TPG RE Finance Trust Inc (TRTX) 2023 Q2 法說會逐字稿

Good morning, and welcome to the TPG RE Finance Trust Second Quarter 2023 Earnings Conference Call. Please note this event is being recorded. I would now like to turn the conference over to Deborah Ginsberg, General Counsel, Vice President and Secretary. Please go ahead.

早上好，歡迎參加 TPG RE 金融信託 2023 年第二季度收益電話會議。請注意此事件正在被記錄。我現在將會議交給總法律顧問、副總裁兼秘書黛博拉·金斯堡 (Deborah Ginsberg)。請繼續。

Good morning, and welcome to TPG Real Estate Finance conference call for the second quarter 2023. I'm joined today by Doug Bouquard, Chief Executive Officer; and Bob Foley, Chief Financial Officer. Doug and Bob will share some comments about the quarter, and then we'll open up the call for questions.

早上好，歡迎參加 2023 年第二季度 TPG 房地產金融電話會議。今天，首席執行官 Doug Bouquard 也加入了我的行列。和首席財務官鮑勃·弗利 (Bob Foley)。道格和鮑勃將分享一些有關本季度的評論，然後我們將開始提問。

Yesterday evening, we filed our Form 10-Q and issued a press release and earnings supplemental with the presentation of our operating results, all of which are available on our website in the Investor Relations section. I'd like to remind everyone that today's call may include forward-looking statements, which are uncertain and outside of the company's control. Actual results may differ materially.

昨天晚上，我們提交了 10-Q 表格，並發布了新聞稿和收益補充資料，其中介紹了我們的經營業績，所有這些都可以在我們網站的投資者關係部分找到。我想提醒大家，今天的電話會議可能包含前瞻性陳述，這些陳述是不確定的，超出了公司的控制範圍。實際結果可能存在重大差異。

For a discussion of some of the risks that could affect results, please see the Risk Factors section of our 10-Q and 10-K. We do not undertake any duty to update these statements, and we will also refer to certain non-GAAP measures on this call. And for reconciliations, you should refer in the press release and our 10-Q. With that, it's my pleasure to turn the call over to Doug Bouquard, Chief Executive Officer.

有關可能影響結果的一些風險的討論，請參閱 10-Q 和 10-K 的風險因素部分。我們不承擔更新這些聲明的任何責任，並且我們還將在本次電話會議上參考某些非公認會計準則措施。對於調節，您應該參考新聞稿和我們的 10-Q。至此，我很高興將電話轉給首席執行官 Doug Bouquard。

Thank you, Deborah. Good morning, and thank you for joining our call. Over the past quarter, the market has begun to reflect a greater livelihood of a soft landing as the Federal Reserve has been successful in dampening inflation without curing a recession.

謝謝你，黛博拉。早上好，感謝您加入我們的通話。過去一個季度，市場開始反映出軟著陸帶來的更大民生，因為美聯儲成功抑制了通脹，但沒有治愈經濟衰退。

Over the past 16 months, front-end interest rates have increased from nearly 0 to their highest level seen in 22 years. Despite the Fed's restrictive policy in place, we should acknowledge a few noteworthy takeaways. First, the labor market remains incredibly strong; second, the residential housing market has remained resilient and positive national price appreciation despite mortgage rates hovering around 7%; third, credit spreads in the corporate credit market have tightened dramatically and have almost fully retraced to their pre-Fed hike levels; and lastly, the U.S. public equity market has rallied nearly 18% year-to-date at the S&P 500 quickly approaches an all-time high.

過去16個月，前端利率從接近0升至22年來的最高水平。儘管美聯儲實施了限制性政策，但我們應該承認一些值得注意的要點。首先，勞動力市場依然強勁；其次，儘管抵押貸款利率徘徊在 7% 左右，但住宅市場仍然保持彈性，全國價格積極升值；第三，企業信貸市場的信貸利差大幅收緊，幾乎完全恢復到美聯儲加息前的水平；最後，美國公共股票市場今年迄今已上漲近 18%，標準普爾 500 指數迅速逼近歷史高點。

Despite the broader positive shift that in risk sentiment in many asset classes, commercial real estate continues to underperform. This underperformance is driven by the pressure on values across the commercial real estate landscape, reduce liquidity for debt and equity and secular challenges facing the office market. Ultimately, there are a variety of micro and macroeconomic forces that drive commercial real estate price.

儘管許多資產類別的風險情緒出現更廣泛的積極轉變，但商業房地產的表現仍然不佳。這種表現不佳的原因是整個商業房地產領域的價值壓力、債務和股權流動性減少以及辦公市場面臨的長期挑戰。最終，有多種微觀和宏觀經濟力量推動商業房地產價格。

But in addition to the headwinds I just mentioned, continued uncertainty related to both spot and forward interest rates continue to create volatility on valuations and the hesitation on investment activity across the sector. Our view remains that pressure within the commercial real estate space may persist for an extended period. And therefore, we continue to maintain our strategic posture of, first, cautiously deploying capital; second, maintaining a strong liquidity position; and third, proactively risk managing our investment portfolio in a disciplined and tactical manner while focusing on long-term maximization of shareholder value.

但除了我剛才提到的不利因素之外，與即期和遠期利率相關的持續不確定性繼續造成估值波動和整個行業投資活動的猶豫。我們仍然認為，商業房地產領域的壓力可能會持續很長一段時間。因此，我們繼續保持戰略態勢：一是謹慎配置資本；二是謹慎佈局。第二，保持強勁的流動性狀況；第三，以嚴格的戰術方式積極主動地管理我們的投資組合風險，同時注重股東價值的長期最大化。

Over the past quarter, our decline in net income to shareholders was driven primarily by a $56 million net increase in our CECL reserve, which reflects our view of sustained value declines within the office market. Despite the net increase in our CECL expense, we continue to make progress reducing exposure to credit challenged assets. In May, we sold a $71 million Brooklyn office loan. And post quarter end in July, we sold a $129 million office and retail loan located in (inaudible).

