Investment Portfolio Financing (Tables)

6 Months Ended

Jun. 30, 2022

Debt Disclosure [Abstract]

Schedule of Debt

The following tables detail the loan collateral and borrowings under the Company's CRE CLOs (dollars in thousands):

	June 30, 2022
CRE CLOs	Count	Benchmark interest rate	Outstanding principal balance		Carrying value(1)		Wtd. avg. spread(2)		Wtd. avg. maturity(3)
TRTX 2019-FL3
Collateral loan investment assets	15	LIBOR	$	898,090	$	861,596	3.15	%	1.7
Financing provided	1	Term SOFR(4)	707,389		705,884		1.57	%	12.3
TRTX 2021-FL4
Collateral loan investment assets	21	LIBOR(5)	1,250,000		1,021,079		3.06	%	2.9
Financing provided	1	LIBOR	1,037,500		1,032,109		1.60	%	15.7
TRTX 2022-FL5
Collateral loan investment assets	17	LIBOR(6)	1,075,000		923,842		3.28	%	3.3
Financing provided	1	Compounded SOFR	907,031		901,321		2.02	%	16.6
Total
Collateral loan investment assets(7)	53	LIBOR	$	3,223,090	$	2,806,517	3.16	%	2.7 years
Financing provided(8)	3	Term SOFR/LIBOR/Compounded SOFR	$	2,651,920	$	2,639,314	1.74	%	15.1 years

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(1)Includes loan amounts held in the Company's CRE CLO investment structures and does not include other loans held for investment, net of $1.6 million held within the Sub-REIT structure.

(2)Weighted average spread excludes the amortization of loan fees and deferred financing costs.

(3)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.

(4)On October 1, 2021, the benchmark index interest rate for borrowings under TRTX 2019-FL3 was converted from Compounded SOFR to Term SOFR by the designated transaction representative under the FL3 indenture. The Company has the right to convert the mortgage assets benchmark interest rate from LIBOR to Term SOFR to eliminate the difference between benchmark rates used for the assets and liabilities of the CRE CLO.

(5)As of June 30, 2022, the TRTX 2022-FL4 mortgage assets are indexed to LIBOR, with the exception of one $27.7 million participation interest which is indexed to Term SOFR.

(6)As of June 30, 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. The Company has the right to convert the mortgage assets benchmark interest rate from LIBOR to Compounded SOFR to eliminate the difference between benchmark rates used for the assets and liabilities of the CRE CLO.

(7)Collateral loan investment assets of FL3, FL4 and FL5 represent 19.1%, 26.5% and 22.8% of the aggregate unpaid principal balance of the Company's loans held for investment portfolio as of June 30, 2022.

(8)During the three months ended June 30, 2022, the Company recognized interest expense of $18.2 million, which includes $1.9 million of deferred financing cost amortization and is reflected within the Company's consolidated statements of income and comprehensive income. During the six months ended June 30, 2022, the Company recognized interest expense of $32.5 million, which includes $4.1 million of deferred financing cost amortization and is reflected within the Company's consolidated statements of income and comprehensive income.

	December 31, 2021
CRE CLOs	Count	Benchmark interest rate	Outstanding principal balance		Carrying value		Wtd. avg. spread(1)		Wtd. avg. maturity(2)
TRTX 2018-FL2
Collateral loan investment assets	17	LIBOR	$	805,685	$	795,815	3.39	%	2.0
Financing provided	1	LIBOR	600,001		599,394		1.56	%	15.9
TRTX 2019-FL3
Collateral loan investment assets	19	LIBOR	1,109,229		1,100,497		3.19	%	2.2
Financing provided	1	Term SOFR(3)	918,487		915,451		1.48	%	12.8
TRTX 2021-FL4
Collateral loan investment assets	24	LIBOR	1,249,796		1,242,291		3.19	%	3.1
Financing provided	1	LIBOR	1,037,500		1,030,846		1.60	%	16.2
Total
Collateral loan investment assets(4)	60	LIBOR	$	3,164,710	$	3,138,603	3.24	%	2.7 years
Financing provided(5)	3	Term SOFR/LIBOR	$	2,555,988	$	2,545,691	1.55	%	15.2 years

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(1)Weighted average spread excludes the amortization of loan fees and deferred financing costs.

(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 converted from Compounded SOFR to Term SOFR by the designated transaction representative under the FL3 indenture. The Company has the right to convert the mortgage assets benchmark interest rate from LIBOR to Term SOFR to eliminate the difference between benchmark rates used for the assets and liabilities of the CRE CLO.

(4)Collateral loan investment assets of FL2, FL3, and FL4 represent 16.4%, 22.5%, and 25.4% of the aggregate unpaid principal balance of the Company's loans held for investment portfolio as of December 31, 2021.

