Investment Portfolio Financing (Tables)

6 Months Ended

Jun. 30, 2023

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, 2023
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 investments	9	Term SOFR(4)	$	477,957	$	387,154	3.35	%	1.1
Financing provided	1	Term SOFR(4)	287,256		287,256		2.05	%	11.3
TRTX 2021-FL4
Collateral loan investments	18	Term SOFR(5)	1,161,152		1,038,119		3.42	%	2.6
Financing provided	1	Term SOFR	948,652		945,811		1.75	%	14.7
TRTX 2022-FL5
Collateral loan investments	16	Term SOFR(6)	1,075,000		1,046,393		3.51	%	3.1
Financing provided	1	Compounded SOFR(6)	907,031		903,315		2.02	%	15.6
Total
Collateral loan investments(7)	43	Term SOFR	$	2,714,109	$	2,471,666	3.45	%	2.4 years
Financing provided(8)	3	Term SOFR/Compounded SOFR	$	2,142,939	$	2,136,382	1.90	%	14.6 years

________________________________

(1)Includes loan amounts held in the Company's CRE CLOs and excludes other loans held for investment, net of $3.2 million held within the Sub-REIT.

(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 exercised its 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. As of June 30, 2023, the TRTX 2019-FL3 mortgage assets are indexed to Term SOFR with the exception of two participations totaling $111.4 million which are indexed to LIBOR.

(5)On May 15, 2023, the benchmark index interest rate for borrowings under TRTX 2021-FL4 was converted from LIBOR to Term SOFR by the designated transaction representative under the FL4 indenture. The Company exercised its 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.

(6)The Company will convert the interest rate benchmark from Compounded SOFR to Term SOFR once 50% of the underlying mortgage loans are converted to Term SOFR. As of June 30, 2023, all of the TRTX 2019-FL5 mortgage assets are indexed to Term SOFR with the exception of one participation totaling $21.6 million which is indexed to LIBOR. Based on the terms of the CLO indenture, it is anticipated that this conversion will occur on September 12, 2023.

(7)Collateral loan investment assets of FL3, FL4 and FL5 represent 10.5%, 25.4% and 23.5% of the aggregate unpaid principal balance of the Company's loans held for investment portfolio as of June 30, 2023.

(8)During the three months ended June 30, 2023, the Company recognized interest expense of $39.2 million, which includes $1.2 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, 2023, the Company recognized interest expense of $76.8 million, which includes $2.3 million of deferred financing cost amortization and is reflected within the Company's consolidated statements of income and comprehensive income.

	December 31, 2022
CRE CLOs	Count	Benchmark interest rate	Outstanding principal balance		Carrying value		Wtd. avg. spread(1)		Wtd. avg. maturity(2)
TRTX 2019-FL3
Collateral loan investments	10	LIBOR	$	707,456	$	508,507	3.16	%	1.4
Financing provided	1	Term SOFR(4)	516,639		516,639		1.72	%	11.8
TRTX 2021-FL4
Collateral loan investments	23	LIBOR(5)	1,250,000		1,210,550		3.08	%	2.7
Financing provided	1	LIBOR	1,037,500		1,033,264		1.60	%	15.2
TRTX 2022-FL5
Collateral loan investments	18	LIBOR(6)	1,075,000		1,058,004		3.31	%	3.4
Financing provided	1	Compounded SOFR	907,031		902,309		2.02	%	16.1
Total
Collateral loan investments(7)	51	LIBOR	$	3,032,456	$	2,777,061	3.19	%	2.7 years
Financing provided(8)	3	Term SOFR/LIBOR/Compounded SOFR	$	2,461,170	$	2,452,212	1.78	%	14.8 years

________________________________

(1)Includes loan amounts held in the Company's CRE CLOs and excludes other loans held for investment, net of $2.9 million held within the Sub-REIT.

(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 December 31, 2022, the TRTX 2021-FL4 mortgage assets are indexed to LIBOR, with the exception of four participation interests totaling $118.9 million which are indexed to Term SOFR. 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.

(6)As of December 31, 2022, the TRTX 2022-FL5 mortgage assets are indexed to LIBOR, with the exception of two participation interests totaling $178.5 million which are indexed to Term SOFR. The Company has the right to convert the mortgage assets benchmark interest rate from LIBOR to Term SOFR. This conversion will initiate the transition of the liabilities to Term SOFR once 50% of the underlying mortgage loans are converted to Term 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 14.1%, 25.0%, and 21.5% of the aggregate unpaid principal balance of the Company's loans held for investment portfolio as of December 31, 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.