過去一個季度，我們股東淨利潤下降的主要原因是我們的 CECL 儲備淨增加了 5600 萬美元，這反映了我們對辦公樓市場價值持續下降的看法。儘管我們的 CECL 費用淨增加，但我們在減少信貸挑戰資產的風險方面繼續取得進展。 5 月份，我們出售了價值 7100 萬美元的布魯克林辦公室貸款。 7 月季度末後，我們出售了位於（聽不清）的 1.29 億美元的辦公室和零售貸款。

For each of these loans, we determined the optimal resolution path was via loan sale and executed accordingly. It's also worth noting that TRTX provided no seller financing as part of these transactions. And on a combined basis, the recovery amounts exceeded the carrying value, at which we held them on our balance sheet. For broader context, over the past 15 months, we have reduced our cumulative office exposure by approximately $1 billion.

對於每筆貸款，我們確定最佳解決路徑是通過貸款出售並相應執行。還值得注意的是，TRTX 在這些交易中沒有提供賣方融資。綜合來看，回收金額超過了我們在資產負債表上持有的賬面價值。從更廣泛的角度來看，在過去 15 個月中，我們已將辦公室的累計風險敞口減少了約 10 億美元。

From a balance sheet perspective, we fund no new investment this quarter. However, we did see -- we did receive $279 million of repayments during the second quarter, primarily from multifamily refinancing activity. While the multifamily sector has experienced cap rate widening over the past year, both debt and equity capital remain available, albeit at a lower entry point relative to the peak of the [QV] cycle in 2021.

從資產負債表的角度來看，我們本季度沒有資助任何新投資。然而，我們確實看到，第二季度我們確實收到了 2.79 億美元的還款，主要來自多戶家庭再融資活動。儘管多戶住宅行業在過去一年中經歷了資本化率擴大，但債務和股權資本仍然可用，儘管相對於 2021 年 [QV] 週期的峰值而言，其進入點較低。

From a liquidity perspective, we continue to maintain a defensive posture. Total liquidity exceeded $542 million, broken out as $307 million of cash; $206 million of CLO reinvestment capacity; and $28 million of undrawn capacity on our secured credit facilities. Our performance this quarter continues to reflect an asset management strategy that relies on the depth and breadth of TPG's broad real estate platform with approximately $20 billion of AUM across the mix of debt and equity strategies.

從流動性角度來看，我們繼續保持防禦姿態。流動性總額超過 5.42 億美元，其中現金為 3.07 億美元； 2.06 億美元的 CLO 再投資能力；我們的擔保信貸額度中還有 2800 萬美元的未動用能力。我們本季度的業績繼續反映了資產管理戰略，該戰略依賴於 TPG 廣泛的房地產平台的深度和廣度，該平台的資產管理規模約為 200 億美元，涵蓋債務和股權策略組合。

From an asset resolution perspective, we continue to maximize value for our shareholders regardless of whether we execute a loan modification, sell a loan or for close on asset. We continue to believe the kick-to-can approach for assets facing long-term secular headwinds is not a winning strategy. Furthermore, our deep investment experience across multiple business cycles and diverse -- and our diverse real estate investment platform allows us to evaluate and execute on all potential resolution strategies.

從資產處置的角度來看，無論我們是否執行貸款修改、出售貸款或關閉資產，我們都會繼續為股東實現價值最大化。我們仍然認為，對於面臨長期長期逆風的資產來說，採取全力以赴的方法並不是一個成功的策略。此外，我們跨多個商業周期和多元化的深厚投資經驗以及我們多元化的房地產投資平台使我們能夠評估和執行所有潛在的解決策略。

Inherent in this approach, the market should expect a certain amount of near-term volatility in our distributable earnings, and this quarter was no different. However, we continue to have high conviction that this is the optimal long-term strategy for our shareholders and will position TRTX for growth as the real estate credit market continues to evolve. With that, I'll turn the call over to Bob to discuss our financial results.

根據這種方法的本質，市場應該預期我們的可分配收益近期會出現一定程度的波動，本季度也不例外。然而，我們仍然堅信，這對我們的股東來說是最佳的長期戰略，並將隨著房地產信貸市場的不斷發展，為 TRTX 帶來增長。接下來，我會將電話轉給鮑勃，討論我們的財務業績。

Thanks, Doug. Good morning, everyone. GAAP net loss to common shareholders for the second quarter was $72.7 million compared to GAAP net income to common shareholders of $3.8 million last quarter. The change was due primarily to an increase in CECL expense of $81.3 million, reflecting our assessment of further weakening in liquidity for and valuations of office properties nationally.

謝謝，道格。大家，早安。第二季度普通股股東的 GAAP 淨虧損為 7270 萬美元，而上季度普通股股東的 GAAP 淨利潤為 380 萬美元。這一變化主要是由於 CECL 費用增加了 8130 萬美元，反映了我們對全國辦公物業流動性和估值進一步疲軟的評估。

Net interest margin for our loan portfolio was $26.1 million versus $21.7 million in the prior quarter, an increase of $4.4 million or $0.06 per common share. Distributable earnings declined quarter-over-quarter to a loss of $14 million versus earnings of $13.4 million in the prior quarter. This change was due primarily to realized losses of $33.2 million related to two office loans resolved during the second quarter, one by sales and one by conversion to real estate owned.

我們貸款組合的淨息差為 2,610 萬美元，而上一季度為 2,170 萬美元，增加了 440 萬美元，即每股普通股增加了 0.06 美元。可分配收益環比下降至虧損 1,400 萬美元，而上一季度的收益為 1,340 萬美元。這一變化主要是由於與第二季度解決的兩筆辦公貸款相關的 3,320 萬美元的已實現損失，一筆是銷售貸款，另一筆是轉換為擁有的房地產。

These realized losses approximated the CECL reserves [helps get there]. Distributable earnings before realized credit losses was $19.1 million or $0.25 per share, a 43% increase from $13.4 million or $0.17 per share in the prior quarter. Book value per share at quarter end was $13.10, a decline of $1.21 compared to the first quarter of this year due to CECL expense in the second quarter of $1.15 per share.

