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Commercial Loans (Tables)

6 Months Ended

Jun. 30, 2022

Schedule of commercial real estate loans held

The following table presents information about the Commercial Loans owned by CRE LLC as of June 30, 2022 (dollars in thousands):

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

26,934

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

37,980

63%

1-Month LIBOR plus 3.02%

8/6/2022

One-Year Extension(2)

Retail

CRE 5

December 2019

Interest-Only First Mortgage

24,535

24,362

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

13,114

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

7,208

62%

1-Month LIBOR plus 3.75%

11/6/2022

Two One-Year Extensions

Hotel

CRE 8

December 2019

Interest-Only First Mortgage

4,425

79%

1-Month LIBOR plus 4.85%

12/6/2022

None

Assisted Living Facilities

177,793

114,023

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

(2) Extension terms are under discussion. A 30-day forbearance of the maturity was agreed to in order to complete the negotiations and documentation of the extension.

The following table presents information on the commercial real estate mortgage loan held by RSBC Trust as of June 30, 2022 (dollars in thousands):

Loan

Acquisition Date

Loan Type

Principal Balance

Fair Value

LTV

Interest Rate(1)

Maturity Date(1)

Extension Option

Collateral

SBC 3

January 2019

Interest-Only First Mortgage

14,362

14,398

49%

1-Month LIBOR plus 4.35%

1/6/2023

None

Nursing Facilities

14,362

14,398

(1) During July 2022,the SBC 3 loan was granted a six month extension through January 6, 2023, with a 25 bps increase in rate and a 25 bps extension fee.

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 June 30, 2022 and December 31, 2021 (dollars in thousands):


	June 30, 2022		December 31, 2021
Cash and cash equivalents	$	—	$	266
Residential whole loans, at fair value ($1,195,853 and $1,023,502 pledged as collateral, at fair value, respectively)	1,195,853		1,023,502
Residential bridge loans, at fair value ($5,095 and $5,207 pledged as collateral, at fair value, respectively)	5,095		5,207

Investment related receivable	11,906		22,087
Interest receivable	6,387		5,282

Total assets	$	1,219,241	$	1,056,344
Securitized debt, net	$	730,087	$	519,118
Interest payable	1,906		1,316
Accounts payable and accrued expenses	61		69

Total liabilities	$	732,054	$	520,503

The following table presents a summary of the assets and liabilities of the two consolidated trusts included in the Consolidated Balance Sheets as of June 30, 2022 and December 31, 2021 (dollars in thousands):


	June 30, 2022		December 31, 2021

Restricted cash	$	257	$	260
Securitized commercial loans, at fair value	1,243,371		1,355,808
Commercial Loans, at fair value	14,398		14,362
Interest receivable	5,119		5,290
Total assets	$	1,263,145	$	1,375,720
Securitized debt, at fair value	$	1,232,700	$	1,344,370
Interest payable	4,995		5,164
Accounts payable and accrued expenses	9		9
Other liabilities	257		260
Total liabilities	$	1,237,961	$	1,349,803

Schedule of carrying value of the commercial real estate loans

The following table presents the components of the fair value of the securitized commercial loans and commercial loans as of June 30, 2022 and December 31, 2021 (dollars in thousands):


	CSMC USA Trust Securitized Commercial Loan, at Fair Value	RSBC Trust Commercial Loans, at Fair Value				Commercial Loans, at Fair Value
		June 30, 2022		December 31, 2021		June 30, 2022		December 31, 2021		June 30, 2022		December 31, 2021
Principal balance		$	1,385,591	$	1,385,591	$	14,362	$	14,362	$	177,793	$	177,797
Unamortized premium		—		—		—		—		—		—
Unamortized discount		(97,425)		(110,770)		—		—		—		—
Amortized cost		1,288,166		1,274,821		14,362		14,362		177,793		177,797
Gross unrealized gains		—		80,987		36		—		—		—
Gross unrealized losses		(44,795)		—		—		—		(63,770)		(61,587)
Fair value		$	1,243,371	$	1,355,808	$	14,398	$	14,362	$	114,023	$	116,210

Schedule of financing receivable, past due

The following table presents the aging of the residential whole loans and bridge loans as of June 30, 2022 (dollars in thousands):


	Residential whole loans(1)					Bridge loans
	No of Loans	Principal		Fair Value		No of Loans	Principal		Fair Value
Current(1)	3,073	$	1,226,815	$	1,183,917	—	$	—	$	—
1-30 days	8	2,213		2,142		—	—		—
31-60 days	1	359		361		1	849		832
61-90 days	—	—		—		—	—		—
90+ days	20	10,583		9,433		6	4,736		4,263
Total	3,102	$	1,239,970	$	1,195,853	7	$	5,585	$	5,095

(1) As of June 30, 2022, there was one loan in forbearance.

The following table presents the aging of the Commercial Loans as of June 30, 2022 (dollars in thousands):


	Commercial Loans
	No of Loans	Principal		Fair Value
Current	6	$	102,155	$	101,487
1-30 days	—	—		—
31-60 days	—	—		—
61-90 days	—	—		—
90+ days	1	90,000		26,934
Total	7	$	192,155	$	128,421

- 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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