(Mark One)
|
|
x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
|
¨
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Maryland
|
|
46-1406086
|
(State or Other Jurisdiction of
Incorporation or Organization)
|
|
(I.R.S. Employer
Identification No.)
|
|
|
|
9 West 57th Street, Suite #4920
New York, New York
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|
10019
|
(Address of Principal Executive Office)
|
|
(Zip Code)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
None
|
|
|
Page
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||
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||
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|
March 31, 2020
|
|
December 31, 2019
|
||||
ASSETS
|
(Unaudited)
|
|
|
||||
Cash and cash equivalents
|
$
|
88,960
|
|
|
$
|
87,246
|
|
Restricted cash
|
90,229
|
|
|
21,876
|
|
||
Commercial mortgage loans, held for investment, net of allowance of $21,702 and $921 as of March 31, 2020 and December 31, 2019, respectively
|
2,640,979
|
|
|
2,762,042
|
|
||
Commercial mortgage loans, held-for-sale, measured at fair value
|
91,813
|
|
|
112,562
|
|
||
Commercial mortgage loans, held-for-sale
|
9,619
|
|
|
—
|
|
||
Real estate securities, available for sale, measured at fair value, amortized cost of $509,745 and $387,294 as of March 31, 2020 and December 31, 2019, respectively
|
441,160
|
|
|
386,316
|
|
||
Derivative instruments, at fair value
|
1,173
|
|
|
1,119
|
|
||
Other real estate investments, measured at fair value
|
2,496
|
|
|
2,557
|
|
||
Receivable for loan repayment (1)
|
28,206
|
|
|
89,317
|
|
||
Accrued interest receivable
|
15,877
|
|
|
16,308
|
|
||
Prepaid expenses and other assets
|
10,848
|
|
|
5,322
|
|
||
Intangible lease asset, net of amortization
|
14,165
|
|
|
14,377
|
|
||
Operating right of use asset, net of amortization
|
5,902
|
|
|
5,979
|
|
||
Real estate owned, net of depreciation
|
49,306
|
|
|
35,333
|
|
||
Receivable for unsettled trades
|
11,152
|
|
|
266
|
|
||
Total assets
|
$
|
3,501,885
|
|
|
$
|
3,540,620
|
|
LIABILITIES AND STOCKHOLDERS' EQUITY
|
|
|
|
||||
Collateralized loan obligations
|
$
|
1,739,009
|
|
|
$
|
1,803,185
|
|
Repurchase agreements - commercial mortgage loans
|
234,524
|
|
|
252,543
|
|
||
Repurchase agreements - real estate securities
|
496,880
|
|
|
394,359
|
|
||
Mortgage note payable
|
40,167
|
|
|
29,167
|
|
||
Other financing and loan participation - commercial mortgage loans
|
15,190
|
|
|
—
|
|
||
Derivative instruments, at fair value
|
5,528
|
|
|
1,581
|
|
||
Interest payable
|
2,886
|
|
|
4,958
|
|
||
Distributions payable
|
6,956
|
|
|
6,912
|
|
||
Accounts payable and accrued expenses
|
10,008
|
|
|
10,925
|
|
||
Due to affiliates
|
14,038
|
|
|
4,789
|
|
||
Operating lease liabilities
|
6,176
|
|
|
6,136
|
|
||
Deferred rent revenue
|
61
|
|
|
150
|
|
||
Total liabilities
|
$
|
2,571,423
|
|
|
$
|
2,514,705
|
|
Commitment and contingencies (See Note 10)
|
|
|
|
|
|
||
Redeemable convertible preferred stock Series A, $0.01 par value, 60,000 authorized and 40,514 and 40,500 issued and outstanding as of March 31, 2020 and December 31, 2019, respectively
|
$
|
202,235
|
|
|
$
|
202,144
|
|
Redeemable convertible preferred stock Series C, $0.01 par value, 20,000 authorized and 1,400 issued and outstanding as of March 31, 2020 and December 31, 2019, respectively
|
$
|
6,962
|
|
|
$
|
6,966
|
|
Equity:
|
|
|
|
||||
Preferred stock, $0.01 par value, 50,000,000 authorized, none issued and outstanding as of March 31, 2020 and December 31, 2019
|
—
|
|
|
—
|
|
||
Common stock, $0.01 par value, 949,999,000 shares authorized, 44,396,346 and 43,916,815 shares issued and outstanding as of March 31, 2020 and December 31, 2019, respectively
|
445
|
|
|
441
|
|
||
Additional paid-in capital
|
910,905
|
|
|
903,310
|
|
||
Accumulated other comprehensive income (loss)
|
(68,585
|
)
|
|
(978
|
)
|
||
Accumulated deficit
|
(121,500
|
)
|
|
(85,968
|
)
|
||
Total stockholders' equity
|
$
|
721,265
|
|
|
$
|
816,805
|
|
Total liabilities, redeemable convertible preferred stock and stockholders' equity
|
$
|
3,501,885
|
|
|
$
|
3,540,620
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Income:
|
|
|
|
||||
Interest income
|
$
|
47,854
|
|
|
$
|
46,511
|
|
Less: Interest expense
|
24,492
|
|
|
20,366
|
|
||
Net interest income
|
23,362
|
|
|
26,145
|
|
||
Revenue from real estate owned
|
1,629
|
|
|
—
|
|
||
Total Income
|
$
|
24,991
|
|
|
$
|
26,145
|
|
|
|
|
|
||||
Expenses:
|
|
|
|
||||
Asset management and subordinated performance fee
|
3,912
|
|
|
3,644
|
|
||
Acquisition expenses
|
142
|
|
|
248
|
|
||
Administrative services expenses
|
4,112
|
|
|
3,963
|
|
||
Professional fees
|
2,784
|
|
|
2,095
|
|
||
Real estate owned operating expenses
|
1,645
|
|
|
—
|
|
||
Depreciation and amortization
|
588
|
|
|
—
|
|
||
Other expenses
|
1,587
|
|
|
896
|
|
||
Total expenses
|
14,770
|
|
|
10,846
|
|
||
Other (income)/loss:
|
|
|
|
||||
Increase/(decrease) for credit losses
|
14,597
|
|
|
2,495
|
|
||
Impairment losses on real estate owned assets
|
398
|
|
|
—
|
|
||
Realized (gain)/loss on sale of real estate securities
|
438
|
|
|
—
|
|
||
Realized (gain)/loss on sale of commercial mortgage loan held-for-sale
|
—
|
|
|
25
|
|
||
Realized (gain)/loss on sale of commercial mortgage loan, held-for-sale, measured at fair value
|
(9,404
|
)
|
|
(11,181
|
)
|
||
Unrealized (gain)/loss on commercial mortgage loans, held-for-sale, measured at fair value
|
1,934
|
|
|
336
|
|
||
Unrealized (gain)/loss on other real estate investments, measured at fair value
|
61
|
|
|
—
|
|
||
Unrealized (gain)/loss on derivatives
|
4,836
|
|
|
1,066
|
|
||
Realized (gain)/loss on derivatives
|
6,669
|
|
|
1,458
|
|
||
Total other (income)/loss
|
$
|
19,529
|
|
|
$
|
(5,801
|
)
|
Income/(loss) before taxes
|
(9,308
|
)
|
|
21,100
|
|
||
Provision/(benefit) for income tax
|
(1,908
|
)
|
|
1,210
|
|
||
Net income/(loss)
|
$
|
(7,400
|
)
|
|
$
|
19,890
|
|
Net income/(loss) applicable to common stock
|
$
|
(11,915
|
)
|
|
$
|
16,108
|
|
|
|
|
|
||||
Basic earnings per share
|
$
|
(0.27
|
)
|
|
$
|
0.40
|
|
Diluted earnings per share
|
$
|
(0.27
|
)
|
|
$
|
0.40
|
|
Basic weighted average shares outstanding
|
44,263,334
|
|
|
39,798,215
|
|
||
Diluted weighted average shares outstanding
|
44,274,852
|
|
|
39,811,304
|
|
|
|
Three months ended March 31,
|
||||||
|
|
2020
|
|
2019
|
||||
Net income/(loss)
|
|
$
|
(7,400
|
)
|
|
$
|
19,890
|
|
Unrealized gain/(loss) on available for sale securities
|
|
(67,607
|
)
|
|
145
|
|
||
Comprehensive income attributable to Benefit Street Partners Realty Trust, Inc.
|
|
$
|
(75,007
|
)
|
|
$
|
20,035
|
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Number of Shares
|
|
Par Value
|
|
Additional Paid-In Capital
|
|
Accumulated Other Comprehensive Loss
|
|
Accumulated Deficit
|
|
Total Stockholders' Equity
|
|||||||||||
Balance, December 31, 2019
|
43,916,815
|
|
|
$
|
441
|
|
|
$
|
903,310
|
|
|
$
|
(978
|
)
|
|
$
|
(85,968
|
)
|
|
$
|
816,805
|
|
Issuance of common stock
|
650,034
|
|
|
7
|
|
|
10,855
|
|
|
—
|
|
|
—
|
|
|
10,862
|
|
|||||
Common stock repurchases
|
(361,829
|
)
|
|
(4
|
)
|
|
(6,711
|
)
|
|
—
|
|
|
—
|
|
|
(6,715
|
)
|
|||||
Common stock issued through distribution reinvestment plan
|
191,326
|
|
|
1
|
|
|
3,548
|
|
|
—
|
|
|
—
|
|
|
3,549
|
|
|||||
Share-based compensation
|
—
|
|
|
—
|
|
|
39
|
|
|
—
|
|
|
—
|
|
|
39
|
|
|||||
Offering Cost
|
—
|
|
|
—
|
|
|
(136
|
)
|
|
—
|
|
|
—
|
|
|
(136
|
)
|
|||||
Net income/(loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,400
|
)
|
|
(7,400
|
)
|
|||||
Distributions declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(20,371
|
)
|
|
(20,371
|
)
|
|||||
Cumulative-effect adjustment upon adoption of ASU 2016-13 (Note 2)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,761
|
)
|
|
(7,761
|
)
|
|||||
Other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
(67,607
|
)
|
|
—
|
|
|
(67,607
|
)
|
|||||
Balance, March 31, 2020
|
44,396,346
|
|
|
$
|
445
|
|
|
$
|
910,905
|
|
|
$
|
(68,585
|
)
|
|
$
|
(121,500
|
)
|
|
$
|
721,265
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Balance, December 31, 2018
|
39,303,710
|
|
|
$
|
395
|
|
|
$
|
827,558
|
|
|
$
|
(459
|
)
|
|
$
|
(94,266
|
)
|
|
$
|
733,228
|
|
Issuance of common stock
|
1,161,580
|
|
|
11
|
|
|
19,398
|
|
|
—
|
|
|
—
|
|
|
19,409
|
|
|||||
Common stock repurchases
|
(387,530
|
)
|
|
(4
|
)
|
|
(7,203
|
)
|
|
—
|
|
|
—
|
|
|
(7,207
|
)
|
|||||
Common stock issued through distribution reinvestment plan
|
180,906
|
|
|
2
|
|
|
3,390
|
|
|
—
|
|
|
—
|
|
|
3,392
|
|
|||||
Share-based compensation
|
—
|
|
|
—
|
|
|
39
|
|
|
—
|
|
|
—
|
|
|
39
|
|
|||||
Offering costs
|
—
|
|
|
—
|
|
|
(382
|
)
|
|
—
|
|
|
—
|
|
|
(382
|
)
|
|||||
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
19,890
|
|
|
19,890
|
|
|||||
Distributions declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(17,449
|
)
|
|
(17,449
|
)
|
|||||
Other comprehensive income
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
145
|
|
|
$
|
—
|
|
|
$
|
145
|
|
Balance, March 31, 2019
|
40,258,666
|
|
|
$
|
404
|
|
|
$
|
842,800
|
|
|
$
|
(314
|
)
|
|
$
|
(91,825
|
)
|
|
$
|
751,065
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Cash flows from operating activities:
|
|
|
|
||||
Net income (loss)
|
$
|
(7,400
|
)
|
|
$
|
19,890
|
|
Adjustments to reconcile net income (loss) to net cash (used in)/provided by operating activities:
|
|
|
|
||||
Premium amortization and (discount accretion), net
|
(1,710
|
)
|
|
(1,506
|
)
|
||
Accretion of deferred commitment fees
|
(1,233
|
)
|
|
(406
|
)
|
||
Amortization of deferred financing costs
|
5,684
|
|
|
1,106
|
|
||
Share-based compensation
|
39
|
|
|
39
|
|
||
Realized (gain)/loss on sale of real estate securities
|
438
|
|
|
—
|
|
||
Unrealized (gain)/loss on commercial mortgage loans held-for-sale
|
1,934
|
|
|
336
|
|
||
Unrealized (gain)/loss on derivative instruments
|
4,836
|
|
|
1,066
|
|
||
Unrealized (gain)/loss on other real estate investments
|
61
|
|
|
—
|
|
||
Depreciation and amortization
|
588
|
|
|
—
|
|
||
Recognition of deferred rent revenue
|
(89
|
)
|
|
—
|
|
||
Increase/(decrease) for credit losses
|
14,597
|
|
|
2,495
|
|
||
Impairment losses on real estate owned assets
|
398
|
|
|
—
|
|
||
Origination of commercial mortgage loans, held-for-sale
|
(119,349
|
)
|
|
(202,950
|
)
|
||
Proceeds from sale of commercial mortgage loans, held-for-sale
|
138,164
|
|
|
177,138
|
|
||
Changes in assets and liabilities:
|
|
|
|
||||
Accrued interest receivable
|
1,664
|
|
|
(437
|
)
|
||
Prepaid expenses and other assets
|
(6,300
|
)
|
|
(1,845
|
)
|
||
Accounts payable and accrued expenses
|
(2,068
|
)
|
|
772
|
|
||
Due to affiliates
|
9,249
|
|
|
94
|
|
||
Interest payable
|
(2,072
|
)
|
|
458
|
|
||
Net cash (used in)/provided by operating activities
|
$
|
37,431
|
|
|
$
|
(3,750
|
)
|
Cash flows from investing activities:
|
|
|
|
||||
Origination and purchase of commercial mortgage loans, held for investment
|
$
|
(287,644
|
)
|
|
$
|
(310,904
|
)
|
Principal repayments received on commercial mortgage loans, held for investment
|
426,742
|
|
|
235,633
|
|
||
Purchase of other real estate investments
|
(624
|
)
|
|
—
|
|
||
Purchase of real estate securities
|
(134,818
|
)
|
|
(40,200
|
)
|
||
Principal repayments received on real estate securities
|
643
|
|
|
57
|
|
||
Purchase of derivative instruments
|
(689
|
)
|
|
(522
|
)
|
||
Net cash (used in)/provided by investing activities
|
$
|
3,610
|
|
|
$
|
(115,936
|
)
|
Cash flows from financing activities:
|
|
|
|
||||
Proceeds from issuances of common stock
|
$
|
10,726
|
|
|
$
|
19,409
|
|
Proceeds from issuances of redeemable convertible preferred stock
|
70
|
|
|
14,979
|
|
||
Common stock repurchases
|
(6,716
|
)
|
|
(7,207
|
)
|
||
Repayments of collateralized loan obligation
|
(68,894
|
)
|
|
(200,426
|
)
|
||
Borrowings on repurchase agreements - commercial mortgage loans
|
65,413
|
|
|
490,189
|
|
||
Repayments of repurchase agreements - commercial mortgage loans
|
(83,432
|
)
|
|
(268,740
|
)
|
||
Borrowings on repurchase agreements - real estate securities
|
340,116
|
|
|
167,587
|
|
||
Repayments of repurchase agreements - real estate securities
|
(237,596
|
)
|
|
(190,048
|
)
|
Borrowing on other financing and loan participation - commercial mortgage loans
|
15,190
|
|
|
—
|
|
||
Borrowings on Mortgage Note Payable
|
11,000
|
|
|
—
|
|
||
Payments of deferred financing costs
|
(75
|
)
|
|
—
|
|
||
Distributions paid
|
(16,776
|
)
|
|
(13,791
|
)
|
||
Net cash (used in)/provided by financing activities:
|
$
|
29,026
|
|
|
$
|
11,952
|
|
Net change in cash, cash equivalents and restricted cash
|
$
|
70,067
|
|
|
$
|
(107,734
|
)
|
Cash, cash equivalents and restricted cash, beginning of period
|
109,122
|
|
|
204,419
|
|
||
Cash, cash equivalents and restricted cash, end of period
|
$
|
179,189
|
|
|
$
|
96,685
|
|
|
|
|
|
||||
Supplemental disclosures of cash flow information:
|
|
|
|
||||
Taxes paid
|
$
|
—
|
|
|
$
|
—
|
|
Interest paid
|
20,880
|
|
|
18,802
|
|
||
|
|
|
|
||||
Supplemental disclosures of non-cash flow information:
|
|
|
|
||||
Distribution payable
|
6,956
|
|
|
$
|
6,100
|
|
|
Common stock issued through distribution reinvestment plan
|
3,548
|
|
|
3,392
|
|
||
Commercial mortgage loans transferred from held for investment to held for sale
|
9,619
|
|
|
—
|
|
||
Real estate owned received in foreclosure
|
14,000
|
|
|
—
|
|
||
|
|
|
|
||||
Reconciliation of cash, cash equivalents and restricted cash at end of period:
|
|
|
|
||||
Cash and cash equivalents
|
$
|
88,960
|
|
|
$
|
79,698
|
|
Restricted cash
|
90,229
|
|
|
16,987
|
|
||
Cash, cash equivalents and restricted cash, end of period
|
$
|
179,189
|
|
|
$
|
96,685
|
|
|
|
|
|
|
Pre-adoption
|
Transition Adjustment
|
Post-adjustment
|
|||
Assets
|
|
|
|
|||
Commercial mortgage loans, held for investment, net of allowance
|
2,762,042
|
|
(7,211
|
)
|
2,754,831
|
|
Liabilities
|
|
|
|
|
||
Accounts payable and accrued expenses (1)
|
10,925
|
|
(550
|
)
|
10,375
|
|
Equity
|
|
|
—
|
|
||
Accumulated deficit
|
(85,968
|
)
|
(7,761
|
)
|
(93,729
|
)
|
1.