(5)During the three months ended June 30, 2021, the Company recognized interest expense of $13.5 million, which includes $1.7 million of deferred financing cost amortization and is reflected within the Company's consolidated statements of income and comprehensive income. During the six months ended June 30, 2021, the Company recognized interest expense of $22.0 million, which includes $2.9 million of deferred financing cost amortization and is reflected within the Company's consolidated statements of income and comprehensive income.

The following table summarizes the Company's investment portfolio financing (dollars in thousands):

	Outstanding principal balance
	June 30, 2022		December 31, 2021
Collateralized loan obligations(1)	$	2,651,920	$	2,555,988
Secured credit agreements	1,089,655		1,166,211
Secured revolving credit facility	52,065		—
Asset-specific financing arrangements	124,202		—
Total	$	3,917,842	$	3,722,199

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(1)See Note 5 for additional information regarding the Company's collateralized loan obligations.

The following table details the Company's asset-specific financing arrangements (dollars in thousands):

	June 30, 2022
	Financing									Collateral
Asset-specific financing	Commitment amount		Outstanding principal balance		Carrying value(1)		Wtd. avg. spread(2)		Wtd. avg. term(3)	Outstanding principal balance		Amortized Cost		Wtd. avg. term
Axos Bank	$	89,802	$	89,802	$	89,351	4.4	%	1.8	$	208,603	$	204,519	0.2
BMO Facility	200,000		34,400		34,228		1.5	%	4.7	43,000		42,588		4.7
Total / weighted average	$	289,802	$	124,202	$	123,579	3.6	%	2.6 years	$	251,603	$	247,107	1.4 years

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(1)Net of $0.6 million unamortized deferred financing costs.

(2)Collateral loan assets and the financing provided are indexed to Term SOFR.

(3)Term under Axos Bank is based on the extended maturity date for the specific arrangement. Borrowings under the BMO Facility are term-matched to the corresponding collateral loan asset. The weighted-average term assumes all extension options of the collateral loan asset are exercised by the borrower.

Schedule of Information Related to Secured Credit Agreements

Except as otherwise noted, all agreements are on a partial (25%) recourse basis (dollars in thousands):

	June 30, 2022
Secured credit agreements(1)	Initial maturity date	Extended maturity date	Index rate	Weighted average credit spread		Interest rate		Commitment amount		Maximum current availability		Balance outstanding		Principal balance of collateral		Amortized cost of collateral
Goldman Sachs	08/19/22	08/19/24	1 Month BR	1.8	%	3.5	%	$	500,000	$	94,044	$	405,956	$	540,261	$	539,727
Wells Fargo(2)	04/18/25	04/18/25	1 Month BR	1.6	%	3.3	%	500,000		118,001		381,999		515,891		511,618
Barclays(3)	08/13/25	08/13/26	1 Month BR	1.6	%	3.3	%	500,000		399,499		100,501		134,408		133,661
Morgan Stanley(4)	05/04/23	05/04/23	1 Month BR	2.3	%	4.0	%	500,000		446,975		53,025		75,661		75,599
JP Morgan	10/30/23	10/30/25	1 Month BR	1.7	%	3.4	%	400,000		275,372		124,628		178,701		178,326
Bank of America	09/29/22	09/29/22	1 Month BR	—	%	—	%	200,000		200,000		—		—		—
Institutional financing	10/30/23	10/30/25	1 Month BR	4.5	%	6.3	%	249,546		226,000		23,546		43,092		43,092
Totals								$	2,849,546	$	1,759,891	$	1,089,655	$	1,488,014	$	1,482,023

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(1)Borrowings under secured credit agreements with a guarantee for 25% recourse from Holdco. Each secured credit agreement contains defined mark-to-market provisions that permit the lenders to issue margin calls based on credit marks. Under the JP Morgan secured credit agreement, the Company is also subject to spread marks. Index rate is the underlying benchmark interest rate ("BR"), currently LIBOR or Term SOFR, for the Company's borrowings on each secured credit agreement.

(2)On February 9, 2022 the secured credit agreement’s initial maturity was extended to April 18, 2025.

(3)On April 11, 2022 the secured credit agreement's initial maturity was extended to August 13, 2025 and the Company reduced the total commitment to $500.0 million from $750.0 million. The secured credit agreement includes a $250.0 million accordion feature subject to the lender's approval.

(4)On April 29, 2022 the secured credit agreement's initial maturity was extended to May 4, 2023.