這些已實現的損失接近 CECL 的儲備金[有助於實現這一目標]。已實現信貸損失之前的可分配收益為 1,910 萬美元，即每股 0.25 美元，比上一季度的 1,340 萬美元，即每股 0.17 美元增長 43%。季度末每股賬面價值為 13.10 美元，較今年第一季度下降 1.21 美元，原因是第二季度 CECL 費用為每股 1.15 美元。

Our CECL reserve increased quarter-over-quarter by a net amount of $55.9 million to $278.3 million from $22.4 million (sic) [222.4 million] as of March 31. Our CECL reserve rate increased to 572 basis points from 420 basis points due almost entirely to further weakening in the office market. At quarter end, our five individually assessed loans represented 63% of our total CECL reserve.

截至3 月31 日，我們的CECL 準備金環比淨額從2240 萬美元（原文如此）[2.224 億美元]增加了5590 萬美元，增至2.783 億美元。我們的CECL 準備金率從420 個基點增至572 個基點，幾乎全部到期寫字樓市場進一步疲軟。截至季度末，我們的五筆單獨評估貸款佔 CECL 儲備金總額的 63%。

Regarding liquidity, we maintained high levels of intermediate -- excuse me, of immediate and near-term liquidity, roughly 10.9% of total assets to support our loan investment and asset resolution strategies. Cash and near-term liquidity at quarter end was $542.9 million, comprised of $307.4 million of cash, $206.7 million of CLO reinvestment cash and $28.7 million of undrawn capacity under our various secured credit agreements.

關於流動性，我們保持了較高水平的中間流動性——對不起，是即時和近期流動性，約佔總資產的 10.9%，以支持我們的貸款投資和資產處置策略。季度末的現金和近期流動性為 5.429 億美元，其中包括 3.074 億美元現金、2.067 億美元 CLO 再投資現金以及我們各種擔保信貸協議項下的 2870 萬美元未提取產能。

Our third CLO remains open for reinvestment through February of 2024. This term, non-mark-to-market, nonrecourse financing, with a credit spread of 202 basis points, is valuable in supporting new loan investments, optimizing our current financing arrangements and maintaining a high proportion of non-mark-to-market financing. During the quarter, we funded $33 million of deferred funding commitments. Unfunded commitments under existing loans declined by $53.4 million to $300.5 million, which is only 6.2% and of our total loan commitments.

我們的第三份CLO 在2024 年2 月之前仍然開放再投資。這一術語是不按市價計價、無追索權的融資，信用利差為202 個基點，對於支持新貸款投資、優化我們當前的融資安排以及維持非按市價計價的融資比例很高。本季度，我們為延期融資承諾提供了 3300 萬美元的資金。現有貸款下的無資金承諾減少了 5,340 萬美元，至 3.005 億美元，僅占我們貸款承諾總額的 6.2%。

Regarding credit, risk ratings remained unchanged at 3.2. Nonaccrual loans at June 30 totaled $555.6 million or 12.2% of aggregate UPB versus $558.9 million or 11.3% of the aggregate UPB for the prior quarter. The de minimis net change quarter-over-quarter masks important asset management activity during the quarter. We reduced nonaccrual loans by $126.3 million through the resolution of two office loans during the quarter, one by sale and one by conversion to REO.

信用方面，風險評級維持在3.2不變。截至 6 月 30 日，非應計貸款總額為 5.556 億美元，佔 UPB 總額的 12.2%，而上一季度為 5.589 億美元，佔 UPB 總額的 11.3%。季度環比的微量淨變化掩蓋了本季度重要的資產管理活動。通過在本季度解決兩項辦公貸款，一項通過出售，一項通過轉換為 REO，我們將非應計貸款減少了 1.263 億美元。

Nonaccrual loans increased by $129.2 million related to a 5 rated first mortgage loan secured by an office and retail property in Manhattan that went nonaccrual during the second quarter due to a maturity default. That loan was promptly sold in July. Consequently, nonaccrual loans today totaled $426.4 million. Nonaccrual status is the logical and often necessary consequence of our asset management steps to resolve loans through Patriot Capital and thoughtfully allocated to create shareholder value.

非應計貸款增加了 1.292 億美元，與曼哈頓一處辦公和零售物業擔保的 5 級第一抵押貸款有關，該貸款由於到期違約而在第二季度變為非應計貸款。該貸款於七月立即出售。因此，今天的非應計貸款總額為 4.264 億美元。非應計狀態是我們通過愛國者資本解決貸款並經過深思熟慮分配以創造股東價值的資產管理步驟的邏輯且通常是必要的結果。

We work to resolve nonaccrual loans promptly to maximize recovery and boost shareholder value. We realized losses during the second quarter on two 5-rated defaulted first mortgage loans, both on office properties. $24.1 million or -- excuse me, or 33.8%, other loans $71.3 million UPB on a 444,000 square foot former warehouse building converted to office in Brooklyn. We sold the note after a broad marketing process conducted by a national brokerage firm.

我們致力於及時解決非應計貸款，以最大限度地提高回收率並提高股東價值。我們在第二季度實現了兩筆 5 級違約第一抵押貸款的損失，這兩筆貸款都針對辦公物業。 2,410 萬美元，或者——對不起，或者 33.8%，其他貸款 7,130 萬美元 UPB，位於布魯克林一棟 444,000 平方英尺的前倉庫大樓，現已改建為辦公室。經過一家全國性經紀公司的廣泛營銷流程後，我們出售了這張票據。

We sustained a $9 million or 16.2% of the loan's $55.7 million UPB on a 375,000 square foot office building in downtown Houston. We converted that nonperforming loan to real estate owned after conducting an extensive loan sale process, which led us to conclude, shareholder value will be maximized through ownership skilled property management and leasing using TPG Real Estate's broad resources and experience and eventual sale.

我們為休斯頓市中心一棟 375,000 平方英尺的辦公樓提供了 900 萬美元，即 5,570 萬美元 UPB 貸款的 16.2%。在進行廣泛的貸款出售流程後，我們將不良貸款轉換為擁有的房地產，這使我們得出結論，利用TPG 房地產廣泛的資源和經驗以及最終的出售，通過擁有熟練的財產管理和租賃，股東價值將最大化。

We borrowed $31.2 million under a 5-year, 7.67% fixed rate interest-only mortgage loan that is assumable, which we believe may facilitate our eventual sale of the property at the appropriate time. The building is 77% leased and occupied. Based on current operating results and mortgage financing, our investment generates an 8% return on cost and a 10% levered ROE after depreciation and amortization expense.