|
Very Low Risk- Investment exceeding fundamental performance expectations and/or capital gain expected. Trends and risk factors since time of investment are favorable.
|
2.
|
Low Risk- Performing consistent with expectations and a full return of principal and interest expected. Trends and risk factors are neutral to favorable.
|
3.
|
Average Risk- Performing investments requiring closer monitoring. Trends and risk factors show some deterioration.
|
4.
|
High Risk/Delinquent/Potential for Loss- Underperforming investment with the potential of some interest loss but still expecting a positive return on investment. Trends and risk factors are negative.
|
5.
|
Impaired/Defaulted/Loss Likely- Underperforming investment with expected loss of interest and some principal.
|
•
|
The real estate debt business which is focused on originating, acquiring and asset managing commercial real estate debt investments, including first mortgage loans, subordinate mortgages, mezzanine loans and participations in such loans.
|
•
|
The real estate securities business which is focused on investing in and asset managing commercial real estate securities primarily consisting of CMBS and may include unsecured REIT debt, CDO notes and other securities.
|
•
|
The commercial conduit business in the Company's TRS, which is focused on originating and subsequently selling fixed-rate commercial real estate loans into the CMBS securitization market.
|
•
|
The real estate owned business represents real estate acquired by the Company through foreclosure, deed in lieu of foreclosure, or purchase.
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Senior loans
|
$
|
2,653,564
|
|
|
$
|
2,721,325
|
|
Mezzanine loans
|
9,117
|
|
|
41,638
|
|
||
Total gross carrying value of loans
|
2,662,681
|
|
|
2,762,963
|
|
||
Less: Allowance for credit losses (1)
|
21,702
|
|
|
921
|
|
||
Total commercial mortgage loans, held for investment, net
|
$
|
2,640,979
|
|
|
$
|
2,762,042
|
|
|
|
March 31, 2020
|
||||||||||||||||||||||||||||||||||
|
|
Multifamily
|
|
Retail
|
|
Office
|
|
Industrial
|
|
Mixed Use
|
|
Hospitality
|
|
Self Storage
|
|
Mobile Housing
|
|
Total
|
||||||||||||||||||
Beginning Balance
|
|
$
|
322
|
|
|
$
|
202
|
|
|
$
|
249
|
|
|
$
|
23
|
|
|
$
|
4
|
|
|
$
|
103
|
|
|
$
|
—
|
|
|
$
|
18
|
|
|
$
|
921
|
|
Cumulative-effect adjustment upon adoption of ASU 2016-13
|
|
3,220
|
|
|
386
|
|
|
1,966
|
|
|
434
|
|
|
9
|
|
|
739
|
|
|
399
|
|
|
58
|
|
|
7,211
|
|
|||||||||
Current Period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Increase/(decrease) for credit losses
|
|
8,647
|
|
|
565
|
|
|
2,358
|
|
|
1,875
|
|
|
28
|
|
|
655
|
|
|
(123
|
)
|
|
(8
|
)
|
|
13,997
|
|
|||||||||
Write-offs
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(427
|
)
|
|
—
|
|
|
—
|
|
|
(427
|
)
|
|||||||||
Ending Balance
|
|
$
|
12,189
|
|
|
$
|
1,153
|
|
|
$
|
4,573
|
|
|
$
|
2,332
|
|
|
$
|
41
|
|
|
$
|
1,070
|
|
|
$
|
276
|
|
|
$
|
68
|
|
|
$
|
21,702
|
|
|
|
March 31, 2020
|
||||||||||||||||||||||||||||||||||
|
|
Multifamily
|
|
Retail
|
|
Office
|
|
Industrial
|
|
Mixed Use
|
|
Hospitality
|
|
Self Storage
|
|
Mobile Housing
|
|
Total
|
||||||||||||||||||
Beginning Balance
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Cumulative-effect adjustment upon adoption of ASU 2016-13
|
|
239
|
|
|
40
|
|
|
150
|
|
|
30
|
|
|
1
|
|
|
57
|
|
|
28
|
|
|
5
|
|
|
550
|
|
|||||||||
Current Period:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Increase/(decrease) for credit losses
|
|
56
|
|
|
(40
|
)
|
|
242
|
|
|
257
|
|
|
(1
|
)
|
|
117
|
|
|
(28
|
)
|
|
(3
|
)
|
|
600
|
|
|||||||||
Write-offs
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Ending Balance
|
|
$
|
295
|
|
|
$
|
—
|
|
|
$
|
392
|
|
|
$
|
287
|
|
|
$
|
—
|
|
|
$
|
174
|
|
|
$
|
—
|
|
|
$
|
2
|
|
|
$
|
1,150
|
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||
Loan Type
|
|
Par Value
|
|
Percentage
|
|
Par Value
|
|
Percentage
|
||||||
Multifamily
|
|
$
|
1,395,956
|
|
|
52.3
|
%
|
|
$
|
1,491,971
|
|
|
53.9
|
%
|
Office
|
|
430,870
|
|
|
16.1
|
%
|
|
414,772
|
|
|
15.0
|
%
|
||
Hospitality
|
|
398,186
|
|
|
14.9
|
%
|
|
446,562
|
|
|
16.1
|
%
|
||
Industrial
|
|
144,093
|
|
|
5.4
|
%
|
|
118,743
|
|
|
4.3
|
%
|
||
Retail
|
|
111,620
|
|
|
4.2
|
%
|
|
111,620
|
|
|
4.0
|
%
|
||
Mixed Use
|
|
65,040
|
|
|
2.4
|
%
|
|
58,808
|
|
|
2.1
|
%
|
||
Self Storage
|
|
63,057
|
|
|
2.4
|
%
|
|
67,767
|
|
|
2.4
|
%
|
||
Land
|
|
16,400
|
|
|
0.6
|
%
|
|
16,400
|
|
|
0.6
|
%
|
||
Manufactured Housing
|
|
44,911
|
|
|
1.7
|
%
|
|
44,656
|
|
|
1.6
|
%
|
||
Total
|
|
$
|
2,670,133
|
|
|
100.0
|
%
|
|
$
|
2,771,299
|
|
|
100.0
|
%
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||
Loan Type
|
|
Par Value
|
|
Percentage
|
|
Par Value
|
|
Percentage
|
||||||
Multifamily
|
|
$
|
41,000
|
|
|
43.8
|
%
|
|
$
|
78,250
|
|
|
69.6
|
%
|
Industrial
|
|
23,625
|
|
|
25.2
|
%
|
|
23,625
|
|
|
21.0
|
%
|
||
Retail
|
|
21,193
|
|
|
22.6
|
%
|
|
2,613
|
|
|
2.3
|
%
|
||
Office
|
|
6,000
|
|
|
6.4
|
%
|
|
—
|
|
|
—
|
%
|
||
Manufactured Housing
|
|
1,850
|
|
|
2.0
|
%
|
|
—
|
|
|
—
|
%
|
||
Hospitality
|
|
—
|
|
|
—
|
%
|
|
8,000
|
|
|
7.1
|
%
|
||
Total
|
|
$
|
93,668
|
|
|
100.0
|
%
|
|
$
|
112,488
|
|
|
100.0
|
%
|
As of March 31, 2020
|
|
|
||||||||||||||||||||||||||||||
|
|
2020
|
|
2019
|
|
2018
|
|
2017
|
|
2016
|
|
2015
|
|
Prior
|
|
Total
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Multifamily:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Risk Rating:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1-2 internal grade
|
|
$
|
177,191
|
|
|
$
|
456,036
|
|
|
$
|
617,533
|
|
|
$
|
34,875
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,489
|
|
|
$
|
1,289,124
|
|
3-4 internal grade
|
|
—
|
|
|
—
|
|
|
65,805
|
|
|
37,812
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
103,617
|
|
||||||||
Total Multifamily Loans
|
|
$
|
177,191
|
|
|
$
|
456,036
|
|
|
$
|
683,338
|
|
|
$
|
72,687
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,489
|
|
|
$
|
1,392,741
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Retail:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Risk Rating:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1-2 internal grade
|
|
$
|
—
|
|
|
$
|
54,618
|
|
|
$
|
16,319
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9,450
|
|
|
$
|
80,387
|
|
3-4 internal grade
|
|
—
|
|
|
3,501
|
|
|
43,907
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
47,408
|
|
||||||||
Total Retail Loans
|
|
$
|
—
|
|
|
$
|
58,119
|
|
|
$
|
60,226
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9,450
|
|
|
$
|
127,795
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Office:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Risk Rating:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1-2 internal grade
|
|
$
|
49,163
|
|
|
$
|
173,988
|
|
|
$
|
97,936
|
|
|
$
|
41,645
|
|
|
$
|
—
|
|
|
$
|
10,700
|
|
|
$
|
—
|
|
|
$
|
373,432
|
|
3-4 internal grade
|
|
—
|
|
|
—
|
|
|
45,259
|
|
|
10,506
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
55,765
|
|
||||||||
Total Office Loans
|
|
$
|
49,163
|
|
|
$
|
173,988
|
|
|
$
|
143,195
|
|
|
$
|
52,151
|
|
|
$
|
—
|
|
|
$
|
10,700
|
|
|
$
|
—
|
|
|
$
|
429,197
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Industrial:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Risk Rating:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1-2 internal grade
|
|
$
|
25,241
|
|
|
$
|
84,576
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
33,655
|
|
|
$
|
—
|
|
|
$
|
143,472
|
|
3-4 internal grade
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total Industrial Loans
|
|
$
|
25,241
|
|
|
$
|
84,576
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
33,655
|
|
|
$
|
—
|
|
|
$
|
143,472
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Mixed Use:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Risk Rating:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1-2 internal grade
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
52,097
|
|
|
$
|
12,953
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
65,050
|
|
3-4 internal grade
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total Mixed Use Loans
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
52,097
|
|
|
$
|
12,953
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
65,050
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Hospitality:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Risk Rating:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1-2 internal grade
|
|
$
|
—
|
|
|
$
|
8,735
|
|
|
$
|
20,962
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
29,697
|
|
3-4 internal grade
|
|
—
|
|
|
161,948
|
|
|
114,190
|
|
|
90,940
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
367,078
|
|
||||||||
Total Hospitality Loans
|
|
$
|
—
|
|
|
$
|
170,683
|
|
|
$
|
135,152
|
|
|
$
|
90,940
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
396,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Self Storage:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Risk Rating:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1-2 internal grade
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
62,937
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
62,937
|
|
3-4 internal grade
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total Self Storage Loans
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
62,937
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
62,937
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Manufactured Housing:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Risk Rating:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1-2 internal grade
|
|
$
|
—
|
|
|
$
|
44,714
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
44,714
|
|
3-4 internal grade
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total Manufactured Housing Loans
|
|
$
|
—
|
|
|
$
|
44,714
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
44,714
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Total
|
|
$
|
251,595
|
|
|
$
|
988,116
|
|
|
$
|
1,136,945
|
|
|
$
|
228,731
|
|
|
$
|
—
|
|
|
$
|
44,355
|
|
|
$
|
12,939
|
|
|
$
|
2,662,681
|
|
|
|
Multifamily
|
|
Retail
|
|
Office
|
|
Industrial
|
|
Mixed Use
|
|
Hospitality
|
|
Self Storage
|
|
Mobile Housing
|
|
Total
|
||||||||||||||||||
Status:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Current
|
|
$
|
1,392,741
|
|
|
$
|
127,795
|
|
|
$
|
383,938
|
|
|
$
|
143,472
|
|
|
$
|
65,050
|
|
|
$
|
339,700
|
|
|
$
|
62,937
|
|
|
$
|
44,714
|
|
|
$
|
2,560,347
|
|
1-29 days past due(1)
|
|
—
|
|
|
—
|
|
|
45,259
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
45,259
|
|
|||||||||
30-59 days past due
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
60-89 days past due
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
90-119 days past due
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
120+ days past due(2)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
57,075
|
|
|
—
|
|
|
—
|
|
|
57,075
|
|
|||||||||
Total
|
|
$
|
1,392,741
|
|
|
$
|
127,795
|
|
|
$
|
429,197
|
|
|
$
|
143,472
|
|
|
$
|
65,050
|
|
|
$
|
396,775
|
|
|
$
|
62,937
|
|
|
$
|
44,714
|
|
|
$
|
2,662,681
|
|
Investment Rating
|
|
Summary Description
|
1
|
|
Investment exceeding fundamental performance expectations and/or capital gain expected. Trends and risk factors since time of investment are favorable.
|
2
|
|
Performing consistent with expectations and a full return of principal and interest expected. Trends and risk factors are neutral to favorable.
|
3
|
|
Performing investments requiring closer monitoring. Trends and risk factors show some deterioration.
|
4
|
|
Underperforming investment with the potential of some interest loss but still expecting a positive return on investment. Trends and risk factors are negative.
|
5
|
|
Underperforming investment with expected loss of interest and some principal.
