Secured Borrowings

3 Months Ended

Mar. 31, 2023

Secured Debt [Abstract]

Secured Borrowings

Secured Borrowings

Secured Financing Agreements

The following table is a summary of our secured financing agreements in place as of March 31, 2023 and December 31, 2022 (dollars in thousands):

													Outstanding Balance at
	Current Maturity		Extended Maturity (a)		Weighted Average Pricing		Pledged Asset Carrying Value			Maximum Facility Size			March 31, 2023			December 31, 2022
Repurchase Agreements:
Commercial Loans	Jun 2023 to Jun 2027	(b)	Oct 2025 to Dec 2030	(b)	Index + 2.06%	(c)	$	11,206,590		$	12,212,382	(d)	$	7,818,505		$	7,746,867
Residential Loans	Oct 2023 to Apr 2024		N/A		SOFR + 2.22%		2,204,038			3,064,671			1,967,984			1,912,774
Infrastructure Loans	Sep 2024		Sep 2026		SOFR + 2.07%		333,957			650,000			274,817			290,431
Conduit Loans	Dec 2023 to Jun 2025		Feb 2024 to Jun 2027		SOFR + 2.35%		66,572			375,000			57,960			8,423
CMBS/RMBS	Oct 2023 to Apr 2032	(e)	Oct 2023 to Oct 2032	(e)	(f)		1,488,626			1,083,841			824,912		(g)	840,625
Total Repurchase Agreements							15,299,783			17,385,894			10,944,178			10,799,120
Other Secured Financing:
Borrowing Base Facility	Nov 2024		Oct 2026		SOFR + 2.11%		12,018			750,000		(h)	9,234			—
Commercial Financing Facilities	Dec 2023 to Aug 2025		Jul 2025 to Dec 2030		Index + 1.98%		354,323			458,074		(i)	256,247			311,825
Residential Financing Facility	Mar 2024		Mar 2027		SOFR + 2.45%		525,297			500,000			474,660			244,418
Infrastructure Financing Facilities	Jun 2025 to Oct 2025		Jun 2027 to Jul 2032		Index + 2.08%		1,020,629			1,550,000			776,024			765,265
Property Mortgages - Fixed rate	Nov 2024 to Sep 2029	(j)	N/A		4.46%		364,090			260,891			260,891			261,100
Property Mortgages - Variable rate	Nov 2023 to Dec 2027		N/A		(k)		1,001,298			850,387			847,625			847,633
Term Loans and Revolver	(l)		N/A		(l)		N/A		(l)	1,527,269			1,377,269			1,380,766
Total Other Secured Financing							3,277,655			5,896,621			4,001,950			3,811,007
							$	18,577,438		$	23,282,515		14,946,128			14,610,127
Unamortized net discount													(28,897)			(30,320)
Unamortized deferred financing costs													(70,243)			(78,275)
													$	14,846,988		$	14,501,532

______________________________________________________________________________________________________________________

(a)Subject to certain conditions as defined in the respective facility agreement.

(b)For certain facilities, borrowings collateralized by loans existing at maturity may remain outstanding until such loan collateral matures, subject to certain specified conditions.

(c)Certain facilities with an outstanding balance of $2.9 billion as of March 31, 2023 are indexed to EURIBOR, BBSY, SARON and SONIA. The remainder are indexed to USD LIBOR or SOFR.

(d)Certain facilities with an aggregate initial maximum facility size of $12.1 billion may be increased to $12.2 billion, subject to certain conditions. The $12.2 billion amount includes such upsizes.

(e)Certain facilities with an outstanding balance of $356.2 million as of March 31, 2023 carry a rolling 11-month or 12-month term which may reset monthly or quarterly with the lender’s consent. These facilities carry no maximum facility size.

(f)A facility with an outstanding balance of $261.8 million as of March 31, 2023 has a weighted average fixed annual interest rate of 3.25%. All other facilities are variable rate with a weighted average rate of SOFR + 2.15%.

(g)Includes: (i) $261.8 million outstanding on a repurchase facility that is not subject to margin calls; and (ii) $42.2 million outstanding on one of our repurchase facilities that represents the 49% pro rata share owed by a non-controlling partner in a consolidated joint venture (see Note 15).

(h)The maximum facility size as of March 31, 2023 of $450.0 million may be increased to $750.0 million, subject to certain conditions.

(i)Certain facilities with an aggregate initial maximum facility size of $358.1 million may be increased to $458.1 million, subject to certain conditions. The $458.1 million amount includes such upsizes.

(j)The weighted average maturity is 4.2 years as of March 31, 2023.

