USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES

9 Months Ended

Sep. 30, 2019

Hunt CRE 2017-FL1, Ltd. and Hunt CRE 2018-FL2, Ltd.

Variable Interest Entity [Line Items]

USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES

As further discussed in Notes 2, 5 and 6, the Company has evaluated its investments in Multi-Family MBS and Non-Agency RMBS and has determined that they are VIEs. The Company determined that it was the primary beneficiary of the FREMF 2012-KF01 Trust as of December 31, 2018 and through January 25, 2019, the repayment date of the underlying security. Accordingly, the Company consolidated the assets, liabilities, income and expenses of this trust in its financial statements through January 25, 2019 and December 31, 2018. However, the assets of the trust are restricted, and can only be used to fulfill the obligations of the trust. Additionally, the obligations of the trust do not have any recourse to the Company as the consolidator of the trust. The Company has elected the fair value option in respect of the assets and liabilities of the trusts. As noted in Notes 5 and 6, the Company sold the underlying securities of the FREMF 2011-K13 and CSMC 2014-OAK1 trusts effective May 18, 2018 and June 18, 2018, respectively, and the FREMF 2012-KF01was paid-in full effective January 25, 2019, and henceforth no longer consolidates these three trusts.

On April 30, 2018, the Company acquired Hunt CMT Equity LLC, which was comprised of commercial mortgage loans financed through collateralized loan obligations ("Hunt CRE 2017-FL1, Ltd."), a licensed commercial mortgage lender and eight loan participations. The Company determined Hunt CRE 2017-FL1, Ltd. was a VIE and that the Company was the primary beneficiary of the issuing entity, and accordingly consolidated its assets and liabilities into the Company's financial statements in accordance with GAAP. On August 20, 2018, the Company closed a collateral loan obligation ("Hunt CRE 2018-FL2, Ltd."). The Company determined Hunt CRE 2018-FL2, Ltd. was a VIE and the Company was the primary beneficiary of the issuing entity, and accordingly consolidated its assets and liabilities into the Company's financial statements in accordance with GAAP. However, the assets of each of the trusts are restricted, and can only be used to fulfill the obligations of the respective trusts. Additionally, the obligations of each of the trusts do not have any recourse to the Company as the consolidator of the trusts.

The carrying values of the Company's total assets and liabilities related to Hunt CRE 2017-FL1, Ltd. and Hunt CRE 2018-FL2, Ltd. at September 30, 2019 and December 31, 2018 included the following VIE assets and liabilities:


ASSETS	September 30, 2019		December 31, 2018
Cash, cash equivalents and restricted cash	$	81,037,212	$	51,330,950
Accrued interest receivable	2,214,540		2,398,905
Investment related receivable	—		32,666,128
Loans held for investment	553,190,459		550,555,503
Total Assets	$	636,442,211	$	636,951,486

LIABILITIES
Accrued interest payable	$	750,546	$	867,794
Collateralized loan obligations⁽¹⁾	505,438,271		503,978,918
Total Liabilities	$	506,188,817	$	504,846,712
Equity	130,253,394		132,104,774
Total liabilities and equity	$	636,442,211	$	636,951,486

(1) The stated maturity of the collateral loan obligations per the terms of the underlying collateralized loan obligation agreement is August 15, 2034 for Hunt CRE 2017-FL1, Ltd. and August 15, 2028 for Hunt CRE 2018-FL2, Ltd.

The following tables present certain loan and borrowing characteristics of Hunt CRE 2017-FL1, Ltd. and Hunt CRE 2018-FL2, Ltd. as of September 30, 2019 and December 31, 2018:


As of September 30, 2019
Collateralized Loan Obligations	Count	Principal Value		Carrying Value⁽¹⁾		Wtd. Avg. Yield
Collateral (loan investments)	45	$	553,190,459	$	553,190,459	L + 3.79%
Debt (notes issued)	2	510,181,000		505,438,271		L + 1.40%


As of December 31, 2018
Collateralized Loan Obligations	Count	Principal Value		Carrying Value⁽¹⁾		Wtd. Avg. Yield
Collateral (loan investments)	44	$	550,555,503	$	550,555,503	L + 4.05%
Debt (notes issued)	2	510,181,000		503,978,918		L + 1.40%

(1) The carrying value for Hunt CRE 2017-FL1, Ltd. is net of discount of $1,621,111 and $2,440,674 for September 30, 2019 and December 31, 2018, respectively and the carrying value for Hunt CRE 2018-FL2, Ltd. is net of debt issuance costs of $3,121,618 and $3,761,410 for September 30, 2019 and December 31, 2018, respectively.