Attached files
| file | filename |
|---|---|
| 8-K - 8-K Q3-2016 INVESTOR PRESENTATION - TWO HARBORS INVESTMENT CORP. | a8kq3-2016investorpresenta.htm |
Third Quarter 2016 Investor Presentation
Safe Harbor Statement
F O R W A R D - L O O K I N G S T A T E M EN T S
This presentation includes ―forward-looking statements‖ within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act
of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as
predictions of future events. Words such as ―expect,‖ ―target,‖ ―assume,‖ ―estimate,‖ ―project,‖ ―budget,‖ ―forecast,‖ ―anticipate,‖ ―intend,‖ ―plan,‖ ―may,‖ ―will,‖
―could,‖ ―should,‖ ―believe,‖ ―predicts,‖ ―potential,‖ ―continue,‖ and similar expressions are intended to identify such forward-looking statements. These forward-
looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things,
those described in our Annual Report on Form 10-K for the year ended December 31, 2015, and any subsequent Quarterly Reports on Form 10-Q, under the caption
―Risk Factors.‖ Factors that could cause actual results to differ include, but are not limited to: the state of credit markets and general economic conditions; changes in
interest rates and the market value of our assets; changes in prepayment rates of mortgages underlying our target assets; the rates of default or decreased recovery
on the mortgages underlying our target assets; the occurrence, extent and timing of credit losses within our portfolio; the concentration of credit risks we are exposed
to; declines in home prices; our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets;
the availability and cost of financing; changes in the competitive landscape within our industry; our ability to successfully implement new strategies and to diversify our
business into new asset classes; our ability to manage various operational risks and costs associated with our business; interruptions in or impairments to our
communications and information technology systems; our ability to successfully securitize or sell mortgage loans; our ability to acquire mortgage servicing rights (MSR)
and successfully operate our seller-servicer subsidiary and oversee our subservicers; the impact of any deficiencies in the servicing or foreclosure practices of third
parties and related delays in the foreclosure process; the state of commercial real estate markets and our ability to acquire or originate commercial real estate loans
or related assets; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; the impact of new or modified government
mortgage refinance or principal reduction programs; our ability to maintain our REIT qualification; and limitations imposed on our business due to our REIT status and
our exempt status under the Investment Company Act of 1940.
Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Two Harbors does not undertake or
accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events,
conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Two Harbors’ most
recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Two Harbors or matters
attributable to Two Harbors or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.
This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We
have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be
relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not
constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates
would accept.
Readers are advised that the financial information in this presentation is based on company data available at the time of this presentation and, in certain
circumstances, may not have been audited by the company’s independent auditors.
2
Two Harbors Investment Corp. Overview (1)
LEADING HYBRID MORTGAGE REIT PROVIDING STRONG RISK - ADJUSTED RETURNS
3
(1) Except as otherwise indicated in this presentation, reported data is as of or for the period ended September 30, 2016.
OVERVIEW PROVEN STRATEGY
• Equity market capitalization of approximately
$3.0 billion; portfolio of $17.0 billion
• Diversified portfolio approach includes Agency
and non-Agency RMBS, mortgage servicing rights
(MSR) and commercial real estate assets
• Conservative risk profile with low interest rate
exposure provides more stable book value and
income generation
• Experienced management team with deep
expertise and experience in managing mortgage
credit, interest rate and prepayment risk
• Diversified business model takes advantage of
evolving mortgage finance landscape
• Opportunistically allocate capital to drive long-
term stockholder value
• Disciplined risk management drives high quality
returns with lower volatility
-20.0%
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
120.0%
140.0%
160.0%
10/29/2009 9/29/2010 8/29/2011 7/29/2012 6/29/2013 5/29/2014 4/29/2015 3/29/2016
TWO BBG REIT MTG Index
Delivering Results
4
(1) Two Harbors’ total stockholder return is calculated for the period October 29, 2009 through September 30, 2016. Total stockholder return is defined as stock price appreciation including dividends. Source: Bloomberg.
(2) Bloomberg REIT Mortgage Index total stockholder return for the period October 29, 2009 through September 30, 2016. The Bloomberg REIT Mortgage Index tracks publicly traded REITs whose principal business consists of originating,
servicing or investing in residential mortgage interests. The index uses a modified market capitalization weighted methodology, and components are reviewed quarterly for eligibility. Source: Bloomberg.