(k)Includes a $600.0 million first mortgage and mezzanine loan secured by our Medical Office Portfolio. This debt has a weighted average interest rate of LIBOR + 2.07% that we swapped to a fixed rate of 3.34%. The remainder have a weighted average rate of Index + 3.35%.

(l)Consists of: (i) a $778.8 million term loan facility that matures in July 2026, of which $386.0 million has an annual interest rate of LIBOR + 2.50% and $392.8 million has an annual interest rate of LIBOR + 3.25%, subject to a 0.75% LIBOR floor, (ii) a $150.0 million revolving credit facility that matures in April 2026 with an annual interest rate of SOFR + 2.50% and (iii) a $598.5 million term loan facility that matures in November 2027, with an annual interest rate of SOFR + 3.25%, subject to a 0.50% SOFR floor. These facilities are secured by the equity interests in certain of our subsidiaries which totaled $5.4 billion as of March 31, 2023.

The above table no longer reflects property mortgages of the Woodstar Portfolios which, as discussed in Notes 2 and 7, are now reflected within “Investments of consolidated affordable housing fund” on our condensed consolidated balance sheets.

In the normal course of business, the Company is in discussions with its lenders to extend, amend or replace any financing facilities which contain near term expirations.

During the three months ended March 31, 2023, we amended a commercial credit facility resulting in an upsize of $200.0 million.

Our secured financing agreements contain certain financial tests and covenants. As of March 31, 2023, we were in compliance with all such covenants.

We seek to mitigate risks associated with our repurchase agreements by managing risk related to the credit quality of our assets, interest rates, liquidity, prepayment speeds and market value. The margin call provisions under the majority of our repurchase facilities, consisting of 69% of these agreements, do not permit valuation adjustments based on capital market events and are limited to collateral-specific credit marks generally determined on a commercially reasonable basis. To monitor credit risk associated with the performance and value of our loans and investments, our asset management team regularly reviews our investment portfolios and is in regular contact with our borrowers, monitoring performance of the collateral and enforcing our rights as necessary. For the 31% of repurchase agreements which do permit valuation adjustments based on capital market events, approximately 6% of these pertain to our loans held-for-sale, for which we manage credit risk through the purchase of credit instruments. We further seek to manage risks associated with our repurchase agreements by matching the maturities and interest rate characteristics of our loans with the related repurchase agreement.

For the three months ended March 31, 2023 and 2022, approximately $10.2 million and $9.6 million, respectively, of amortization of deferred financing costs from secured financing agreements was included in interest expense on our condensed consolidated statements of operations.

As of March 31, 2023, Morgan Stanley Bank, N.A. and JPMorgan Chase Bank, N.A. held collateral sold under certain of our repurchase agreements with carrying values that exceeded the respective repurchase obligations by $814.5 million and $692.2 million, respectively. The weighted average extended maturity of those repurchase agreements is 3.2 years and 4.7 years, respectively.

Collateralized Loan Obligations and Single Asset Securitization

Commercial and Residential Lending Segment

In February 2022, we refinanced a pool of our commercial loans held-for-investment through a CLO, STWD 2022-FL3. On the closing date, the CLO issued $1.0 billion of notes and preferred shares, of which $842.5 million of notes were purchased by third party investors. We retained $82.5 million of notes along with preferred shares with a liquidation preference of $75.0 million. The CLO contains a reinvestment feature that, subject to certain eligibility criteria, allows us to contribute new loans or participation interests in loans to the CLO for a period of two years. During the three months ended March 31, 2023, we utilized the reinvestment feature, contributing $0.5 million of additional interests into the CLO.

In July 2021, we contributed into a single asset securitization, STWD 2021-HTS, a previously originated $230.0 million first mortgage and mezzanine loan on a portfolio of 41 extended stay hotels with $210.1 million of third party financing.

In May 2021, we refinanced a pool of our commercial loans held-for-investment through a CLO, STWD 2021-FL2. On the closing date, the CLO issued $1.3 billion of notes and preferred shares, of which $1.1 billion of notes were purchased by third party investors. We retained $70.1 million of notes, along with preferred shares with a liquidation preference of $127.5 million. The CLO contains a reinvestment feature that, subject to certain eligibility criteria, allows us to contribute new loans or participation interests in loans to the CLO in exchange for cash. During the three months ended March 31, 2023, we utilized the reinvestment feature, contributing $18.9 million of additional interests into the CLO.

In August 2019, we refinanced a pool of our commercial loans held-for-investment through a CLO, STWD 2019-FL1. On the closing date, the CLO issued $1.1 billion of notes and preferred shares, of which $936.4 million of notes were purchased by third party investors. We retained $86.6 million of notes, along with preferred shares with a liquidation preference of $77.0 million. The CLO contains a reinvestment feature that, subject to certain eligibility criteria, allowed us to contribute new loans or participation interests in loans to the CLO in exchange for cash. The reinvestment period expired during 2022 and during the three months ended March 31, 2023, we repaid CLO debt in the amount of $5.0 million.

