XML 45 R31.htm IDEA: XBRL DOCUMENT

Commercial Loans (Tables)

12 Months Ended

Dec. 31, 2021

Noncontrolling Interest [Abstract]

Schedule of commercial real estate loans held

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

Original LTV

Interest Rate

Maturity Date

Extension Option

Collateral

CRE 3

August 2019

Interest-Only Mezzanine loan

90,000

29,113

58%

1-Month LIBOR plus 9.25%

6/29/2021

None (1)

Entertainment and Retail

CRE 4

September 2019

Interest-Only First Mortgage

38,367

38,267

63%

1-Month LIBOR plus 3.02%

8/6/2022

One-Year Extension

Retail

CRE 5

December 2019

Interest-Only First Mortgage

24,535

24,212

62%

1-Month LIBOR plus 3.75%

11/6/2022

Two One-Year Extensions

Hotel

CRE 6

December 2019

Interest-Only First Mortgage

13,207

13,033

62%

1-Month LIBOR plus 3.75%

11/6/2022

Two One-Year Extensions

Hotel

CRE 7

December 2019

Interest-Only First Mortgage

7,259

7,163

62%

1-Month LIBOR plus 3.75%

11/6/2022

Two One-Year Extensions

Hotel

CRE 8

December 2019

Interest-Only First Mortgage

4,429

4,422

79%

1-Month LIBOR plus 4.85%

12/6/2022

None

Assisted Living

177,797

116,210

(1) CRE 3 is in default and not eligible for extension.

The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of December 31, 2021 (dollars in thousands):

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

Original LTV

Interest Rate

Maturity Date

Extension Option

Collateral

SBC 3

January 2019

Interest-Only First Mortgage

14,362

49%

One-Month LIBOR plus 4.10%

7/6/2022

None

Nursing Facilities

14,362

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, 2021 and December 31, 2020 (dollars in thousands):


	December 31, 2021		December 31, 2020
Cash and cash equivalents	$	266	$	—
Residential Whole Loans, at fair value ($1,023,502 and $1,008,782 pledged as collateral, at fair value, respectively)	1,023,502		1,008,782
Residential Bridge Loans ($5,428 and $12,813 at fair value and $5,207 and $12,960 pledged as collateral, respectively)	5,207		12,960

Investment related receivable	22,087		27,987
Interest receivable	5,282		4,688
Other assets	—		80
Total assets	$	1,056,344	$	1,054,497
Securitized debt, net	$	519,118	$	892,290
Interest payable	1,316		2,222
Accounts payable and accrued expenses	69		77

Total liabilities	$	520,503	$	894,589

The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020 (dollars in thousands):


	December 31, 2021		December 31, 2020

Restricted cash	$	260	$	76,132
Securitized commercial loans, at fair value	1,355,808		1,605,335
Commercial Loans, at fair value	14,362		68,466
Interest receivable	5,290		6,248
Total assets	$	1,375,720	$	1,756,181
Securitized debt, at fair value	$	1,344,370	$	1,553,722
Interest payable	5,164		5,660
Accounts payable and accrued expenses	9		12
Other liabilities	260		76,132
Total liabilities	$	1,349,803	$	1,635,526

Schedule of Carrying Value of the Commercial Real Estate Loans

The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of December 31, 2021 and December 31, 2020 (dollars in thousands):


	RETL Trust Securitized Commercial Loan, at Fair Value (1)				CSMC USA Trust Securitized Commercial Loan, at Fair Value				RSBC Trust Commercial Loans, at Fair Value				Commercial Loans, at Fair Value
	December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020		December 31, 2021		December 31, 2020
Principal balance	$	—	$	354,202	$	1,385,591	$	1,385,591	$	14,362	$	68,750	$	177,797	$	256,694
Unamortized premium	—		180		—		—		—		—		—		—
Unamortized discount	—		—		(110,770)		(135,653)		—		(94)		—		(53)
Amortized cost	—		354,382		1,274,821		1,249,938		14,362		68,656		177,797		256,641
Gross unrealized gains	—		—		80,987		16,013		—		—		—		1
Gross unrealized losses	—		(14,998)		—		—		—		(190)		(61,587)		(14,585)
Fair value	$	—	$	339,384	$	1,355,808	$	1,265,951	$	14,362	$	68,466	$	116,210	$	242,057

(1) On September 15, 2021, the commercial loan was paid in full by the borrower and the RETL HRR bond with an outstanding principal amount of $45.3 million held in WMC RETL LLC, a wholly-owned subsidiary of the Company, was paid off. Accordingly, the RETL 2019 Trust is no longer consolidated.

Aging of residential whole loans and bridge loans

The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2021 (dollars in thousands):


	Residential Whole Loans(1)					Bridge Loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value
Current	2,329	$	971,790	$	1,006,271	—	$	—	$	—
1-30 days	9	3,146		3,285		1	75		76
31-60 days	—	—		—		—	—		—
61-90 days	3	1,993		1,989		2	954		935
90+ days	20	12,214		11,957		6	4,805		4,417
Total	2,361	$	989,143	$	1,023,502	9	$	5,834	$	5,428

(1) As of December 31, 2021, there were no loans in forbearance.

The following table presents the aging of the Commercial Loans as of December 31, 2021 (dollars in thousands):


	Commercial Loans
	No of Loans	Principal		Fair Value
Current	6	$	102,159	$	101,459
1-30 days	—	—		—
31-60 days	—	—		—
61-90 days	—	—		—
90+ days	1	90,000		29,113
Total	7	$	192,159	$	130,572

- 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.

+ References + Details