• Outperformed peer group by over 40% since inception
• Delivered total stockholder return of 132%(1)
― Bloomberg REIT Mortgage Index total stockholder return of 88% over the same period of time(2)
• Maintained comparable dividend yield with lower leverage and less interest rate exposure than peer average
132%
88%
(2) (1)
9/30/16
Key Areas of Focus
INCREASE EARNINGS POWER AND SIMPLIFY BUSINESS MODEL
• Continue to thoughtfully manage Agency portfolio and build out MSR position
• Capitalize on tailwinds supporting non-Agency
• Increase capital allocated to commercial strategy
• Deploy capital to maximize returns
― On track to substantially wind down conduit by end of 2016; cost savings and incremental investment income from
capital redeployment expected to be about $20 million in 2017
BUILDING STRONG MOMENTUM FOR 2017
5
Diversified Financing Profile
6
REPURCHASE AGREEMENTS
• Repo markets functioning without interruption
• Outstanding borrowings of $10.6 billion with 22 active counterparties; 31 total counterparties
• $441.8 million outstanding with direct lending counterparty
FINANCING FOR MSR
• Added $30 million revolving credit facility
• Initial terms favorable
– Advance rate of 60.0%
– Spread over LIBOR of 375 basis points
• Anticipate expanding upon this source of financing
FEDERAL HOME LOAN BANK OF DES MOINES
• Outstanding secured advances of $4.0 billion
• Weighted average borrowing rate of 0.67%
FINANCING FOR COMMERCIAL REAL ESTATE ASSETS
• Two $250 million financing facilities
HISTORICAL CAPITAL ALLOCATION PORTFOLIO COMPOSITION (1)
Portfolio Composition
7
$17.0 BILLION PORTFOLIO AS OF SEPTEMBER 30, 2016
(1) For additional detail on the portfolio, see Appendix slides 14-20.
(2) Commercial consists of senior and mezzanine commercial real estate debt and related instruments.
(3) MSR includes Ginnie Mae buyout residential mortgage loans.
(4) Assets in ―Rates‖ include Agency RMBS, Agency Derivatives, MSR and Ginnie Mae buyout residential mortgage loans.
(5) Assets in ―Credit‖ include non-Agency RMBS, prime jumbo residential mortgage loans, net economic interest in securitization trusts and credit sensitive residential mortgage loans.
Commercial(2)
$1.1b
March 31,
2016
June 30,
2016
September 30,
2016
Rates(4) 56% 56% 54%
Credit(5) 33% 31% 31%
Commercial 11% 13% 15%
DIVERSIFIED AND BALANCED CAPITAL ALLOCATION
Agency
$12.6b
MSR(3)
$0.5b
Non-Agency
$1.9b
Conduit
$0.9b
Rates(4) $13.1b Credit(5) $2.8b Commercial $1.1b
Rates Strategy
8
• Maintain low interest rate exposure
• Focus on preserving book value and income generation
• Agency pools combined with MSR provides attractive returns with less risk
― Additional benefits from increased MSR yield and float income in slowing prepayment environment
THIRD QUARTER ACCOMPLISHMENTS
• Continued to add prepayment protected Agency RMBS; approximately 65% of pools had some form of
prepayment protection as of September 30, 2016
• Added $10.6 billion UPB of new issue, high quality MSR
― Expect near-term flow MSR volume of approximately $2.5 billion UPB per month
BOOK VALUE AND INCOME LARGELY INSULATED FROM CHANGES IN INTEREST RATES
Credit Strategy
9
LEGACY NON-AGENCY RMBS
• Strong tailwinds for residential credit driving greater long-
term opportunity for portfolio
― Employment improving
― Housing prices increasing
― Affordability high
• Continue to reduce credit reserve; released over $400
million in the past 3 years
― Expect future yields to be consistent with this quarter due to
release of reserves
• On track to substantially complete wind down of conduit
by year-end
• Completed ABMT 2016-3, a $377 million UPB
securitization
• Positioned to redeploy freed up capital into strategies with
higher returns
― Agency pools combined with MSR
― Commercial real estate assets
MORTGAGE LOAN CONDUIT
SIGNIFICANT OPPORTUNIT Y
• Commercial real estate loan market exceeds $3.0 trillion, with over $1.5 trillion maturing in the next
several years(1)
― Additional borrowing needs are being driven by increased sale transaction volumes
• Strong fundamentals
― Long-term real estate valuations compare favorably
― Spread between CRE capitalization rates and Treasuries remains above historical average
― Significantly limited new supply of properties
― Continued improvement in rent and occupancies
― Lending relies significantly on cash flow from rent rather than property appreciation
• Risk-adjusted returns are attractive
― Low-to-mid double digit return on equity (ROE)
― Floating rate assets provide upside to higher rates
Commercial Real Estate Market Overview
10
(1) Source: Goldman Sachs; Trepp, LLC. Based on Federal Reserve Flow of Funds Data.
