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Participations Sold
 12 Months Ended
Dec. 31, 2022
Debt Disclosure [Abstract]  
Secured Debt Arrangement, Net/Participations Sold Secured Debt Arrangements, Net
We utilize our secured debt arrangements to finance the origination activity in our loan portfolio. Our secured debt arrangements comprise secured credit facilities and a private securitization. During the year ended December 31, 2022, we entered into two new credit facilities, which provided $252.1 million of additional liquidity, and upsized three of our existing credit facilities by $1.1 billion.

Our borrowings under secured debt arrangements at December 31, 2022 and December 31, 2021 are detailed in the following table ($ in thousands):
December 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 Facility - USD(3)(4)
$1,532,722 $1,306,320 September 2026$1,344,283 $1,329,923 September 2026
JPMorgan Facility - GBP(3)(4)
67,278 67,278 September 202687,497 86,849 September 2026
JPMorgan Facility - EUR(3)(4)
— — N/A68,220 68,220 September 2026
Deutsche Bank Facility - USD(3)
700,000 385,818 March 2026700,000 259,073 March 2023
Credit Suisse Facility - USD635,653 632,747 
August 2026(6)(7)
161,609 148,720 
February 2025(6)(7)
HSBC Facility - GBP364,423 364,423 April 2025— — N/A
HSBC Facility - EUR272,890 272,890 
January 2026(7)
167,756 162,937 July 2022
Goldman Sachs Facility - USD300,000 70,249 
November 2025(5)
300,000 168,231 
November 2025(5)
Barclays Facility - USD200,000 111,909 
June 2027(6)
200,000 32,693 March 2024
MUFG Securities Facility - GBP194,272 194,272 
June 2025(6)
— — N/A
Santander Facility - EUR57,807 53,320 August 2024— — N/A
Total Secured Credit Facilities4,325,045 3,459,226 3,029,365 2,256,646 
Barclays Private Securitization - GBP, EUR, SEK1,850,076 1,850,076 
February 2026(7)
1,902,684 1,902,684 
August 2024(7)
Total Secured Debt Arrangements6,175,121 5,309,302 4,932,049 4,159,330 
Less: deferred financing costsN/A(12,477)N/A(9,062)
Total Secured Debt Arrangements, net(8)(9)(10)
$6,175,121 $5,296,825 $4,932,049 $4,150,268  
———————
(1)As of December 31, 2022, GBP, EUR, and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.21, 1.07, and 0.10, 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)Facility enables us to elect to receive advances in USD, GBP, or EUR.
(4)The JPMorgan Facility allows for $1.6 billion of maximum borrowings in total as of December 31, 2022. The facility was temporarily upsized from $1.5 billion to $1.6 billion during August 2022 and the maximum borrowings will decrease to $1.5 billion as of January 2023.
(5)Assumes facility enters the two-year amortization period subsequent to the November 2023 maturity, which allows for the refinancing or pay down of assets under the facility.
(6)Assumes financings are extended in line with the underlying loans.
(7)Represents weighted average maturity across various financings with the counterparty. See below for additional details.
(8)Weighted-average borrowing costs as of December 31, 2022 and December 31, 2021 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.28% / GBP: +2.02% / EUR: +1.54% / SEK: +1.50% and USD: +2.00% / GBP: +1.86% / EUR: +1.42%/ SEK: +1.50%, respectively.
(9)Weighted average advance rates based on cost as of December 31, 2022 and December 31, 2021 were 68.8% (63.9% (USD) / 74.0% (GBP) / 72.1% (EUR) / 80.5% (SEK)) and 69.8% (67.1% (USD) / 72.7% (GBP) / 68.9% (EUR) / 80.7% (SEK)), respectively.
(10)As of December 31, 2022 and December 31, 2021, approximately 58% and 50% of the outstanding balance under these secured borrowings were recourse to us.
