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Variable Interest Entities and Collateralized Loan Obligations (Tables)

3 Months Ended

Mar. 31, 2022

Summary of Variable Interest Entities Assets and Liabilities

The following table outlines the total assets and liabilities within the Sub-REIT structure (dollars in thousands):


	March 31, 2022		December 31, 2021
Assets
Cash and cash equivalents	$	20,022	$	28,167
Collateralized loan obligation proceeds held at trustee		260		204
Accounts receivable from servicer/trustee		700		150
Accrued interest receivable		6,406		6,765
Loans held for investment, net		3,371,787		3,138,603
Total assets	$	3,399,175	$	3,173,889
Liabilities
Accrued interest payable	$	2,192	$	1,823
Accrued expenses		320		1,490
Collateralized loan obligations		2,810,626		2,545,691
Payable to affiliates		3,830		3,830
Total liabilities	$	2,816,968	$	2,552,834

Collateralized Loan Obligation

Schedule of Borrowings and Corresponding Collateral

The following tables detail the loan collateral and borrowings under the Company's CRE CLO investment structures as of March 31, 2022 and December 31, 2021 (dollars in thousands):


	March 31, 2022
	Collateral (loan investments)					Debt (notes issued)
	Benchmark interest rate	Outstanding principal		Carrying value(1)		Benchmark interest rate	Face value		Carrying value
CRE CLO investment structure
TRTX 2019-FL3	LIBOR	$	1,071,319	$	1,060,807	Term SOFR	$	880,584	$	878,309
TRTX 2021-FL4	LIBOR		1,249,483		1,243,879	LIBOR		1,037,500		1,031,504
TRTX 2022-FL5	LIBOR(2)		1,074,944		1,068,173	Compounded SOFR		907,031		900,813
Totals		$	3,395,746	$	3,372,859		$	2,825,115	$	2,810,626

	December 31, 2021
	Collateral (loan investments)					Debt (notes issued)
	Benchmark interest rate	Outstanding principal		Carrying value		Benchmark interest rate	Face value		Carrying value
CRE CLO investment structure
TRTX 2018-FL2	LIBOR	$	805,685	$	795,815	Term SOFR	$	600,001	$	599,394
TRTX 2019-FL3	LIBOR		1,109,229		1,100,497	LIBOR		918,487		915,451
TRTX 2021-FL4	LIBOR		1,249,796		1,242,291	LIBOR		1,037,500		1,030,846
Totals		$	3,164,710	$	3,138,603		$	2,555,988	$	2,545,691

(1)

Carrying value includes loan amounts held in the Company's CRE CLO investment structures and does not include other loans held for investment, net of $1.1 million held within the Sub-REIT structure.

(2)

As of March 31, 2022, the TRTX 2022-FL5 mortgage assets are indexed to LIBOR, with the exception of one $16.8 million participation interest which is indexed to Term SOFR.

Schedule of Weighted Average Spreads and Maturities for Loan Collateral and Borrowings

The following table outlines the weighted average spreads and maturities for TRTX 2022-FL5, TRTX 2021-FL4, TRTX 2019-FL3 and TRTX 2018-FL2 loan collateral and borrowings under the TRTX 2022-FL5, TRTX 2021-FL4, TRTX 2019-FL3 and TRTX 2018-FL2 collateralized loan obligations as of March 31, 2022 and December 31, 2021:


	March 31, 2022					December 31, 2021
	Weighted average spread (%)(1)			Weighted average maturity (years)(2)		Weighted average spread (%)(1)			Weighted average maturity (years)(2)
Collateral (loan investments)
TRTX 2018-FL2	n.a.			n.a.			3.39	%		2.0
TRTX 2019-FL3		3.26	%		1.9		3.19	%		2.2
TRTX 2021-FL4		3.22	%		2.8		3.19	%		3.1
TRTX 2022-FL5		3.36	%		3.3	n.a.			n.a.

Debt (notes issued)(3)
TRTX 2018-FL2	n.a.			n.a.			1.56	%		15.9
TRTX 2019-FL3		1.49	%		12.5		1.48	%		12.8
TRTX 2021-FL4		1.60	%		16.0		1.60	%		16.2
TRTX 2022-FL5		2.02	%		16.9	n.a.			n.a.

(1)

Yield on collateral is based on cash coupon.

(2)

Loan term represents weighted-average final maturity, assuming extension options are exercised by the borrower. Repayments of CRE CLO notes are dependent on timing of related loan repayments post-reinvestment period. The term of the CRE CLO notes represents the rated final distribution date.

(3)

On October 1, 2021, the benchmark index interest rate for borrowings under TRTX 2019-FL3 was changed from Compounded SOFR to Term SOFR by the designated transaction representative under the FL3 indenture. The benchmark interest rate for TRTX 2021-FL4 and TRTX 2022-FL5 is LIBOR and Compounded SOFR, respectively.

- 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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