Infrastructure Lending Segment

In January 2022, we refinanced a pool of our infrastructure loans held-for-investment through a CLO, STWD 2021-SIF2. On the closing date, the CLO issued $500.0 million of notes and preferred shares, of which $410.0 million of notes were purchased by third party investors. We retained preferred shares with a liquidation preference of $90.0 million. The CLO contains a reinvestment feature that, subject to certain eligibility criteria, allows us to contribute new loans or participation interests in loans to the CLO for a period of three years. During the three months ended March 31, 2023, we utilized the reinvestment feature, contributing $33.2 million of additional interests into the CLO.

In April 2021, we refinanced a pool of our infrastructure loans held-for-investment through a CLO, STWD 2021-SIF1. On the closing date, the CLO issued $500.0 million of notes and preferred shares, of which $410.0 million of notes were purchased by third party investors. We retained preferred shares with a liquidation preference of $90.0 million. The CLO contains a reinvestment feature that, subject to certain eligibility criteria, allows us to contribute new loans or participation interests in loans to the CLO for a period of three years. During the three months ended March 31, 2023, we utilized the reinvestment feature, contributing $53.4 million of additional interests into the CLO.

The following table is a summary of our CLOs and our SASB as of March 31, 2023 and December 31, 2022 (amounts in thousands):

March 31, 2023	Count	Face Amount		Carrying Value		Weighted Average Spread		Maturity
STWD 2022-FL3
Collateral assets	51	$	1,000,000	$	1,010,710	Index + 3.48%	(a)	March 2026	(b)
Financing	1	842,500		841,721		SOFR + 1.93%	(c)	November 2038	(d)
STWD 2021-HTS
Collateral assets	1	230,000		231,239		LIBOR + 3.87%	(a)	April 2026	(b)
Financing	1	210,091		209,187		LIBOR + 2.71%	(c)	April 2034	(d)
STWD 2021-FL2
Collateral assets	38	1,278,175		1,286,362		Index + 3.90%	(a)	August 2025	(b)
Financing	1	1,077,375		1,073,081		LIBOR + 1.80%	(c)	April 2038	(d)
STWD 2019-FL1
Collateral assets	16	897,821		902,795		Index + 3.42%	(a)	December 2024	(b)
Financing	1	734,196		734,196		SOFR + 1.64%	(c)	July 2038	(d)
STWD 2021-SIF2
Collateral assets	31	499,317		511,809		Index + 3.81%	(a)	June 2027	(b)
Financing	1	410,000		407,487		SOFR + 2.11%	(c)	January 2033	(d)
STWD 2021-SIF1
Collateral assets	31	498,843		512,634		Index + 3.98%	(a)	March 2027	(b)
Financing	1	410,000		407,111		LIBOR + 2.15%	(c)	April 2032	(d)
Total
Collateral assets		$	4,404,156	$	4,455,549
Financing		$	3,684,162	$	3,672,783

December 31, 2022	Count	Face Amount		Carrying Value		Weighted Average Spread		Maturity
STWD 2022-FL3
Collateral assets	51	$	1,000,000	$	1,010,051	Index + 3.52%	(a)	February 2026	(b)
Financing	1	842,500		842,374		SOFR + 1.93%	(c)	November 2038	(d)
STWD 2021-HTS
Collateral assets	1	230,000		231,186		LIBOR + 3.85%	(a)	April 2026	(b)
Financing	1	210,091		208,961		LIBOR + 2.71%	(c)	April 2034	(d)
STWD 2021-FL2
Collateral assets	36	1,277,474		1,284,240		Index + 4.04%	(a)	June 2025	(b)
Financing	1	1,077,375		1,072,403		LIBOR + 1.80%	(c)	April 2038	(d)
STWD 2019-FL1
Collateral assets	16	902,799		906,409		Index + 3.67%	(a)	December 2024	(b)
Financing	1	739,174		738,473		SOFR + 1.64%	(c)	July 2038	(d)
STWD 2021-SIF2
Collateral assets	31	495,587		510,730		Index + 3.73%	(a)	February 2027	(b)
Financing	1	410,000		407,260		SOFR + 2.11%	(c)	January 2033	(d)
STWD 2021-SIF1
Collateral assets	31	495,781		511,471		Index + 3.76%	(a)	November 2026	(b)
Financing	1	410,000		406,753		LIBOR + 2.15%	(c)	April 2032	(d)
Total
Collateral assets		$	4,401,641	$	4,454,087
Financing		$	3,689,140	$	3,676,224

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(a)Represents the weighted-average coupon earned on variable rate loans during the respective year-to-date period. Of the loans financed by the STWD 2021-FL2 CLO as of March 31, 2023, 7% earned fixed-rate weighted average interest of 7.44%. Of the investments financed by the STWD 2021-SIF1 CLO as of March 31, 2023, 2% earned fixed-rate weighted average interest of 5.69%.