• Aggregate portfolio carrying value of $1.1 billion at September 30, 2016
― Twenty-two senior and six mezzanine assets
• Weighted average stabilized loan-to-value (LTV) of 65.1%(1); weighted average spread of LIBOR plus 482 basis points
• Tremendous opportunity for lending; strong pipeline of loans
Commercial Real Estate Strategy
11
PORTFOLIO BY PROPERTY TYPE PORTFOLIO BY GEOGRAPHY
(1) Stabilized LTV considers the prospective market value ―as stabilized‖ which reflects the property’s market value as of the time the property is projected to achieve stabilized occupancy. Stabilized occupancy is the occupancy level that a
property is expected to achieve after the property is exposed to the market for lease over a reasonable period of time and at comparable terms and conditions to other similar properties.
Office
42.9%
Retail
21.3%
Multifamily
18.7%
Industrial
9.4%
Hotel
7.7%
Northeast
44.1%
Southwest
23.9%
West
16.2%
Southeast
9.4%
Midwest
6.4%
11.2%
10.3%
11.3% 11.0%
13.6%
11.9%
13.0%
12.0%
0.0%
6.0%
12.0%
18.0%
2013 2014 2015 2016-YTD 2013 2014 2015 2016-YTD
…LESS INTEREST RATE R ISK (3 ) . . .
Attractive Returns With Lower Risk
12
AT T R AC T I VE & C O M PA R A BLE D I V I D E ND Y I E L D (1 ) …WITH LOWER LEVERAGE (2 ) . . .
SUPERIOR ASSET SELECTION AND RISK MANAGEMENT DRIVE RETURNS WITH LESS RISK
TWO Peer Average TWO Peer Average
TWO Peer Average
…AND LESS P R E PAY M E NT E X P O S U R E (4 )
TWO Peer Average
Note: Two Harbors and peer financial data for Dividend Yield, Leverage, Prepayment Risk and Interest Rate Exposure on this slide is based on available financial information as of September 30, 2016 as filed with the SEC. Peers include AGNC, ANH, ARR, CMO, CYS, IVR, MFA , NLY and HTS
(financial information for HTS is included in peer financial data only for the periods ending prior to the second quarter of 2016).
(1) Represents average of annualized yields on all quarterly cash dividends per respective fiscal year. Two Harbors’ first quarter 2013 dividend yield used in annual average calculation was based on cash dividend of $0.32 per share and does not include Silver Bay Realty Trust common
stock distribution of $1.01 per share. Annualized yields for each quarter are calculated by dividing annualized quarterly dividends by closing share price as of respective quarter-ends. Peer dividend data based on peer company press releases. Historical dividends may not be indicative
of future dividend distributions. Our company ultimately distributes dividends based on its taxable income per share of common stock.
(2) Represents average of debt-to-equity ratios for all reportable quarters per respective fiscal year. Debt-to-equity is defined as total borrowings to fund RMBS, residential mortgage loans held-for-sale, commercial real estate assets, MSR and Agency Derivatives divided by total equity.
(3) Represents average of estimated change in equity value for theoretical +100bps parallel shift in interest rates for all reportable quarters per respective fiscal year. Change in equity market capitalization is adjusted for leverage.
(4) Represents average of the constant prepayment rate (CPR) on Agency RMBS, including Agency Derivatives, for all reportable quarters per respective fiscal year.