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||
Risk Rating
|
|
Number of Loans
|
|
Par Value
|
|
Risk Rating
|
|
Number of Loans
|
|
Par Value
|
||||||
1
|
|
—
|
|
|
$
|
—
|
|
|
1
|
|
—
|
|
|
$
|
—
|
|
2
|
|
90
|
|
|
2,094,654
|
|
|
2
|
|
113
|
|
|
2,452,330
|
|
||
3
|
|
27
|
|
|
518,404
|
|
|
3
|
|
8
|
|
|
298,994
|
|
||
4
|
|
1
|
|
|
57,075
|
|
|
4
|
|
1
|
|
|
19,975
|
|
||
5
|
|
—
|
|
|
—
|
|
|
5
|
|
—
|
|
|
—
|
|
||
|
|
118
|
|
|
$
|
2,670,133
|
|
|
|
|
122
|
|
|
$
|
2,771,299
|
|
|
Three Months Ended March 31,
|
|
For the Year Ended December 31,
|
||||
|
2020
|
|
2019
|
||||
Balance at Beginning of Year
|
$
|
2,762,042
|
|
|
$
|
2,206,830
|
|
Cumulative-effect adjustment upon adoption of ASU 2016-13
|
(7,211
|
)
|
|
—
|
|
||
Acquisitions and originations
|
288,825
|
|
|
1,326,983
|
|
||
Principal repayments
|
(366,058
|
)
|
|
(771,774
|
)
|
||
Discount accretion/premium amortization
|
1,751
|
|
|
6,264
|
|
||
Loans reclassified to held-for-sale
|
(9,619
|
)
|
|
—
|
|
||
Loans transferred from/(to) commercial real estate loans, held-for-sale
|
—
|
|
|
10,100
|
|
||
Net fees capitalized into carrying value of loans
|
(1,181
|
)
|
|
(5,339
|
)
|
||
Increase/(decrease) for credit losses
|
(13,997
|
)
|
|
(3,007
|
)
|
||
Charge-off from allowance
|
427
|
|
|
6,922
|
|
||
Transfer on foreclosure to real estate owned
|
(14,000
|
)
|
|
—
|
|
||
Transfer on deed in lieu of foreclosure to real estate owned
|
—
|
|
|
(14,937
|
)
|
||
Balance at End of Period
|
$
|
2,640,979
|
|
|
$
|
2,762,042
|
|
March 31, 2020
|
||||||||
Type
|
|
Interest Rate
|
|
Maturity
|
|
Par Value
|
|
Fair Value
|
CMBS 1
|
|
3.7%
|
|
5/15/2022
|
|
$13,250
|
|
$10,408
|
CMBS 2
|
|
2.8%
|
|
6/26/2025
|
|
11,488
|
|
10,250
|
CMBS 3
|
|
3.1%
|
|
2/15/2036
|
|
40,000
|
|
34,728
|
CMBS 4
|
|
2.4%
|
|
5/15/2036
|
|
18,500
|
|
14,672
|
CMBS 5
|
|
2.1%
|
|
5/15/2036
|
|
15,000
|
|
14,259
|
CMBS 6
|
|
2.2%
|
|
5/15/2037
|
|
13,500
|
|
11,279
|
CMBS 7
|
|
2.4%
|
|
5/15/2037
|
|
15,000
|
|
12,538
|
CMBS 8
|
|
2.2%
|
|
6/15/2037
|
|
7,000
|
|
6,386
|
CMBS 9
|
|
2.6%
|
|
2/15/2036
|
|
9,600
|
|
8,695
|
CMBS 10
|
|
2.5%
|
|
8/15/2036
|
|
10,000
|
|
9,083
|
CMBS 11
|
|
2.6%
|
|
6/15/2037
|
|
8,000
|
|
7,330
|
CMBS 12
|
|
2.3%
|
|
7/15/2038
|
|
13,000
|
|
10,802
|
CMBS 13
|
|
2.3%
|
|
9/15/2037
|
|
32,000
|
|
27,563
|
CMBS 14
|
|
2.7%
|
|
9/15/2037
|
|
24,000
|
|
20,628
|
CMBS 15
|
|
2.3%
|
|
10/19/2038
|
|
50,000
|
|
42,408
|
CMBS 16
|
|
2.7%
|
|
10/19/2038
|
|
26,000
|
|
22,210
|
CMBS 17
|
|
2.2%
|
|
6/15/2034
|
|
15,000
|
|
13,332
|
CMBS 18
|
|
2.5%
|
|
6/15/2034
|
|
6,500
|
|
5,606
|
CMBS 19
|
|
2.9%
|
|
6/15/2034
|
|
12,000
|
|
10,417
|
CMBS 20
|
|
2.0%
|
|
12/15/2036
|
|
20,000
|
|
17,920
|
CMBS 21
|
|
2.3%
|
|
12/15/2036
|
|
25,000
|
|
22,221
|
CMBS 22
|
|
2.1%
|
|
2/15/2035
|
|
22,500
|
|
18,255
|
CMBS 23
|
|
2.5%
|
|
2/15/2035
|
|
16,000
|
|
13,166
|
CMBS 24
|
|
2.5%
|
|
2/15/2035
|
|
2,000
|
|
1,646
|
CMBS 25
|
|
2.1%
|
|
2/15/2035
|
|
2,200
|
|
1,785
|
CMBS 26
|
|
2.6%
|
|
3/15/2035
|
|
12,500
|
|
11,153
|
CMBS 27
|
|
3.0%
|
|
3/15/2035
|
|
25,665
|
|
23,056
|
CMBS 28
|
|
2.3%
|
|
3/15/2037
|
|
28,000
|
|
25,601
|
CMBS 29
|
|
2.6%
|
|
3/15/2037
|
|
15,000
|
|
13,763
|
December 31, 2019
|
||||||||
Type
|
|
Interest Rate
|
|
Maturity
|
|
Par Value
|
|
Fair Value
|
CMBS 1
|
|
4.7%
|
|
5/15/2022
|
|
$13,250
|
|
$13,274
|
CMBS 2
|
|
3.8%
|
|
6/26/2025
|
|
12,131
|
|
12,151
|
CMBS 3
|
|
4.1%
|
|
2/15/2036
|
|
40,000
|
|
40,186
|
CMBS 4
|
|
3.7%
|
|
5/15/2036
|
|
18,500
|
|
18,535
|
CMBS 5
|
|
3.1%
|
|
5/15/2036
|
|
15,000
|
|
15,019
|
CMBS 6
|
|
3.2%
|
|
5/15/2037
|
|
13,500
|
|
13,525
|
CMBS 7
|
|
3.4%
|
|
5/15/2037
|
|
15,000
|
|
15,028
|
CMBS 8
|
|
3.2%
|
|
6/15/2037
|
|
7,000
|
|
7,013
|
CMBS 9
|
|
3.6%
|
|
2/15/2036
|
|
9,600
|
|
9,641
|
CMBS 10
|
|
3.5%
|
|
8/15/2036
|
|
10,000
|
|
10,027
|
CMBS 11
|
|
3.6%
|
|
6/15/2037
|
|
8,000
|
|
8,015
|
CMBS 12
|
|
3.3%
|
|
7/15/2038
|
|
13,000
|
|
13,022
|
CMBS 13
|
|
3.3%
|
|
9/15/2037
|
|
32,000
|
|
32,074
|
CMBS 14
|
|
3.7%
|
|
9/15/2037
|
|
24,000
|
|
24,084
|
CMBS 15
|
|
3.3%
|
|
10/19/2038
|
|
50,000
|
|
50,094
|
CMBS 16
|
|
3.7%
|
|
10/19/2038
|
|
26,000
|
|
26,029
|
CMBS 17
|
|
3.2%
|
|
6/15/2034
|
|
15,000
|
|
15,022
|
CMBS 18
|
|
3.5%
|
|
6/15/2034
|
|
6,500
|
|
6,509
|
CMBS 19
|
|
3.9%
|
|
6/15/2034
|
|
12,000
|
|
12,022
|
CMBS 20
|
|
3.1%
|
|
12/15/2036
|
|
20,000
|
|
20,021
|
CMBS 21
|
|
3.4%
|
|
12/15/2036
|
|
25,000
|
|
25,025
|
|
|
Amortized Cost
|
|
Credit Loss Allowance
|
|
Unrealized Gain
|
|
Unrealized Loss
|
|
Fair Value
|
||||||||||
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
||||||||||
CLOs
|
|
$
|
411,234
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(59,830
|
)
|
|
$
|
351,404
|
|
SASB
|
|
98,511
|
|
|
—
|
|
|
—
|
|
|
(8,755
|
)
|
|
89,756
|
|
|||||
Total
|
|
$
|
509,745
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(68,585
|
)
|
|
$
|
441,160
|
|
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
||||||||||
CLOs
|
|
330,000
|
|
|
$
|
—
|
|
|
1
|
|
|
(881
|
)
|
|
329,120
|
|
||||
SASB
|
|
57,294
|
|
|
—
|
|
|
—
|
|
|
(98
|
)
|
|
57,196
|
|
|||||
Total
|
|
$
|
387,294
|
|
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
(979
|
)
|
|
$
|
386,316
|
|
|
Fair Value
|
|
Unrealized Loss
|
||||||||||||
|
Securities with an unrealized loss less than 12 months
|
|
Securities with an unrealized loss greater than 12 months
|
|
Securities with an unrealized loss less than 12 months
|
|
Securities with an unrealized loss greater than 12 months
|
||||||||
March 31, 2020
|
|
|
|
|
|
|
|
||||||||
CLOs
|
$
|
341,003
|
|
|
$
|
10,401
|
|
|
$
|
(56,944
|
)
|
|
$
|
(2,886
|
)
|
SASB
|
79,506
|
|
|
10,250
|
|
|
(7,468
|
)
|
|
(1,287
|
)
|
||||
Total
|
$
|
420,509
|
|
|
$
|
20,651
|
|
|
$
|
(64,412
|
)
|
|
$
|
(4,173
|
)
|
December 31, 2019
|
|
|
|
|
|
|
|
||||||||
CLOs
|
$
|
315,845
|
|
|
$
|
13,275
|
|
|
$
|
(863
|
)
|
|
$
|
(17
|
)
|
SASB
|
45,045
|
|
|
12,151
|
|
|
(67
|
)
|
|
(31
|
)
|
||||
Total
|
$
|
360,890
|
|
|
$
|
25,426
|
|
|
$
|
(930
|
)
|
|
$
|
(48
|
)
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2020
|
|
2019
|
||||
Unrealized gain/(loss) available-for-sale securities
|
|
$
|
(67,607
|
)
|
|
$
|
145
|
|
Reclassification of net (gain)/loss on available-for-sale securities included in net income (loss) from sales of securities
|
|
—
|
|
|
—
|
|
||
Unrealized gain/(loss) available-for-sale securities, net of reclassification adjustment
|
|
$
|
(67,607
|
)
|
|
$
|
145
|
|
As of March 31, 2020
|
|
|
|
|
|
|
|
|
||||||||||||||||
Acquisition Date
|
|
Property Type
|
|
Primary Location(s)
|
|
Land
|
|
Building and Improvements
|
|
Furniture, Fixtures and Equipment
|
|
Accumulated Depreciation
|
|
Real Estate Owned, net
|
||||||||||
August 2019 (1)(2)
|
|
Hotel
|
|
Chicago, IL
|
|
$
|
—
|
|
|
$
|
8,337
|
|
|
$
|
—
|
|
|
$
|
(139
|
)
|
|
$
|
8,198
|
|
October 2019 (1)
|
|
Office
|
|
Jeffersonville, IN
|
|
1,887
|
|
|
21,989
|
|
|
3,565
|
|
|
(333
|
)
|
|
27,108
|
|
|||||
March 2020 (1)(3)
|
|
Hotel
|
|
Knoxville, TN
|
|
3,800
|
|
|
7,838
|
|
|
2,362
|
|
|
—
|
|
|
14,000
|
|
|||||
|
|
|
|
|
|
$
|
5,687
|
|
|
$
|
38,164
|
|
|
$
|
5,927
|
|
|
$
|
(472
|
)
|
|
$
|
49,306
|
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
||||||
Acquisition Date
|
|
Property Type
|
|
Primary Location(s)
|
|
Operating Right of Use Asset, Gross
|
|
Accumulated Amortization
|
|
Operating Right of Use Asset, net of Amortization
|
||||||
August 2019
|
|
Hotel
|
|
Chicago, IL
|
|
$
|
6,109
|
|
|
$
|
(207
|
)
|
|
$
|
5,902
|
|
|
|
|
|
|
|
$
|
6,109
|
|
|
$
|
(207
|
)
|
|
$
|
5,902
|
|
December 31, 2019
|
|
|
|
|
|
|
|
|
||||||||
Acquisition Date
|
|
Property Type
|
|
Primary Location(s)
|
|
Operating Right of Use Asset, Gross
|
|
Accumulated Amortization
|
|
Operating Right of Use Asset, net of Amortization
|
||||||
August 2019
|
|
Hotel
|
|
Chicago, IL
|
|
$
|
6,109
|
|
|
$
|
(130
|
)
|
|
$
|
5,979
|
|
|
|
|
|
|
|
$
|
6,109
|
|
|
$
|
(130
|
)
|
|
$
|
5,979
|
|
Minimum Future Lease Payments
|
|
March 31, 2020
|
||
2020 (April - December)
|
|
$
|
300
|
|
2021
|
|
410
|
|
|
2022
|
|
422
|
|
|
2023
|
|
435
|
|
|
2024
|
|
448
|
|
|
2025 and beyond
|
|
39,438
|
|
|
Total undiscounted lease payments
|
|
$
|
41,453
|
|
Less: Amount representing interest
|
|
(35,277
|
)
|
|
Present value of lease liability
|
|
$
|
6,176
|
|
Minimum Future Lease Payments
|
|
December 31, 2019
|
||
2020
|
|
$
|
398
|
|
2021
|
|
410
|
|
|
2022
|
|
422
|
|
|
2023
|
|
435
|
|
|
2024
|
|
448
|
|
|
2025 and beyond
|
|
39,438
|
|
|
Total undiscounted lease payments
|
|
$
|
41,551
|
|
Less: Amount representing interest
|
|
(35,415
|
)
|
|
Present value of lease liability
|
|
$
|
6,136
|
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
||||||
Acquisition Date
|
|
Property Type
|
|
Primary Location(s)
|
|
Intangible Lease Asset, Gross
|
|
Accumulated Amortization
|
|
Intangible Lease Asset, Net of Amortization
|
||||||
October 2019
|
|
Office
|
|
Jeffersonville, IN
|
|
$
|
14,509
|
|
|
$
|
(344
|
)
|
|
$
|
14,165
|
|
|
|
|
|
|
|
$
|
14,509
|
|
|
$
|
(344
|
)
|
|
$
|
14,165
|
|
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
||||||
Acquisition Date
|
|
Property Type
|
|
Primary Location(s)
|
|
Intangible Lease Asset, Gross
|
|
Accumulated Amortization
|
|
Intangible Lease Asset, Net of Amortization
|
||||||
October 2019
|
|
Office
|
|
Jeffersonville, IN
|
|
$
|
14,509
|
|
|
$
|
(131
|
)
|
|
$
|
14,377
|
|
|
|
|
|
|
|
$
|
14,509
|
|
|
$
|
(131
|
)
|
|
$
|
14,377
|
|
Minimum Rents
|
|
March 31, 2020
|
||
2020 (April - December)
|
|
$
|
1,903
|
|
2021
|
|
2,568
|
|
|
2022
|
|
2,607
|
|
|
2023
|
|
2,646
|
|
|
2024
|
|
2,686
|
|
|
2025 and beyond
|
|
36,894
|
|
|
Total minimum rent
|
|
$
|
49,304
|
|
Amortization Expense
|
|
March 31, 2020
|
||
2020 (April - December)
|
|
$
|
(619
|
)
|
2021
|
|
(825
|
)
|
|
2022
|
|
(825
|
)
|
|
2023
|
|
(825
|
)
|
|
2024
|
|
(825
|
)
|
|
|
|
|
|
|
|
|
Weighted Average
|
|||||||||
Counterparty
|
|
Amount Outstanding
|
|
Accrued Interest
|
|
Collateral Pledged (1)
|
|
Interest Rate
|
|
Days to Maturity
|
|||||||
As of March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|||||||
JP Morgan Securities LLC
|
|
$
|
159,879
|
|
|
$
|
595
|
|
|
$
|
202,688
|
|
|
2.21
|
%
|
|
11
|
Wells Fargo Securities, LLC
|
|
159,924
|
|
|
955
|
|
|
190,623
|
|
|
2.32
|
%
|
|
12
|
|||
Barclays Capital Inc.
