XML 33 R14.htm IDEA: XBRL DOCUMENT v3.23.1
Debt
 3 Months Ended
Mar. 31, 2023
Debt Disclosure [Abstract]  
Debt Debt
Repurchase Agreements - Commercial Mortgage Loans
The Company has entered into repurchase facilities with JPMorgan Chase Bank, National Association (the "JPM Repo Facility"), Barclays Bank PLC (the "Barclays Revolver Facility" and the "Barclays Repo Facility"), Wells Fargo Bank, National Association (the "WF Repo Facility"), and Atlas SP Partners (the "Atlas Repo Facility" and together with JPM Repo Facility, WF Repo Facility, Barclays Revolver Facility, and Barclays Repo Facility, collectively, the "Repo Facilities").
The Repo Facilities are financing sources through which the Company may pledge one or more mortgage loans to the financing entity in exchange for funds typically at an advance rate of between 65% to 75% of the principal amount of the mortgage loan being pledged.
The details of the Company's Repo Facilities as of March 31, 2023 and December 31, 2022 are as follows (dollars in thousands):
As of March 31, 2023
Repurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense (1)
Ending Weighted Average Interest RateTerm Maturity
JPM Repo Facility (2)
$500,000 $261,741 $5,608 7.95 %10/6/2024
Atlas Repo Facility (3)
600,000 71,896 2,115 7.42 %3/15/2024
WF Repo Facility (4)
500,000 100,846 2,239 7.68 %11/21/2023
Barclays Revolver Facility (5)
250,000 — 215 N/A9/20/2023
Barclays Repo Facility (6)
500,000 169,938 3,528 7.23 %3/14/2025
Total$2,350,000 $604,421 $13,705 
________________________________________________________
(1) For the three months ended March 31, 2023. Includes amortization of deferred financing costs.
(2) With one-year extension option available at the Company's discretion. On July 7, 2022, the committed financing was increased from $400 million to $500 million. Additionally, on December 12, 2022, the Company extended the maturity date to October 6, 2024.
(3) On July 12, 2022, the committed financing was increased from $300 million to $600 million. Additionally, on March 17, 2023, the maturity date was extended to March 15, 2024. During the first quarter of 2023, this repurchase facility was transferred from Credit Suisse to the new company, Atlas SP Partners, which has acquired these assets.
(4) On May 12, 2022, the committed financing amount was increased from $450 million to $500 million. There are three more one-year extension options available at the Company's discretion.
(5) The Company may increase the total commitment amount by an amount between $100 million and $150 million for three month intervals, on an unlimited basis prior to maturity. Subsequent to quarter end, on April 24, 2023, the Company extended the maturity date to September 20, 2024.
(6) There are two one-year extension options available at the Company's discretion.
As of December 31, 2022
Repurchase FacilityCommitted FinancingAmount Outstanding
Interest Expense(1)
Ending Weighted Average Interest RateTerm Maturity
JPM Repo Facility $500,000 $275,423 $11,773 7.42 %10/6/2024
Credit Suisse Repo Facility 600,000 168,046 8,676 7.12 %10/31/2023
WF Repo Facility 500,000 79,807 7,492 7.11 %11/21/2023
Barclays Revolver Facility 250,000 — 1,267 N/A9/20/2023
Barclays Repo Facility 500,000 157,583 8,997 6.75 %3/14/2025
Total$2,350,000 $680,859 $38,205 
________________________________________________________
(1) For the year ended December 31, 2022. Includes amortization of deferred financing costs.
The Repo Facilities generally provide that in the event of a decrease in the value of the Company's collateral, the lenders can demand additional collateral. As of March 31, 2023 and December 31, 2022, the Company is in compliance with all debt covenants.
Other financing and loan participation - Commercial Mortgage Loans
On March 23, 2020, the Company transferred $15.2 million of its interest in a term loan to a regional bank via a participation agreement. Since inception, the Company's outstanding loan increased as a result of future fundings, leading to an increase in amount outstanding via the participation agreement. The Company incurred $1.0 million and $0.2 million of interest expense on the regional bank term loan as of March 31, 2023 and 2022, respectively. As of March 31, 2023 and December 31, 2022 the outstanding participation balance was $58.7 million and $59.2 million, respectively. The loan accrued interest at an annual rate of one-month LIBOR +2.20% and matures on June 9, 2023.
