Fair Value of Financial Instruments

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

Fair Value of Financial Instruments

The carrying values and fair values of KREF’s financial assets and liabilities recorded at fair value on a recurring basis, as well as other financial instruments not carried at fair value, as of September 30, 2024, were as follows:

							Fair Value
	Principal Balance		Amortized Cost		Carrying Value		Level 1		Level 2		Level 3		Total
Assets
Cash and cash equivalents	$	108,795	$	108,795	$	108,795	$	108,795	$	—	$	—	$	108,795
Commercial real estate loans, held-for-investment, net	6,201,666		6,188,679		6,040,666		—		—		6,030,040		6,030,040
Commercial real estate loan, held-for-sale	138,000		137,916		137,916		—		138,000		—		138,000
	$	6,448,461	$	6,435,390	$	6,287,377	$	108,795	$	138,000	$	6,030,040	$	6,276,835
Liabilities
Secured financing agreements, net	$	3,024,534	$	3,017,564	$	3,017,564	$	—	$	—	$	3,017,564	$	3,017,564
Collateralized loan obligations, net	1,941,330		1,941,128		1,941,128		—		—		1,914,040		1,914,040
Secured term loan, net	340,375		334,193		334,193		—		338,248		—		338,248
	$	5,306,239	$	5,292,885	$	5,292,885	$	—	$	338,248	$	4,931,604	$	5,269,852

The carrying values and fair values of KREF’s financial assets recorded at fair value on a recurring basis, as well as other financial instruments for which fair value is disclosed, as of December 31, 2023, were as follows:

							Fair Value
	Principal Balance		Amortized Cost		Carrying Value		Level 1		Level 2		Level 3		Total
Assets
Cash and cash equivalents	$	135,898	$	135,898	$	135,898	$	135,898	$	—	$	—	$	135,898
Commercial real estate loans, held-for-investment, net	7,369,425		7,343,548		7,133,078		—		—		7,133,696		7,133,696
	$	7,505,323	$	7,479,446	$	7,268,976	$	135,898	$	—	$	7,133,696	$	7,269,594
Liabilities
Secured financing agreements, net	$	3,794,066	$	3,782,419	$	3,782,419	$	—	$	—	$	3,782,419	$	3,782,419
Collateralized loan obligations, net	1,942,750		1,942,171		1,942,171		—		—		1,893,350		1,893,350
Secured term loan, net	343,000		335,331		335,331		—		338,500		—		338,500
	$	6,079,816	$	6,059,921	$	6,059,921	$	—	$	338,500	$	5,675,769	$	6,014,269

The following table contains the Level 3 inputs used to value assets and liabilities on a recurring and nonrecurring basis or where KREF discloses fair value as of September 30, 2024:

	Fair Value		Valuation Methodologies	Unobservable Inputs	Weighted Average(A)	Range
Assets and Liabilities
Commercial real estate loans, held-for-investment	$	6,030,040	Discounted cash flow	Discount margin	4.1%	3.0% - 9.5%
				Discount rate	10.6%	10.0% - 11.5%
				Capitalization rate	9.1%	7.9% - 9.8%
	$	6,030,040

(A)    Represents the average of the input value, weighted by the unpaid principal balance of the financial instrument.

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

Certain assets not measured at fair value on an ongoing basis but subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment, are measured at fair value on a nonrecurring basis. KREF measures commercial real estate loans held-for-sale at the lower of cost or fair value and may be required, from time to time, to record a nonrecurring fair value adjustment. KREF measures commercial real estate loans held-for-investment at amortized cost, but may be required, from time to time, to record a nonrecurring fair value adjustment in the form of a CECL allowance.

Assets and Liabilities for Which Fair Value is Only Disclosed

KREF does not carry its secured financing agreements at fair value as management did not elect the fair value option for these liabilities. As of September 30, 2024, the fair value of KREF's financing facilities approximated their respective carrying value.