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Commercial Loans (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of commercial real estate loans held

The following table presents the commercial loans held by CRE LLC and CRE Mezz as of March 31, 2020 (dollars in thousands):

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

Original LTV

Interest Rate

Maturity Date

Extension Option

Collateral

CRE 2

June 2018

Interest-Only First Mortgage

30,000

28,779

65%

1-Month LIBOR plus 4.5%

6/9/2020

One-Year Extension

Hotel

CRE 4

June 2019

Principal & Interest First Mortgage

50,000

48,665

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

85,763

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

38,402

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

23,251

62%

1-Month LIBOR plus 3.75%

11/6/2021

Three One-Year Extensions

Hotel

CRE 8

December 2019

Interest-Only First Mortgage

13,207

12,516

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

6,879

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

4,369

79%

1-Month LIBOR plus 4.85%

12/6/2022

None

Assisted Living

259,426

248,624

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

44,314

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

13,275

84%

One-Month LIBOR plus 4.0% ⁽²⁾

12/1/2021

One-Year Extension

Apartment Complex

SBC 5

January 2019

Interest-Only First Mortgage

14,362

14,095

49%

One-Month LIBOR plus 4.1%

7/1/2021

None

Nursing Facilities

73,150

71,684

(1) Subject to LIBOR floor of 1.25%.

(2) Subject to LIBOR floor of 2%.

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 March 31, 2020 and December 31, 2019 (dollars in thousands):


	March 31, 2020		December 31, 2019
Cash and cash equivalents	$	4,542	$	1,811
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)	1,309,795		1,375,860
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)	27,571		34,897

Investment related receivable	24,738		19,138
Interest receivable	8,517		7,840
Other assets	101		90
Total assets	$	1,375,264	$	1,439,636
Securitized debt, net	$	742,297	$	795,811
Interest payable	2,210		2,367
Accounts payable and accrued expenses	122		173

Total liabilities	$	744,629	$	798,351

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, 2020		December 31, 2019
Cash	$	—	$	5,778
Restricted cash	33,229		52,948
Securitized commercial loans, at fair value	477,131		909,040
Commercial Loans, at fair value	71,684		90,788
Interest receivable	1,709		2,989
Total assets	$	583,753	$	1,061,543
Securitized debt, at fair value	$	396,824	$	681,643
Interest payable	1,005		1,519
Accounts payable and accrued expenses	6		12
Other liabilities	33,229		52,948
Total liabilities	$	431,064	$	736,122

Schedule of Carrying Value of the Commercial Real Estate Loans

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 Value						RSBC Trust Commercial Loans, at Fair Value				Commercial Loans, at Fair Value
	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019		March 31, 2020		December 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 cost	23,943		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

Financing Receivable, Past Due

The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2020 (dollars in thousands):


	Residential Whole Loans								Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value ⁽¹⁾
Current	3,462	$	1,313,975	$	1,272,791	20	$	13,124	$	13,071
1-30 days	53	22,403		21,522		8	4,154		4,095
31-60 days	11	5,559		5,357		5	2,468		2,427
61-90 days	4	3,779		3,550		2	973		926
90+ days	13	7,062		6,575		21	8,931		8,115
Total	3,543	$	1,352,778	$	1,309,795	56	$	29,650	$	28,634

(1) Includes $2.6 million loans carried at amortized cost.

The following table presents the aging of the Commercial Loans as of March 31, 2020 (dollars in thousands):


	Commercial Loans
	No of Loans	Principal		Fair Value
Current	11	$	332,576	$	320,308
1-30 days	—	—		—
31-60 days	—	—		—
61-90 days	—	—		—
90+ days	—	—		—
Total	11	$	332,576	$	320,308

- 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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