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Commercial Loans
 3 Months Ended
Mar. 31, 2020
Noncontrolling Interest [Abstract]  
Commercial Loans Commercial Loans
Securitized Commercial Loans
        
        Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At March 31, 2020, the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2019-RVP, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIE's can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.
 
CMSC Trust 2015 - Longhouse MZ
 
In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CMSC Trust 2015 - Longhouse MZ (“CMSC Trust”), with an outstanding balance of $13.4 million and a fair value of $13.3 million at March 31, 2020. The Company determined that CMSC Trust was a VIE and that the Company was the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate CMSC Trust and accordingly its investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $23.9 million mezzanine loan collateralized by interests in commercial real estate.  The mezzanine loan serves as collateral for the $23.9 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt.

RETL 2019-RVP
RETL 2018 was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates (HRR class and a portion of the C class) of RETL 2019 Trust were eliminated in the consolidation. The RETL 2019 Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $519.7 million as of March 31, 2020. The loan's stated maturity date is March 15, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 2.30%.

MRCD 2019-PRKC Mortgage Trust

In December 2019, the Company acquired a $161.4 million interest in the trust certificates issued by the MRCD 2019-PRKC Mortgage Trust ("MRCD Trust"), including $10.5 million which represents the initial controlling class (HRR class). The Company determined that MRCD Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company owns the controlling class. As the primary beneficiary, the Company consolidated MRCD Trust and its investment in the trust certificates (HRR class and a portion of the A class) of MRCD Trust were eliminated in the consolidation.

On March 24, 2020, the Company sold its investments in the A Class certificates of the MRCD Trust. Shortly after the sale, the Company entered into an agreement to irrevocably assign the controlling rights and appointed one of the buyers as the new Directing Holder. As a result, the assets and liabilities of the MRCD Trust were deconsolidated, since the Company no longer has the power to direct the activities that significantly impact the economic performance of the MRCD Trust.

MRCD qualified as a CFE under GAAP and the Company measured both the financial assets and financial liabilities using the fair value of the financial liabilities, since it was more observable. The Company recognized an unrealized loss of $43.7 million in earnings, related to the periodic change in fair value of MRCD's assets and liabilities in March 2020 and prior to deconsolidation. Also, the Company retained the HRR certificates, which were measured at fair value at the date of deconsolidation and is included in the "Non-Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets.

Commercial Loans

        In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, and WMC CRE Mezzanine Loan Subsidiary LCC ("CRE Mezz"), a wholly-owned subsidiary of CRE LLC, were formed for the purpose of acquiring commercial loans.

        The following table presents the commercial loans held by CRE LLC and CRE Mezz as of March 31, 2020 (dollars in thousands):
LoanAcquisition DateLoan TypePrincipal BalanceFair ValueOriginal LTVInterest RateMaturity DateExtension OptionCollateral
CRE 2June 2018Interest-Only First Mortgage30,000  28,779  65%1-Month LIBOR plus 4.5%6/9/2020One-Year ExtensionHotel
CRE 4June 2019Principal & Interest First Mortgage50,000  48,665  75%1-Month LIBOR plus 4.75%1/11/2022Two One-Year ExtensionsNursing Facilities
CRE 5August 2019Interest-Only Mezzanine loan90,000  85,763  58%1-Month LIBOR plus 9.25%6/29/2021Two-Year First Extension and One-Year Second ExtensionEntertainment and Retail
CRE 6September 2019Interest-Only First Mortgage40,000  38,402  63%1-Month LIBOR plus 3.02%8/6/2021Two One-Year ExtensionsRetail
CRE 7December 2019Interest-Only First Mortgage24,535  23,251  62%1-Month LIBOR plus 3.75%11/6/2021Three One-Year ExtensionsHotel
CRE 8December 2019Interest-Only First Mortgage13,207  12,516  62%1-Month LIBOR plus 3.75%11/6/2021Three One-Year ExtensionsHotel
CRE 9December 2019Interest-Only First Mortgage7,259  6,879  62%1-Month LIBOR plus 3.75%11/6/2021Three One-Year ExtensionsHotel
CRE 10December 2019Interest-Only First Mortgage4,425  4,369  79%1-Month LIBOR plus 4.85%12/6/2022NoneAssisted Living
$259,426  $248,624  

Commercial Loan Trust

        In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020, the Company financed the trust certificate with $47.5 million of repurchase agreements, which is a liability held outside the trust.