Terms of our secured credit facilities are designed to keep each lender's credit exposure generally constant as a percentage of the underlying value of the assets pledged as security to it. If the credit of the underlying collateral value decreases, the amount of leverage to us may be reduced. As of December 31, 2022 and December 31, 2021, the weighted average haircut under our secured debt arrangements was approximately 31.2% and 30.2%, respectively. Our secured credit facilities do not contain capital markets-based mark-to-market provisions.
Barclays Private Securitization
We are party to a private securitization with Barclays Bank plc (the "Barclays Private Securitization"). Commercial mortgage loans currently financed under the Barclays Securitization are denominated in GBP, EUR and SEK.
The Barclays Private Securitization does not include 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 loan-to-value based covenants with deleveraging requirements that 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.
The table below provides principal balances and the carrying value for commercial mortgage loans pledged to the Barclays Private Securitization as of December 31, 2022 and December 31, 2021 ($ in thousands):
December 31, 2022
Local CurrencyCountOutstanding PrincipalCarrying Value
GBP7$1,495,616 $1,475,241 
EUR5752,531747,240
SEK1248,064 245,714 
Total 13$2,496,211 $2,468,195 
December 31, 2021
Local CurrencyCountOutstanding PrincipalCarrying Value
GBP7$1,767,063 $1,748,367 
EUR2533,164528,344
SEK1286,822 282,555 
Total 10$2,587,049 $2,559,266 
The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of December 31, 2022 ($ in thousands):
Borrowings outstanding(1)
Fully-Extended Maturity(2)
Total/Weighted-Average GBP$1,125,420 
May 2026
Total/Weighted-Average EUR526,204
July 2025(3)
Total/Weighted-Average SEK198,452May 2026
Total/Weighted-Average Securitization$1,850,076 February 2026
———————
(1)As of December 31, 2022, we had £931.4 million, €491.6 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.
(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.
(3)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 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 table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our consolidated balance sheets ($ in thousands):
December 31, 2022December 31, 2021
Assets:
Cash$758 $3,456 
Commercial mortgage loans, net(1)
2,468,195 2,559,266 
Other Assets30,992 20,765 
Total Assets$2,499,945 $2,583,487 
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.3 million and $2.0 million in 2022 and 2021, respectively)
$1,847,799 $1,900,640 
Accounts payable, accrued expenses and other liabilities(2)
8,814 2,671 
Total Liabilities$1,856,613 $1,903,311 
———————
(1)Net of the General CECL Allowance of $8.2 million and $11.8 million as of December 31, 2022 and December 31, 2021, respectively.
(2)Includes General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $2.9 million and $0.4 million as of December 31, 2022 and December 31, 2021, respectively.

The table below provides the net income of the Barclays Private Securitization VIE included in our consolidated statement of operations ($ in thousands):
Year ended December 31,
20222021
Net Interest Income:
Interest income from commercial mortgage loans$126,847 $86,377 
Interest expense(51,487)(25,661)
Net interest income$75,360 $60,716 
Decrease (increase) in current expected credit loss allowance, net1,101 (7,148)
Foreign currency translation gain (loss)(62,058)(13,102)
Net Income$14,403 $40,466 

At December 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$228,077 $549,279 $596,242 $— $1,373,598 
Deutsche Bank Facility188,051 31,200 166,567 — 385,818 
Credit Suisse Facility— 164,747 468,000 — 632,747 
HSBC Facility— 483,899 153,414 — 637,313 
Goldman Sachs Facility35,499 34,750 — — 70,249 
Barclays Facility— — 111,909 — 111,909 
MUFG Securities Facility— 194,272 — — 194,272 
Santander Facility— 53,320 — — 53,320 
Barclays Private Securitization — 563,819 1,286,257 — 1,850,076 
Total$451,627 $2,075,286 $2,782,389 $— $5,309,302 
The table above reflects the fully extended maturity date of the facility and assumes facilities with an "evergreen" feature continue to extend through the fully-extended maturity of the underlying asset and assumes underlying loans are extended with consent of financing providers.
The table below summarizes the outstanding balances at December 31, 2022, as well as the maximum and average month-end balances for the year ended December 31, 2022 for our borrowings under secured debt arrangements ($ in thousands).