|
|
79,047
|
|
|
365
|
|
|
106,965
|
|
|
2.28
|
%
|
|
17
|
|||
Citigroup Global Markets, Inc.
|
|
98,030
|
|
|
653
|
|
|
109,500
|
|
|
2.60
|
%
|
|
16
|
|||
Total/Weighted Average
|
|
$
|
496,880
|
|
|
$
|
2,568
|
|
|
$
|
609,776
|
|
|
2.33
|
%
|
|
13
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
As of December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|||||||
JP Morgan Securities LLC
|
|
$
|
83,353
|
|
|
$
|
124
|
|
|
$
|
93,500
|
|
|
2.53
|
%
|
|
20
|
Wells Fargo Securities, LLC
|
|
$
|
178,304
|
|
|
$
|
1,199
|
|
|
$
|
209,873
|
|
|
2.94
|
%
|
|
11
|
Barclays Capital Inc.
|
|
$
|
40,720
|
|
|
$
|
221
|
|
|
$
|
47,475
|
|
|
2.81
|
%
|
|
23
|
Citigroup Global Markets, Inc.
|
|
91,982
|
|
|
413
|
|
|
103,453
|
|
|
2.69
|
%
|
|
19
|
|||
Total/Weighted Average
|
|
$
|
394,359
|
|
|
$
|
1,957
|
|
|
$
|
454,301
|
|
|
2.79
|
%
|
|
16
|
CLO Facility
|
|
Tranche
|
|
Par Value Issued
|
|
Par Value Outstanding (1)
|
|
Interest Rate
|
|
Maturity Date
|
||||
2018-FL3 Issuer
|
|
Tranche A
|
|
$
|
286,700
|
|
|
$
|
275,800
|
|
|
1M LIBOR + 105
|
|
10/15/2034
|
2018-FL3 Issuer
|
|
Tranche A-S
|
|
77,775
|
|
|
77,775
|
|
|
1M LIBOR + 135
|
|
10/15/2034
|
||
2018-FL3 Issuer
|
|
Tranche B
|
|
41,175
|
|
|
41,175
|
|
|
1M LIBOR + 165
|
|
10/15/2034
|
||
2018-FL3 Issuer
|
|
Tranche C
|
|
39,650
|
|
|
39,650
|
|
|
1M LIBOR + 255
|
|
10/15/2034
|
||
2018-FL3 Issuer
|
|
Tranche D
|
|
42,700
|
|
|
42,700
|
|
|
1M LIBOR + 345
|
|
10/15/2034
|
||
2018-FL4 Issuer
|
|
Tranche A
|
|
416,827
|
|
|
416,827
|
|
|
1M LIBOR + 105
|
|
9/15/2035
|
||
2018-FL4 Issuer
|
|
Tranche A-S
|
|
73,813
|
|
|
73,813
|
|
|
1M LIBOR + 130
|
|
9/15/2035
|
||
2018-FL4 Issuer
|
|
Tranche B
|
|
56,446
|
|
|
56,446
|
|
|
1M LIBOR + 160
|
|
9/15/2035
|
||
2018-FL4 Issuer
|
|
Tranche C
|
|
68,385
|
|
|
68,385
|
|
|
1M LIBOR + 210
|
|
9/15/2035
|
||
2018-FL4 Issuer
|
|
Tranche D
|
|
57,531
|
|
|
57,531
|
|
|
1M LIBOR + 275
|
|
9/15/2035
|
||
2019-FL5 Issuer
|
|
Tranche A
|
|
407,025
|
|
|
407,025
|
|
|
1M LIBOR + 115
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche A-S
|
|
76,950
|
|
|
76,950
|
|
|
1M LIBOR + 148
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche B
|
|
50,000
|
|
|
50,000
|
|
|
1M LIBOR + 140
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche C
|
|
61,374
|
|
|
61,374
|
|
|
1M LIBOR + 200
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche D
|
|
48,600
|
|
|
5,000
|
|
|
1M LIBOR + 240
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche E
|
|
20,250
|
|
|
3,000
|
|
|
1M LIBOR + 285
|
|
5/15/2029
|
||
|
|
|
|
$
|
1,825,201
|
|
|
$
|
1,753,451
|
|
|
|
|
|
CLO Facility
|
|
Tranche
|
|
Par Value Issued
|
|
Par Value Outstanding (1)
|
|
Interest Rate
|
|
Maturity Date
|
||||
2017-FL2 Issuer
|
|
Tranche A
|
|
$
|
237,970
|
|
|
$
|
—
|
|
|
1M LIBOR + 82
|
|
10/15/2034
|
2017-FL2 Issuer
|
|
Tranche A-S
|
|
36,357
|
|
|
—
|
|
|
1M LIBOR + 110
|
|
10/15/2034
|
||
2017-FL2 Issuer
|
|
Tranche B
|
|
26,441
|
|
|
—
|
|
|
1M LIBOR + 140
|
|
10/15/2034
|
||
2017-FL2 Issuer
|
|
Tranche C
|
|
25,339
|
|
|
—
|
|
|
1M LIBOR + 215
|
|
10/15/2034
|
||
2017-FL2 Issuer
|
|
Tranche D
|
|
35,255
|
|
|
21,444
|
|
|
1M LIBOR + 345
|
|
10/15/2034
|
||
2018-FL3 Issuer
|
|
Tranche A
|
|
286,700
|
|
|
286,700
|
|
|
1M LIBOR + 105
|
|
10/15/2034
|
||
2018-FL3 Issuer
|
|
Tranche A-S
|
|
77,775
|
|
|
77,775
|
|
|
1M LIBOR + 135
|
|
10/15/2034
|
||
2018-FL3 Issuer
|
|
Tranche B
|
|
41,175
|
|
|
41,175
|
|
|
1M LIBOR + 165
|
|
10/15/2034
|
||
2018-FL3 Issuer
|
|
Tranche C
|
|
39,650
|
|
|
39,650
|
|
|
1M LIBOR + 255
|
|
10/15/2034
|
||
2018-FL3 Issuer
|
|
Tranche D
|
|
42,700
|
|
|
42,700
|
|
|
1M LIBOR + 345
|
|
10/15/2034
|
||
2018-FL4 Issuer
|
|
Tranche A
|
|
416,827
|
|
|
416,827
|
|
|
1M LIBOR + 105
|
|
9/15/2035
|
||
2018-FL4 Issuer
|
|
Tranche A-S
|
|
73,813
|
|
|
73,813
|
|
|
1M LIBOR + 130
|
|
9/15/2035
|
||
2018-FL4 Issuer
|
|
Tranche B
|
|
56,446
|
|
|
56,446
|
|
|
1M LIBOR + 160
|
|
9/15/2035
|
||
2018-FL4 Issuer
|
|
Tranche C
|
|
68,385
|
|
|
68,385
|
|
|
1M LIBOR + 210
|
|
9/15/2035
|
||
2018-FL4 Issuer
|
|
Tranche D
|
|
57,531
|
|
|
57,531
|
|
|
1M LIBOR + 275
|
|
9/15/2035
|
||
2019-FL5 Issuer
|
|
Tranche A
|
|
407,025
|
|
|
407,025
|
|
|
1M LIBOR + 115
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche A-S
|
|
76,950
|
|
|
76,950
|
|
|
1M LIBOR + 148
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche B
|
|
50,000
|
|
|
50,000
|
|
|
1M LIBOR + 140
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche C
|
|
61,374
|
|
|
61,374
|
|
|
1M LIBOR + 200
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche D
|
|
48,600
|
|
|
24,300
|
|
|
1M LIBOR + 240
|
|
5/15/2029
|
||
2019-FL5 Issuer
|
|
Tranche E
|
|
20,250
|
|
|
20,250
|
|
|
1M LIBOR + 285
|
|
5/15/2029
|
||
|
|
|
|
$
|
2,186,563
|
|
|
$
|
1,822,345
|
|
|
|
|
|
Assets (dollars in thousands)
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Cash (1)
|
|
$
|
28,680
|
|
|
$
|
89,946
|
|
Commercial mortgage loans, held for investment, net (2)
|
|
2,235,406
|
|
|
2,294,663
|
|
||
Accrued interest receivable
|
|
10,522
|
|
|
6,254
|
|
||
Total Assets
|
|
$
|
2,274,608
|
|
|
$
|
2,390,863
|
|
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
||||
Notes payable (3)(4)
|
|
$
|
2,006,137
|
|
|
$
|
2,064,601
|
|
Accrued interest payable
|
|
1,659
|
|
|
2,576
|
|
||
Total Liabilities
|
|
$
|
2,007,796
|
|
|
$
|
2,067,177
|
|
|
Three Months Ended March 31,
|
||||||
Numerator
|
2020
|
|
2019
|
||||
Net income/(Loss)
|
$
|
(7,400
|
)
|
|
$
|
19,890
|
|
Less: Preferred stock dividends
|
4,515
|
|
|
3,320
|
|
||
Less: Undistributed earnings allocated to preferred stock
|
—
|
|
|
462
|
|
||
Net income/(Loss) attributable to common shareholders (for basic and diluted earnings per share)
|
(11,915
|
)
|
|
16,108
|
|
||
|
|
|
|
||||
Denominator
|
|
|
|
||||
Weighted-average common shares outstanding for basic earnings per share
|
44,263,334
|
|
|
39,798,215
|
|
||
Effect of dilutive shares:
|
|
|
|
||||
Unvested restricted shares
|
11,518
|
|
|
13,089
|
|
||
Weighted-average common shares outstanding for diluted earnings per share
|
44,274,852
|
|
|
39,811,304
|
|
||
|
|
|
|
|
|
||
Basic earnings per share
|
$
|
(0.27
|
)
|
|
$
|
0.40
|
|
Diluted earnings per share
|
$
|
(0.27
|
)
|
|
$
|
0.40
|
|
Series A Preferred Stock
|
|
Shares
|
|
Amount
|
|||
Balance, December 31, 2019
|
|
40,500
|
|
|
$
|
202,144
|
|
Issuance of Preferred Stock, net of offering cost
|
|
14
|
|
|
70
|
|
|
Dividends paid in Preferred Stock
|
|
—
|
|
|
2
|
|
|
Offering Costs
|
|
—
|
|
|
(5
|
)
|
|
Amortization of offering costs
|
|
—
|
|
|
24
|
|
|
Ending Balance, March 31, 2020
|
|
40,514
|
|
|
$
|
202,235
|
|
|
|
|
|
|
|||
|
|
Shares
|
|
Amount
|
|||
Balance, December 31, 2018
|
|
29,249
|
|
|
$
|
145,786
|
|
Issuance of Preferred Stock
|
|
2,996
|
|
|
14,979
|
|
|
Amortization of offering costs
|
|
—
|
|
|
25
|
|
|
Ending Balance, March 31, 2019
|
|
32,245
|
|
|
$
|
160,790
|
|
Series C Preferred Stock
|
|
Shares
|
|
Amount
|
|||
Balance, December 31, 2019
|
|
1,400
|
|
|
$
|
6,966
|
|
Issuance of Preferred Stock, net of offering cost
|
|
—
|
|
|
—
|
|
|
Dividends paid in Preferred Stock
|
|
—
|
|
|
—
|
|
|
Offering Costs
|
|
—
|
|
|
(5
|
)
|
|
Amortization of offering costs
|
|
—
|
|
|
1
|
|
|
Ending Balance, March 31, 2020
|
|
1,400
|
|
|
$
|
6,962
|
|
|
Number of Requests
|
|
Number of Shares Repurchased
|
|
Average Price per Share
|
||||
Cumulative as of December 31, 2019
|
5,878
|
|
|
3,542,267
|
|
|
$
|
20.23
|
|
January 1 - January 31, 2020(1)
|
1,170
|
|
|
361,829
|
|
|
18.56
|
|
|
February 1 - February 28, 2020
|
—
|
|
|
—
|
|
|
N/A
|
|
|
March 1 - March 31, 2020
|
—
|
|
|
—
|
|
|
N/A
|
|
|
Cumulative as of March 31, 2020
|
7,048
|
|
|
3,904,096
|
|
|
$
|
20.08
|
|
Funding Expiration
|
March 31, 2020
|
|
December 31, 2019
|
||||
2020
|
$
|
62,515
|
|
|
$
|
90,519
|
|
2021
|
78,497
|
|
|
100,861
|
|
||
2022
|
64,972
|
|
|
56,863
|
|
||
2023
|
68,664
|
|
|
8,637
|
|
||
2024 and beyond
|
5,450
|
|
|
5,450
|
|
||
|
$
|
280,098
|
|
|
$
|
262,330
|
|
|
Three Months Ended
March 31,
|
|
Payable as of
|
||||||||||||
|
2020
|
|
2019
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||
Acquisition expenses (1)
|
$
|
142
|
|
|
$
|
248
|
|
|
$
|
1
|
|
|
$
|
225
|
|
Administrative services expenses
|
4,112
|
|
|
3,963
|
|
|
4,392
|
|
|
1,238
|
|
||||
Asset management and subordinated performance fee
|
3,912
|
|
|
3,644
|
|
|
5,901
|
|
|
3,326
|
|
||||
Other related party expenses (2)(3)
|
582
|
|
|
265
|
|
|
3,744
|
|
|
—
|
|
||||
Total related party fees and reimbursements
|
$
|
8,748
|
|
|
$
|
8,120
|
|
|
$
|
14,038
|
|
|
$
|
4,789
|
|
•
|
Level I - Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities at the measurement date.
|
•
|
Level II - Inputs (other than quoted prices included in Level I) are either directly or indirectly observable for the asset or liability through correlation with market data at the measurement date and for the duration of the instrument’s anticipated life.
|
•
|
Level III - Unobservable inputs that reflect the entity's own assumptions about the assumptions that market participants would use in the pricing of the asset or liability and are consequently not based on market activity, but rather through particular valuation techniques.
