Subsidiaries of the Company have outstanding as of June 30, 2021 three collateralized loan obligations to finance approximately $3.4 billion or 70.2% of the Company’s loan investment portfolio, measured by unpaid principal balance.

On March 31, 2021 (the “FL4 Closing Date”), TPG RE Finance Trust CLO Sub-REIT (“Sub-REIT”), a subsidiary of the Company, entered into a collateralized loan obligation (“TRTX 2021-FL4” or “FL4”) through its wholly-owned subsidiaries TRTX 2021-FL4 Issuer, Ltd., an exempted company incorporated in the Cayman Islands with limited liability, as issuer (the “FL4 Issuer”), and TRTX 2021-FL4 Co-Issuer, LLC, a Delaware limited liability company, as co-issuer (the “FL4 Co-Issuer” and together with the FL4 Issuer, the “FL4 Issuers”). On the FL4 Closing Date, FL4 Issuer issued $1.25 billion principal amount of notes (the “FL4 Notes”). The FL4 Co-Issuer co-issued $1.04 billion principal amount of investment grade-rated notes which were purchased by third party investors. Concurrently with the issuance of the FL4 Notes, the FL4 Issuer also issued 112,500 preferred shares, par value $0.001 per share and with an aggregate liquidation preference and notional amount equal to $1,000 per share (the “FL4 Preferred Shares” and, together with the FL4 Notes, the “FL4 Securities”), to TRTX Master Retention Holder, LLC, a Delaware limited liability company and indirect wholly-owned subsidiary of the Company (“FL4 Retention Holder”).

Proceeds from the issuance of the FL4 Securities were used to (i) purchase one commercial real estate whole loan (the “FL4 Closing Date Whole Loan”) and 17 pari passu participations in 17 separate commercial real estate whole loans (the “FL4 Closing Date Pari Passu Participations” and, together with the FL4 Closing Date Whole Loan, the “FL4 Closing Date Collateral Interests”), (ii) fund an account (the “FL4 Ramp-Up Account”) in an amount of approximately $308.9 million to be used to purchase eligible collateral interests during a ramp-up period of approximately six months following the Closing Date (the “FL4 Ramp-Up Collateral Interests,” and, together with the FL4 Whole Loans, the “FL4 Initial Collateral Interests”) and (iii) to distribute to the Company $104.8 million of cash for investment or other corporate uses. The FL4 Closing Date Collateral Interests were purchased by the FL4 Issuer from the FL4 Seller, a wholly-owned subsidiary of the Company and an affiliate of the FL4 Issuers.

The Company fully invested the FL4 Ramp-Up Account of $308.9 million during the three months ended June 30, 2021.

TRTX 2021-FL4 permits the Company, during the 24 months after closing, to contribute eligible new loans or participation interests (the “FL4 Additional Interests”) in loans to TRTX 2021-FL4 in exchange for cash, which provides additional liquidity to the Company to originate new loan investments as underlying loans repay.

In addition to fully utilizing the FL4 Ramp-Up Account, the Company utilized the reinvestment feature twice, contributing $77.2 million of new loans or participation interests, receiving net proceeds of $15.5 million after repaying $23.5 million of existing borrowings, including accrued interest.

As of June 30, 2021, FL4 Mortgage Assets represented 24.8% of the aggregate unpaid principal balance of the Company’s loan investment portfolio and had an aggregate principal balance of approximately $1.2 billion as of June 30, 2021.

As of June 30, 2021, TRTX 2019-FL4 had $52.6 million of cash available to acquire eligible assets which is included in Collateralized Loan Obligation Proceeds Held at Trustee on the Company’s consolidated balance sheets.

In connection with TRTX 2021-FL4, the Company incurred $8.3 million of issuance costs which are amortized on an effective yield basis over the expected life of the investment-grade notes issued based upon the expected repayment behavior of the loans collateralizing the notes after giving effect to the reinvestment period, both as of the FL4 Closing Date. As of June 30, 2021, the Company’s unamortized issuance costs related to TRTX 2021-FL4 were $7.8 million.

Interest expense on the outstanding FL4 Notes is payable monthly. For the three and six months ended June 30, 2021, interest expense on the outstanding FL4 Notes (excluding amortization of deferred financing costs) of $4.6 million and $4.7 million, respectively, is included in the Company’s consolidated statements of income (loss) and comprehensive income (loss).

On October 25, 2019 (the “FL3 Closing Date”), Sub-REIT entered into a collateralized loan obligation (“TRTX 2019-FL3” or “FL3”). TRTX 2019-FL3 provides for reinvestment, during the 24 months after closing of FL3, whereby eligible new loans or participation interests (the “FL3 Additional Interests”) in loans may be contributed to TRTX 2019-FL3 in exchange for cash, which provides liquidity to the Company to originate new loan investments as underlying loans repay.