        The following table presents the commercial real estate loans held by RSBC Trust as of March 31, 2020 (dollars in thousands):

LoanAcquisition DateLoan TypePrincipal BalanceFair ValueLTVInterest RateMaturity DateExtension OptionCollateral
SBC 1July 2018Interest-Only First Mortgage$45,188  $44,314  74%
One-Month LIBOR plus 4.25% (1)
7/1/2020Two One-Year ExtensionsNursing Facilities
SBC 4January 2019Interest-Only First Mortgage13,600  13,275  84%
One-Month LIBOR plus 4.0% (2)
12/1/2021One-Year ExtensionApartment Complex
SBC 5January 2019Interest-Only First Mortgage14,362  14,095  49%One-Month LIBOR plus 4.1%7/1/2021NoneNursing Facilities
$73,150  $71,684  

(1) Subject to LIBOR floor of 1.25%.
(2) Subject to LIBOR floor of 2%.

Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust
 
The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.  The three consolidated trusts, CMSC Trust, RETL 2019 Trust and RSBC Trust collectively hold five commercial loans as of March 31, 2020. 
The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
Cash$—  $5,778  
Restricted cash33,229  52,948  
Securitized commercial loans, at fair value477,131  909,040  
Commercial Loans, at fair value71,684  90,788  
Interest receivable1,709  2,989  
Total assets$583,753  $1,061,543  
Securitized debt, at fair value$396,824  $681,643  
Interest payable1,005  1,519  
Accounts payable and accrued expenses6  12  
Other liabilities33,229  52,948  
Total liabilities$431,064  $736,122  

The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the three months ended March 31, 2020 and March 31, 2019. 

The following table presents the components of the carrying value of the commercial real estate loans as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 CMSC Trust Securitized Commercial Loan,
at Fair Value		RETL Trust Securitized Commercial Loan, at Fair ValueRSBC Trust Commercial Loans, at Fair ValueCommercial Loans, at Fair Value
 March 31, 2020December 31, 2019March 31, 2020December 31, 2019March 31, 2020December 31, 2019March 31, 2020December 31, 2019
Principal balance$23,943  $24,048  $519,735  $674,331  $73,150  $90,788  $259,426  $279,425  
Unamortized premium—  —  1,189  1,836  —  —  —  —  
Unamortized discount—  —  —  —  (110) (215) (203) (294) 
Amortized cost23,943  24,048  520,924  676,167  73,040  90,573  259,223  279,131  
Gross unrealized gains—  9  —  269  —  215  —  294  
Gross unrealized losses(147) —  (67,589) —  (1,356) —  (10,599) —  
Fair value$23,796  $24,057  $453,335  $676,436  $71,684  $90,788  $248,624  $279,425  

Non-Performing Commercial Loans

The following table presents the aging of the Commercial Loans as of March 31, 2020 (dollars in thousands):
Commercial Loans
No of LoansPrincipalFair Value
Current11$332,576  $320,308  
1-30 days—  —  —  
31-60 days—  —  —  
61-90 days—  —  —  
90+ days—  —  —  
Total11$332,576  $320,308  
The impact of COVID-19 pandemic has adversely impacted a broad range of industries in which the commercial loan borrowers operate and could impair their ability to fulfill their financial obligations to the Company, most significantly hospitality and retail asset. The Company believes its CRE loan sponsors are well capitalized and generally committed to supporting the assets collateralizing its loans. The low average LTV of the Company's commercial loan portfolio of 65.5% as of March 31, 2020 reflects significant equity value that the sponsors are motivated to protect through the COVID-19 disruption. As of April 30, 2020, the Company' had one borrower with a total loan principal balance of $30.0 million request forbearance for one month with an option for further extensions based on the circumstances and upon the Company's approval.