我們根據可承擔的 5 年期、7.67% 固定利率僅付息抵押貸款借入了 3120 萬美元，我們相信這可能有助於我們最終在適當的時間出售該房產。該建築的 77% 已出租並已入住。根據目前的經營業績和抵押貸款融資，我們的投資產生 8% 的成本回報率和 10% 的折舊及攤銷費用後的槓桿 ROE。

And in late July, we sold a $129.2 million first mortgage loan secured by an office and retail property in Manhattan. That loan sale is disclosed as a subsequent transaction and will be reflected in our results of operations for the third quarter. Regarding CECL, our CECL reserve increased this quarter by $55.9 million net, reflecting a lack of debt capital for office transactions, which has pressured valuations.

7 月下旬，我們出售了一筆 1.292 億美元的第一筆抵押貸款，該貸款由曼哈頓的一處辦公樓和零售物業擔保。該貸款銷售作為後續交易披露，並將反映在我們第三季度的運營業績中。關於CECL，我們的CECL儲備本季度淨增加了5590萬美元，反映出辦公樓交易債務資本的缺乏，這給估值帶來了壓力。

Our general reserve declined by $56.3 million, largely due to the transfer of 3 loans from the general pool to the specifically identified pool. Our specifically identified reserve increased by $112.2 million due to increased loan loss estimates and the aforementioned transfers. Regarding our capital base, our focus remains on maintaining a sturdy diverse financing base. Our deep relationships in the financing community and the market power of TPG's Firm-wide Capital Markets business enables us to access and maintain long-dated, cost-efficient debt capital to support our existing portfolio and selected loan purchases and originations.

我們的一般準備金減少了 5,630 萬美元，主要是由於將 3 筆貸款從一般資金池轉至專門池。由於貸款損失估計增加和上述轉移，我們的特別確定準備金增加了 1.122 億美元。關於我們的資本基礎，我們的重點仍然是維持穩健的多元化融資基礎。我們在融資界的深厚關係以及 TPG 全公司資本市場業務的市場力量使我們能夠獲得併維持長期、具有成本效益的債務資本，以支持我們現有的投資組合以及選定的貸款購買和發放。

During the second quarter, we used $265 million of reinvestment capacity in FL4 to finance an equal amount of existing loans and retire $189.8 million of borrowings under five different secured financing arrangements. Quarterly interest expense savings are approximately $0.05 per share. At quarter end, we had $206.7 million of reinvestment capacity available in FL5 for similar use or to support new loan acquisitions or originations.

第二季度，我們使用 FL4 的 2.65 億美元再投資能力為等量的現有貸款提供資金，並根據五種不同的擔​​保融資安排償還了 1.898 億美元的借款。每季度節省的利息費用約為每股 0.05 美元。截至季度末，我們在 FL5 中擁有 2.067 億美元的再投資能力，可用於類似用途或支持新的貸款收購或發放。

We also extended for 1 year on existing borrowing arrangements with Morgan Stanley with $500 million of committed capacity and $54 million of borrowings at quarter end. We closed a new 3-year, $200 million credit mark only secured financing arrangement to Bank of America with $35.9 million of borrowings in June 30. And simultaneously, we allowed to expire a $200 million mortgage warehouse with BofA that had been in place since 2018.

我們還將與摩根士丹利的現有借款安排延長一年，承諾產能為 5 億美元，季度末借款為 5,400 萬美元。 6 月30 日，我們向美國銀行完成了一項新的3 年期2 億美元信用擔保融資安排，借款金額為3,590 萬美元。同時，我們允許美國銀行自2018 年以來設立的2 億美元抵押貸款倉庫到期。 。

(inaudible) test of our financial covenant package, which is uniform across all 12 of our secured borrowing arrangements and reduce the threshold to 1.4x from 1.5x. We saw this change to accommodate higher benchmark interest rates and elevated levels of nonperforming loans as we continue to execute our asset resolution strategy. This quarter, we've already delivered notice to exercise our buy right extension of an existing $500 million credit facility with Goldman Sachs with current borrowings of $324.3 million.

（聽不清）測試我們的財務契約計劃，該計劃在我們所有 12 項擔保借款安排中都是統一的，並將門檻從 1.5 倍降低到 1.4 倍。隨著我們繼續執行資產處置策略，我們看到了這一變化，以適應更高的基準利率和更高的不良貸款水平。本季度，我們已經發出通知，將行使對高盛現有 5 億美元信貸安排的購買權延期，當前借款為 3.243 億美元。

At quarter end, 71.7% of our secured financing was nonrecourse, non-mark-to-market versus 74.1% at prior quarter end. These levels are consistent with our long-standing strategy relying primarily on non-mark-to-market, nonrecourse term funding. Our debt-to-equity ratio declined quarter-over-quarter to 2.79:1 from 2.95:1, and we were in compliance with all of our financial covenants at June 30. And with that, we'll open the floor to questions. Operator?

截至季度末，我們 71.7% 的擔保融資是無追索權、不按市價計價的，而上一季度末這一比例為 74.1%。這些水平與我們主要依靠非按市價計價、無追索權的定期融資的長期戰略是一致的。我們的債務股本比從 2.95:1 逐季度下降至 2.79:1，並且我們在 6 月 30 日遵守了所有財務契約。至此，我們將開放提問。操作員？

(Operator Instructions) Our first question comes from Stephen Laws with Raymond James.

（操作員說明）我們的第一個問題來自斯蒂芬·勞斯和雷蒙德·詹姆斯。

Bob, I guess you touched on, I believe, the sale post quarter end of the 5 rated mixed-use loan. How much of an impact will that have in Q3? And how much of that is an impact to GAAP versus what's going to run through distributable earnings?

鮑勃，我想您提到了 5 級混合用途貸款的季末銷售。這會對第三季度產生多大影響？其中對 GAAP 的影響與對可分配收益的影響有多大？

Sure. Good question. That transaction is part of third quarter results. It will be reported in October, but -- so there will be a loss. It will flow through distributable earnings. The loss we're comfortable is covered by the existing CECL reserve.