|
|
Total
|
|
Level I
|
|
Level II
|
|
Level III
|
||||||||
March 31, 2020
|
|
|
|
|
|
|
|
||||||||
Real estate securities, available for sale, measured at fair value
|
$
|
441,160
|
|
|
$
|
—
|
|
|
$
|
441,160
|
|
|
$
|
—
|
|
Commercial mortgage loans, held-for-sale, measured at fair value
|
91,813
|
|
|
—
|
|
|
—
|
|
|
91,813
|
|
||||
Other real estate investments, measured at fair value
|
2,496
|
|
|
—
|
|
|
—
|
|
|
2,496
|
|
||||
Credit default swaps
|
1,173
|
|
|
—
|
|
|
1,173
|
|
|
—
|
|
||||
Interest rate swaps
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Total assets, at fair value
|
$
|
536,642
|
|
|
$
|
—
|
|
|
$
|
442,333
|
|
|
$
|
94,309
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities, at fair value
|
|
|
|
|
|
|
|
||||||||
Credit default swaps
|
$
|
4,016
|
|
|
$
|
—
|
|
|
$
|
4,016
|
|
|
$
|
—
|
|
Interest rate swaps
|
1,512
|
|
|
—
|
|
|
1,512
|
|
|
—
|
|
||||
Treasury note futures
|
—
|
|
|
—
|
|
|
—
|
|
|
$
|
—
|
|
|||
Total liabilities, at fair value
|
$
|
5,528
|
|
|
$
|
—
|
|
|
$
|
5,528
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2019
|
|
|
|
|
|
|
|
||||||||
Real estate securities, available for sale, measured at fair value
|
$
|
386,316
|
|
|
$
|
—
|
|
|
$
|
386,316
|
|
|
$
|
—
|
|
Commercial mortgage loans, held-for-sale, measured at fair value
|
112,562
|
|
|
—
|
|
|
—
|
|
|
112,562
|
|
||||
Other real estate investments, measured at fair value
|
2,557
|
|
|
—
|
|
|
—
|
|
|
2,557
|
|
||||
Credit default swaps
|
59
|
|
|
—
|
|
|
59
|
|
|
—
|
|
||||
Interest rate swaps
|
325
|
|
|
—
|
|
|
325
|
|
|
—
|
|
||||
Treasury Note Futures
|
735
|
|
|
735
|
|
|
—
|
|
|
—
|
|
||||
Total assets, at fair value
|
$
|
502,554
|
|
|
$
|
735
|
|
|
$
|
386,700
|
|
|
$
|
115,119
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities, at fair value
|
|
|
|
|
|
|
|
||||||||
Credit Default Swaps
|
$
|
1,581
|
|
|
$
|
—
|
|
|
$
|
1,581
|
|
|
$
|
—
|
|
Total liabilities, at fair value
|
$
|
1,581
|
|
|
$
|
—
|
|
|
$
|
1,581
|
|
|
$
|
—
|
|
Asset Category
|
Fair Value
|
|
Valuation Methodologies
|
|
Unobservable Inputs (1)
|
|
Weighted Average (2)
|
|
Range
|
March 31, 2020
|
|
|
|
|
|
|
|
|
|
Commercial mortgage loans, held-for-sale, measured at fair value
|
$91,813
|
|
Discounted Cash Flow
|
|
Yield
|
|
4.2%
|
|
2.4% - 5.6%
|
Other real estate investments, measured at fair value
|
2,496
|
|
Discounted Cash Flow
|
|
Yield
|
|
13.4%
|
|
12.4% - 14.4%
|
|
|
|
|
|
|
|
|
|
|
December 31, 2019
|
|
|
|
|
|
|
|
|
|
Commercial mortgage loans, held-for-sale, measured at fair value
|
$112,562
|
|
Discounted Cash Flow
|
|
Yield
|
|
4.9%
|
|
4.7% - 5.2%
|
Other real estate investments, measured at fair value
|
2,557
|
|
Discounted Cash Flow
|
|
Yield
|
|
12.4%
|
|
11.4% - 13.4%
|
|
|
March 31, 2020
|
||||||
|
|
Commercial Mortgage Loans, held-for-sale, measured at fair value
|
|
Other Real Estate Investments, measured at fair value
|
||||
Beginning balance, January 1, 2020
|
|
$
|
112,562
|
|
|
$
|
2,557
|
|
Transfers into Level III
|
|
—
|
|
|
—
|
|
||
Total realized and unrealized gain (loss) included in earnings:
|
|
|
|
|
||||
Realized gain (loss) on sale of commercial mortgage loans held-for-sale
|
|
9,404
|
|
|
—
|
|
||
Unrealized gain (loss) on commercial mortgage loans held-for-sale and other real estate investments
|
|
(1,934
|
)
|
|
(61
|
)
|
||
Net accretion
|
|
—
|
|
|
—
|
|
||
Purchases
|
|
119,349
|
|
|
—
|
|
||
Sales / paydowns
|
|
(147,568
|
)
|
|
—
|
|
||
Cash repayments/receipts
|
|
—
|
|
|
—
|
|
||
Transfers out of Level III
|
|
—
|
|
|
—
|
|
||
Ending Balance, March 31, 2020
|
|
$
|
91,813
|
|
|
$
|
2,496
|
|
|
|
|
|
|
||||
|
|
December 31, 2019
|
||||||
|
|
Commercial Mortgage Loans, held-for-sale, measured at fair value
|
|
Other Real Estate Investments, measured at fair value
|
||||
Beginning balance, January 1, 2019
|
|
$
|
76,863
|
|
|
$
|
—
|
|
Transfers into Level III
|
|
—
|
|
|
—
|
|
||
Total realized and unrealized gain (loss) included in earnings:
|
|
|
|
|
||||
Realized gain (loss) on sale of real estate securities
|
|
37,832
|
|
|
—
|
|
||
Realized gain (loss) on sale of commercial mortgage loan held-for-sale
|
|
—
|
|
|
—
|
|
||
Unrealized gain (loss) on commercial mortgage loans held-for-sale
|
|
312
|
|
|
47
|
|
||
Net accretion
|
|
—
|
|
|
—
|
|
||
Purchases
|
|
1,015,677
|
|
|
2,510
|
|
||
Sales / paydowns
|
|
(1,008,050
|
)
|
|
—
|
|
||
Cash repayments/receipts
|
|
—
|
|
|
—
|
|
||
Transfers out of Level III
|
|
(10,072
|
)
|
|
—
|
|
||
Ending Balance, December 31, 2019
|
|
$
|
112,562
|
|
|
$
|
2,557
|
|
|
|
|
Level
|
|
Carrying Amount (1)(2)
|
|
Fair Value
|
||||
March 31, 2020
|
|
|
|
|
|
|
|
||||
Commercial mortgage loans, held for investment
|
Asset
|
|
III
|
|
$
|
2,672,300
|
|
|
$
|
2,673,611
|
|
Collateralized loan obligations
|
Liability
|
|
III
|
|
1,739,009
|
|
|
1,610,761
|
|
||
Mortgage Note Payable
|
Liability
|
|
III
|
|
40,167
|
|
|
40,167
|
|
||
December 31, 2019
|
|
|
|
|
|
|
|
||||
Commercial mortgage loans, held for investment
|
Asset
|
|
III
|
|
$
|
2,762,963
|
|
|
$
|
2,784,650
|
|
Collateralized loan obligations
|
Liability
|
|
III
|
|
1,803,185
|
|
|
1,822,386
|
|
||
Mortgage Note Payable
|
Liability
|
|
III
|
|
29,167
|
|
|
29,167
|
|
|
|
|
|
Fair Value
|
||||||||
Contract type
|
|
Notional
|
|
Assets
|
|
Liabilities
|
||||||
March 31, 2020
|
|
|
|
|
|
|
||||||
Credit default swaps
|
|
$
|
55,000
|
|
|
$
|
1,173
|
|
|
$
|
—
|
|
Interest rate swaps
|
|
67,489
|
|
|
—
|
|
|
4,016
|
|
|||
Treasury note futures
|
|
30,000
|
|
|
—
|
|
|
1,512
|
|
|||
Total
|
|
$
|
152,489
|
|
|
$
|
1,173
|
|
|
$
|
5,528
|
|
|
|
|
|
|
|
|
||||||
December 31, 2019
|
|
|
|
|
|
|
||||||
Credit default swaps
|
|
$
|
94,300
|
|
|
$
|
59
|
|
|
$
|
1,581
|
|
Interest rate swaps
|
|
42,546
|
|
|
325
|
|
|
—
|
|
|||
Treasury note futures
|
|
74,000
|
|
|
735
|
|
|
—
|
|
|||
Total
|
|
$
|
210,846
|
|
|
$
|
1,119
|
|
|
$
|
1,581
|
|
|
Three Months Ended March 31, 2020
|
|
Three Months Ended March 31, 2019
|
||||||||||||
Contract type
|
Unrealized
(Gain)/Loss
|
|
Realized
(Gain)/Loss
|
|
Unrealized
(Gain)/Loss
|
|
Realized
(Gain)/Loss
|
||||||||
Credit default swaps
|
$
|
(1,752
|
)
|
|
$
|
61
|
|
|
$
|
112
|
|
|
$
|
1,378
|
|
Interest rate swaps
|
4,340
|
|
|
2,946
|
|
|
1,197
|
|
|
(415
|
)
|
||||
Treasury note futures
|
2,248
|
|
|
3,627
|
|
|
(243
|
)
|
|
350
|
|
||||
Options
|
—
|
|
|
35
|
|
|
|
|
145
|
|
|||||
Total
|
$
|
4,836
|
|
|
$
|
6,669
|
|
|
$
|
1,066
|
|
|
$
|
1,458
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset on the Balance Sheet
|
|
||||||||||||||||
Assets
|
|
Gross Amounts of Recognized Assets
|
|
Gross Amounts Offset on the Balance Sheet
|
|
Net Amount of Assets Presented on the Balance Sheet
|
|
Financial Instruments
|
|
Cash Collateral(1)
|
|
Net Amount
|
||||||||||||
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative instruments, at fair value
|
|
$
|
1,173
|
|
|
$
|
—
|
|
|
$
|
1,173
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,173
|
|
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative instruments, at fair value
|
|
$
|
1,119
|
|
|
$
|
—
|
|
|
$
|
1,119
|
|
|
$
|
—
|
|
|
$
|
10,895
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not Offset on the Balance Sheet
|
|
|
||||||||||||||
Liabilities
|
|
Gross Amounts of Recognized Liabilities
|
|
Gross Amounts Offset on the Balance Sheet
|
|
Net Amount of Liabilities Presented on the Balance Sheet
|
|
Financial Instruments
|
|
Cash Collateral(1)
|
|
Net Amount
|
||||||||||||
March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Repurchase agreements - commercial mortgage loans
|
|
$
|
234,524
|
|
|
$
|
—
|
|
|
$
|
234,524
|
|
|
$
|
370,760
|
|
|
$
|
5,015
|
|
|
$
|
—
|
|
Repurchase agreements - real estate securities
|
|
$
|
496,880
|
|
|
$
|
—
|
|
|
$
|
496,880
|
|
|
$
|
609,776
|
|
|
$
|
76,157
|
|
|
$
|
—
|
|
Derivative instruments, at fair value
|
|
$
|
5,528
|
|
|
$
|
—
|
|
|
$
|
5,528
|
|
|
|
|
$
|
8,584
|
|
|
$
|
—
|
|
||
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Repurchase agreements - commercial mortgage loans
|
|
$
|
252,543
|
|
|
$
|
—
|
|
|
$
|
252,543
|
|
|
$
|
394,229
|
|
|
$
|
5,011
|
|
|
$
|
—
|
|
Repurchase agreements - real estate securities
|
|
$
|
394,359
|
|
|
$
|
—
|
|
|
$
|
394,359
|
|
|
$
|
455,301
|
|
|
$
|
1,657
|
|
|
$
|
—
|
|
Derivative instruments, at fair value
|
|
$
|
1,581
|
|
|
$
|
—
|
|
|
$
|
1,581
|
|
|
$
|
—
|
|
|
$
|
3,679
|
|
|
$
|
—
|
|
•
|
The real estate debt, real estate owned and other real estate investments business focuses on originating, acquiring and asset managing commercial real estate debt and equity investments, including first mortgage loans, subordinate mortgages, mezzanine loans and participations in such loans and other real estate investments.
|
•
|
The real estate securities business focuses on investing in and asset managing commercial real estate securities primarily consisting of CMBS and may include unsecured REIT debt, CDO notes and other securities.
|
•
|
The commercial real estate conduit business operated through the Company's TRS, which is focused on generating risk-adjusted returns by originating and subsequently selling fixed-rate commercial real estate loans into the CMBS securitization market at a profit.
|
•
|
The real estate owned business represents real estate acquired by the Company through foreclosure, deed in lieu of foreclosure, or purchase
|
Three Months Ended March 31, 2020
|
|
Total
|
|
Real Estate Debt and Other Real Estate Investments
|
|
Real Estate Securities
|
|
TRS
|
|
Real Estate Owned
|
||||||||||
Interest income
|
|
$
|
47,854
|
|
|
$
|
43,369
|
|
|
$
|
3,295
|
|
|
$
|
1,190
|
|
|
$
|
—
|
|
Revenue from real estate owned
|
|
1,629
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,629
|
|
|||||
Interest expense
|
|
24,492
|
|
|
21,708
|
|
|
1,807
|
|
|
693
|
|
|
284
|
|
|||||
Net income/(loss)
|
|
(7,400
|
)
|
|
(1,183
|
)
|
|
1,050
|
|
|
(5,982
|
)
|
|
(1,285
|
)
|
|||||
Total assets as of March 31, 2020
|
|
3,501,885
|
|
|
2,775,939
|
|
|
519,916
|
|
|
132,694
|
|
|
73,336
|
|
|||||
Three Months Ended March 31, 2019
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest income
|
|
$
|
46,511
|
|
|
$
|
43,634
|
|
|
$
|
507
|
|
|
$
|
2,370
|
|
|
$
|
—
|
|
Revenue from real estate owned
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Interest expense
|
|
20,366
|
|
|
18,743
|
|
|
498
|
|
|
1,125
|
|
|
—
|
|
|||||
Net income/(loss)
|
|
19,890
|
|
|
14,725
|
|
|
9
|
|
|
5,156
|
|
|
—
|
|
|||||
Total assets as of December 31, 2019
|
|
3,540,620
|
|
|
2,964,233
|
|
|
388,170
|
|
|
131,193
|
|
|
57,024
|
|
•
|
our business and investment strategy;
|
•
|
our ability to make investments in a timely manner or on acceptable terms;
|
•
|
the impact of the COVID-19 pandemic;
|
•
|
current credit market conditions and our ability to obtain long-term financing for our investments in a timely manner and on terms that are consistent with what we project when we invest;
|
•
|
the effect of general market, real estate market, economic and political conditions, including the recent economic slowdown and dislocation in the global credit markets;
|
•
|
our ability to make scheduled payments on our debt obligations;
|
•
|
our ability to generate sufficient cash flows to make distributions to our stockholders;
|
•
|
our ability to generate sufficient debt and equity capital to fund additional investments
|
•
|
our ability to refinance our existing financing arrangements;
|
•
|
the degree and nature of our competition;
|
•
|
the availability of qualified personnel;
|
•
|
we may be deemed to be an investment company under the Investment Company Act of 1940, as amended (the "Investment Company Act"), and thus subject to regulation under the Investment Company Act; and
|
•
|
our ability to maintain our qualification as a real estate investment trust ("REIT"); and
|
•
|
other factors set forth under the caption "Risk Factors" in our Annual Report on Form 10-K/A for the year ended December 31, 2019.