	December 31, 2021
Secured credit agreements(1)	Initial maturity date	Extended maturity date	Index rate	Weighted average credit spread		Interest rate		Commitment amount		Maximum current availability		Balance outstanding		Principal balance of collateral		Amortized cost of collateral
Goldman Sachs	08/19/22	08/19/24	1 Month LIBOR	2.0	%	2.1	%	$	250,000	$	153,680	$	96,320	$	158,177	$	157,550
Wells Fargo(2)	04/18/22	04/18/24	1 Month LIBOR	1.6	%	1.7	%	750,000		179,784		570,216		779,791		773,868
Barclays	08/13/22	08/13/23	1 Month LIBOR	1.5	%	1.7	%	750,000		726,686		23,314		41,294		41,058
Morgan Stanley	05/04/22	05/04/23	1 Month LIBOR	2.0	%	2.1	%	500,000		319,269		180,731		255,125		254,559
JP Morgan	10/30/23	10/30/25	1 Month LIBOR	1.7	%	1.8	%	400,000		290,523		109,477		200,148		199,246
US Bank	07/09/22	07/09/24	1 Month LIBOR	1.4	%	1.7	%	44,730		10,748		33,982		59,060		59,060
Bank of America(3)	09/29/22	09/29/22	1 Month LIBOR	1.8	%	1.9	%	128,625		—		128,625		183,750		183,750
Institutional financing	10/30/23	10/30/25	1 Month LIBOR	4.5	%	4.8	%	249,546		226,000		23,546		42,390		42,366
Totals								$	3,072,901	$	1,906,690	$	1,166,211	$	1,719,735	$	1,711,457

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(1)Borrowings under secured credit agreements with a guarantee for 25% recourse from Holdco. Each secured credit agreement contains defined mark-to-market provisions that permit the lenders to issue margin calls based on credit marks. Under the JP Morgan secured credit agreement, the Company is also subject to spread marks.

(2)On February 9, 2022 the secured credit agreement’s initial maturity was extended to April 18, 2025.

(3)Effective February 1, 2022 for the sole loan pledged to the secured credit agreement, the Company amended its financing arrangement to reduce its borrowing by $9.4 million and extend its term on a non-mark-to-market basis through March 31, 2022, with an option to further extend its maturity through April 15, 2022 in exchange for a further reduction in borrowings of $9.4 million.

Summary of Secured Credit Agreements Secured by Mortgage Loan Investments, CRE Debt Securities and Counterparty Concentration Risks

The following table summarizes certain characteristics of the Company’s secured credit agreements secured by mortgage loan investments, including counterparty concentration risks (dollars in thousands):

	June 30, 2022
Secured credit agreements	Commitment amount		UPB of collateral		Amortized cost of collateral(1)		Amount payable(2)		Net counterparty exposure(3)		Percent of stockholders' equity		Days to extended maturity
Goldman Sachs Bank	$	500,000	$	540,261	$	542,450	$	406,732	$	135,718	9.4	%	781
Wells Fargo	500,000		515,891		514,144		382,320		131,824		9.1	%	1023
Barclays	500,000		134,408		133,922		100,648		33,274		2.3	%	1505
Morgan Stanley Bank	500,000		75,661		75,736		53,404		22,332		1.5	%	308
JP Morgan Chase Bank	649,546		221,793		222,590		149,001		73,589		5.1	%	1218
Bank of America	200,000		—		—		—		—		—	%	91
Total / weighted average	$	2,849,546	$	1,488,014	$	1,488,842	$	1,092,105	$	396,737			969

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(1)Loan amounts include interest receivable of $6.8 million and are net of premium, discount and origination fees of $6.0 million.

(2)Loan amounts include interest payable of $2.5 million and do not reflect unamortized deferred financing fees of $2.2 million.

(3)Loan amounts represent the net carrying value of the commercial real estate assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

The following table summarizes certain characteristics of the Company’s secured credit agreements secured by mortgage loan investments, including counterparty concentration risks (dollars in thousands):

	December 31, 2021
Secured credit agreements	Commitment amount		UPB of collateral		Amortized cost of collateral(1)		Amount payable(2)		Net counterparty exposure(3)		Percent of stockholders' equity		Days to extended maturity
Goldman Sachs Bank	$	250,000	$	158,177	$	159,269	$	96,389	$	62,880	4.3	%	962
Wells Fargo	750,000		779,791		776,196		570,839		205,357		14.0	%	839
Barclays	750,000		41,294		41,019		23,330		17,689		1.2	%	590
Morgan Stanley Bank	500,000		255,125		255,858		180,891		74,967		5.1	%	489
JP Morgan Chase Bank	649,546		242,538		243,181		133,191		109,990		7.5	%	1399
US Bank	44,730		59,060		59,435		34,035		25,400		1.7	%	921
Bank of America	128,625		183,750		184,531		128,648		55,883		3.8	%	272
Total / weighted average	$	3,072,901	$	1,719,735	$	1,719,489	$	1,167,323	$	552,165			794

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(1)Loan amounts include interest receivable of $8.0 million and are net of premium, discount and origination fees of $8.8 million.

(2)Loan amounts include interest payable of $1.1 million and do not reflect unamortized deferred financing fees of $4.0 million.

(3)Loan amounts represent the net carrying value of the commercial real estate assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.