Secured Debt Arrangements, Net (Tables)

9 Months Ended

Sep. 30, 2022

Schedule of Weighted Average Maturities and Interest Rates of Borrowings

Our borrowings under secured debt arrangements at September 30, 2022 and December 31, 2021 are detailed in the following table ($ in thousands):


	September 30, 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 Facility - USD(3)(4)	$	1,533,896	$	1,427,097	September 2026	$	1,344,283	$	1,329,923	September 2026
JPMorgan Facility - GBP(3)(4)	66,104		66,104		September 2026	87,497		86,849		September 2026
JPMorgan Facility - EUR(3)(4)	—		—		N/A	68,220		68,220		September 2026
Deutsche Bank Facility - USD(3)	700,000		432,269		March 2023	700,000		259,073		March 2023
Credit Suisse Facility - USD	633,798		629,026		August 2026(6)(7)	161,609		148,720		February 2025(6)(7)
HSBC Facility - GBP	336,887		336,887		April 2025	—		—		N/A
HSBC Facility - EUR	255,623		255,623		January 2026(7)	167,756		162,937		July 2022
Goldman Sachs Facility - USD	300,000		148,334		November 2025(5)	300,000		168,231		November 2025(5)
Barclays Facility - USD	200,000		125,592		June 2027(6)	200,000		32,693		March 2024
MUFG Securities Facility - GBP	179,592		179,592		June 2025(6)	—		—		N/A
Santander Facility - EUR	52,931		48,426		August 2024	—		—		N/A
Total Secured Credit Facilities	4,258,831		3,648,950			3,029,365		2,256,646
Barclays Private Securitization - GBP, EUR, SEK	1,734,264		1,715,169		January 2026(7)	1,902,684		1,902,684		August 2024(7)
Total Secured Debt Arrangements	5,993,095		5,364,119			4,932,049		4,159,330
Less: deferred financing costs	N/A		(13,533)			N/A		(9,062)
Total Secured Debt Arrangements, net(8)(9)(10)	$	5,993,095	$	5,350,586		$	4,932,049	$	4,150,268

———————

(1)As of September 30, 2022, GBP, EUR, and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.12, 0.98, and 0.09, 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.

(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 September 30, 2022 and December 31, 2021 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.31% / GBP: +1.95% / EUR: +1.55% / 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 September 30, 2022 and December 31, 2021 were 69.5% (65.7% (USD) / 74.0% (GBP) / 73.0% (EUR) / 80.6% (SEK)) and 69.8% (67.1% (USD) / 72.7% (GBP) / 68.9% (EUR) / 80.7% (SEK)), respectively.

(10)As of September 30, 2022 and December 31, 2021, approximately 55% 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 principal balances and the carrying value for commercial mortgage loans pledged to the Barclays Private Securitization as of September 30, 2022 and December 31, 2021 ($ in thousands):


	September 30, 2022
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,398,521	$	1,381,632
EUR	5	690,087		685,090
SEK	1	233,280		230,964
Total	13	$	2,321,888	$	2,297,686


	December 31, 2021
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,767,063	$	1,748,367
EUR	2	533,164		528,344
SEK	1	286,822		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 September 30, 2022 ($ in thousands):


	Borrowings outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	$	1,046,524	April 2026
Total/Weighted-Average EUR	482,021		July 2025(3)
Total/Weighted-Average SEK	186,624		May 2026
Total/Weighted-Average Securitization	$	1,715,169	January 2026

———————

(1)As of September 30, 2022, we had £936.9 million, €491.8 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.


	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 following table summarizes the terms of our Term Loans as of September 30, 2022 ($ in thousands):


	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Spread		Maturity Date
2026 Term Loan	$	483,750	$	(1,280)	$	(6,635)	$	475,835	2.75	%	5/15/2026
2028 Term Loan	295,500		(2,321)		(4,115)		289,064		3.50	%	3/11/2028
Total	$	779,250	$	(3,601)	$	(10,750)	$	764,899

———————

(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.

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, 2022		December 31, 2021
Assets:
Cash	$	7,375	$	3,456
Commercial mortgage loans, net(1)	2,297,686		2,559,266
Other Assets	20,590		20,765
Total Assets	$	2,325,651	$	2,583,487
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.7 million and $2.0 million in 2022 and 2021, respectively)	$	1,712,454	$	1,900,640
Accounts payable, accrued expenses and other liabilities(2)	5,379		2,671
Total Liabilities	$	1,717,833	$	1,903,311

———————

(1)Net of the General CECL Allowance of $6.2 million and $11.8 million as of September 30, 2022 and December 31, 2021, respectively.

(2)Includes General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $1.3 million and $0.4 million as of September 30, 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 September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Net Interest Income:
Interest income from commercial mortgage loans	$	30,518	$	23,446	$	86,695	$	60,482
Interest expense	(12,668)		(7,014)		(32,830)		(18,000)
Net interest income	$	17,850	$	16,432	$	53,865	$	42,482

Reversal of (provision for) loan losses, net	889		1,819		4,698		(3,849)
Foreign currency translation gain (loss)	(50,237)		(15,866)		(111,745)		(13,976)
Net Income	$	(31,498)	$	2,385	$	(53,182)	$	24,657

Schedule of Remaining Maturities of Borrowings

At September 30, 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	$	220,269	$	671,652	$	601,280	$	—	$	1,493,201
Deutsche Bank Facility	432,269		—		—		—		432,269
Credit Suisse Facility	—		164,323		464,703		—		629,026
HSBC Facility	—		452,042		140,468		—		592,510
Goldman Sachs Facility	112,478		—		35,856		—		148,334
Barclays Facility	—		—		125,592		—		125,592
MUFG Securities Facility	—		179,592		—		—		179,592
Santander Facility	—		48,426		—		—		48,426
Barclays Private Securitization	—		553,485		1,161,684		—		1,715,169
Total	$	765,016	$	2,069,520	$	2,529,583	$	—	$	5,364,119

Schedule of Outstanding, Maximum and Average Balances of Debt

The table below summarizes the outstanding balances at September 30, 2022, as well as the maximum and average month-end balances for the nine months ended September 30, 2022 for our borrowings under secured debt arrangements ($ in thousands).


	As of September 30, 2022				For the nine months ended September 30, 2022
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,493,201	$	2,451,227	$	1,584,171	$	1,407,031
Deutsche Bank Facility	432,269		633,026		432,455		403,888
Goldman Sachs Facility	148,334		240,039		164,607		155,750
Credit Suisse Facility	629,026		846,123		633,143		511,003



HSBC Facility	592,510		743,442		660,004		461,138
Barclays Facility	125,592		155,459		172,693		97,972

MUFG Securities Facility	179,592		240,904		186,860		122,151
Santander Facility	48,426		64,568		52,222		50,080
Barclays Private Securitization	1,715,169		2,303,863		1,963,837		1,830,053
Total	$	5,364,119	$	7,678,651

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
Deutsche Bank Facility	259,073		389,238		520,217		407,428
Goldman Sachs Facility	168,231		261,848		331,154		228,312
Credit Suisse 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

- 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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