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Investments in Real Estate Debt
 6 Months Ended
Jun. 30, 2020
Investment In Real Estate And Loans [Abstract]  
Investments in Real Estate Debt

5. Investments in Real Estate Debt

The following tables detail the Company’s investments in real estate debt ($ in thousands):

 

 

 

June 30, 2020

 

Type of Security/Loan

 

Number of

Positions

 

Weighted

Average

Coupon(1)

 

 

Weighted

Average

Maturity Date(2)

 

Face

Amount/

Notional(3)

 

 

Cost

Basis

 

Fair

Value

 

CMBS - floating

 

 

125

 

L+2.7%

 

 

2/5/2025

 

$

3,130,665

 

 

$

3,121,193

 

$

2,723,768

 

CMBS - fixed

 

 

50

 

4.1%

 

 

8/19/2027

 

 

912,705

 

 

 

889,144

 

 

795,728

 

Corporate bonds

 

 

13

 

5.1%

 

 

1/2/2027

 

 

252,492

 

 

 

251,713

 

 

237,723

 

CMBS - zero coupon

 

 

4

 

N/A

 

 

1/30/2027

 

 

236,090

 

 

 

132,318

 

 

138,741

 

RMBS - fixed

 

 

10

 

4.4%

 

 

12/6/2031

 

 

26,141

 

 

 

26,315

 

 

24,084

 

CMBS - interest only

 

 

5

 

2.3%

 

 

10/1/2026

 

 

2,259,760

 

 

 

21,691

 

 

21,680

 

Total real estate securities

 

 

207

 

3.1%

 

 

11/5/2025

 

N/M

 

 

 

4,442,374

 

 

3,941,724

 

Term loans

 

 

9

 

L+3.0%

 

 

3/11/2022

 

 

604,158

 

 

 

591,497

 

 

591,264

 

Mezzanine loans

 

 

1

 

L+6.9%

 

 

12/15/2024

 

 

134,750

 

 

 

134,251

 

 

116,384

 

Total real estate loans

 

 

10

 

L+3.7%

 

 

8/24/2022

 

 

738,908

 

 

 

725,748

 

 

707,648

 

Total investments in real estate debt

 

 

217

 

3.2%

 

 

5/11/2025

 

N/M

 

 

$

5,168,122

 

$

4,649,372

 

 

 

 

December 31, 2019

 

Type of Security/Loan

 

Number of

Positions

 

Weighted

Average

Coupon(1)

 

 

Weighted

Average

Maturity Date(2)

 

Face

Amount/

Notional(3)

 

 

Cost

Basis

 

 

Fair

Value

 

CMBS - floating

 

 

122

 

L+2.7%

 

 

1/29/2025

 

$

2,907,080

 

 

$

2,899,556

 

 

$

2,906,952

 

CMBS - fixed

 

 

43

 

4.2%

 

 

6/26/2027

 

 

850,738

 

 

 

829,403

 

 

 

831,970

 

Corporate bonds

 

 

12

 

5.2%

 

 

2/16/2027

 

 

276,302

 

 

 

276,496

 

 

 

288,111

 

CMBS - zero coupon

 

 

4

 

N/A

 

 

12/30/2026

 

 

236,090

 

 

 

127,219

 

 

 

136,027

 

RMBS - fixed

 

 

9

 

4.3%

 

 

7/9/2028

 

 

29,315

 

 

 

29,506

 

 

 

29,448

 

CMBS - interest only

 

 

5

 

2.3%

 

 

10/2/2026

 

 

2,261,480

 

 

 

23,564

 

 

 

23,547

 

Total real estate securities

 

 

195

 

4.2%

 

 

10/15/2025

 

N/M

 

 

 

4,185,744

 

 

 

4,216,055

 

Term loans

 

 

7

 

L+2.9%

 

 

8/30/2024

 

 

175,239

 

 

 

173,466

 

 

 

173,129

 

Mezzanine loans

 

 

1

 

L+6.9%

 

 

12/15/2024

 

 

134,750

 

 

 

134,078

 

 

 

134,076

 

Total real estate loans

 

 

8

 

L+4.6%

 

 

10/16/2024

 

 

309,989

 

 

 

307,544

 

 

 

307,205

 

Total investments in real estate debt

 

 

203

 

4.4%

 

 

9/21/2025

 

N/M

 

 

$

4,493,288

 

 

$

4,523,260

 

 

(1)

The term “L” refers to the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR and EURIBOR, as applicable to each security and loan.  

(2)

Weighted average maturity date is based on the fully extended maturity date of the instrument or, in the case of CMBS and RMBS, the underlying collateral.

(3)

Represents notional amount for interest only positions.

The following table details the collateral type of the properties securing the Company’s investments in real estate debt ($ in thousands):

 

 

June 30, 2020

 

 

December 31, 2019

 

Collateral(1)

 

Number of

Positions

 

 

Cost

Basis

 

 

Fair

Value

 

 

Percentage Based on Fair Value

 

 

Number of

Positions

 

 

Cost

Basis

 

 

Fair

Value

 

 

Percentage Based on Fair Value

 

Hospitality

 

 

76

 

 

$

2,201,498

 

 

$

1,872,878

 

 

41%

 

 

 

75

 

 

$

2,252,556

 

 

$

2,259,102

 

 

50%

 

Multifamily

 

 

66

 

 

 

983,314

 

 

 

983,030

 

 

21%

 

 

 

61

 

 

 

596,184

 

 

 

613,470

 

 

14%

 

Office

 

 

38

 

 

 

779,106

 

 

 

701,185

 

 

15%

 

 

 

37

 

 

 

793,782

 

 

 

794,881

 

 

18%

 

Industrial

 

 

18

 

 

 

636,938

 

 

 

597,508

 

