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Fair Value Measurements
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

(9) Fair Value Measurements

The Company’s consolidated balance sheet includes Level I fair value measurements related to cash equivalents, restricted cash, accounts receivable, and accrued liabilities. As of September 30, 2021, the Company had $217.1 million invested in money market funds with original maturities of less than 90 days. The carrying values of these financial assets and liabilities are reasonable estimates of fair value because of the short-term maturities of these instruments. The consolidated balance sheet also includes loans held for investment, the assets and liabilities of TRTX 2018-FL2, TRTX 2019-FL3 and TRTX 2021-FL4, and secured debt agreements that are considered Level III fair value measurements that are not measured at fair value on a recurring basis but are subject to fair value adjustments utilizing the fair value of the underlying collateral when there is evidence of impairment and when the loan is dependent solely on the collateral for payment of principal and interest. Additionally, the Company had one loan held for sale as of September 30, 2021 that was recorded at its fair value, less estimated selling costs.

The following tables provide information about the fair value of the Company’s financial assets and liabilities on the Company’s consolidated balance sheets as of September 30, 2021 and December 31, 2020 (dollars in thousands):

 

 

September 30, 2021

 

 

 

 

 

 

 

Fair value

 

 

 

Carrying value

 

 

Level I

 

 

Level II

 

 

Level III

 

Financial assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans held for investment

 

$

4,699,238

 

 

$

 

 

$

 

 

$

4,735,786

 

Loans held for sale

 

 

86,636

 

 

 

 

 

 

 

 

 

86,636

 

Financial liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized loan obligations

 

 

2,749,901

 

 

 

 

 

 

 

 

 

2,741,971

 

Secured financing agreements

 

 

915,537

 

 

 

 

 

 

 

 

 

914,094

 

Mortgage loan payable

 

 

49,360

 

 

 

 

 

 

 

 

 

49,360

 

 

 

 

December 31, 2020

 

 

 

 

 

 

 

Fair value

 

 

 

Carrying value

 

 

Level I

 

 

Level II

 

 

Level III

 

Financial assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans held for investment

 

$

4,456,460

 

 

$

 

 

$

 

 

$

4,472,984

 

Financial liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized loan obligations

 

 

1,825,568

 

 

 

 

 

 

 

 

 

1,834,760

 

Secured financing agreements

 

 

1,514,028

 

 

 

 

 

 

 

 

 

1,532,910

 

Mortgage loan payable

 

 

49,147

 

 

 

 

 

 

 

 

 

49,147

 

As of September 30, 2021 and December 31, 2020, the estimated fair value of the Company’s loans held for investment portfolio was $4.7 billion and $4.5 billion, respectively, which approximated carrying value. The weighted average gross credit spread for the Company’s loans held for investment portfolio as of September 30, 2021 and December 31, 2020 was 3.29% and 3.18%, respectively. The weighted average years to maturity as of September 30, 2021 and December 31, 2020 was  2.8 and 3.1 years, respectively, assuming full extension of all loans held for investment.

As of September 30, 2021 and December 31, 2020, the estimated fair value of the secured credit agreements approximated fair value as current borrowing spreads reflect market terms. As of September 30, 2021 and December 31, 2020, the estimated fair value of the collateralized loan obligation liabilities approximated carrying value as current borrowing spreads reflect market terms.

There were no transfers of financial assets or liabilities within the levels of the fair value hierarchy during the nine months ended September 30, 2021.