For the three and six months ended June 30, 2021, the Company did not utilize the reinvestment feature. For the three months ended June 30, 2020, the Company utilized the reinvestment feature two times, contributing $5.8 million of new loans or participating interests in loans, and receiving $2.0 million of cash, after the repayment of $3.8 million of existing borrowings, including accrued interest. For the six months ended June 30, 2020, the Company utilized the reinvestment feature six times, contributing $163.1 million of new loans or participating interests in loans, and receiving $49.3 million of cash, after the repayment of $113.8 million of existing borrowings, including accrued interest.

As of June 30, 2021 FL3 Mortgage Assets represented 25.4% of the aggregate unpaid principal balance of the Company’s loan investment portfolio and had an aggregate principal balance of approximately $1.2 billion.

As of June 30, 2021, TRTX 2019-FL3 had $1.2 million of cash available to acquire eligible assets which is included in Collateralized Loan Obligation Proceeds Held at Trustee on the Company’s consolidated balance sheets.

In connection with TRTX 2019-FL3, the Company incurred $7.8 million of issuance costs which are amortized on an effective yield basis over the expected life of the investment-grade notes issued based upon the expected repayment behavior of the loans collateralizing the notes after giving effect to the reinvestment period, both as of the FL3 Closing Date. As of June 30, 2021, the Company’s unamortized issuance costs related to TRTX 2019-FL3 were $3.9 million.

Interest expense on the outstanding FL3 Notes is payable monthly. On March 5, 2021, the Financial Conduct Authority of the U.K. (the “FCA”) announced that all LIBOR tenors relevant to us will cease to be published or will no longer be representative after June 30, 2023. The Alternative Reference Rates Committee (the “ARRC”) interpreted this announcement to constitute a benchmark transition event, and on May 17, 2021, Wells Fargo Bank, National Association, solely in their capacity as designated transaction representative under the FL3 indenture, determined that a benchmark transition event had occurred with respect to FL3. Accordingly, on June 15, 2021, the benchmark index interest rate for bondholders under FL3 was converted from LIBOR to SOFR plus a benchmark replacement adjustment of 11.448 basis points, conforming with the FL3 Indenture and the recommendation of the ARRC. The designated transaction representative has further determined that SOFR for any interest accrual period shall be the “30-Day Average SOFR” published on the website of the Federal Reserve Bank of New York on each benchmark determination date. SOFR will be determined by the calculation agent in arrears using a lookback period equal to the number of calendar days in such interest accrual period plus two SOFR Business Days. As of June 30, 2021, the FL3 mortgage assets are indexed to LIBOR and the borrowings under FL3 are indexed to SOFR, creating an underlying benchmark index interest rate basis difference between FL3 assets and liabilities, which is meant to be mitigated by the benchmark replacement adjustment described above. The Company has the right to transition the FL3 mortgage assets to SOFR, eliminating the basis difference between FL3 assets and liabilities, and will make its determination taking into account the loan portfolio as a whole. The transition to SOFR is not expected to have a material impact to FL3’s assets and liabilities and related interest expense.

For the three and six months ended June 30, 2021, interest expense on the outstanding FL3 Notes (excluding amortization of deferred financing costs) of $3.8 million and $7.6 million, respectively, is included in the Company’s consolidated statements of income (loss) and comprehensive income (loss). For the three and six months ended June 30, 2020, interest expense on the outstanding FL3 Notes (excluding amortization of deferred financing costs) of $4.8 million and $12.1 million, respectively, is included in the Company’s consolidated statements of income (loss) and comprehensive income (loss).

On November 29, 2018 (the “FL2 Closing Date”), Sub-REIT entered into a collateralized loan obligation (“TRTX 2018-FL2” or “FL2”). TRTX 2018-FL2 provides for reinvestment, during the 24 months after closing of FL2, whereby eligible new loans or participation interests in loans may be contributed to TRTX 2018-FL2 in exchange for cash, which provided additional liquidity to the Company to originate new loan investments as underlying loans repay. The reinvestment period for TRTX 2018-FL2 ended on December 11, 2020. For the three and six months ended June 30, 2021, the Company repaid $32.2 million and $36.4 million, respectively, of existing borrowings under TRTX 2018-FL2. For the three months ended June 30, 2020, the Company utilized the reinvestment feature twice, contributing $58.8 million of new loans or participation interests in loans, and receiving net cash proceeds of $20.5 million, after the repayment of $38.3 million of existing borrowings, including accrued interest. For the six months ended June 30, 2020, the Company utilized the reinvestment feature five times, contributing $133.0 million of new loans or participation interests in loans, and receiving net cash proceeds of $65.6 million, after the repayment of $67.4 million of existing borrowings, including accrued interest.

As of June 30, 2021, FL2 Mortgage Assets represented 20.0% of the aggregate unpaid principal balance of the Company’s loan investment portfolio and had an aggregate principal balance of approximately $964.5 million.