3.2x 3.0x 3.0x
3.7x
6.9x
6.4x 6.6x 6.2x
0.0x
2.0x
4.0x
6.0x
8.0x
2013 2014 2015 2016-YTD 2013 2014 2015 2016-YTD
8.1% 7.6%
9.3% 9.2%
15.0%
11.2%
13.5% 14.3%
0.0%
5.0%
10.0%
15.0%
20.0%
2013 2014 2015 2016-YTD 2013 2014 2015 2016-YTD
1.8%
-1.0%
-3.2%
-3.5%
-11.7%
-8.2%
-6.7%
-6.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
2013 2014 2015 2016-YTD 2013 2014 2015 2016-YTD
Appendix
Rates: Agency RMBS Metrics
14
AGENCY PORTFOLIO YIELDS AND METRICS
AGENCY RMBS CPR(1)
(1) Agency weighted average 3-month Constant Prepayment Rate (CPR) includes IIOs (or Agency Derivatives).
(2) Weighted average cost basis includes RMBS principal and interest securities only. Average purchase price utilized carrying value for weighting purposes.
Portfolio Yield
Realized Q2-
2016
At June 30,
2016
Realized Q3-
2016
At
September
30, 2016
Agency yield 3.0 % 2.8 % 2.8 % 2.8 %
Repo and FHLB costs 0.7 % 0.7 % 0.8 % 0.8 %
Swap costs 0.3 % 0.2 % 0.2 % 0.1 %
Net interest spread 2.0 % 1.9 % 1.8 % 1.9 %
Portfolio Metrics Q2-2016 Q3-2016
Weighted average 3-month CPR(1) 8.6 % 9.7 %
Weighted average cost basis(2) $105.3 $105.6
AGENCY PORTFOLIO COMPOSITION
30-Year Fixed 4-4.5%
29.7%
30-Year Fixed 3-3.5%
60.4%
30-Year Fixed
5% & above
4.4%
IO & Inverse IO
2.8%
Other
2.4%
Hybrid ARMs
0.3%
9.7% 10.3% 9.2% 8.6%
9.7%
0.0%
5.0%
10.0%
15.0%
Q3-2015 Q4-2015 Q1-2016 Q2-2016 Q3-2016
Rates: Agency RMBS
15
As of September 30,
2016 Par Value ($M) Market Value ($M)
% Prepay
Protected(1)
Amortized Cost
Basis ($M)
Weighted Average
Coupon
Weighted Average
Age (Months)
30-Year fixed
3.0-3.5% $7,251 $7,597 49.9 % $7,563 3.1 % 5
4.0-4.5% 3,381 3,731 100.0 % 3,636 4.2 % 39
≥ 5.0% 484 555 100.0 % 522 5.5 % 92
11,116 11,883 68.0 % 11,721 3.6 % 20
Hybrid ARMs 30 33 — % 32 5.0 % 151
Other 294 304 0.6 % 278 4.2 % 119
IOs and IIOs 3,599 358 (2) — % 345 3.6 % 78
Total $15,039 $12,578 64.2 % $12,376 3.6 % 24
(1) Includes securities with implicit or explicit protection including lower loan balances (securities collateralized by loans less than or equal to $175K of initial principal balance), higher LTVs
(securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations and lower FICO scores.
(2) Represents market value of $217.3 million of IOs and $141.2 million of Agency Derivatives.
Rates: Mortgage Servicing Rights(1)
16
As of June 30, 2016 As of September 30, 2016
Fair value ($M) $427.8 $455.6
Unpaid principal balance ($M) $55,622.0 $55,080.9
Weighted average coupon 3.9 % 3.9 %
Original FICO score(2) 750 757
Original LTV 75 % 72 %
60+ day delinquencies 0.9 % 0.3 %
Net servicing spread 27.0 basis points 25.4 basis points
Vintage:
Pre-2009 2.2 % 0.7 %
2009-2012 39.9 % 28.4 %
Post 2012 57.9 % 70.9 %
Percent of MSR portfolio:
Conventional 83.8 % 99.7 %
Government FHA 12.1 % 0.3 %
Government VA/USDA 4.1 % — %
(1) Excludes residential mortgage loans held-for-investment in securitization trusts for which the company is the named servicing administrator.
(2) FICO represents a mortgage industry accepted credit score of a borrower.
Credit: Non-Agency MBS Metrics
17
NON-AGENCY PORTFOLIO COMPOSITION NON-AGENCY PORTFOLIO YIELDS AND METRICS
(1) Weighted average cost basis includes MBS principal and interest securities only. Average purchase price utilized carrying value for weighting purposes. If current face were utilized for weighting
purposes, total non-Agency MBS excluding the company’s non-Agency interest-only portfolio would have been $55.64 at September 30, 2016.