As of December 31, 2022For the year ended December 31, 2022
 BalanceAmortized Cost of Collateral Maximum Month-End
Balance		Average Month-End
Balance
JPMorgan Facility$1,373,598 $2,376,154 $1,584,171 $1,411,644 
Deutsche Bank Facility385,818 565,387 432,455 400,337 
Goldman Sachs Facility70,249 116,619 164,607 140,599 
Credit Suisse Facility632,747 855,119 633,143 541,245 
HSBC Facility637,313 813,716 660,004 501,674 
Barclays Facility111,909 138,510 172,693 102,664 
MUFG Securities Facility194,272 261,319 194,272 156,499 
Santander Facility53,320 71,093 53,320 50,450 
Barclays Private Securitization1,850,076 2,476,349 1,963,837 1,828,794 
Total$5,309,302 $7,674,266 
The table below summarizes the outstanding balances at December 31, 2021, as well as the maximum and average month-end balances for the year ended December 31, 2021 for our borrowings under secured debt arrangements ($ 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 
Deutsche Bank Facility259,073 389,238 520,217 407,428 
Goldman Sachs Facility168,231 261,848 331,154 228,312 
Credit Suisse 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 
Debt Covenants
The guarantees related to our secured debt arrangements contain the following financial covenants: (i) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 3.75:1; and (iii) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million. Under these covenants, our General CECL Allowance is added back to our tangible net worth calculation.
We were in compliance with the covenants under each of our secured debt arrangements at December 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. We repaid $5.0 million of principal related to the 2026 Term Loan during each of the years ended December 31, 2022 and 2021, respectively. During the years ended December 31, 2022 and 2021, we repaid $3.0 million and $2.3 million of principal related to the 2028 Term Loan, respectively.
The following table summarizes the terms of the Term Loans as of December 31, 2022 ($ in thousands):
Principal Amount
Unamortized Issuance Discount(1)
Deferred Financing Costs(1)
Carrying ValueSpreadMaturity Date
2026 Term Loan$482,500 $(1,190)$(6,106)$475,204 2.75 %5/15/2026
2028 Term Loan294,750 (2,214)(3,927)288,609 3.50 %3/11/2028
Total$777,250 $(3,404)$(10,033)$763,813 
———————
(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.
The following table summarizes the terms of the Term Loans as of December 31, 2021 ($ 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.
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 December 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 sheets. 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 consolidated statement of operations.
During the year ended December 31, 2022, LIBOR exceeded the cap rate of 0.75%. As such, during the year ended December 31, 2022, we realized a gain from the interest rate cap in the amount of $5.7 million, which is included in gain (loss) on interest rate hedging instruments in our consolidated statement of operations. The realized gain was a result of the increase in the current interest rate forward curve, partially offset by the nearing maturity of the cap. There was no realized gain recorded during the year ended December 31, 2021.
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 deducting initial purchasers' discounts and commissions. 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. The 2029 Notes had a carrying value of $494.8 million and $494.1 million, net of deferred financing costs of $5.2 million and $5.9 million, as of December 31, 2022 and December 31, 2021, respectively.
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 December 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 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 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 consolidated balance sheets, 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 at time of transfer) 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 at time of transfer). The participation interest sold is subordinate to our remaining £72.9 million ($88.1 million assuming conversion into USD) first mortgage loan and is accounted for as a secured borrowing on our consolidated balance sheet.
During the year ended December 31, 2022, the participation sold on commercial mortgage loans balance decreased by $1.9 million due to unrealized loss on foreign currency translation. Refer to "Note 4 – Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for further discussion of default interest being accrued on the whole position. In January 2023, the loan was fully satisfied, including all contractual and default interest accrued to date. See "Note 20 - Subsequent Events" for further discussion.
The table below details participations sold included in our consolidated balance sheets ($ in thousands):
December 31, 2022December 31, 2021
Participation sold on commercial mortgage loans$25,130 $27,064 
Total participations sold$25,130 $27,064