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USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES (Tables)

3 Months Ended

Mar. 31, 2020

Variable Interest Entity [Line Items]

Summary of Loan and Borrowing Characteristics

COMMERCIAL MORTGAGE LOANS HELD-FOR-INVESTMENT

The following tables summarize certain characteristics of the Company's investments in commercial mortgage loans as of March 31, 2020 and December 31, 2019:


						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value		Loan Count	Floating Rate Loan %		Coupon⁽¹⁾		Remaining Term (Years)⁽²⁾
March 31, 2020
Loans held-for-investment
Senior secured loans⁽³⁾	$	639,366,297	$	639,366,297	51	100.0	%	5.3	%	3.7
	639,366,297		639,366,297		51	100.0	%	5.3	%	3.7


						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value		Loan Count	Floating Rate Loan %		Coupon⁽¹⁾		Remaining Term (Years)⁽²⁾
December 31, 2019
Loans held-for-investment
Senior secured loans⁽³⁾	$	635,260,420	$	635,260,420	51	100.0	%	5.4	%	3.8
	635,260,420		635,260,420		51	100.0	%	5.4	%	3.8

(1) Weighted average coupon assumes applicable one-month LIBOR of 1.38% and 1.70% as of March 31, 2020 and December 31, 2019, respectively, inclusive of weighted average floors of 1.60% and 1.56%, respectively.

(2) Weighted average remaining term assumes all extension options are exercised by the borrower, provided, however, that our loans may be repaid prior to such date.

(3) As of March 31, 2020, $627,313,574 of the outstanding senior secured loans were held in VIEs and $12,052,723 of the outstanding senior secured are held outside VIEs. As of December 31, 2019, $629,157,956 of the outstanding senior secured loans were held in VIEs and $6,102,464 of the outstanding senior secured loans were held outside VIEs.

Activity: For the three months ended March 31, 2020, the loan portfolio activity was as follows:


	Commercial Mortgage Loans Held-for-Investment



Balance at December 31, 2019	$	635,260,420
Purchases and fundings	38,613,756
Proceeds from principal payments	(34,507,879)
Balance at March 31, 2020	$	639,366,297

Loan Risk Ratings: As further described in Note 2, the Company evaluates the commercial mortgage loan portfolio on a quarterly basis and assigns a risk rating based on a variety of factors. The following tables present the principal balance and net book value of the loan portfolio based on the Company's internal risk ratings utilized as of March 31, 2020 and December 31, 2019:


	March 31, 2020						December 31, 2019
Risk Rating	Number of Loans	Unpaid Principal Balance		Net Carrying Value	Number of Loans	Unpaid Principal Balance	Net Carrying Value
1	—	$	—	—	1	9,000,000	9,000,000
2	7	51,807,628		51,807,628	9	87,176,088	87,176,088
3	35	451,233,186		451,233,186	37	487,513,256	487,513,256
4	9	136,325,483		136,325,483	4	51,571,076	51,571,076
5	—	—		—	—	—	—
	51	$	639,366,297	639,366,297	51	635,260,420	635,260,420

As of March 31, 2020, the average risk rating of the commercial mortgage loan portfolio was 2.9 (Moderate Risk), weighted by investment carrying value, with 78.7% of commercial loans held-for-investment rated 3 (Moderate Risk) or better by the Company's Manager.

As of December 31, 2019, the average risk rating of the commercial mortgage loan portfolio was 2.8 (Moderate Risk), weighted by investment carrying value, with 91.9% of commercial loans held-for-invested rated 3 (Moderate Risk) or better by the Company's Manager.

The increase in the average risk rating during 2020 is primarily the result of downgrade of several non multi-family loans to a risk rating of "4" to reflect higher risk in loans collateralized by retail and office properties that are particularly negatively impacted by the COVID-19 pandemic.