當然。好問題。該交易是第三季度業績的一部分。十月份就會有報告，但是——所以會有損失。它將通過可分配收益流動。我們可以接受的損失由現有的 CECL 儲備金來彌補。

Okay. So expect it to be covered, but no material impact to GAAP then?

好的。那麼預計它會被覆蓋，但不會對 GAAP 產生重大影響嗎？

That's right.

這是正確的。

Great. Touching base on FL5, looks like about a little less than $200 million of reinvestment capacity that's, I guess, available through, I think, December is when that window end. Can you talk about how you look at replenishing the collateral there and thoughts about when that might happen? And how much net interest income that might add when it's done?

偉大的。以 FL5 為基礎，看起來大約有不到 2 億美元的再投資能力，我想，我認為 12 月是該窗口結束時可用的。您能否談談您如何看待補充抵押品以及何時會發生這種情況的想法？完成後可能會增加多少淨利息收入？

Sure. This is Doug. I'll answer that. So in terms of our liquidity, we've maintained this CLO reinvestment capacity really continuously over the past year. And really what it allows us to do is have a certain amount of optionality in terms of potential uses of capital. In terms of how we think about deploying it, Bob can kind of walk through in more granular detail exactly on -- from a per share basis. But we expect to be deploying that over the next 3 to 6 months, generally speaking, in advance of that booking window open. So we will updated in term of our process and our prior end in terms of deployment of capital.

當然。這是道格。我會回答這個問題。因此，就我們的流動性而言，我們在過去一年中確實持續保持了這種 CLO 再投資能力。事實上，它允許我們在資本的潛在用途方面擁有一定的選擇權。就我們如何考慮部署它而言，鮑勃可以從每股的基礎上更詳細地進行介紹。但一般來說，我們預計將在未來 3 到 6 個月內在預訂窗口打開之前進行部署。因此，我們將更新我們的流程和資本部署的前期目標。

And to be specific about the timing, FL5 has a reinvestment period of 2 years, concludes in February of 2024. There's actually effectively a 59-day tail on that. You'll recall with respect to FL4, as reinvestment period closed this year in March that we undertook a similar reinvestment strategy, which I described earlier on the call that concluded in May. The rough math there is if we were to do the same thing with FL5 as we did with FL4 and use that capacity to finance existing loans, which is only one of multiple paths as Doug just described. .

具體來說，FL5 的再投資期為 2 年，將於 2024 年 2 月結束。實際上，它有一個 59 天的尾巴。您可能還記得 FL4，隨著今年 3 月份再投資期結束，我們採取了類似的再投資策略，我之前在 5 月份結束的電話會議上對此進行了描述。粗略的計算是，如果我們對 FL5 進行與 FL4 相同的操作，並利用該能力為現有貸款融資，這只是 Doug 剛才描述的多種途徑之一。 。

And you assume that existing loans are borrowed is around 75% under other forms of financing. If we had $207 million of cash in FL5 that would equate to about $156 million of repo borrowings, which we would repay. That costs a little more than $200 million over term SOFR. So that all works out to be a little bit -- it's basically between $0.04 and $0.05 a quarter of interest savings that would result from FL5 reinvestment.

您假設現有貸款的 75% 左右是通過其他形式的融資借來的。如果我們在 FL5 中有 2.07 億美元的現金，則相當於約 1.56 億美元的回購借款，我們將償還這些借款。長期 SOFR 的成本略高於 2 億美元。因此，一切都只是一點點 - FL5 再投資帶來的利息節省基本上在每季度 0.04 美元到 0.05 美元之間。

Our next question comes from Rick Shane with JPMorgan.

我們的下一個問題來自摩根大通的 Rick Shane。

I've been bouncing around, so if this was covered in the prepared remarks, I apologize. Can you talk about were there any buyouts from the CLOs during the second quarter related to defaults? And as you look through the third quarter and what's going on in the CLOs anything that you anticipate buying out?

我一直在跳來跳去，所以如果準備好的評論中涵蓋了這一點，我深表歉意。您能否談談第二季度是否有與違約相關的 CLO 收購？當你回顧第三季度以及 CLO 中發生的事情時，你預計會買斷什麼？

Sure. With respect to the first question, Rick, no, we didn't buy any loans out of any of our CLOs in the second quarter. With respect to what may happen in the future, that's really a function of loan performance, which we attempt to predict but no one can predict with perfect precision.

當然。關於第一個問題，Rick，不，我們在第二季度沒有從任何 CLO 中購買任何貸款。至於未來可能發生的事情，這實際上是貸款績效的一個函數，我們試圖預測它，但沒有人能夠完美精確地預測。

It's also a function of the cushion that's structured into the over collateralization and interest coverage tests each of our CLOs. For those who have studied our CLOs carefully, you'll see that, for example, in FL3, which is the most mature of our three outstanding CLOs, we actually have a very substantial over-collateralization buffer there. So that transaction could actually withstand loan defaults for loans that are in that structure and would remain in that structure without triggering a diversion of cash flow.

這也是緩衝的一個功能，緩衝被納入超額抵押和利息覆蓋率測試中，以測試我們的每一份 CLO。對於那些仔細研究過我們的 CLO 的人來說，您會發現，例如，在 FL3 中，它是我們三個出色的 CLO 中最成熟的，我們實際上在那裡擁有非常可觀的超額抵押緩衝。因此，該交易實際上可以承受該結構中貸款的貸款違約，並且將保留在該結構中，而不會引發現金流轉移。

Got it. And just to be clear, and I believe I know the answer to this, but I just want to make sure, when you talked about amending the coverage test that was within -- that was across your secured credit agreements, correct?

知道了。澄清一下，我相信我知道這個問題的答案，但我只是想確定一下，當您談到修改擔保信貸協議中的覆蓋範圍測試時，對嗎？

That's correct. So it has no impact on the CLOs. It's only with respect to our credit facilities and note-on-note of other non-CLO financing arrangements.

這是正確的。所以它對 CLO 沒有影響。這僅涉及我們的信貸便利和其他非 CLO 融資安排的附註。

Our next question comes from Sarah Barcomb with BTIG.