On February 10, 2022, the Company transferred $38.0 million of its interest in a term loan to a regional bank via a participation agreement. Since inception, the Company's outstanding loan could increase as a result of future fundings, which could lead to an increase in amount outstanding via the participation agreement. The Company incurred $0.6 million and $5,000 of interest expense on the regional bank term loan for the three months ended March 31, 2023 and 2022, respectively. As of March 31, 2023 and December 31, 2022, the outstanding participation balance was $20.4 million and $17.1 million, respectively. The loan accrued interest at an annual rate of one-month SOFR + 4.01% and matures on May 1, 2025.
Mortgage Note Payable
On September 17, 2021, the Company, in connection with the consolidated joint venture (as discussed in Note 5 - Real Estate Owned), originated a $112.7 million mortgage note payable, of which $88.7 million is eliminated in our consolidated financial statements (see Note 5 - Real Estate Owned). As of March 31, 2023 and December 31, 2022, the remaining outstanding mortgage note payable of $24.0 million is included in the consolidated balance sheet. As of March 31, 2023, the loan accrued interest at an annual rate of LIBOR + 3.0%, which is eliminated in our consolidated financial statements, and matures on October 9, 2024.
Unsecured Debt
As of March 31, 2023, the Company had outstanding 30-year junior subordinated notes issued in 2005 and 2006 and maturing in 2035 and 2036, respectively, with a total face amount of $82.5 million. Note balances net of deferred issuance costs, and related weighted average interest rates as of the indicated dates (calculated including issuance cost amortization and adjusted for the effects of related derivatives held as cash flow hedges prior to termination) were as follows (dollars in thousands):
As of March 31, 2023As of December 31, 2022
Borrowings
Outstanding		Weighted Average
 Rate		Borrowings
Outstanding		Weighted Average
 Rate
Junior subordinated notes maturing in:
   October 2035 ($17,500 face amount)
$17,018 8.88 %$34,508 8.25 %
   December 2035 ($40,000 face amount)
39,522 8.48 %39,513 8.39 %
   September 2036 ($25,000 face amount)
24,680 8.48 %24,674 8.39 %
$81,220 8.56 %$98,695 8.34 %
The notes are currently redeemable, in whole or in part, without penalty, at the Company’s option. During the three months ended March 31, 2023 the Company recognized a realized gain on extinguishment for debt in the amount of $4.4 million as a result of the repurchase of $17.5 million par value unsecured debt at a price equal to 75% par. Interest paid on unsecured debt, including related derivative cash flows, totaled $2.3 million and $1.8 million for the three months ended March 31, 2023 and 2022, respectively.
Repurchase Agreements - Real Estate Securities
The Company has entered into various Master Repurchase Agreements (the "MRAs") that allow the Company to sell real estate securities while providing a fixed repurchase price for the same real estate securities in the future. The repurchase contracts on each security under an MRA generally mature in 30-90 days and terms are adjusted for current market rates as necessary.
Below is a summary of the Company's MRAs as of March 31, 2023 and December 31, 2022 (dollars in thousands):
Weighted Average
CounterpartyAmount OutstandingInterest Expense
Collateral Pledged (1)
Interest RateDays to Maturity
As of March 31, 2023
JP Morgan Securities LLC$62,980 $1,091 $69,985 5.80 %17
Barclays Capital Inc.44,954 622 56,819 5.84 %13
Total/Weighted Average$107,934 $1,713 $126,804 5.82 %15
As of December 31, 2022
JP Morgan Securities LLC$103,513 $1,281 $120,751 5.34 %22
Barclays Capital Inc.119,351 1,646 144,778 5.18 %50
    Total/Weighted Average $222,864 $2,927 $265,529 5.25 %37
________________________________________________________
(1) Includes $42.6 million and $67.1 million of CLO notes, held by the Company, which is eliminated within the Real estate securities, trading, at fair value line of the consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively.
Repurchase Agreements - Real Estate Securities Classified As Trading
The Company pledges its real estate securities classified as trading as collateral for repurchase agreements with commercial banks and other financial institutions. Repurchase arrangements entered into by the Company involve the sale and a simultaneous agreement to repurchase the transferred assets at a future date and are accounted for as financings. The Company maintains the beneficial interest in the specific securities pledged during the term of each repurchase arrangement and receives the related principal and interest payments.
The terms and conditions of repurchase agreements are negotiated on a transaction-by-transaction basis when each such agreement is initiated or renewed. The amount borrowed is generally equal to the fair value of the securities pledged, as determined by the lending counterparty, less an agreed-upon discount, referred to as a “haircut.” Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings. Interest may be paid monthly or at the termination of an agreement at which time the Company may enter into a new agreement at prevailing haircuts and rates with the same lending counterparty or repay that counterparty and negotiate financing with a different lending counterparty. None of the Company’s lending counterparties are obligated to renew or otherwise enter into new agreements at the conclusion of existing agreements. In response to declines in fair value of pledged securities due to changes in market conditions or the publishing of monthly security pay-down factors, lending counterparties typically require the Company to post additional securities as collateral, pay down borrowings or fund cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements. These actions are referred to as margin calls. Conversely, in response to increases in fair value of pledged securities, the Company routinely margin calls its lending counterparties in order to have previously pledged collateral returned.