Concentration of Credit Risk: The following tables present the geographic and property types of collateral underlying the Company's commercial mortgage loans as a percentage of the loans' carrying value as of March 31, 2020 and December 31, 2019:

Loans Held-for-Investment


	March 31, 2020		December 31, 2019
Geography
Southwest	34.4	%	38.7	%
South	32.4		27.5
Midwest	16.2		16.9
Mid-Atlantic	8.5		8.4
Various	5.5		5.5
West	3.0		3.0
Total	100.0	%	100.0	%


	March 31, 2020⁽¹⁾		December 31, 2019
Collateral Property Type
Multi-Family	90.3	%	93.9	%
Retail	5.5		2.7
Office	2.8		2.0
Mixed-Use	0.7		0.7
Self-Storage	0.7		0.7
Total	100.0	%	100.0	%

(1) During the quarter ended March 31, 2020, two multi-family loans were reclassified to retail and office, respectively, due to the primary nature of the underlying properties. The reclassification represents a reduction in multi-family of 3.6% and an increase to retail and office of 2.8% and 0.8%, respectively, to the percentages presented for December 31, 2019.

We did not have any impaired loans, nonaccrual loans, or loans in maturity default as of March 31, 2020 or December 31, 2019.

Condensed Consolidated Statements of Operations

The condensed consolidated statement of operations of the FREMF trusts for the three months ended March 31, 2019 are as follows:


Statements of Operations	Three Months Ended March 31, 2019
Interest income	$	78,361
Net interest income	$	78,361
Realized (loss) on multi-family loans held in securitization trusts	(709,439)
Unrealized gain on multi-family loans held in securitization trusts	694,339
Net income (loss)	$	63,261

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

Variable Interest Entity [Line Items]

Condensed Consolidated Balance Sheets

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 March 31, 2020 and December 31, 2019 included the following VIE assets and liabilities:


ASSETS	March 31, 2020		December 31, 2019
Cash, cash equivalents and restricted cash	$	6,914,097	$	5,069,715
Accrued interest receivable	2,379,358		2,313,818
Loans held for investment	627,313,574		629,157,956
Total Assets	$	636,607,029	$	636,541,489

LIABILITIES
Accrued interest payable	$	491,153	$	732,173
Collateralized loan obligations⁽¹⁾	506,416,518		505,930,065
Total Liabilities	$	506,907,671	$	506,662,238
Equity	129,699,358		129,879,251
Total liabilities and equity	$	636,607,029	$	636,541,489

(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.

Summary of Loan and Borrowing Characteristics

The following tables present certain loan and borrowing characteristics of Hunt CRE 2017-FL1, Ltd. and Hunt CRE 2018-FL2, Ltd. as of March 31, 2020 and December 31, 2019:


As of March 31, 2020
Collateralized Loan Obligations	Count	Principal Value		Carrying Value⁽¹⁾		Wtd. Avg. Yield
Collateral (loan investments)	51	$	627,313,574	$	627,313,574	L + 3.55%
Debt (notes issued)	2	510,181,000		506,416,518		L + 1.40%


As of December 31, 2019
Collateralized Loan Obligations	Count	Principal Value		Carrying Value⁽¹⁾		Wtd. Avg. Yield
Collateral (loan investments)	51	$	629,157,956	$	629,157,956	L + 3.60%
Debt (notes issued)	2	510,181,000		505,930,065		L + 1.40%

(1) The carrying value for Hunt CRE 2017-FL1, Ltd. is net of discount of $1,071,735 and $1,344,923 for March 31, 2020 and December 31, 2019, respectively and the carrying value for Hunt CRE 2018-FL2, Ltd. is net of debt issuance costs of $2,692,747 and $2,906,012 for March 31, 2020 and December 31, 2019, respectively.

Condensed Consolidated Statements of Operations

The statement of operations related to Hunt CRE 2017-FL1, Ltd. and Hunt CRE 2018-FL2, Ltd. at March 31, 2020 and March 31, 2019 include the following income and expense items:


Statements of Operations	Three Months Ended March 31, 2020		Three Months Ended March 31, 2019
Interest income	$	9,032,178	$	9,812,476
Interest expense	(4,237,889)		(5,446,889)
	$	4,794,289	$	4,365,587
General and administrative fees	(145,986)		(160,452)
Net income (loss)	$	4,648,303	$	4,205,135