我們的下一個問題來自 BTIG 的 Sarah Barcomb。

So we're expecting to see some distributable earnings volatility, as you spoke to on that loan sale in Q3 like we saw in Q2. But can you talk about where we sit now with respect to the watch list? Should we expect to see additional watch list migration and higher specific loss reserves going forward?

因此，我們預計會出現一些可分配收益波動，正如您在第三季度的貸款銷售中談到的那樣，就像我們在第二季度看到的那樣。但您能談談我們現在在觀察名單方面的情況嗎？我們是否應該期望看到更多的觀察名單遷移和更高的特定損失準備金？

Sarah, I appreciate the question. So first, I'll just address our migration in terms of the 5 risk-weighted asset bucket and sort of take those, the specific assets and generally put it in two categories. The first category, as Bob and I previously mentioned, relates to the subsequent event disclosure in connection with the sale of the office and retail loan located. So call that category 1, which has been resolved. And to Bob's comment, we'll be sharing more information on that loan sale at the conclusion of our third quarter. .

莎拉，我很欣賞這個問題。首先，我將根據 5 個風險加權資產桶來討論我們的遷移，並將這些特定資產分為兩類。第一類，正如鮑勃和我之前提到的，涉及與出售辦公室和零售貸款有關的後續事件披露。因此將其稱為類別 1，該類別已得到解決。對於鮑勃的評論，我們將在第三季度結束時分享有關貸款銷售的更多信息。 。

The second bucket, which leads four 5 risk-rated loans, really we are currently pursuing various resolution paths, including potential loan sales within that bucket. And those assets specifically are all office assets across four different office markets: Philadelphia, New York, Virginia and Orange County. And given that we're actively in the market pursuing various [pads] or modules of providing transaction specific information at this time. But I think what I would highlight as it relates to our 5-rated assets and our resolution of credit challenged loans, I think it is worth highlighting that in the three loans that were most recently resolved, including our subsequent event, which we've disclosed in the aggregate across those three resolutions, they're resolved in excess of our carrying value. So I continue to kind of point to that in terms of both the comment on our CECL reserve, but also a comment on our ability to effectively resolve credit channels and assets on our balance sheet.

第二個類別是四筆風險評級為 5 的貸款，實際上我們目前正在尋求各種解決方案，包括該類別中的潛在貸款銷售。這些資產具體來說是四個不同辦公市場的所有辦公資產：費城、紐約、弗吉尼亞州和奧蘭治縣。鑑於我們目前正在市場上積極尋求提供交易特定信息的各種[pad]或模塊。但我認為我要強調的是，因為它與我們的 5 級資產和我們解決信用問題貸款有關，我認為值得強調的是，在最近解決的三筆貸款中，包括我們隨後的事件，我們已經合計披露這三項決議，它們的決議超出了我們的賬面價值。因此，我繼續指出這一點，一方面是對我們的 CECL 儲備的評論，另一方面是對我們有效解決信貸渠道和資產負債表上資產問題的能力的評論。

Okay. So yes, I mean you've been managing some in-place issues on your book, but you also originated a hotel loan after quarter end. So I was hoping you could speak to how you're thinking about maintaining more defensive liquidity versus going out and originating loans at higher coupons? Should we see new originations pick up in the second half of the year? Or how do you think about that?

好的。所以，是的，我的意思是，您一直在管理賬簿上的一些就地問題，但您也在季度末後發起了一筆酒店貸款。因此，我希望您能談談您如何考慮維持更具防禦性的流動性，而不是出去以更高的息票發放貸款？我們是否應該在下半年看到新產品的出現？或者你對此有何看法？

That's a fantastic question. I think as we continue to make progress through our credit challenged loans, you will see us begin to more actively deploy capital in terms of new originations. I think that, again, as you look at our current bucket of 5 risk-weighted loans as we make progress, we look forward to the ability to resolve and then recycle that capital. That's been a pretty consistent strategy of ours that Bob and I had mentioned in prior quarters, which is our core view relates to the fact that we don't think that a kick-to-can strategy for assets that we see having long-term secular pressures is going to be a winning strategy for our company.

這是一個很棒的問題。我認為，隨著我們在信用挑戰貸款方面繼續取得進展，您將看到我們開始更積極地在新來源方面部署資本。我再次認為，當你看到我們目前取得的 5 筆風險加權貸款時，我們期待著有能力解決並回收這些資本。這是我們的一個非常一致的策略，鮑勃和我在前幾個季度提到過，這是我們的核心觀點，因為我們認為對我們認為具有長期價值的資產採取“踢到罐”策略並不適用。長期壓力將成為我們公司的製勝策略。

So we've been really disciplined around addressing issues, being overly transparent with the market. And then as we address those issues, we'll be very actively engaging in the new origination market. Just for one moment in terms of capital deployment, I think that what we are seeing is actually a very ripe opportunity to be lending. I think despite the fact that broader risk sentiment is actually very positive across a variety of asset classes, as I mentioned in my prepared remarks, we are still seeing a fair amount of dislocation and opportunity within real estate credit. So that really continues to be an underlying kind of key tenet of our investment focus is being able to redeploy capital with some duration in today's wider spread environment at a lower basis. I think it was going to serve the company well over the long term.

因此，我們在解決問題方面一直非常自律，對市場過於透明。然後，當我們解決這些問題時，我們將非常積極地參與新的起源市場。就資本配置而言，我認為我們所看到的實際上是一個非常成熟的貸款機會。我認為，儘管正如我在準備好的發言中提到的那樣，各種資產類別的更廣泛的風險情緒實際上非常積極，但我們仍然看到房地產信貸領域存在相當多的混亂和機會。因此，這確實仍然是我們投資重點的一個基本關鍵原則，即能夠在當今更廣泛的利差環境中以較低的基礎重新部署一定期限的資本。我認為從長遠來看，這將對公司有好處。

Our next question comes from Steven Delaney with JMP Securities.