Repurchase agreements (and related pledged collateral, including accrued interest receivable), classified by remaining maturities, and related weighted average borrowing rates as of the indicated dates were as follows (dollars in thousands):
Amount OutstandingAccrued
Interest
Receivable		Collateral
Carrying
Amount		Weighted Average
Borrowing
Rates
As of March 31, 2023
Repurchase arrangements secured by Agency securities with maturities of 30 days or less$121,000 $371 $126,749 4.81 %
As of December 31, 2022
Repurchase arrangements secured by Agency securities with maturities of 30 days or less$172,144 $544 $180,400 4.25 %
Repurchase arrangements secured by Agency securities with maturities of 31 to 90 days45,000 114 47,210 4.51 %
$217,144 $658 $227,610 4.30 %
Average repurchase agreements outstanding were $149.4 million and $220.1 million during the three months ended March 31, 2023 and December 31, 2022, respectively. Average repurchase agreements outstanding differed from respective quarter-end balances during the indicated periods primarily due to changes in portfolio levels and differences in the timing of portfolio acquisitions relative to portfolio runoff and asset sales. Interest paid on repurchase agreements, including related derivative payments, totaled $2.0 million and $1.3 million during the three months ended March 31, 2023 and 2022, respectively.
Collateralized Loan Obligation
As of March 31, 2023 and December 31, 2022, the notes issued by BSPRT 2019-FL5 Issuer, Ltd. and BSPRT 2019-FL5 Co-Issuer, LLC, each wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 22 and 25 mortgage assets having a principal balance of $339.0 million and $378.8 million respectively (the "2019-FL5 Mortgage Assets"). The sale of the 2019-FL5 Mortgage Assets to BSPRT 2019-FL5 Issuer, Ltd. is governed by a Mortgage Asset Purchase Agreement dated as of May 30, 2019, between the Company and BSPRT 2019-FL5 Issuer, Ltd.
As of March 31, 2023 and December 31, 2022, the notes issued by BSPRT 2021-FL6 Issuer, Ltd. and BSPRT 2021-FL6 Co-Issuer, LLC, each wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 58 and 58 mortgage assets having a principal balance of $686.1 million and $691.1 million respectively (the "2021-FL6 Mortgage Assets"). The sale of the 2021-FL6 Mortgage Assets to BSPRT 2021-FL6 Issuer, Ltd. is governed by a Collateral Interest Purchase Agreement dated as of March 25, 2021, between the Company and BSPRT 2021-FL6 Issuer, Ltd.
As of March 31, 2023 and December 31, 2022, the notes issued by BSPRT 2021-FL7 Issuer, Ltd. and BSPRT 2021-FL7 Co-Issuer, LLC, each wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 40 and 39 mortgage assets having a principal balance of $899.8 million and $899.7 million respectively (the "2021-FL7 Mortgage Assets"). The sale of the 2021-FL7 Mortgage Assets to BSPRT 2021-FL7 Issuer, Ltd. is governed by a Collateral Interest Purchase Agreement dated as of March 25, 2021, between the Company and BSPRT 2021-FL7 Issuer, Ltd.
As of March 31, 2023 and December 31, 2022, the notes issued by BSPRT 2022-FL8 Issuer, Ltd. and BSPRT 2022-FL8 Co-Issuer, LLC, are collateralized by interests in a pool of 38 and 39 mortgage assets having a principal balance of $1.2 billion and $1.2 billion, respectively (the "2022-FL8 Mortgage Assets"). The sale of the 2022-FL8 Mortgage Assets to BSPRT 2022-FL8 Issuer, Ltd. is governed by a Collateral Interest Purchase Agreement dated as of December 21, 2021, between the Company and BSPRT 2022-FL8 Issuer, Ltd.
As of March 31, 2023 and December 31, 2022, the notes issued by BSPRT 2022-FL9 Issuer, LLC are collateralized by interests in a pool of 50 and 50 mortgage assets having a principal balance of $802.3 million and $797.5 million, respectively (the "2022-FL9 Mortgage Assets"). The sale of the 2022-FL9 Mortgage Assets to BSPRT 2022-FL9 Issuer, LLC is governed by a Collateral Interest Purchase Agreement, dated as of June 29, 2022, by and among FBRT Sub REIT, BSPRT 2022-FL9 Issuer, LLC, the OP, and BSPRT 2022-FL9 Seller, LLC.