(b)Represents the weighted-average maturity, assuming the extended contractual maturity of the collateral assets.

(c)Represents the weighted-average cost of financing incurred during the respective year-to-date period, inclusive of deferred issuance costs.

(d)Repayments of the CLOs and SASB are tied to timing of the related collateral asset repayments. The term of the CLOs and SASB financing obligations represents the legal final maturity date.

We incurred $37.9 million of issuance costs in connection with the CLOs and SASB, which are amortized on an effective yield basis over the estimated life of the CLOs and SASB. For the three months ended March 31, 2023 and 2022, approximately $2.7 million and $2.4 million, respectively, of amortization of deferred financing costs was included in interest expense on our condensed consolidated statements of operations. As of March 31, 2023 and December 31, 2022, our unamortized issuance costs were $15.5 million and $18.2 million, respectively.

The CLOs and SASB are considered VIEs, for which we are deemed the primary beneficiary. We therefore consolidate the CLOs and SASB. Refer to Note 15 for further discussion.

Maturities

Our credit facilities generally require principal to be paid down prior to the facilities’ respective maturities if and when we receive principal payments on, or sell, the investment collateral that we have pledged. The following table sets forth our principal repayments schedule for secured financings based on the earlier of (i) the extended contractual maturity of each credit facility or (ii) the extended contractual maturity of each of the investments that have been pledged as collateral under the respective credit facility (amounts in thousands):

	Repurchase Agreements		Other Secured Financing		CLOs and SASB (a)		Total
2023 (remainder of)	$	1,525,152	$	116,078	$	622,627	$	2,263,857
2024	2,067,428		669,794		382,949		3,120,171
2025	1,214,463		285,997		828,283		2,328,743
2026	2,439,183		932,082		1,582,383		4,953,648
2027	3,436,146		1,794,367		115,264		5,345,777
Thereafter	261,806		203,632		152,656		618,094
Total	$	10,944,178	$	4,001,950	$	3,684,162	$	18,630,290

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(a)For the CLOs, the above does not assume utilization of their reinvestment features. The SASB does not have a reinvestment feature.

Unsecured Senior Notes

The following table is a summary of our unsecured senior notes outstanding as of March 31, 2023 and December 31, 2022 (dollars in thousands):

	Coupon Rate			Effective Rate (1)		Maturity Date	Remaining Period of Amortization	Carrying Value at
								March 31, 2023		December 31, 2022
2023 Convertible Notes	4.38	%		4.57	%	4/1/2023	0.0 years	250,000		250,000
2023 Senior Notes	5.50	%		5.71	%	11/1/2023	0.6 years	300,000		300,000
2024 Senior Notes	3.75	%		3.94	%	12/31/2024	1.8 years	400,000		400,000
2025 Senior Notes	4.75	%	(2)	5.04	%	3/15/2025	2.0 years	500,000		500,000
2026 Senior Notes	3.63	%		3.77	%	7/15/2026	3.3 years	400,000		400,000
2027 Senior Notes	4.38	%	(3)	4.49	%	1/15/2027	3.8 years	500,000		500,000
Total principal amount								2,350,000		2,350,000
Unamortized discount—Convertible Notes								—		(118)
Unamortized discount—Senior Notes								(8,137)		(9,051)
Unamortized deferred financing costs								(10,418)		(11,620)
Total carrying amount								$	2,331,445	$	2,329,211

______________________________________________________________________________________________________________________

(1)Effective rate includes the effects of underwriter purchase discount.

(2)The coupon on the 2025 Senior Notes is 4.75%.  At closing, we swapped $470.0 million of the notes to a floating rate of LIBOR + 2.53%.

(3)The coupon on the 2027 Senior Notes is 4.375%.  At closing, we swapped the notes to a floating rate of SOFR + 2.95%.

Our unsecured senior notes contain certain financial tests and covenants. As of March 31, 2023, we were in compliance with all such covenants.

Convertible Senior Notes

On March 29, 2017, we issued $250.0 million of 4.375% Convertible Senior Notes due 2023 (the “Convertible Notes”) which were outstanding at March 31, 2023. The entire $250.0 million principal balance of the Convertible Notes matured and was repaid in cash on April 1, 2023.

For both the three months ended March 31, 2023 and 2022, we recognized interest expense of $2.9 million from our Convertible Notes.