我們的下一個問題來自 JMP 證券的 Steven Delaney。

I appreciate your opening remarks and Doug especially your macro view. I'll come back to that in a minute. Bob, can you tell us -- I haven't had a chance to look at the Q yet, but on the $129 million loan, I assume that specific reserve is disclosed in the Q. Can you share with us what that might be, the amount?

我很欣賞你的開場白和道格，尤其是你的宏觀觀點。我稍後會回過頭來討論這一點。鮑勃，你能告訴我們嗎——我還沒有機會查看 Q，但對於 1.29 億美元的貸款，我認為 Q 中披露了具體準備金。你能與我們分享一下可能是什麼嗎？量？

I cannot. We don't disclose loan-by-loan specific reserves. What we do disclose next quarter the loss, you'll see it flow through the income statement. And Doug touched earlier here on why we don't disclose.

我不能。我們不會披露每筆貸款的具體準備金。我們將在下個季度披露損失，您將在損益表中看到它。道格早些時候談到了我們不透露的原因。

Well, obviously, negotiating with loan buyers is probably a big thing because your tip in you hand as far as what you take, right, if thing -- they just got reserves...

嗯，顯然，與貸款買家談判可能是一件大事，因為你手中的小費就你所拿的而言，對，如果有的話 - 他們只是有儲備金......

(inaudible)

（聽不清）

Dumb question. I'll move on to the next thing. The one thing also was positive. To get to be a 5, you have to probably be a 4 first. The full weighted loans dropped almost $400 million, 7 loans now at [$515 million], it's 11% of the portfolio versus 18% of the portfolio at March 31. Overly simplistic, I know, but we kind of know what happens with 5s, they end up sold or foreclosed or whatever. But if you were to tell an investor, would there be value for our clients and our sales as analysts to pay close attention to migration into the 4 bucket as we go through. We've, obviously, as Doug said, probably got another year or longer in this CRE disruption, but it seems like that's the place. If there's one place we can look to get a picture of the future, that might be. Just curious how you all think about that?

愚蠢的問題。我將繼續下一件事。一件事也是積極的。要成為 5 級，您可能必須先成為 4 級。全部加權貸款減少了近4 億美元，其中7 筆貸款現在為[5.15 億美元]，佔投資組合的11%，而3 月31 日時佔投資組合的18%。我知道這太簡單了，但我們有點知道5 筆貸款會發生什麼，他們最終被出售或取消贖回權或其他什麼。但如果你要告訴投資者，作為分析師，在我們經歷的過程中密切關注向第四個桶的遷移對我們的客戶和我們的銷售是否有價值。顯然，正如道格所說，我們可能還需要一年或更長時間才能應對商業地產的顛覆，但似乎就是這樣。如果有一個地方我們可以展望未來，那可能就是這個地方。只是好奇大家對此有何看法？

Steve, great observation. A couple of comments, and I think Doug has some commentary here as well. I think you're right, risk ratings are something that we take very seriously. They're an important -- they're not the only tool, but they're an important tool to help us manage our risk book and also convey to the market what our current and future expectations are about loans. .

史蒂夫，觀察力很強。一些評論，我認為道格在這裡也有一些評論。我認為你是對的，風險評級是我們非常重視的事情。它們是一個重要的工具——它們不是唯一的工具，但它們是幫助我們管理風險賬簿並向市場傳達我們當前和未來對貸款的期望的重要工具。 。

So 4 is probably the key category. We did have three loans as we disclosed, and migrated from 4 to 5 in the second quarter. We didn't have any inbounds. And if you look historically, and history isn't necessarily a guide of future behavior. But if you look at historically, loans that moved into the 4 category, a fairly large proportion of them actually don't move to 5. And many of them get resolved while being forced. And some actually move back to 3. But it's a really important thing. You're right, folks should pay careful attention to it we do. Doug?

所以 4 可能是關鍵類別。正如我們所披露的，我們確實有三筆貸款，並在第二季度從 4 筆遷移到了 5 筆。我們沒有任何入境。如果你回顧歷史，就會發現歷史不一定是未來行為的指南。但如果你從歷史上看，進入4類的貸款，其中相當大一部分實際上並沒有進入5類。而且很多都是在被迫的情況下得到解決的。有些人實際上又回到了 3。但這確實很重要。你說得對，人們應該仔細關注我們所做的事情。道格？

Yes. Look, I think you are hitting on, I think, a little bit of a positive in terms of this quarter, which is, again, we've been saying now for a few quarters in a row that we're really focused on being able to be -- being one of the first kind of through a lot of the challenges. Again, we -- I'll say again. We've avoided to kick the can. We've reduced our office exposure by over $1 billion in the last 15 months, and we continue to have a very clear focus on getting any credit challenges behind us because it just allows us to play offense sooner relative to the broader market. .

是的。聽著，我認為你在本季度取得了一些積極的成果，也就是說，我們已經連續幾個季度表示，我們真正專注於成為能夠——成為第一個經歷很多挑戰的人。再說一遍，我們——我再說一遍。我們避免了踢罐子。在過去15 個月中，我們已將辦公室風險敞口減少了超過10 億美元，並且我們繼續非常明確地致力於解決任何信貸挑戰，因為這只會讓我們相對於更廣泛的市場更快地發起進攻。 。

And I would say, secondly, there was one thing that is worth highlighting in terms of probably the second positive, and that does relate to if you -- absent our credit losses, what our distributable earnings per share were this past quarter. So I think Bob should perhaps just rehighlight some of those numbers just we're really clear because I think that's probably the -- one of the most important, I would say, indicators in terms of the potential earnings power of the company and sort of where we believe to be headed. I think just -- though king of hearing those numbers one more time so that we're sort of all clear collectively on what that looks like.

其次，我想說的是，有一件事情值得強調，這可能是第二個積極因素，這確實與如果你不考慮我們的信貸損失，我們上個季度的可分配每股收益是多少有關。所以我認為鮑勃也許應該重新強調其中一些數字，因為我們真的很清楚，因為我認為這可能是最重要的指標之一，我想說，就公司的潛在盈利能力而言，以及某種程度的指標我們相信我們將走向何方。我想，儘管如此，還是希望能再聽一次這些數字，這樣我們就可以集體清楚這是什麼樣子了。

And so I think the point Doug is directing me to is that distributed earnings before the realized losses for the second quarter were $0.25 a share, which is actually $0.01 higher than our dividend.