The Company, through its wholly-owned subsidiaries, holds the preferred equity tranches of the above CLOs of approximately $401.8 million and $401.8 million as of March 31, 2023 and December 31, 2022, respectively. The following table represents the terms of the notes issued by 2019-FL5 Issuer, 2021-FL6 Issuer, 2021-FL7 Issuer, 2022-FL8 Issuer and 2022-FL9 Issuer (collectively the "CLOs"), as of March 31, 2023 (dollars in thousands):
CLO FacilityTranchePar Value Issued
Par Value Outstanding (1)
Interest RateMaturity Date
2019-FL5 IssuerTranche A$407,025 $— 
1M LIBOR + 115
5/15/2029
2019-FL5 IssuerTranche A-S76,950 12,531 
1M LIBOR + 148
5/15/2029
2019-FL5 IssuerTranche B50,000 50,000 
1M LIBOR + 140
5/15/2029
2019-FL5 IssuerTranche C61,374 61,374 
1M LIBOR + 200
5/15/2029
2019-FL5 IssuerTranche D48,600 5,000 
1M LIBOR + 240
5/15/2029
2019-FL5 IssuerTranche E20,250 12,000 
1M LIBOR + 285
5/15/2029
2021-FL6 IssuerTranche A367,500 367,500 
1M LIBOR + 110
3/15/2036
2021-FL6 IssuerTranche A-S86,625 86,625 
1M LIBOR + 130
3/15/2036
2021-FL6 IssuerTranche B33,250 33,250 
1M LIBOR + 160
3/15/2036
2021-FL6 IssuerTranche C41,125 41,125 
1M LIBOR + 205
3/15/2036
2021-FL6 IssuerTranche D44,625 44,625 
1M LIBOR + 0.03
3/15/2036
2021-FL6 IssuerTranche E11,375 11,375 
1M LIBOR + 350
3/15/2036
2021-FL7 IssuerTranche A508,500 508,500 
1M LIBOR + 132
12/21/2038
2021-FL7 IssuerTranche A-S13,500 13,500 
1M LIBOR + 165
12/21/2038
2021-FL7 IssuerTranche B52,875 52,875 
1M LIBOR + 205
12/21/2038
2021-FL7 IssuerTranche C66,375 66,375 
1M LIBOR + 230
12/21/2038
2021-FL7 IssuerTranche D67,500 67,500 
1M LIBOR + 275
12/21/2038
2021-FL7 IssuerTranche E13,500 13,500 
1M LIBOR + 340
12/21/2038
2022-FL8 IssuerTranche A690,000 690,000 
1M SOFR + 150
2/15/2037
2022-FL8 IssuerTranche A-S66,000 66,000 
1M SOFR + 185
2/15/2037
2022-FL8 IssuerTranche B55,500 55,500 
1M SOFR + 205
2/15/2037
2022-FL8 IssuerTranche C67,500 67,500 
1M SOFR + 230
2/15/2037
2022-FL8 IssuerTranche D81,000 81,000 
1M SOFR + 280
2/15/2037
2022-FL9 IssuerTranche A423,667 423,667 
1M SOFR + 255
5/15/2039
2022-FL9 IssuerTranche A-S96,380 96,380 
1M SOFR + 310
5/15/2039
2022-FL9 IssuerTranche B42,166 42,166 
1M SOFR + 360
5/15/2039
2022-FL9 IssuerTranche C48,189 48,189 
1M SOFR + 415
5/15/2039
2022-FL9 IssuerTranche D49,194 49,194 
1M SOFR + 505
5/15/2039
2022-FL9 IssuerTranche E11,043 11,043 
1M SOFR + 565
5/15/2039
$3,601,588 $3,078,294 
________________________________________________________
(1) Excludes $461.6 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligations line in the consolidated balance sheet as of March 31, 2023.