Portfolio Yield
Realized Q2-
2016
At June 30,
2016
Realized Q3-
2016
At
September
30, 2016
Non-Agency yield 8.1 % 8.3 % 8.7 % 8.5 %
Repo and FHLB costs 2.4 % 2.4 % 2.5 % 2.5 %
Swap costs 0.3 % 0.3 % 0.2 % 0.1 %
Net interest spread 5.4 % 5.6 % 6.0 % 5.9 %
NON-AGENCY MBS CPR
Non-Agency: Loan Type June 30, 2016 September 30, 2016
Sub-prime 68 % 67 %
Option-ARM 9 % 8 %
Prime 6 % 5 %
Alt-A 5 % 6 %
Other 12 % 14 %
Portfolio Metrics Q2-2016 Q3-2016
Weighted average 3-month CPR 6.1 % 7.3 %
Weighted average cost basis(1) $58.6 $59.1
6.9%
6.2%
5.3%
6.1%
7.3%
0.0%
5.0%
10.0%
Q3-2015 Q4-2015 Q1-2016 Q2-2016 Q3-2016
Credit: Non-Agency MBS
18
As of September 30, 2016 Senior Bonds Mezzanine Bonds Total P&I
Portfolio characteristics:
Carrying value ($M) $1,193.0 $650.0 $1,843.0
% of non-Agency portfolio 64.7 % 35.3 % 100.0 %
Average purchase price(1) $53.96 $68.40 $59.05
Average coupon 2.9 % 2.3 % 2.7 %
Weighted average market price(2) $74.86 $76.97 $75.59
Collateral attributes:
Average loan age (months) 120 124 121
Average loan size ($K) $361 $303 $345
Average original Loan-to-Value 70.9 % 69.4 % 70.5 %
Average original FICO(3) 635 656 641
Current performance:
60+ day delinquencies 25.3 % 19.1 % 23.6 %
Average credit enhancement(4) 10.1 % 19.1 % 12.5 %
3-Month CPR(5) 5.7 % 11.5 % 7.3 %
(1) Average purchase price utilized carrying value for weighting purposes. If current face were utilized for weighting purposes, the average purchase price for senior, mezzanine and total non-Agency MBS,
excluding our non-Agency interest-only portfolio, would have been $50.16, $65.98 and $55.64, respectively.
(2) Weighted average market price utilized current face for weighting purposes.
(3) FICO represents a mortgage industry accepted credit score of a borrower.
(4) Average credit enhancement remaining on our non-Agency MBS portfolio, which is the average amount of protection available to absorb future credit losses due to defaults on the underlying collateral.
(5) 3-Month CPR is reflective of the prepayment speed on the underlying securitization; however, it does not necessarily indicate the proceeds received on our investment tranche. Proceeds received for
each security are dependent on the position of the individual security within the structure of each deal.
Commercial Real Estate Assets
(1) Cash coupon does not include origination or exit fees.
(2) Yield includes net origination fees and exit fees, but does not include future fundings.
(3) Initial LTV considers the original appraisal at the time of origination.
(4) Stabilized LTV considers the prospective market value ―as stabilized‖ which reflects the property’s market value as of the time the property is projected to achieve stabilized occupancy. Stabilized
occupancy is the occupancy level that a property is expected to achieve after the property is exposed to the market for lease over a reasonable period of time and at comparable terms and conditions to
other similar properties.