因此，我認為道格引導我注意的一點是，第二季度實現虧損之前的分配收益為每股 0.25 美元，實際上比我們的股息高出 0.01 美元。

You were talking -- Doug commented in his general remarks about the general risk environment and the rate environment. And rates are clearly important to us and companies like us. But in terms of our ability to rebuild earnings power, rates are actually a secondary issue. The biggest issue is clearly for us to move quickly through the credit challenge loans, resolving like the best value as possible. We had, at quarter end, $555 million of nonperforming loans. All of those are financed. So we're paying interest on the funding costs and we're not collecting interest. The foregone interest there on an annualized basis, by our estimates, is $0.15, $0.16 a year in a quarter. So that could be a potential upside node.

你正在談論 - 道格在他的一般性評論中評論了總體風險環境和利率環境。費率對於我們和像我們這樣的公司來說顯然很重要。但就我們重建盈利能力的能力而言，利率實際上是次要問題。顯然，我們面臨的最大問題是如何快速解決信貸挑戰貸款問題，盡可能解決最佳價值問題。截至季度末，我們的不良貸款為 5.55 億美元。所有這些都是有資金支持的。因此，我們支付融資成本利息，但不收取利息。據我們估計，按年化計算，放棄的利息為 0.15 美元，即每個季度每年 0.16 美元。因此這可能是一個潛在的上行節點。

Stephen and asked earlier about the math surrounding CLO cash reinvestment. And then I'd say the third component is we are intentionally carrying high cash levels in order to support our portfolio and be able to work toward the optimal resolutions for each credit challenged loan. But in a more normalized environment, if we succeed in our objectives, we would not be carrying $40 million -- or $310 million of cash. And so if that were deployed, you can make up your own ROE, but if you assume, say, a 9.5%, that's another $0.05 or $0.06 a quarter. So clearly, some drivers. They're all contingent upon executing what Doug articulated and has articulated again and again, and that's working thoughtfully, but quickly through our credit challenge loans to achieve the highest recoveries possible for our shareholders.

Stephen 早些時候詢問了有關 CLO 現金再投資的數學問題。然後我要說的第三個組成部分是，我們有意持有高現金水平，以支持我們的投資組合，並能夠為每筆信用挑戰貸款找到最佳解決方案。但在更加正常化的環境中，如果我們成功實現我們的目標，我們將不會攜帶 4000 萬美元或 3.1 億美元的現金。因此，如果部署了這一點，您可以計算自己的 ROE，但如果您假設為 9.5%，則每季度又需要 0.05 美元或 0.06 美元。很明顯，有些司機。它們都取決於執行道格所闡明的以及一次又一次闡明的內容，並且通過我們的信用挑戰貸款迅速而周密地運作，為我們的股東實現盡可能高的回收。

Our next question comes from Derek Hewett with Bank of America.

我們的下一個問題來自美國銀行的德里克·休伊特。

Doug and Bob. I think, Bob, you addressed my -- or at least partially address my question in terms of the sustainability of the dividend, given you're currently carrying excess liquidity and you have additional self-help opportunities from refinancing of certain loans within FL5. But could you just, in general, just talk about your thoughts in terms of how you determine what the dividend should be set at?

道格和鮑勃。我認為，鮑勃，您解決了我的問題，或者至少部分解決了我關於股息可持續性的問題，因為您目前擁有過剩的流動性，並且您有通過FL5 內的某些貸款再融資獲得額外自助機會。但您能否總的來說談談您對如何確定股息的想法？

Sure. Good question, Derek, and thanks for dialing in this morning. Our view is that dividend level for a company and our company in particular ought to be set at a level that matches its sustainable earnings power. There is also a consideration about distributable earnings, which to say is a pretty close, but not perfect proxy for taxable income and distributing at least 90% of taxable income is a REIT rules based driver dividend levels as well, but let's focus on the first point.

當然。問得好，德里克，感謝您今天早上撥通電話。我們的觀點是，公司（尤其是我們公司）的股息水平應該設定在與其可持續盈利能力相匹配的水平。還有一個關於可分配收益的考慮因素，可以說這是一個非常接近但不完美的應稅收入代理，並且分配至少90% 的應稅收入也是基於REIT 規則的驅動股息水平，但讓我們關注第一個觀點。

We just articulated that NIM currently exceeds our dividend level. Doug described that volatility of distributable earnings is likely to continue as we work to resolve these loans. The team spends extreme effort on that and also in terms of getting our CECL reserve right so that we feel that the net carrying value of our loans are fairly stated. And to Stephen's earlier question in instances where we do resolve a loan that the realized losses closely approximate the CECL reserve. So all of those are variables in the equation, and we use that to formulate recommendations to our Board because at the end of the day, that decision is there's to confirm, but that's how we think about it.

我們剛剛明確表示淨息差目前超過了我們的股息水平。道格表示，隨著我們努力解決這些貸款問題，可分配收益的波動可能會持續下去。該團隊為此付出了極大的努力，並在確保我們的 CECL 準備金正確方面付出了極大的努力，以便我們認為我們貸款的賬面淨值得到了公平的表述。對於斯蒂芬之前提出的問題，在我們確實解決了一筆貸款的情況下，已實現的損失與 CECL 準備金非常接近。因此，所有這些都是方程式中的變量，我們用它來向董事會提出建議，因為最終，該決定需要確認，但這就是我們的想法。

Thank you. There are no further questions at this time. I would like to turn the floor back over to Doug Bouquard for closing comments.

謝謝。目前沒有其他問題。我想請道格·布卡爾 (Doug Bouquard) 發表結束評論。

Thank you. Just want to thank everyone for dialing in this morning, and we look forward to updating you in the next quarter. Have a great day.

謝謝。只是想感謝大家今天早上撥通電話，我們期待在下個季度向您通報最新情況。祝你有美好的一天。

This concludes today's teleconference. You may disconnect your lines at this time. We thank you for your participation and have a great day.

今天的電話會議到此結束。此時您可以斷開線路。我們感謝您的參與並祝您度過愉快的一天。