 

13%

 

 

 

14

 

 

 

375,975

 

 

 

378,147

 

 

8%

 

Diversified

 

 

13

 

 

 

311,689

 

 

 

284,412

 

 

6%

 

 

 

10

 

 

 

219,215

 

 

 

219,798

 

 

5%

 

Other

 

 

5

 

 

 

238,202

 

 

 

194,729

 

 

4%

 

 

 

5

 

 

 

238,202

 

 

 

240,558

 

 

5%

 

Retail

 

 

1

 

 

 

17,375

 

 

 

15,630

 

 

—%

 

 

 

1

 

 

 

17,374

 

 

 

17,304

 

 

—%

 

Total

 

 

217

 

 

$

5,168,122

 

 

$

4,649,372

 

 

100%

 

 

 

203

 

 

$

4,493,288

 

 

$

4,523,260

 

 

100%

 

 

(1)

Multifamily investments in real estate debt are collateralized by various forms of rental housing including single-family homes and apartments.

The following table details the credit rating of the Company’s investments in real estate debt ($ in thousands):

 

 

June 30, 2020

 

December 31, 2019

 

Credit Rating

 

Number of

Positions

 

 

Cost

Basis

 

Fair

Value

 

Percentage Based on Fair Value

 

Number of

Positions

 

Cost

Basis

 

Fair

Value

 

Percentage Based on Fair Value

 

BB

 

 

77

 

 

$

1,618,201

 

$

1,424,508

 

31%

 

 

72

 

$

1,598,930

 

$

1,610,643

 

36%

 

Not rated

 

 

37

 

 

 

1,181,728

 

 

1,120,701

 

24%

 

 

33

 

 

764,941

 

 

773,791

 

17%

 

B

 

 

43

 

 

 

1,179,950

 

 

1,047,446

 

23%

 

 

40

 

 

906,609

 

 

909,587

 

20%

 

BBB

 

 

46

 

 

 

838,409

 

 

739,296

 

16%

 

 

45

 

 

885,891

 

 

891,272

 

20%

 

A

 

 

8

 

 

 

304,669

 

 

278,945

 

6%

 

 

10

 

 

319,031

 

 

320,140

 

7%

 

CCC

 

 

3

 

 

 

35,624

 

 

28,941

 

—%

 

 

—

 

 

—

 

 

—

 

—%

 

AAA

 

 

2

 

 

 

8,713

 

 

8,708

 

—%

 

 

2

 

 

9,554

 

 

9,550

 

—%

 

AA

 

 

1

 

 

 

828

 

 

827

 

—%

 

 

1

 

 

8,332

 

 

8,277

 

—%

 

Total

 

 

217

 

 

$

5,168,122

 

$

4,649,372

 

100%

 

 

203

 

$

4,493,288

 

$

4,523,260

 

100%

 

 

The Company’s investments in real estate debt included CMBS and loans collateralized by properties owned by Blackstone-advised investment vehicles and CMBS collateralized by loans originated or acquired by Blackstone-advised investment vehicles. The following table details the Company’s affiliate investments in real estate debt ($ in thousands):  

 

 

Fair Value

 

Interest Income

 

 

 

June 30,

 

December 31,

 

Three Months Ended June 30,

 

Six Months Ended June 30,

 

 

 

2020

 

2019

 

2020

 

2019

 

2020

 

2019

 

CMBS collateralized by properties

 

$

1,485,509

 

$

1,418,056

 

$

14,197

 

$

12,290

 

$

31,013

 

$

24,370

 

Loans collateralized by properties

 

 

509,919

 

 

134,076

 

 

3,683

 

 

—

 

 

6,900

 

 

—

 

CMBS collateralized by loans

 

 

132,640

 

 

155,978

 

 

1,369

 

 

2,090

 

 

2,957

 

 

4,187

 

Total

 

$

2,128,068

 

$

1,708,110

 

$

19,249

 

$

14,380

 

$

40,870

 

$

28,557

 

For additional information regarding the Company’s investments in affiliated CMBS, see Note 5 to the consolidated financial statements in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. The terms and conditions of such affiliated CMBS held as of June 30, 2020 are consistent with the terms described in such Note.

As of June 30, 2020 and December 31, 2019, the Company’s investments in real estate debt also included $166.7 million and $186.8 million, respectively, of CMBS collateralized by pools of commercial real estate debt, a portion of which included certain of the Company’s mortgage notes. The Company recognized $2.5 million and $5.1 million of interest income related to such CMBS during the three and six months ended June 30, 2020, respectively. The Company recognized $1.7 million and $3.3 million of interest income related to such CMBS during the three and six months ended June 30, 2019, respectively.

During the three and six months ended June 30, 2020,  the Company recorded a net unrealized gain of $466.4 million and a net unrealized loss of $548.7 million, respectively, related to investments in real estate debt. During the three and six months ended June 30, 2019, the Company recorded a net unrealized gain of $20.8 million and $51.8 million, respectively, related to investments in real estate debt. Such unrealized gains and losses were recorded as a component of Income from Investments in Real Estate Debt on the Company’s Condensed Consolidated Statements of Operations. The unrealized gains recognized during the three months ended June 30, 2020 were the result of a partial recovery in pricing across the Company’s real estate debt portfolio from the significant declines in March 2020. The COVID-19 pandemic caused significant market pricing and liquidity dislocation in March 2020, causing a broad-based market decline impacting the unrealized value of certain of the Company’s investments in real estate debt.

During the three and six months ended June 30, 2020, the Company recognized a net realized loss of $5.0 million and $4.7 million, respectively, due to the sale or paydowns of certain of the Company’s investments in real estate debt. During the three and six months ended June 30, 2019, the Company sold two CMBS positions for approximately the cost basis of such securities.