|
Type
|
Property Type
|
Par Value
|
Interest Rate (1)
|
Effective Yield
|
Loan to Value (2)
|
Senior Debt 1
|
Retail
|
$9,450
|
1 month LIBOR + 4.50%
|
5.5%
|
69.2%
|
Senior Debt 2
|
Office
|
10,700
|
1 month LIBOR + 4.65%
|
5.6%
|
70.8%
|
Senior Debt 3
|
Industrial
|
33,655
|
1 month LIBOR + 4.00%
|
5.0%
|
65.0%
|
Senior Debt 4
|
Mixed Use
|
12,953
|
1 month LIBOR + 5.00%
|
6.0%
|
73.3%
|
Senior Debt 5
|
Office
|
14,080
|
1 month LIBOR + 4.45%
|
5.4%
|
64.2%
|
Senior Debt 6
|
Office
|
10,506
|
1 month LIBOR + 6.00%
|
7.0%
|
74.0%
|
Senior Debt 7
|
Multifamily
|
37,812
|
1 month LIBOR + 3.35%
|
4.3%
|
76.0%
|
Senior Debt 8
|
Office
|
27,574
|
1 month LIBOR + 4.15%
|
5.1%
|
69.5%
|
Senior Debt 9
|
Multifamily
|
34,875
|
1 month LIBOR + 3.75%
|
4.7%
|
71.2%
|
Senior Debt 10
|
Hospitality
|
10,600
|
1 month LIBOR + 5.00%
|
6.0%
|
61.6%
|
Senior Debt 11
|
Hospitality
|
5,921
|
1 month LIBOR + 3.50%
|
4.5%
|
77.0%
|
Senior Debt 12
|
Multifamily
|
18,985
|
1 month LIBOR + 3.62%
|
4.6%
|
69.5%
|
Senior Debt 13
|
Hospitality
|
57,075
|
1 month LIBOR + 5.19%
|
6.2%
|
51.8%
|
Senior Debt 14
|
Multifamily
|
65,036
|
1 month LIBOR + 4.50%
|
5.5%
|
22.4%
|
Senior Debt 15
|
Hospitality
|
10,250
|
1 month LIBOR + 5.25%
|
6.2%
|
60.7%
|
Senior Debt 16
|
Hospitality
|
23,000
|
1 month LIBOR + 4.66%
|
5.7%
|
48.1%
|
Senior Debt 17
|
Multifamily
|
19,280
|
1 month LIBOR + 3.60%
|
4.6%
|
80.5%
|
Senior Debt 18
|
Office
|
24,426
|
1 month LIBOR + 4.65%
|
5.6%
|
56.4%
|
Senior Debt 19
|
Hospitality
|
21,000
|
1 month LIBOR + 4.00%
|
5.0%
|
54.8%
|
Senior Debt 20
|
Multifamily
|
20,741
|
1 month LIBOR + 4.25%
|
5.2%
|
75.0%
|
Senior Debt 21
|
Multifamily
|
42,000
|
1 month LIBOR + 3.70%
|
4.7%
|
63.7%
|
Senior Debt 22
|
Hospitality
|
28,272
|
1 month LIBOR + 4.00%
|
5.0%
|
68.0%
|
Senior Debt 23
|
Hospitality
|
22,018
|
1 month LIBOR + 4.40%
|
5.4%
|
72.7%
|
Senior Debt 24
|
Multifamily
|
34,788
|
1 month LIBOR + 3.00%
|
4.0%
|
83.6%
|
Senior Debt 25
|
Self Storage
|
4,120
|
1 month LIBOR + 4.05%
|
5.0%
|
45.5%
|
Senior Debt 26
|
Self Storage
|
6,496
|
1 month LIBOR + 4.05%
|
5.0%
|
55.8%
|
Senior Debt 27
|
Self Storage
|
7,606
|
1 month LIBOR + 4.05%
|
5.0%
|
57.6%
|
Senior Debt 28
|
Self Storage
|
2,400
|
1 month LIBOR + 4.05%
|
5.0%
|
37.6%
|
Senior Debt 29
|
Self Storage
|
6,310
|
1 month LIBOR + 5.05%
|
6.0%
|
59.1%
|
Senior Debt 30
|
Multifamily
|
22,775
|
1 month LIBOR + 3.15%
|
4.1%
|
79.7%
|
Senior Debt 31
|
Multifamily
|
11,590
|
1 month LIBOR + 3.75%
|
4.7%
|
85.9%
|
Senior Debt 32
|
Multifamily
|
66,000
|
1 month LIBOR + 3.75%
|
4.7%
|
76.8%
|
Senior Debt 33
|
Multifamily
|
17,250
|
1 month LIBOR + 3.95%
|
4.9%
|
70.0%
|
Senior Debt 34
|
Hospitality
|
22,355
|
1 month LIBOR + 3.50%
|
4.5%
|
68.8%
|
Senior Debt 35
|
Mixed Use
|
52,088
|
1 month LIBOR + 4.87%
|
5.9%
|
49.0%
|
Senior Debt 36
|
Multifamily
|
12,007
|
1 month LIBOR + 3.50%
|
4.5%
|
74.6%
|
Senior Debt 37
|
Multifamily
|
18,000
|
1 month LIBOR + 3.30%
|
4.3%
|
83.1%
|
Senior Debt 38
|
Office
|
22,000
|
1 month LIBOR + 3.75%
|
4.7%
|
70.0%
|
Senior Debt 39
|
Office
|
45,259
|
1 month LIBOR + 4.23%
|
5.2%
|
59.6%
|
Senior Debt 40
|
Self Storage
|
6,600
|
1 month LIBOR + 6.00%
|
7.0%
|
58.9%
|
Senior Debt 41
|
Multifamily
|
7,250
|
1 month LIBOR + 4.00%
|
5.0%
|
75.6%
|
Senior Debt 42
|
Multifamily
|
116,574
|
1 month LIBOR + 3.10%
|
4.1%
|
79.1%
|
Senior Debt 43
|
Office
|
13,551
|
1 month LIBOR + 3.40%
|
4.4%
|
67.5%
|
Senior Debt 44
|
Retail
|
29,500
|
6.25%
|
6.3%
|
68.5%
|
Senior Debt 45
|
Multifamily
|
25,500
|
1 month LIBOR + 3.50%
|
4.5%
|
73.3%
|
Senior Debt 46
|
Self Storage
|
12,125
|
1 month LIBOR + 5.50%
|
6.5%
|
68.1%
|
Senior Debt 47
|
Office
|
38,067
|
1 month LIBOR + 3.74%
|
4.7%
|
62.4%
|
Senior Debt 48
|
Multifamily
|
15,303
|
1 month LIBOR + 3.15%
|
4.1%
|
80.3%
|
Senior Debt 49
|
Multifamily
|
21,675
|
1 month LIBOR + 3.40%
|
4.4%
|
80.5%
|
Senior Debt 50
|
Multifamily
|
29,900
|
1 month LIBOR + 3.35%
|
4.3%
|
73.0%
|
Senior Debt 51
|
Multifamily
|
39,661
|
1 month LIBOR + 3.10%
|
4.1%
|
75.5%
|
Senior Debt 52
|
Self Storage
|
17,400
|
1 month LIBOR + 4.00%
|
5.0%
|
69.5%
|
Senior Debt 53
|
Multifamily
|
10,020
|
1 month LIBOR + 3.45%
|
4.4%
|
76.8%
|
Type
|
Property Type
|
Par Value
|
Interest Rate (1)
|
Effective Yield
|
Loan to Value (2)
|
Senior Debt 54
|
Multifamily
|
67,980
|
1 month LIBOR + 3.45%
|
4.4%
|
76.3%
|
Senior Debt 55
|
Land
|
16,400
|
1 month LIBOR + 6.00%
|
7.0%
|
45.7%
|
Senior Debt 56
|
Hospitality
|
8,595
|
1 month LIBOR + 4.80%
|
5.8%
|
62.5%
|
Senior Debt 57
|
Retail
|
14,500
|
1 month LIBOR + 4.75%
|
5.7%
|
53.5%
|
Senior Debt 58
|
Industrial
|
11,357
|
1 month LIBOR + 3.95%
|
4.9%
|
66.4%
|
Senior Debt 59
|
Multifamily
|
48,500
|
1 month LIBOR + 3.75%
|
4.7%
|
69.5%
|
Senior Debt 60
|
Multifamily
|
32,388
|
1 month LIBOR + 3.25%
|
4.2%
|
73.8%
|
Senior Debt 61
|
Multifamily
|
54,057
|
1 month LIBOR + 5.70%
|
6.7%
|
70.7%
|
Senior Debt 62
|
Office
|
7,200
|
1 month LIBOR + 3.90%
|
4.9%
|
67.6%
|
Senior Debt 63
|
Hospitality
|
10,000
|
1 month LIBOR + 4.95%
|
5.9%
|
69.0%
|
Senior Debt 64
|
Manufactured Housing
|
8,611
|
1 month LIBOR + 3.90%
|
4.9%
|
60.3%
|
Senior Debt 65
|
Hospitality
|
9,747
|
1 month LIBOR + 3.44%
|
4.4%
|
44.8%
|
Senior Debt 66
|
Retail
|
14,250
|
1 month LIBOR + 3.95%
|
4.9%
|
61.2%
|
Senior Debt 67
|
Hospitality
|
21,000
|
1 month LIBOR + 4.14%
|
5.1%
|
56.0%
|
Senior Debt 68
|
Office
|
21,850
|
1 month LIBOR + 4.25%
|
5.2%
|
62.3%
|
Senior Debt 69
|
Multifamily
|
23,750
|
1 month LIBOR + 3.10%
|
4.1%
|
73.1%
|
Senior Debt 70
|
Multifamily
|
36,250
|
1 month LIBOR + 3.10%
|
4.1%
|
73.4%
|
Senior Debt 71
|
Retail
|
13,400
|
1 month LIBOR + 4.00%
|
5.0%
|
84.0%
|
Senior Debt 72
|
Office
|
41,812
|
1 month LIBOR + 3.50%
|
4.5%
|
71.0%
|
Senior Debt 73
|
Retail
|
8,500
|
1 month LIBOR + 5.00%
|
6.0%
|
51.6%
|
Senior Debt 74
|
Hospitality
|
8,784
|
1 month LIBOR + 4.50%
|
5.5%
|
68.7%
|
Senior Debt 75
|
Multifamily
|
18,100
|
1 month LIBOR + 3.40%
|
4.4%
|
76.4%
|
Senior Debt 76
|
Multifamily
|
28,250
|
1 month LIBOR + 3.40%
|
4.4%
|
77.2%
|
Senior Debt 77
|
Hospitality
|
19,900
|
1 month LIBOR + 3.48%
|
4.5%
|
61.8%
|
Senior Debt 78
|
Multifamily
|
18,553
|
1 month LIBOR + 3.10%
|
4.1%
|
67.4%
|
Senior Debt 79
|
Office
|
25,900
|
1 month LIBOR + 3.77%
|
4.8%
|
68.2%
|
Senior Debt 80
|
Hospitality
|
17,864
|
1 month LIBOR + 3.75%
|
4.7%
|
62.6%
|
Senior Debt 81
|
Hospitality
|
15,500
|
1 month LIBOR + 4.00%
|
5.0%
|
56.4%
|
Senior Debt 82
|
Hospitality
|
5,250
|
1 month LIBOR + 4.25%
|
5.2%
|
47.7%
|
Senior Debt 83
|
Hospitality
|
12,460
|
1 month LIBOR + 4.45%
|
5.4%
|
62.9%
|
Senior Debt 84
|
Hospitality
|
9,000
|
1 month LIBOR + 4.50%
|
5.5%
|
64.0%
|
Senior Debt 85
|
Retail
|
9,400
|
1 month LIBOR + 4.20%
|
5.2%
|
77.1%
|
Senior Debt 86
|
Manufactured Housing
|
12,200
|
1 month LIBOR + 3.65%
|
4.6%
|
48.4%
|
Senior Debt 87
|
Manufactured Housing
|
24,100
|
1 month LIBOR + 3.65%
|
4.6%
|
53.8%
|
Senior Debt 88
|
Multifamily
|
23,149
|
1 month LIBOR + 2.65%
|
3.6%
|
75.8%
|
Senior Debt 89
|
Office
|
29,750
|
1 month LIBOR + 3.35%
|
4.3%
|
54.3%
|
Senior Debt 90
|
Hospitality
|
34,806
|
1 month LIBOR + 3.99%
|
5.0%
|
31.0%
|
Senior Debt 91
|
Multifamily
|
11,590
|
1 month LIBOR + 2.65%
|
3.6%
|
71.6%
|
Senior Debt 92
|
Multifamily
|
34,913
|
1 month LIBOR + 2.75%
|
3.7%
|
79.3%
|
Senior Debt 93
|
Industrial
|
51,500
|
1 month LIBOR + 3.75%
|
4.7%
|
59.7%
|
Senior Debt 94
|
Office
|
21,825
|
1 month LIBOR + 3.50%
|
4.5%
|
70.9%
|
Senior Debt 95
|
Hospitality
|
7,100
|
1 month LIBOR + 4.00%
|
5.0%
|
70.3%
|
Senior Debt 96
|
Industrial
|
22,230
|
1 month LIBOR + 3.55%
|
4.5%
|
69.7%
|
Senior Debt 97
|
Multifamily
|
19,575
|
1 month LIBOR + 2.75%
|
3.7%
|
71.7%
|
Senior Debt 98
|
Multifamily
|
16,100
|
1 month LIBOR + 3.75%
|
4.7%
|
64.9%
|
Senior Debt 99
|
Multifamily
|
26,000
|
1 month LIBOR + 3.15%
|
4.1%
|
71.6%
|
Senior Debt 100
|
Retail
|
9,120
|
1 month LIBOR + 5.25%
|
6.2%
|
71.8%
|
Senior Debt 101
|
Multifamily
|
25,767
|
1 month LIBOR + 2.70%
|
3.7%
|
76.0%
|
Senior Debt 102
|
Multifamily
|
7,150
|
1 month LIBOR + 4.75%
|
5.7%
|
75.3%
|
Senior Debt 103
|
Multifamily
|
25,000
|
1 month LIBOR + 3.00%
|
4.0%
|
75.5%
|
Senior Debt 104
|
Multifamily
|
8,786
|
1 month LIBOR + 2.80%
|
3.8%
|
69.2%
|
Senior Debt 105
|
Office
|
26,500
|
1 month LIBOR + 6.00%
|
7.0%
|
64.9%
|
Senior Debt 106
|
Multifamily
|
12,289
|
1 month LIBOR + 3.10%
|
4.1%
|
63.7%
|
Senior Debt 107
|
Multifamily
|
35,100
|
1 month LIBOR + 3.25%
|
4.2%
|
70.2%
|
Senior Debt 108
|
Office
|
23,370
|
1 month LIBOR + 3.70%
|
4.7%
|
65.7%
|
Type
|
Property Type
|
Par Value
|
Interest Rate (1)
|
Effective Yield
|
Loan to Value (2)
|
Senior Debt 109
|
Industrial
|
25,350
|
1 month LIBOR + 3.50%
|
4.5%
|
58.1%
|
Senior Debt 110
|
Multifamily
|
11,800
|
1 month LIBOR + 3.15%
|
4.1%
|
72.4%
|
Senior Debt 111
|
Multifamily
|
43,207
|
1 month LIBOR + 5.50%
|
6.5%
|
43.4%
|
Senior Debt 112
|
Office
|
26,500
|
1 month LIBOR + 2.70%
|
3.7%
|
71.4%
|
Senior Debt 113
|
Multifamily
|
75,100
|
1 month LIBOR + 4.35%
|
5.3%
|
64.7%
|
Senior Debt 114
|
Hospitality
|
17,689
|
5.75%
|
5.8%
|
52.9%
|
Mezzanine Loan 1
|
Multifamily
|
3,480
|
9.50%
|
9.5%
|
84.3%
|
Mezzanine Loan 2
|
Retail
|
3,500
|
10.00%
|
10.0%
|
59.7%
|
Mezzanine Loan 3
|
Multifamily
|
1,100
|
11.01%
|
11.0%
|
68.4%
|
Mezzanine Loan 4
|
Multifamily
|
1,000
|
11.00%
|
11.0%
|
68.9%
|
|
|
$2,670,133
|
|
4.9%
|
66.2%
|
Loan Type
|
Property Type
|
Par Value
|
Interest Rate
|
Effective Yield
|
Loan to Value (1)
|
TRS Senior Debt 1
|
Industrial
|
$23,625
|
2.90%
|
4.7%
|
74.1%
|
TRS Senior Debt 2
|
Multifamily
|
30,000
|
4.55%
|
3.5%
|
52.8%
|
TRS Senior Debt 3
|
Multifamily
|
11,000
|
4.45%
|
4.1%
|
59.8%
|
TRS Senior Debt 4
|
Retail
|
1,868
|
4.06%
|
4.4%
|
69.9%
|
TRS Senior Debt 5
|
Retail
|
17,500
|
3.94%
|
4.0%
|
74.2%
|
TRS Senior Debt 6
|
Manufactured Housing
|
1,850
|
4.25%
|
4.1%
|
70.6%
|
TRS Senior Debt 7
|
Retail
|
1,825
|
4.09%
|
4.1%
|
48.0%
|
TRS Senior Debt 8
|
Office
|
6,000
|
4.06%
|
3.7%
|
60.6%
|
|
|
$93,668
|
|
4.0%
|
64.1%
|
Type
|
Par Value
|
Interest Rate
|
Effective Yield
|
CMBS 1
|
$13,250
|
1 month LIBOR + 2.95%
|
3.9%
|
CMBS 2
|
11,488
|
1 month LIBOR + 2.10%
|
3.1%
|
CMBS 3
|
40,000
|
1 month LIBOR + 2.35%
|
3.3%
|
CMBS 4
|
18,500
|
1 month LIBOR + 1.70%
|
2.7%
|
CMBS 5
|
15,000
|
1 month LIBOR + 1.37%
|
2.4%
|
CMBS 6
|
13,500
|
1 month LIBOR + 1.50%
|
2.5%
|
CMBS 7
|
15,000
|
1 month LIBOR + 1.70%
|
2.7%
|
CMBS 8
|
7,000
|
1 month LIBOR + 1.50%
|
2.5%
|
CMBS 9
|
9,600
|
1 month LIBOR + 1.90%
|
2.9%
|
CMBS 10
|
10,000
|
1 month LIBOR + 1.75%
|
2.7%
|
CMBS 11
|
8,000
|
1 month LIBOR + 1.85%
|
2.8%
|
CMBS 12
|
13,000
|
1 month LIBOR + 1.60%
|
2.6%
|
CMBS 13
|
32,000
|
1 month LIBOR + 1.60%
|
2.6%
|
CMBS 14
|
24,000
|
1 month LIBOR + 2.00%
|
3.0%
|
CMBS 15
|
50,000
|
1 month LIBOR + 1.55%
|
2.5%
|
CMBS 16
|
26,000
|
1 month LIBOR + 1.90%
|
2.9%
|
CMBS 17
|
15,000
|
1 month LIBOR + 1.45%
|
2.4%
|
CMBS 18
|
6,500
|
1 month LIBOR + 1.75%
|
2.7%
|
CMBS 19
|
12,000
|
1 month LIBOR + 2.15%
|
3.1%
|
CMBS 20
|
20,000
|
1 month LIBOR + 1.33%
|
2.3%
|
CMBS 21
|
25,000
|
1 month LIBOR + 1.63%
|
2.6%
|
CMBS 22
|
22,500
|
1 month LIBOR + 1.40%
|
2.4%
|
CMBS 23
|
16,000
|
1 month LIBOR + 1.80%
|
2.8%
|
CMBS 24
|
2,000
|
1 month LIBOR + 1.80%
|
2.8%
|
CMBS 25
|
2,200
|
1 month LIBOR + 1.40%
|
2.4%
|
CMBS 26
|
12,500
|
1 month LIBOR + 1.75%
|
2.7%
|
CMBS 27
|
25,665
|
1 month LIBOR + 2.15%
|
3.1%
|
CMBS 28
|
28,000
|
1 month LIBOR + 1.34%
|
2.3%
|
CMBS 29
|
15,000
|
1 month LIBOR + 1.63%
|
2.6%
|
|
$508,703
|
|
2.8%
|
Type
|
Property Type
|
Par Value
|
Preferred Return
|
Preferred Equity 1
|
Retail
|
$2,500
|
12.50%
|
|
|
$2,500
|
|
Type
|
Property Type
|
Carrying Value
|
||
Real Estate Owned 1
|
Hospitality
|
$
|
8,198
|
|
Real Estate Owned 2
|
Office
|
27,108
|
|
|
Real Estate Owned 3
|
Hospitality
|
14,000
|
|
|
|
|
$
|
49,306
|
|
•
|
The real estate debt business focuses on originating, acquiring and asset managing commercial real estate debt investments, including first mortgage loans, subordinate mortgages, mezzanine loans and participations in such loans.