The following table represents the terms of the notes issued by 2019-FL5 Issuer, 2021-FL6 Issuer and 2021-FL7 Issuer, 2022-FL8 Issuer and 2022-FL9 Issuer as of December 31, 2022 (dollars in thousands):

CLO FacilityTranchePar Value Issued
Par Value Outstanding (1)
Interest RateMaturity Date
2019-FL5 IssuerTranche A$407,025 $— 
1M LIBOR + 115
5/15/2029
2019-FL5 IssuerTranche A-S76,950 73,715 
1M LIBOR + 148
5/15/2029
2019-FL5 IssuerTranche B50,000 50,000 
1M LIBOR + 140
5/15/2029
2019-FL5 IssuerTranche C61,374 61,374 
1M LIBOR + 200
5/15/2029
2019-FL5 IssuerTranche D48,600 5,000 
1M LIBOR + 240
5/15/2029
2019-FL5 IssuerTranche E20,250 20,250 
1M LIBOR + 285
5/15/2029
2021-FL6 IssuerTranche A367,500 367,500 
1M LIBOR + 110
3/15/2036
2021-FL6 IssuerTranche A-S86,625 86,625 
1M LIBOR + 130
3/15/2036
2021-FL6 IssuerTranche B33,250 33,250 
1M LIBOR + 160
3/15/2036
2021-FL6 IssuerTranche C41,125 41,125 
1M LIBOR + 205
3/15/2036
2021-FL6 IssuerTranche D44,625 44,625 
1M LIBOR + 300
3/15/2036
2021-FL6 IssuerTranche E11,375 11,375 
1M LIBOR + 350
3/15/2036
2021-FL7 IssuerTranche A508,500 508,500 
1M LIBOR + 132
12/21/2038
2021-FL7 IssuerTranche A-S13,500 13,500 
1M LIBOR + 165
12/21/2038
2021-FL7 IssuerTranche B52,875 52,875 
1M LIBOR + 205
12/21/2038
2021-FL7 IssuerTranche C66,375 66,375 
1M LIBOR + 230
12/21/2038
2021-FL7 IssuerTranche D67,500 67,500 
1M LIBOR + 275
12/21/2038
2021-FL7 IssuerTranche E13,500 13,500 
1M LIBOR + 340
12/21/2038
2022-FL8 IssuerTranche A690,000 690,000 
1M SOFR + 150
2/15/2037
2022-FL8 IssuerTranche A-S66,000 66,000 
1M SOFR + 185
2/15/2037
2022-FL8 IssuerTranche B55,500 55,500 
1M SOFR + 205
2/15/2037
2022-FL8 IssuerTranche C67,500 67,500 
1M SOFR + 230
2/15/2037
2022-FL8 IssuerTranche D81,000 81,000 
1M SOFR + 280
2/15/2037
2022-FL9 IssuerTranche A423,667 423,667 
1M SOFR + 255
5/15/2039
2022-FL9 IssuerTranche A-S96,380 96,380 
1M SOFR + 310
5/15/2039
2022-FL9 IssuerTranche B42,166 42,166 
1M SOFR + 360
5/15/2039
2022-FL9 IssuerTranche C48,189 48,189 
1M SOFR + 415
5/15/2039
2022-FL9 IssuerTranche D49,194 49,194 
1M SOFR + 505
5/15/2039
2022-FL9 IssuerTranche E11,041 11,043 
1M SOFR + 565
5/15/2039
$3,601,586 — $3,147,728 
________________________________________________________
(1) Excludes $453.4 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligations line in the consolidated balance sheet as of December 31, 2022.
The below table reflects the total assets and liabilities of the Company's outstanding CLOs. The CLOs are considered VIEs and are consolidated into the Company's consolidated financial statements as of March 31, 2023 and December 31, 2022 as the Company is the primary beneficiary of the VIE. The Company is the primary beneficiary of the CLOs because (i) the Company has the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIEs or the obligation to absorb losses of the VIEs that could be significant to the VIE. The VIE's are non-recourse to the Company.
Assets (dollars in thousands)March 31, 2023December 31, 2022
Cash (1)
$18,682 $43,246 
Commercial mortgage loans, held for investment, net (2)
3,904,756 3,942,918 
Accrued interest receivable16,652 15,444 
Total Assets$3,940,090 $4,001,608 
Liabilities (dollars in thousands)
Notes payable (3)(4)
$3,539,918 $3,601,102 
Accrued interest payable14,138 10,582 
Total Liabilities$3,554,056 $3,611,684 
________________________________________________________
(1) Includes $17.9 million and $42.5 million of cash held by the servicer related to CLO loan payoffs as of March 31, 2023 and December 31, 2022, respectively.
(2) The balance is presented net of allowance for credit losses of $13.9 million and $13.2 million as of March 31, 2023 and December 31, 2022, respectively.
(3) Includes $461.6 million and $453.4 million of CLO notes, held by the Company, which are eliminated within the collateralized loan obligation line of the consolidated balance sheets as of March 31, 2023 and December 31, 2022, respectively.
(4) The balance is presented net of deferred financing cost and discount of $19.0 million and $19.2 million as of March 31, 2023 and December 31, 2022, respectively.