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

	Outstanding principal balance
	June 30, 2023		December 31, 2022
Collateralized loan obligations(1)	$	2,142,939	$	2,461,170
Secured credit agreements	1,039,185		1,108,386
Asset-specific financing arrangements	492,563		565,376
Secured revolving credit facility	—		44,279
Mortgage loan payable	31,200		—
Total	$	3,705,887	$	4,179,211

________________________________

(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, 2023
	Financing										Collateral
Asset-specific financing	Count	Commitment amount		Outstanding principal balance		Carrying value(1)		Wtd. avg. spread(2)		Wtd. avg. term(3)	Count	Outstanding principal balance		Amortized Cost		Wtd. avg. term
Axos Bank	2	$	100,915	$	100,915	$	100,265	4.4	%	0.7	2	$	189,905	$	189,671	0.7
BMO Facility	1	200,000		29,110		28,781		2.0	%	4.2	1	36,525		36,197		4.2
Institutional Lender 2	1	341,159		341,159		340,585		3.5	%	1.9	4	459,348		447,395		1.9
Customers Bank	1	23,250		21,379		20,950		2.5	%	1.9	1	28,799		28,575		1.9
Total / weighted average		$	665,324	$	492,563	$	490,581	3.6	%	1.8 years		$	714,577	$	701,838	1.7 years

_______________________

(1)Net of $2.0 million unamortized deferred financing costs.

(2)Collateral loan assets and related financings are indexed to Term SOFR under Axos Bank, the BMO Facility and Customers Bank. Under the Institutional Lender 2 arrangement, collateral loan assets are indexed to Term SOFR with the exception of one loan indexed to LIBOR and the financing provided is 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, the Institutional Lender 2 arrangement and Customers Bank are term-matched to the corresponding collateral loan asset. The weighted-average term assumes all extension options of the collateral loan assets are exercised by the borrower.

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

	December 31, 2022
	Financing										Collateral
Asset-specific financing	Count	Commitment amount		Outstanding principal balance		Carrying value(1)		Wtd. avg. spread(2)		Wtd. avg. term(3)	Count	Outstanding principal balance		Amortized Cost		Wtd. avg. term
Axos Bank	2	$	105,152	$	105,152	$	104,504	4.4	%	1.3	2	$	198,603	$	198,246	1.2
BMO Facility	1	200,000		47,545		46,985		1.8	%	4.5	2	59,431		58,717		4.5
Institutional Lender 2	1	397,928		392,070		389,442		3.5	%	2.4	5	513,181		494,965		2.4
Customers Bank	1	23,250		20,609		20,086		2.5	%	2.4	1	28,505		28,232		2.4
Total / weighted average		$	726,330	$	565,376	$	561,017	3.5	%	2.4 years		$	799,720	$	780,160	2.3 years

_______________________

(1)Net of $4.4 million unamortized deferred financing costs.

(2)Collateral loan assets are indexed to either LIBOR or Term SOFR and related financings are indexed to Term SOFR under Axos Bank, the BMO Facility and Customers Bank. Under the Institutional Lender 2 arrangement, collateral loan assets are indexed to LIBOR and the financing provided is 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, the Institutional Lender 2 arrangement and Customers Bank are term-matched to the corresponding collateral loan asset. The weighted-average term assumes all extension options of the collateral loan assets 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, 2023
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	08/19/23	08/19/24	1 Month BR	2.4	%	7.4	%	$	500,000	$	175,677	$	324,323	$	420,633	$	420,286
Wells Fargo	04/18/25	04/18/25	1 Month BR	1.9	%	6.9	%	500,000		64,154		435,846		598,319		595,854
Barclays	08/13/25	08/13/26	1 Month BR	2.0	%	7.0	%	500,000		367,374		132,626		180,188		179,748
Morgan Stanley(2)	05/04/24	05/04/24	1 Month BR	2.3	%	7.4	%	500,000		446,200		53,800		80,587		80,587
JP Morgan	10/30/23	10/30/25	1 Month BR	1.7	%	6.8	%	400,000		343,275		56,725		80,329		80,329
Bank of America(3)	06/06/26	06/06/26	1 Month BR	1.8	%	6.8	%	200,000		164,135		35,865		49,018		49,018
Institutional Lender 1(4)	10/30/23	10/30/25	1 Month BR	—	%	—	%	249,546		249,546		—		—		—
Totals								$	2,849,546	$	1,810,361	$	1,039,185	$	1,409,074	$	1,405,822

________________________________

(1)Borrowings under secured credit agreements with a 25% recourse guarantee 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 Term SOFR, for the Company's borrowings on each secured credit agreement.

(2)On March 17, 2023, the Company executed an extension of the secured credit agreement's maturity that is effective May 4, 2023 with a one year term maturing on May 4, 2024.

