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 Allowance 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 of $1.8 million and $0.4 million as of March 31, 2022 and December 31, 2021, respectively.
Interest Income and Interest Expense Disclosure
The table below provides the net income of the Barclays Private Securitization VIE included in our condensed consolidated statement of operations ($ in thousands):
Three months ended March 31,
20222021
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 impairments3,341 (3,628)
Foreign currency loss(19,629)(913)
Net Income$2,838 $6,962 
Schedule of Remaining Maturities of Borrowings
At March 31, 2022, our borrowings had the following remaining maturities ($ 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 Facility10,630 410,831 — — 421,461 
Goldman Facility84,898 35,886 38,834 — 159,618 
CS Facility— 148,720 321,931 — 470,651 
HSBC Facility158,592 — — — 158,592 
Barclays Facility32,693 — — — 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 $— $4,582,019 
Schedule of Outstanding, Maximum and Average Balances of Debt
The table below summarizes the outstanding balances at March 31, 2022, as well as the maximum and average month-end balances for the three months ended March 31, 2022 for our borrowings under secured debt arrangements ($ in thousands).
As of March 31, 2022For the three months ended March 31, 2022
 BalanceAmortized 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 Facility421,461 625,530 421,461 354,967 
Goldman Facility159,618 257,227 164,607 161,743 
CS Facility470,651 645,392 470,651 274,050 
HSBC Facility158,592 206,168 161,003 160,124 
Barclays Facility32,693 50,149 32,693 32,693 
Santander Facility52,222 67,545 52,222 52,222 
Barclays Private Securitization1,932,666 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
 BalanceAmortized Cost of CollateralMaximum Month-End
Balance		Average Month-End
Balance
JPMorgan Facility$1,484,992 $2,259,376 $1,484,992 $1,219,072 
DB Facility259,073 389,238 520,217 407,428 
Goldman Facility168,231 261,848 331,154 228,312 
CS Facility148,720 214,124 369,182 224,351 
HSBC Facility162,937 211,813 174,717 165,958 
Barclays Facility32,693 50,241 35,193 33,526 
Barclays Private Securitization1,902,684 2,571,067 1,902,684 1,396,411 
Total$4,159,330 $5,957,707