Commercial Loans (Tables)

12 Months Ended

Dec. 31, 2019

Schedule of commercial real estate loans held

The following table presents the commercial loans held by CRE LLC and CRE Mezz as of December 31, 2019 (dollars in thousands):

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

Original LTV

Interest Rate

Maturity Date

Extension Option

Collateral

CRE 1

March 2018

Interest-Only Mezzanine loan

20,000

71%

1-Month LIBOR plus 6.50%

12/9/2020

Two One-Year Extensions

Hotel

CRE 2

June 2018

Interest-Only First Mortgage

30,000

65%

1-Month LIBOR plus 4.50%

6/9/2020

One-Year Extension

Hotel

CRE 4

June 2019

Principal & Interest First Mortgage

50,000

75%

1-Month LIBOR plus 4.75%

1/11/2022

Two One-Year Extensions

Nursing Facilities

CRE 5

August 2019

Interest-Only Mezzanine loan

90,000

58%

1-Month LIBOR plus 9.25%

6/29/2021

Two-Year First Extension and One-Year Second Extension

Entertainment and Retail

CRE 6

September 2019

Interest-Only First Mortgage

40,000

63%

1-Month LIBOR plus 3.02%

8/6/2021

Two One-Year Extensions

Retail

CRE 7

December 2019

Interest-Only First Mortgage

24,535

62%

1-Month LIBOR plus 3.75%

11/6/2021

Three One-Year Extensions

Hotel

CRE 8

December 2019

Interest-Only First Mortgage

13,206

62%

1-Month LIBOR plus 3.75%

11/6/2021

Three One-Year Extensions

Hotel

CRE 9

December 2019

Interest-Only First Mortgage

7,259

62%

1-Month LIBOR plus 3.75%

11/6/2021

Three One-Year Extensions

Hotel

CRE 10

December 2019

Interest-Only First Mortgage

4,425

79%

1-Month LIBOR plus 4.85%

12/6/2022

None

Assisted Living

279,425

The following table presents the commercial real estate loans held by RSBC Trust as of December 31, 2019 (dollars in thousands):

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

LTV

Interest Rate

Maturity Date

Extension Option

Collateral

SBC 1

July 2018

Interest-Only First Mortgage

45,188

74%

One-Month LIBOR plus 4.25% ⁽¹⁾

7/1/2020

Two One-Year Extensions

Nursing Facilities

SBC 4

January 2019

Interest-Only First Mortgage

13,600

84%

One-Month LIBOR plus 4.00%⁽²⁾

12/1/2021

One-Year Extension

Apartment Complex

SBC 5

January 2019

Interest-Only First Mortgage

32,000

49%

One-Month LIBOR plus 4.10%

7/1/2021

None

Nursing Facilities

90,788

(1) Subject to LIBOR floor of 1.25%.

(2) Subject to LIBOR floor of 2.00%.

Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets

The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash and cash equivalents	$	1,811	$	674
Residential Whole-Loans, at fair value ($1,375,860 and $1,041,885 pledged as collateral, at fair value, respectively)	1,375,860		1,041,885
Residential Bridge Loans ($31,748 and $211,766 at fair value and $34,897 and $221,486 pledged as collateral, respectively)	34,897		221,486
Commercial loan, at fair value	—		30,000
Investment related receivable	19,138		42,945
Interest receivable	7,840		11,807
Other assets	90		178
Total assets	$	1,439,636	$	1,348,975
Securitized debt, net	$	795,811	$	—
Interest payable	2,367		—
Accounts payable and accrued expenses	173		677
Other liabilities	—		225
Total liabilities	$	798,351	$	902

loans as of December 31, 2019.

The following table presents a summary of the assets and liabilities of the four consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	December 31, 2019		December 31, 2018
Cash	$	5,778	$	—
Restricted cash	52,948		55,808
Securitized commercial loans, at fair value	909,040		1,013,511
Commercial Loans, at fair value	90,788		166,123
Interest receivable	2,989		3,733
Total assets	$	1,061,543	$	1,239,175
Securitized debt, at fair value	$	681,643	$	949,626
Interest payable	1,519		2,419
Accounts payable and accrued expenses	12		31
Other liabilities	52,948		55,808
Total liabilities	$	736,122	$	1,007,884

Schedule of Carrying Value of the Commercial Real Estate Loans

ended December 31, 2019 and December 31, 2018.

The following table presents the components of the carrying value of the commercial real estate loans as of December 31, 2019 and December 31, 2018 (dollars in thousands):



	CMSC Trust Securitized Commercial Loan, at Fair Value					RETL Trust Securitized Commercial Loan, at Fair Value				MRCD Trust Commercial Loans, at Fair Value					RSBC Trust Commercial Loans, at Fair Value						Commercial Loans, at Fair Value
	December 31, 2019		December 31, 2018			December 31, 2019		December 31, 2018		December 31, 2019			December 31, 2018		December 31, 2019			December 31, 2018			December 31, 2019			December 31, 2018
Principal balance	$	24,048	$	24,456		$	674,331	$	988,609	$	245,000		$	—	$	90,788		$	166,432		$	279,425		$	50,000
Unamortized premium	—		—			1,836		431		—			—		—			—			—			—
Unamortized discount	—		—			—		—		(35,119		)	—		(215		)	(736		)	(294		)	(205		)
Amortized cost	24,048		24,456			676,167		989,040		209,881			—		90,573			165,696			279,131			49,795
Gross unrealized gains	9		—			269		29					—		215			427			294			205
Gross unrealized losses	—		(14		)	—		—		(1,334		)	—		—			—			—			—
Fair value	$	24,057	$	24,442		$	676,436	$	989,069	$	208,547		$	—	$	90,788		$	166,123		$	279,425		$	50,000

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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