v3.26.1
Fair Value of Financial Instruments
 6 Months Ended
Jun. 30, 2026
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 June 30, 2026, were as follows:

Fair Value
Principal BalanceAmortized CostCarrying ValueLevel 1Level 2Level 3Total
Assets
Cash and cash equivalents$83,058 $83,058 $83,058 $83,058 $— $— $83,058 
Commercial real estate loans, held-for-investment, net4,386,394 4,373,120 4,081,204 — — 4,090,859 4,090,859 
Commercial real estate loans, held-for-sale114,281 115,106 70,355 — — 70,355 70,355 
Consolidated variable interest entities assets, CMBS trusts, at fair value1,217,552 1,253,268 1,235,061 — — 1,235,061 1,235,061 
Investments in CMBS securities26,800 26,800 26,800 — — 26,800 26,800 
Foreign currency forward contracts(A)
1,003 1,003 1,003 — 1,003 — 1,003 
Total$5,829,088 $5,852,355 $5,497,481 $83,058 $1,003 $5,423,075 $5,507,136 
Liabilities
Secured financing agreements, net$3,030,626 $3,024,096 $3,024,096 $— $— $3,024,096 $3,024,096 
Collateralized loan obligations, net660,361 660,342 660,342 — — 658,901 658,901 
Secured term loan, net643,500 630,424 630,424 — 620,173 — 620,173 
Consolidated variable interest entities liabilities, CMBS trusts, at fair value1,168,279 1,229,351 1,210,942 — — 1,210,942 1,210,942 
Foreign currency forward contracts(B)
704 704 704 — 704 — 704 
Total$5,503,470 $5,544,917 $5,526,508 $— $620,877 $4,893,939 $5,514,816 

(A)    Included within "Other assets" on the Condensed Consolidated Balance Sheets.
(B)    Included within "Other liabilities" on the Condensed Consolidated Balance Sheets.

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, 2025, were as follows:

Fair Value
Principal BalanceAmortized CostCarrying ValueLevel 1Level 2Level 3Total
Assets
Cash and cash equivalents$84,617 $84,617 $84,617 $84,617 $— $— $84,617 
Commercial real estate loans, held-for-investment, net5,361,863 5,347,756 5,145,832 — — 5,146,650 5,146,650 
Consolidated variable interest entity assets, CMBS trust, at fair value489,940 488,603 502,751 — — 502,751 502,751 
Total$5,936,420 $5,920,976 $5,733,200 $84,617 $— $5,649,401 $5,734,018 
Liabilities
Secured financing agreements, net$2,871,049 $2,862,689 $2,862,689 $— $— $2,862,689 $2,862,689 
Collateralized loan obligations, net1,198,378 1,198,332 1,198,332 — — 1,189,911 1,189,911 
Secured term loan, net646,750 632,516 632,516 — 651,601 — 651,601 
Consolidated variable interest entity liabilities, CMBS trust, at fair value470,444 479,636 493,680 — — 493,680 493,680 
Foreign currency forward contracts(A)
1,265 1,265 1,265 — 1,265 — 1,265 
Total$5,187,886 $5,174,438 $5,188,482 $— $652,866 $4,546,280 $5,199,146 

(A)    Included within "Other liabilities" on the Condensed Consolidated Balance Sheets.
The following table presents the activities of Level 3 financial assets and liabilities recorded at fair value:
Consolidated variable interest entities assets, CMBS trusts, at fair valueConsolidated variable interest entities liabilities, CMBS trusts, at fair valueNet
Balance as of December 31, 2025
$505,230 $496,060 $9,170 
Purchases and repayments
Purchases14,950 — 14,950 
Consolidation of CMBS trust751,378 751,378 — 
Repayments(1,663)(1,663)— 
Gains (losses) included in net income
Unrealized gain (loss) included in change in net assets of consolidated variable interest entities, CMBS trusts
(32,356)(32,454)98 
Other(A)
3,760 3,596 164 
Balance as of June 30, 2026
$1,241,299 $1,216,917 $24,382 

(A)     Primarily consists of changes in accrued interest.
Investments in CMBS Securities
Balance as of December 31, 2025
$— 
Purchases and repayments
Purchases26,800 
Repayments— 
Gains (losses) included in net income
Unrealized gain (loss) on investments in CMBS securities
— 
Balance as of June 30, 2026
$26,800 


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 June 30, 2026:
Fair ValueValuation MethodologiesUnobservable Inputs
Weighted Average(A)
Range
Assets
Commercial real estate loans$4,090,859 Discounted cash flowDiscount margin3.5%
2.3% - 5.5%
Capitalization rate9.4%
5.9% - 13.3%
Discount rate11.7%
9.3% - 14.9%
Direct Capitalization Capitalization Rate5.9%5.9%
Consolidated variable interest entities assets, CMBS trusts, at fair value1,235,061 Discounted cash flowYield6.3%
4.7% - 35.5%
Duration (years)6.8
1.5 - 7.3
Investments in CMBS securities
26,800 Yield10.3%
9.8% - 10.8%
Duration (years)3.6
3.5 - 3.7
Liabilities
Consolidated variable interest entities liabilities, CMBS trusts, at fair value$1,210,942 Discounted cash flowYield6.3%
4.7% - 35.5%
Duration (years)6.8
1.5 - 7.3

(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 June 30, 2026, the fair value of KREF's financing facilities approximated their respective carrying value.