(3)On March 20, 2023, the Company executed a short term extension of the secured credit agreement's maturity to May 30, 2023, and on May 25, 2023 executed a further short-term extension to June 6, 2023. On June 6, 2023, the secured credit agreement's initial and extended maturity was extended to June 6, 2026.

(4)Under this arrangement, the lender has the right to re-margin the secured credit agreement based solely on appraised loan-to-values.

	December 31, 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(2)	08/19/23	08/19/24	1 Month BR	2.2	%	6.6	%	$	500,000	$	114,662	$	385,338	$	595,576	$	595,136
Wells Fargo(3)	04/18/25	04/18/25	1 Month BR	1.6	%	6.0	%	500,000		77,998		422,002		544,557		541,134
Barclays(4)	08/13/25	08/13/26	1 Month BR	1.6	%	5.9	%	500,000		403,074		96,926		129,049		128,489
Morgan Stanley(5)	05/04/23	05/04/23	1 Month BR	2.3	%	6.7	%	500,000		444,421		55,579		79,103		79,103
JP Morgan	10/30/23	10/30/25	1 Month BR	1.6	%	6.0	%	400,000		287,324		112,676		159,601		159,596
Bank of America(6)	03/31/23	03/31/23	1 Month BR	1.8	%	6.1	%	200,000		164,135		35,865		47,820		47,820
Institutional Lender 1(7)	10/30/23	10/30/25	1 Month BR	—	%	—	%	249,546		249,546		—		1,542		1,542
Totals								$	2,849,546	$	1,741,160	$	1,108,386	$	1,557,248	$	1,552,820

________________________________

(1)Borrowings under secured credit agreements with a 25% recourse guarantee 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 August 19, 2022 the secured credit agreement's initial maturity was extended to August 19, 2023.

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

(4)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.

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

(6)On September 14, 2022, the secured credit agreement's initial and extended maturity was extended to March 31, 2023.

(7)Under this arrangement, the lender has the right to re-margin the secured credit agreement based solely on appraised loan-to-values.

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, 2023
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	$	420,633	$	422,190	$	324,906	$	97,284	8.0	%	416
Wells Fargo	500,000		598,319		600,568		436,727		163,841		13.4	%	658
Barclays	500,000		180,188		180,834		133,060		47,774		3.9	%	1140
Morgan Stanley Bank	500,000		80,587		81,339		54,029		27,310		2.2	%	309
JP Morgan Chase Bank	649,546		80,329		81,808		57,422		24,386		2.0	%	853
Bank of America	200,000		49,018		49,115		35,885		13,230		1.1	%	1072
Total / weighted average	$	2,849,546	$	1,409,074	$	1,415,854	$	1,042,029	$	373,825			651

_______________________

(1)Loan amounts include interest receivable of $10.0 million and are net of premium, discount and origination fees of $3.3 million.

(2)Loan amounts include interest payable of $2.8 million and do not reflect unamortized deferred financing fees of $2.1 million.

(3)Loan amounts represent the net carrying value of the commercial real estate loans 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, 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	$	595,576	$	596,838	$	386,124	$	210,714	15.9	%	597
Wells Fargo	500,000		544,557		544,824		422,870		121,954		9.2	%	839
Barclays	500,000		129,049		128,900		97,215		31,685		2.4	%	1321
Morgan Stanley Bank	500,000		79,103		79,935		55,798		24,137		1.8	%	124
JP Morgan Chase Bank	649,546		161,143		162,328		113,197		49,131		3.7	%	1034
Bank of America	200,000		47,820		48,272		35,882		12,390		0.9	%	90
Total / weighted average	$	2,849,546	$	1,557,248	$	1,561,097	$	1,111,086	$	450,011			757

_______________________

(1)Loan amounts include interest receivable of $8.3 million and are net of premium, discount and origination fees of $4.4 million.

(2)Loan amounts include interest payable of $2.7 million and do not reflect unamortized deferred financing fees of $2.8 million.

(3)Loan amounts represent the net carrying value of the commercial real estate loans 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.

Schedule of Financial Covenant Compliance

Our financial covenants and guarantees for outstanding borrowings related to our secured financing agreements require Holdco to maintain compliance with the following financial covenants (among others):

Financial Covenant	Current
Cash Liquidity	Minimum cash liquidity of no less than the greater of: $15.0 million; and 5.0% of Holdco’s recourse indebtedness
Tangible Net Worth	$1.0 billion, plus 75% of all subsequent equity issuances (net of discounts, commissions, expense), minus 75% of the redeemed or repurchased preferred or redeemable equity or stock
Debt-to-Equity	Debt-to-Equity ratio not to exceed 4.25 to 1.0
Interest Coverage	Minimum interest coverage ratio of no less than 1.4 to 1.0, effective June 30, 2023. Previously, 1.5 to 1.0.