In connection with TRTX 2018-FL2, the Company incurred $8.7 million of issuance costs which are amortized on an effective yield basis over the expected life of the investment-grade notes (the “FL2 Notes”) issued based upon the expected repayment behavior of the loans collateralizing the notes and the reinvestment period, both as of the FL2 Closing Date. As of June 30, 2021, the Company’s unamortized issuance costs related to TRTX 2018-FL2 were $2.6 million.

Interest expense on the outstanding FL2 Notes is payable monthly. For the three and six months ended June 30, 2021, interest expense on the outstanding FL2 Notes (excluding amortization of deferred financing costs) of $3.1 million and $6.2 million, respectively, is included in the Company’s consolidated statements of income (loss) and comprehensive income (loss). For the three and six months ended June 30, 2020, interest expense on the outstanding FL2 Notes (excluding amortization of deferred financing costs) of $4.0 million and $10.0 million, respectively, is included in the Company’s consolidated statements of income (loss) and comprehensive income (loss).

In accordance with ASC 810, the Company evaluated the key attributes of the issuers of the FL4 Notes (the “FL4 Issuers”), FL3 Notes (the “FL3 Issuers”) and the issuers of the FL2 Notes (the “FL2 Issuers”) to determine if they were VIEs and, if so, whether the Company was the primary beneficiary of their operating activities. This analysis caused the Company to conclude that the FL4 Issuers, FL3 Issuers and the FL2 Issuers were VIEs and that the Company was the primary beneficiary. The Company is the primary beneficiary because it has the ability to control the most significant activities of the FL4 Issuers, FL3 Issuers and the FL2 Issuers, the obligation to absorb losses to the extent of its equity investments, and the right to receive benefits, that could potentially be significant to these entities. Accordingly, the Company consolidates the FL4 Issuers, FL3 Issuers and the FL2 Issuers.

The Company’s total assets and total liabilities as of June 30, 2021 and December 31, 2020 included the following VIE assets and liabilities of TRTX 2021-FL4, TRTX 2019-FL3 and TRTX 2018-FL2 (dollars in thousands):

	June 30, 2021		December 31, 2020
ASSETS
Cash and Cash Equivalents	$	10,966	$	78,350
Collateralized Loan Obligation Proceeds Held at Trustee		53,832		174
Accounts Receivable from Servicer/Trustee		372		—
Accrued Interest Receivable		6,050		740
Loans Held for Investment		3,361,570		2,199,666
Total Assets	$	3,432,790	$	2,278,930
LIABILITIES
Accrued Interest Payable	$	2,071	$	1,311
Accrued Expenses		1,683		630
Collateralized Loan Obligations		2,821,233		1,825,569
Payable to Affiliates		—		14,016
Total Liabilities	$	2,824,987	$	1,841,526

The following tables outline TRTX 2021-FL4, TRTX 2019-FL3 and TRTX 2018-FL2 loan collateral and borrowings under the TRTX 2021-FL4, TRTX 2019-FL3 and TRTX 2018-FL2 collateralized loan obligations as of June 30, 2021 and December 31, 2020 (dollars in thousands):

June 30, 2021
Collateral (loan investments)				Debt (notes issued)
Outstanding Principal		Carrying Value		Face Value		Carrying Value
$	3,361,570	$	3,361,570	$	2,835,887	$	2,821,233

December 31, 2020
Collateral (loan investments)				Debt (notes issued)
Outstanding Principal		Carrying Value		Face Value		Carrying Value
$	2,230,276	$	2,230,276	$	1,834,760	$	1,825,568

Assets held by the FL4 Issuers, FL3 Issuers and the FL2 Issuers are restricted and can only be used to settle obligations of the related VIE. The liabilities of the FL4 Issuers, FL3 Issuers and the FL2 Issuers are non-recourse to the Company and can only be satisfied from the then-current assets of the related VIE.

The following table outlines the weighted average spreads and maturities for TRTX 2021-FL4, TRTX 2019-FL3 and TRTX 2018-FL2 loan collateral and borrowings under the TRTX 2021-FL4, TRTX 2019-FL3 and TRTX 2018-FL2 collateralized loan obligations as of June 30, 2021 and December 31, 2020 (dollars in thousands):

	June 30, 2021					December 31, 2020
	Weighted Average Spread (%)⁽¹⁾			Weighted Average Maturity (Years)⁽²⁾		Weighted Average Spread (%)⁽¹⁾			Weighted Average Maturity (Years)⁽²⁾
Collateral (loan investments)
TRTX 2018-FL2		3.31	%		2.4		3.33	%		4.9
TRTX 2019-FL3		3.20	%		2.4		3.20	%		4.1
TRTX 2021-FL4		3.12	%		3.2		—			—

Debt (notes issued)
TRTX 2018-FL2		1.47	%		16.4		1.45	%		16.9
TRTX 2019-FL3 ⁽³⁾		1.44	%		13.3		1.44	%		13.8
TRTX 2021-FL4		1.60	%		16.7		—			—