19
Type
Origination
Date
Principal
Balance Book Value Cash Coupon(1) Yield(2)
Original Term
(Years) State Property Type Initial LTV(3)
Stabilized
LTV(4)
Asset 1 Senior 12/15 $120.0 $119.5 L + 4.20% 5.91 % 4 LA Retail 65.5 % 60.0 %
Asset 2 Senior 09/15 105.0 104.8 L + 3.42% 4.76 % 3 CA Retail 70.9 % 66.9 %
Asset 3 Senior 07/16 93.1 91.6 L + 4.45% 5.89 % 4 Multi-state Office 63.0 % 61.5 %
Asset 4 Senior 04/16 82.0 81.1 L + 4.75% 6.09 % 3 NY Industrial 55.4 % 55.4 %
Asset 5 Senior 11/15 77.1 76.8 L + 4.20% 5.80 % 3 NY Office 66.4 % 68.7 %
Asset 6 Senior 06/16 50.3 49.7 L + 4.49% 5.95 % 4 HI Retail 76.2 % 56.5 %
Asset 7 Mezzanine 11/15 49.1 49.1 L + 7.25% 7.90 % 3 Multi-state Office 77.6 % 77.5 %
Asset 8 Mezzanine 03/15 45.9 45.8 L + 6.75% 8.14 % 2 Multi-state Hotel 70.3 % 63.5 %
Asset 9 Senior 12/15 43.5 43.4 L + 4.05% 5.61 % 3 TX Multifamily 81.2 % 76.8 %
Asset 10 Senior 04/16 43.5 42.8 L + 4.40% 6.11 % 3 NY Office 66.9 % 62.1 %
Asset 11 Senior 12/15 42.2 42.1 L + 4.65% 6.43 % 4 PA Office 74.5 % 67.5 %
Asset 12 Senior 02/16 40.6 40.2 L + 4.30% 5.63 % 3 TX Office 72.9 % 70.4 %
Asset 13 Senior 08/16 39.6 38.9 L + 4.95% 6.45 % 4 NJ Office 61.0 % 63.0 %
Asset 14 Senior 11/15 38.0 37.7 L + 4.55% 6.41 % 4 MD Office 80.0 % 64.5 %
Asset 15 Senior 03/16 33.8 33.6 5.11% 5.24 % 10 NJ Office 74.9 % 74.9 %
Commercial Real Estate Assets
(1) Cash coupon does not include origination or exit fees.
(2) Yield includes net origination fees and exit fees, but does not include future fundings.
(3) Initial LTV considers the original appraisal at the time of origination.
(4) Stabilized LTV considers the prospective market value ―as stabilized‖ which reflects the property’s market value as of the time the property is projected to achieve stabilized occupancy. Stabilized
occupancy is the occupancy level that a property is expected to achieve after the property is exposed to the market for lease over a reasonable period of time and at comparable terms and conditions to
other similar properties.
(5) A variable rate per annum generating not less than a 13% internal rate of return on the principal balance of the loan, inclusive of the exit fee.
20
Type
Origination
Date
Principal
Balance Book Value Cash Coupon(1) Yield(2)
Original Term
(Years) State Property Type Initial LTV(3)
Stabilized
LTV(4)
Asset 16 Senior 01/16 30.4 30.0 L + 4.80% 6.45 % 3 IL Multifamily 82.8 % 66.7 %
Asset 17 Senior 08/16 24.0 23.8 L + 4.70% 6.34 % 4 NY Industrial 70.0 % 70.0 %
Asset 18 Senior 10/15 23.5 23.4 L + 3.60% 4.94 % 4 NY Multifamily 73.4 % 58.6 %
Asset 19 Senior 08/15 19.3 19.3 L + 5.25% 6.83 % 3 FL Multifamily 76.3 % 75.3 %
Asset 20 Senior 08/15 18.7 18.6 L + 4.05% 5.67 % 3 FL Multifamily 85.0 % 68.4 %
Asset 21 Senior 08/16 18.4 18.2 L + 4.57% 5.98 % 3 FL Multifamily 71.0 % 58.0 %
Asset 22 Mezzanine 08/15 17.0 17.0 L + 8.75% 10.06 % 2 FL Hotel 71.9 % 67.9 %
Asset 23 Senior 10/15 16.0 15.9 L + 4.99% 6.49 % 3 MO Hotel 73.2 % 57.8 %
Asset 24 Senior 06/16 13.4 13.2 L + 4.62% 5.98 % 3 NY Multifamily 69.5 % 64.7 %
Asset 25 Senior 09/15 11.0 11.0 L + 4.03% 5.39 % 3 FL Multifamily 77.7 % 76.9 %
Asset 26 Mezzanine 07/15 10.3 10.3 L + 12.25% 14.03 % 3 PA Office 81.6 % 79.6 %
Asset 27 Mezzanine 08/15 9.9 9.9 L + 9.50% 11.59 % 5 GA Office 78.7 % 66.4 %
Asset 28 Mezzanine 11/15 7.2 6.8 13.00%(5) 16.28 % 10 NY Hotel 68.3 % 43.7 %
Total/Weighted Average $1,122.8 $1,114.5 L + 4.82% 6.28 % 3.6 70.2 % 65.1 %
(1) Data as of June 30, 2016, except where noted.