|
•
|
The real estate securities business focuses on investing in and asset managing commercial real estate securities primarily consisting of CMBS and may include unsecured REIT debt, CDO notes and other securities.
|
•
|
The Conduit business operated through the Company's TRS, which is focused on generating superior risk-adjusted returns by originating and subsequently selling fixed-rate commercial real estate loans into the CMBS securitization market at a profit.
|
•
|
The real estate owned business represents real estate acquired by the Company through foreclosure, deed in lieu of foreclosure, or purchase.
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||
|
|
2020
|
|
2019
|
||||||||||||||||||
|
|
Average Carrying Value(1)
|
|
Interest Income/Expense(2)
|
|
WA Yield/Financing Cost(3)(4)
|
|
Average Carrying Value(1)
|
|
Interest Income/Expense(2)
|
|
WA Yield/Financing Cost(3)(4)
|
||||||||||
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Real estate debt
|
|
$
|
2,702,936
|
|
|
$
|
43,369
|
|
|
6.4
|
%
|
|
$
|
2,325,959
|
|
|
$
|
43,634
|
|
|
7.5
|
%
|
Real estate conduit
|
|
100,175
|
|
|
1,190
|
|
|
4.8
|
%
|
|
150,821
|
|
|
2,370
|
|
|
6.3
|
%
|
||||
Real estate securities
|
|
406,186
|
|
|
3,295
|
|
|
3.2
|
%
|
|
41,151
|
|
|
507
|
|
|
4.9
|
%
|
||||
Total
|
|
$
|
3,209,297
|
|
|
$
|
47,854
|
|
|
6.0
|
%
|
|
$
|
2,517,931
|
|
|
$
|
46,511
|
|
|
7.4
|
%
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase Agreements - commercial mortgage loans
|
|
$
|
282,282
|
|
|
$
|
3,911
|
|
|
5.5
|
%
|
|
$
|
357,850
|
|
|
$
|
5,046
|
|
|
5.6
|
%
|
Other financing and loan participation - commercial mortgage loans
|
|
1,502
|
|
|
18
|
|
|
4.8
|
%
|
|
9,904
|
|
|
123
|
|
|
5.0
|
%
|
||||
Repurchase Agreements - real estate securities
|
|
412,809
|
|
|
2,572
|
|
|
2.5
|
%
|
|
52,711
|
|
|
498
|
|
|
3.8
|
%
|
||||
Collateralized loan obligations
|
|
1,776,274
|
|
|
17,991
|
|
|
4.1
|
%
|
|
1,385,288
|
|
|
14,583
|
|
|
4.2
|
%
|
||||
Derivative instruments, at fair value
|
|
—
|
|
|
—
|
|
|
N/A
|
|
|
—
|
|
|
116
|
|
|
N/A
|
|
||||
Total
|
|
$
|
2,472,867
|
|
|
$
|
24,492
|
|
|
4.0
|
%
|
|
$
|
1,805,753
|
|
|
$
|
20,366
|
|
|
4.5
|
%
|
Net interest income/spread
|
|
|
|
$
|
23,362
|
|
|
2.0
|
%
|
|
|
|
$
|
26,145
|
|
|
2.9
|
%
|
||||
Average leverage %(5)
|
|
77.1
|
%
|
|
|
|
|
|
71.7
|
%
|
|
|
|
|
||||||||
Weighted average levered yield(6)
|
|
|
|
|
|
12.7
|
%
|
|
|
|
|
|
|
14.7
|
%
|
|
|
Three months ended March 31,
|
||||||
|
|
2020
|
|
2019
|
||||
Asset management and subordinated performance fee
|
|
$
|
3,912
|
|
|
$
|
3,644
|
|
Administrative services expenses
|
|
4,112
|
|
|
3,963
|
|
||
Acquisition expenses
|
|
142
|
|
|
248
|
|
||
Professional fees
|
|
2,784
|
|
|
2,095
|
|
||
Real estate owned operating expenses
|
|
1,645
|
|
|
—
|
|
||
Depreciation and amortization
|
|
588
|
|
|
—
|
|
||
Other expenses
|
|
1,587
|
|
|
896
|
|
||
Total expenses from operations
|
|
$
|
14,770
|
|
|
$
|
10,846
|
|
As of March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|||||||
Repurchase Facility
|
|
Committed Financing
|
|
Amount Outstanding
|
|
Interest Expense(1)
|
|
Ending Weighted Average Interest Rate
|
|
Maturity
|
|||||||
JPM Repo Facility (2)
|
|
$
|
300,000
|
|
|
$
|
119,604
|
|
|
$
|
1,362
|
|
|
3.83
|
%
|
|
1/30/2021
|
USB Repo Facility (3)
|
|
100,000
|
|
|
8,250
|
|
|
152
|
|
|
3.18
|
%
|
|
6/15/2020
|
|||
CS Repo Facility (4)
|
|
200,000
|
|
|
71,740
|
|
|
1,349
|
|
|
4.06
|
%
|
|
9/27/2020
|
|||
WF Repo Facility (5)
|
|
175,000
|
|
|
—
|
|
|
396
|
|
|
N/A
|
|
|
11/21/2020
|
|||
Barclays Revolver Facility (6)
|
|
100,000
|
|
|
4,200
|
|
|
51
|
|
|
5.34
|
%
|
|
9/20/2021
|
|||
Barclays Repo Facility (7)
|
|
300,000
|
|
|
30,730
|
|
|
332
|
|
|
3.24
|
%
|
|
3/15/2022
|
|||
Total
|
|
$
|
1,175,000
|
|
|
$
|
234,524
|
|
|
$
|
3,642
|
|
|
|
|
|
As of December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|||||||
Repurchase Facility
|
|
Committed Financing
|
|
Amount Outstanding
|
|
Interest Expense(1)
|
|
Ending Weighted Average Interest Rate
|
|
Maturity
|
|||||||
JPM Repo Facility (2)
|
|
$
|
300,000
|
|
|
$
|
107,526
|
|
|
$
|
6,862
|
|
|
4.51
|
%
|
|
1/30/2021
|
USB Repo Facility (3)
|
|
100,000
|
|
|
—
|
|
|
622
|
|
|
N/A
|
|
|
6/15/2020
|
|||
CS Repo Facility (4)
|
|
300,000
|
|
|
87,375
|
|
|
5,563
|
|
|
4.84
|
%
|
|
3/27/2020
|
|||
WF Repo Facility (5)
|
|
175,000
|
|
|
24,942
|
|
|
1,333
|
|
|
3.65
|
%
|
|
11/21/2020
|
|||
Barclays Revolver Facility (6)
|
|
100,000
|
|
|
—
|
|
|
976
|
|
|
N/A
|
|
|
9/20/2021
|
|||
Barclays Repo Facility (7)
|
|
300,000
|
|
|
32,700
|
|
|
1,260
|
|
|
3.80
|
%
|
|
3/15/2022
|
|||
Total
|
|
$
|
1,275,000
|
|
|
$
|
252,543
|
|
|
$
|
16,616
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted Average
|
|||||||||
Counterparty
|
|
Amount Outstanding
|
|
Accrued Interest
|
|
Collateral Pledged (1)
|
|
Interest Rate
|
|
Days to Maturity
|
|||||||
As of March 31, 2020
|
|
|
|
|
|
|
|
|
|
|
|||||||
JP Morgan Securities LLC
|
|
$
|
159,879
|
|
|
$
|
595
|
|
|
$
|
202,688
|
|
|
2.21
|
%
|
|
11
|
Wells Fargo Securities, LLC
|
|
159,924
|
|
|
955
|
|
|
190,623
|
|
|
2.32
|
%
|
|
12
|
|||
Barclays Capital Inc.
|
|
79,047
|
|
|
365
|
|
|
106,965
|
|
|
2.28
|
%
|
|
17
|
|||
Citigroup Global Markets, Inc.
|
|
98,030
|
|
|
653
|
|
|
109,500
|
|
|
2.60
|
%
|
|
16
|
|||
Total/Weighted Average
|
|
$
|
496,880
|
|
|
$
|
2,568
|
|
|
$
|
609,776
|
|
|
2.33
|
%
|
|
13
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
As of December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|||||||
JP Morgan Securities LLC
|
|
$
|
83,353
|
|
|
$
|
124
|
|
|
$
|
93,500
|
|
|
2.53
|
%
|
|
20
|
Wells Fargo Securities, LLC
|
|
$
|
178,304
|
|
|
$
|
1,199
|
|
|
$
|
209,873
|
|
|
2.94
|
%
|
|
11
|
Barclays Capital Inc.
|
|
$
|
40,720
|
|
|
$
|
221
|
|
|
$
|
47,475
|
|
|
2.81
|
%
|
|
23
|
Citigroup Global Markets, Inc.
|
|
91,982
|
|
|
413
|
|
|
103,453
|
|
|
2.69
|
%
|
|
19
|
|||
Total/Weighted Average
|
|
$
|
394,359
|
|
|
$
|
1,957
|
|
|
$
|
454,301
|
|
|
2.79
|
%
|
|
16
|
|
As of March 31, 2020
|
||||||
|
Amount Outstanding
|
|
Average Outstanding Balance
|
||||
|
Q1
|
|
Q1
|
||||
Repurchase Agreements - Commercial Mortgage Loans
|
$
|
234,524
|
|
|
$
|
282,282
|
|
Repurchase Agreements - Real Estate Securities
|
$
|
496,880
|
|
|
$
|
412,809
|
|
|
|
|
|
||||
|
As of March 31, 2019
|
||||||
|
Amount Outstanding
|
|
Average Outstanding Balance
|
||||
|
Q1
|
|
Q1
|
||||
Repurchase Agreements- Commercial Mortgage Loans
|
$
|
370,889
|
|
|
$
|
357,850
|
|
Repurchase Agreements - Real Estate Securities
|
$
|
22,078
|
|
|
$
|
52,711
|
|
|
|
|
|
||||
|
As of March 31, 2018
|
||||||
|
Amount Outstanding
|
|
Average Outstanding Balance
|
||||
|
Q1
|
|
Q1
|
||||
Repurchase Agreements - Commercial Mortgage Loans
|
$
|
501,310
|
|
|
$
|
313,509
|
|
Repurchase Agreements - Real Estate Securities
|
$
|
—
|
|
|
$
|
19,542
|
|
|
Total
|
|||||
|
Shares Issued
|
|
Proceeds
|
|||
Balance, December 31, 2019
|
12,136,262
|
|
|
$
|
201,225
|
|
January 2020
|
284,983
|
|
|
4,762
|
|
|
February 2020
|
365,051
|
|
|
6,100
|
|
|
March 2020
|
—
|
|
|
—
|
|
|
Balance, March 31, 2020
|
12,786,296
|
|
|
212,087
|
|
|
Total
|
|||||
|
Shares Issued
|
|
Proceeds
|
|||
Balance, December 31, 2019
|
40,496
|
|
|
$
|
202,549
|
|
January 2020
|
—
|
|
|
—
|
|
|
February 2020
|
14
|
|
|
70
|
|
|
March 2020
|
—
|
|
|
—
|
|
|
Balance, March 31, 2020
|
40,510
|
|
|
$
|
202,619
|
|
|
Total
|
|||||
|
Shares Issued
|
|
Proceeds
|
|||
Balance, December 31, 2019
|
1,400
|
|
|
$
|
7,000
|
|
January 2020
|
—
|
|
|
—
|
|
|
February 2020
|
—
|
|
|
—
|
|
|
March 2020
|
—
|
|
|
—
|
|
|
Balance, March 31, 2020
|
1,400
|
|
|
$
|
7,000
|
|
Series A Preferred Stock
|
|
Shares
|
|
Amount
|
|||
Balance, December 31, 2019
|
|
40,500
|
|
|
$
|
202,144
|
|
Issuance of Preferred Stock, net of offering cost
|
|
14
|
|
|
70
|
|
|
Dividends paid in Preferred Stock
|
|
—
|
|
|
2
|
|
|
Offering Costs
|
|
—
|
|
|
(5
|
)
|
|
Amortization of offering costs
|
|
—
|
|
|
24
|
|
|
Ending Balance, March 31, 2020
|
|
40,514
|
|
|
$
|
202,235
|
|
|
|
|
|
|
|||
|
|
Shares
|
|
Amount
|
|||
Balance, December 31, 2018
|
|
29,249
|
|
|
$
|
145,786
|
|
Issuance of Preferred Stock
|
|
2,996
|
|
|
14,979
|
|
|
Amortization of offering costs
|
|
—
|
|
|
25
|
|
|
Ending Balance, March 31, 2019
|
|
32,245
|
|
|
$
|
160,790
|
|
Series C Preferred Stock
|
|
Shares
|
|
Amount
|
|||
Balance, December 31, 2019
|
|
1,400
|
|
|
$
|
6,966
|
|
Issuance of Preferred Stock, net of offering cost
|
|
—
|
|
|
—
|
|
|
Dividends paid in Preferred Stock
|
|
—
|
|
|
—
|
|
|
Offering Costs
|
|
—
|
|
|
(5
|
)
|
|
Amortization of offering costs
|
|
—
|
|
|
1
|
|
|
Ending Balance, March 31, 2020
|
|
1,400
|
|
|
$
|
6,962
|
|
Three months Ended March 31, 2020
|
|
|
|
||||
Payment Date
|
Amount Paid in Cash
|
|
Amount Issued under DRIP
|
||||
January 2, 2020
|
$
|
4,154
|
|
|
$
|
1,211
|
|
February 5, 2020
|
4,177
|
|
|
1,210
|
|
||
March 2, 2020
|
3,919
|
|
|
1,130
|
|
||
Total
|
$
|
12,250
|
|
|
$
|
3,551
|
|
Three months Ended March 31, 2019
|
|
|
|
||||
Payment Date
|
Amount Paid in Cash
|
|
Amount Issued under DRIP
|
||||
January 4, 2019
|
$
|
3,576
|
|
|
$
|
1,171
|
|
February 1, 2019
|
3,657
|
|
|
1,168
|
|
||
March 1, 2019
|
3,333
|
|
|
1,053
|
|
||
Total
|
$
|
10,566
|
|
|
$
|
3,392
|
|
|
Less than 1 year
|
|
1 to 3 years
|
|
3 to 5 years
|
|
More than 5 years
|
|
Total
|
||||||||||
Unfunded loan commitments (1)
|
$
|
141,012
|
|
|
$
|
133,636
|
|
|
$
|
5,450
|
|
|
$
|
—
|
|
|
$
|
280,098
|
|
Maturities of lease liabilities for operating lease
|
710
|
|
|
857
|
|
|
909
|
|
|
38,977
|
|
|
41,453
|
|
|||||
Repurchase agreements - commercial mortgage loans
|
199,594
|
|
|
34,930
|
|
|
—
|
|
|
—
|
|
|
234,524
|
|
|||||
Repurchase agreements - real estate securities
|
496,880
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
496,880
|
|
|||||
CLOs (2)
|
—
|
|
|
—
|
|
|
—
|
|
|
1,753,451
|
|
|
1,753,451
|
|
|||||
Mortgage Note Payable
|
—
|
|
|
—
|
|
|
—
|
|
|
40,167
|
|
|
40,167
|
|
|||||
Total
|
$
|
838,196
|
|
|
$
|
169,423
|
|
|
$
|
6,359
|
|
|
$
|
1,832,595
|
|
|
$
|
2,846,573
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Funds From Operations:
|
|
|
|
||||
Net income/(loss)
|
$
|
(7,400
|
)
|
|
$
|
19,890
|
|
Impairment losses on real estate owned assets
|
398
|
|
|
—
|
|
||
Depreciation and amortization
|
588
|
|
|
—
|
|
||
Funds from operations
|
$
|
(6,414
|
)
|
|
$
|
19,890
|
|
Modified Funds From Operations:
|
|
|
|
||||
Funds from operations
|
$
|
(6,414
|
)
|
|
$
|
19,890
|
|
Amortization of premiums, discounts and fees on investments, net
|
(1,710
|
)
|
|
(1,506
|
)
|
||
Acquisition expenses
|
142
|
|
|
248
|
|
||
Unrealized (gain) loss on financial instruments
|
6,831
|
|
|
1,402
|
|
||
Increase/(decrease) for credit losses
|
14,597
|
|
|
2,495
|
|
||
Modified funds from operations (1)
|
$
|
13,446
|
|
|
$
|
22,529
|
|
•
|
significantly disrupted the financial markets for the assets in our real estate securities portfolio, resulting in significant decreases in market values for these assets and significant market volatility. This has resulted in margin calls from our lenders, which we have thus far satisfied, and could result in future margin calls which, if not satisfied, could result in the liquidation of some of our assets at significant losses.
|
•
|
resulted in a decline in the value of commercial real estate generally, and significant declines in certain assets classes, including hospitality and retail, which has negatively impacted the value of our commercial mortgage loan portfolio, and could continue to negatively impact the value in the future, potentially materially.
|
•
|
negatively impacted the financial stability of many of our borrowers, which has and is expected to continue to result in an increase in the number of our borrowers who become delinquent or default on their loans, or who seek to defer payment on or to amend the terms of their loans. Borrowers in the hospitality and retail sector have been particularly adversely impacted.
|
•
|
increased the cost and decreased the availability of debt capital, including as a result of dislocations in the commercial mortgage-backed securities market, which has currently made raising capital through CDO or CLO securitizations impracticable, and as a result of lenders permitting significantly lower advance rates on our repurchase agreements.
|
•
|
as a result of the decline in the market value of the loans in our CDOs and CLOs, we may not meet certain interest coverage tests, overcollateralization coverage tests or other tests that could result in a change in the priority of distributions, which could result in the reduction or elimination of distributions to the subordinate debt and equity tranches we own until the tests have been met or certain senior classes of securities have been paid in full. Accordingly, we may experience a reduction in our cash flow from those interests which may adversely affect our liquidity and therefore our ability to fund our operations or address maturing liabilities on a timely basis.
|
•
|
resulted in a general decline in business activity which if continued will result in a decline in demand for mortgage financing, which could adversely affect our ability to make new investments or to redeploy the proceeds from repayments of our existing investments.
|
•
|
created valuation uncertainties that make it difficult to estimate provisions for credit losses.
|
•
|
resulted in an extended period of remote working by our Advisor’s employees which could strain technology resources and introduce operational risks, including heightened cybersecurity risk.
|
|
Number of Requests
|
|
Number of Shares Repurchased
|
|
Average Price per Share
|
||||
Cumulative as of December 31, 2019
|
5,878
|
|
|
3,542,267
|
|
|
$
|
20.23
|
|
January 1 - January 31, 2020(1)
|
1,170
|
|
|
361,829
|
|
|
$
|
18.56
|
|
February 1 - February 28, 2020
|
—
|
|
|
—
|
|
|
N/A
|
|
|
March 1 - March 31, 2020
|
—
|
|
|
—
|
|
|
N/A
|
|
|
Cumulative as of March 31, 2020
|
7,048
|
|
|
3,904,096
|
|
|
$
|
20.08
|
|
Exhibit No.
|
|
Description
|
10.1*
|
|
|
31.1*
|
|
|
31.2*
|
|
|
32*
|
|
|
101*
|
|
|
|
|
Benefit Street Partners Realty Trust, Inc.
|
|
Dated:
|
May 14, 2020
|
By
|
/s/ Richard J. Byrne
|
|
|
|
Name: Richard J. Byrne
|
|
|
|
Title: Chief Executive Officer and President
|
|
|
|
(Principal Executive Officer)
|
|
|
|
|
Dated:
|
May 14, 2020
|
By
|
/s/ Jerome S. Baglien
|
|
|
|
Name: Jerome S. Baglien
|
|
|
|
Title: Chief Financial Officer and Treasurer
|
|
|
|
(Principal Financial and Accounting Officer)
|
|
|
|
|
SECTION 1
|
DEFINITIONS 1
|
1.1
|
Defined Terms 1
|
1.2
|
Other Definitional Provisions; Rules of Construction 27
|
SECTION 2
|
AMOUNT AND TERMS OF REVOLVING CREDIT COMMITMENT 29
|
2.1
|
Revolving Commitments 29
|
2.2
|
Procedure for Revolving Credit Borrowing 29
|
2.3
|
Repayment of Loans; Evidence of Debt 29
|
2.4
|
Commitment Fee; Fee Letters 30
|
2.5
|
Termination of Commitments 30
|
2.6
|
Optional Prepayments 30
|
2.7
|
Mandatory Prepayments 31
|
2.8
|
Interest Rates and Payment Dates 31
|
2.9
|
Computation of Interest and Fees; Retroactive Adjustments of Applicable Margin 32
|
2.10
|
Inability to Determine Interest Rate; Replacement of LIBO Rate 32
|
2.11
|
Pro Rata Treatment and Payments 33
|
2.12
|
Requirements of Law 34
|
2.13
|
Taxes 35
|
2.14
|
Indemnity 39
|
2.15
|
Illegality 39
|
2.16
|
Change of Lending Office 40
|
2.17
|
Termination or Reduction of Commitments 40
|
SECTION 3
|
REPRESENTATIONS AND WARRANTIES 40
|
3.1
|
Financial Condition 40
|
3.2
|
No Change 41
|
3.4
|
Corporate Power; Authorization; Enforceable Obligations 41
|
3.5
|
No Legal Bar 42
|
3.6
|
No Material Litigation 42
|
3.7
|
No Default 42
|
3.8
|
No Debt 42
|
3.9
|
Taxes 43
|
3.10
|
Federal Regulations 43
|
3.11
|
Labor Matters 43
|
3.12
|
ERISA 43
|
3.13
|
Investment Company Act; Other Regulations 44
|
3.14
|
Use of Proceeds 44
|
3.15
|
Environmental Matters 44
|
3.16
|
Accuracy of Information, etc 44
|
3.17
|
No Other Liens; Security Documents 44
|
3.18
|
Representations and Warranties Regarding Subsidiaries 45
|
3.19
|
Solvency 45
|
3.20
|
REIT Status; Tax Status 45
|
3.21
|
Insurance 46
|
3.22
|
Compliance with Anti-Terrorism, Embargo and Anti-Money Laundering Laws 46
|
SECTION 4
|
CONDITIONS PRECEDENT 46
|
4.1
|
Conditions to the Closing Date 46
|
4.2
|
Conditions to Each Extension of Credit 48
|
SECTION 5
|
AFFIRMATIVE COVENANTS 49
|
5.1
|
Financial Statements 49
|
5.2
|
Certificates; Other Information 50
|
5.3
|
Payment of Obligations 51
|
5.4
|
Conduct of Business and Maintenance of Existence 51
|
5.5
|
Maintenance of Property; Insurance 51
|
5.6
|
Inspection of Property; Books and Records; Discussions 51
|
5.7
|
Notices 52
|
5.8
|
Further Assurances 53
|
5.9
|
Cash Management 53
|
5.10
|
Asset Reports 54
|
5.11
|
Taxes 55
|
5.12
|
Disclosable Events 55
|
5.13
|
Use of Proceeds 55
|
5.14
|
Investment Guidelines 55
|
SECTION 6
|
NEGATIVE COVENANTS 55
|
6.1
|
Financial Condition Covenants 55
|
6.2
|
Indebtedness 56
|
6.3
|
Limitation on Liens 57
|
6.4
|
Limitation on Fundamental Changes 58
|
6.5
|
Dispositions 58
|
6.6
|
Restricted Payments 58
|
6.7
|
Collection Account 58
|
6.8
|
Limitation on Modifications of Organizational Documents 58
|
6.9
|
Transactions with Affiliates 58
|
6.10
|
Name Change 58
|
6.11
|
Limitation on Changes in Fiscal Periods 58
|
6.12
|
Limitation on Negative Pledge Clauses 59
|
6.13
|
Limitation on Lines of Business 59
|
6.14
|
Additional Capital Stock; Additional Subsidiaries 59
|
6.15
|
REIT Status 60
|
6.16
|
Federal Regulations 60
|
6.17
|
Disclosable Events 60
|
SECTION 7
|
EVENTS OF DEFAULT 60
|
7.1
|
Events of Default 60
|
SECTION 8
|
PLEDGE OF COLLATERAL; REMEDIES 63
|
8.1
|
Security Interests 63
|
8.2
|
Pledged Stock. 65
|
8.3
|
Priority of Payments 66
|
8.4
|
Rights and Remedies Upon Event of Default 66
|
8.5
|
Secured Parties Not Bound 68
|
8.6
|
Remedies Cumulative 69
|
SECTION 9
|
GUARANTEE 69
|
9.1
|
Guarantee 69
|
9.2
|
Subrogation 70
|
9.3
|
Amendments, etc. with respect to the Obligations 70
|
9.4
|
Guarantee Absolute and Unconditional 71
|
9.5
|
Reinstatement 72
|
9.6
|
Payments 72
|
9.7
|
Subordination 72
|
9.8
|
Release of Guarantee Obligations 73
|
SECTION 10
|
ADMINISTRATIVE AGENT 73
|
10.1
|
Authorization and Action 73
|
10.2
|
Administrative Agent's Reliance, Etc. 75
|
10.3
|
Indemnification 76
|
10.4
|
Delegation of Duties 77
|
10.5
|
Resignation or Removal of Administrative Agent 78
|
10.6
|
Non-Reliance on Administrative Agent and Other Lenders 78
|
10.7
|
Payment of Fees to the Administrative Agent 78
|
10.8
|
Proof of Claims 79
|
SECTION 11
|
MISCELLANEOUS 79
|
11.1
|
Amendments and Waivers 79
|
11.2
|
Notices 81
|
11.3
|
No Waiver; Cumulative Remedies 82
|
11.4
|
Survival of Representations and Warranties 82
|
11.5
|
Payment of Expenses 82
|
11.6
|
Assignability 84
|
11.7
|
Adjustments; Set-off 88
|
11.8
|
Counterparts 88
|
11.9
|
Severability 89
|
11.10
|
Integration 89
|
11.11
|
Governing Law 89
|
11.12
|
Submission To Jurisdiction; Waivers 89
|
11.13
|
Acknowledgements 90
|
11.14
|
Confidentiality 90
|
11.15
|
Accounting Changes 91
|
11.16
|
Waivers of Jury Trial 91
|
11.17
|
Ratings 91
|
11.18
|
Joint and Several Liability 91
|
11.19
|
JPMorgan Chase Pledge Agreement. 92
|
A
|
Commitments
|
A
|
Form of Investment Guidelines
|
B
|
Form of Compliance Certificate
|
C
|
Form of Closing Certificate
|
D
|
Form of Note
|
E-1
|
Form of U.S. Tax Compliance Certificate (For Foreign Lenders That Are Not Partnerships for U.S. Federal Income Tax Purposes)
|
E-2
|
Form of U.S. Tax Compliance Certificate (For Foreign Participants That Are Not Partnerships for U.S. Federal Income Tax Purposes)
|
E-3
|
Form of U.S. Tax Compliance Certificate (For Foreign Participants That Are Partnerships for U.S. Federal Income Tax Purposes)
|
F
|
Form of Borrowing Notice
|
Date:
|
|
May 14, 2020
|
|
/s/ Richard J. Byrne_____________
Richard J. Byrne
Chief Executive Officer and President
(Principal Executive Officer)
|
Date:
|
|
May 14, 2020
|
|
/s/ Jerome S. Baglien______________
Jerome S. Baglien
Chief Financial Officer and Treasurer
(Principal Financial and Accounting Officer)
|
Date:
|
|
May 14, 2020
|
|
/s/ Richard J. Byrne_________________
Richard J. Byrne
Chief Executive Officer and President
(Principal Executive Officer)
/s/ Jerome S. Baglien_________________
Jerome S. Baglien
Chief Financial Officer and Treasurer
(Principal Financial and Accounting Officer)
|