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Real Estate Securities, Available for Sale
 6 Months Ended
Jun. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
Real Estate Securities, Available for Sale Real Estate Securities, Available for Sale
Investments in CRE Securities
CRE securities are composed of CMBS backed by a pool of CRE loans which are typically well-diversified by type and geography. The following table presents CMBS investments as of June 30, 2020 and December 31, 2019 (dollars in thousands):
Weighted Average
Principal Amount(1)
Total DiscountAmortized
Cost		Cumulative Unrealized
on Investments		Fair
Value
Coupon(2)
Unleveraged
Current
Yield(3)
As of Date:CountGain(Loss)
June 30, 202016$108,512  $(48,502) $60,010  $—  $—  $60,010  3.37 %— %
December 31, 201943292,284  (55,981) 236,303  17,084  (563) 252,824  3.19 %7.12 %
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(1)CRE securities serve as collateral for financing transactions including carrying value of $60.0 million as of June 30, 2020 for the CMBS Credit Facilities (refer to Note 9, “Debt,” for further detail). The remainder is unleveraged.
(2)All CMBS are fixed rate.
(3)The Company placed all of its CRE securities on cost recovery status as of April 1, 2020.
During the three months ended June 30, 2020, the Company sold 27 CRE securities for a total gross sales price of $89.7 million and recognized a loss of $57.0 million of which $36.4 million was previously recorded as an unrealized loss in other comprehensive income at March 31, 2020. The loss is recorded in other loss, net on the Company’s consolidated statements of operations. In connection with these sales, the Company repaid $66.1 million of debt on our CMBS Credit Facility.
Consistent with the overall market, the Company’s CRE securities, which it marks to fair value, lost significant value since the onset of the COVID-19 pandemic. Although the market at June 30, 2020 experienced a slight rebound in some securities from the marks taken at March 31, 2020, the Company believes bond prices will remain at or around current levels over the next six to twelve months. While the Company will evaluate selling its investment grade and non-investment grade rated CRE securities over the next twelve months, it is more likely than not that the Company will sell before recovery. For the three months ended June 30, 2020 the Company recorded an impairment loss of $29.2 million. This impairment loss was a result of writing down the Company’s amortized cost basis to equal fair value. The loss is recorded in other loss, net on the Company’s consolidated statements of operations. Additionally, the Company has placed its investment grade and non-investment grade rated CRE securities on cost recovery and as a result, has ceased accretion of any discounts to expected maturity and applied any cash interest received against the CRE securities’ carrying value. This decision was made given the inability to project future cash flows from the Company’s CRE securities. To the extent that the carrying value of any CRE security is reduced to zero, any cash subsequently received would be recorded as interest income.
The Company recorded an unrealized gain in OCI of $58.5 million and an unrealized loss of $16.5 million for the three and six months ended June 30, 2020 and an unrealized gain in OCI of $7.9 million and $17.6 million for the three and six months ended June 30, 2019. During the three months ended June 30, 2020, the Company realized the gain in OCI as it no longer has the intent to hold its CRE securities until maturity and caused the Company to write down its amortized cost basis to fair value. As of June 30, 2020, the Company held no securities in an unrealized loss position.
As of June 30, 2020, the weighted average contractual maturity of CRE securities was 28.7 years with an expected maturity of 5.6 years.
The Company had $0.7 million of interest receivable related to its real estate securities, available for sale as of December 31, 2019. This is included in receivables, net on the Company’s consolidated balance sheets.
Investments in Investing VIEs
The Company is the directing certificate holder of two securitization trusts and has the ability to appoint and replace the special servicer on all mortgage loans. As such, U.S. GAAP requires the Company to consolidate the assets, liabilities, income and expenses of the securitization trusts as Investing VIEs. Refer to Note 2, “Summary of Significant Accounting Policies” for further discussion on Investing VIEs.
In July 2019, the Company sold its retained investments in the subordinate tranches of one securitization trust for $33.4 million in total proceeds. As a result of the sale, the Company deconsolidated one of the securitization trusts with gross assets and liabilities of approximately $1.2 billion and $1.2 billion, respectively.
Other than the securities represented by the Company’s subordinate tranches of the securitization trusts, the Company does not have any claim to the assets or exposure to the liabilities of the securitization trusts. The original issuers, who are unrelated third parties, guarantee the interest and principal payments related to the investment grade securitization bonds in the securitization trusts, therefore these obligations do not have any recourse to the general credit of the Company as the consolidator of the securitization trusts. The Company’s maximum exposure to loss would not exceed the carrying value of its retained investments in the securitization trusts, or the subordinate tranches of the securitization trusts.
As of June 30, 2020, the mortgage loans and the related mortgage obligations held in the securitization trusts had an unpaid principal balance of $1.8 billion and $1.6 billion, respectively. As of December 31, 2019, the mortgage loans and the related mortgage obligations held in the securitization trusts had an unpaid principal balance of $1.8 billion and $1.6 billion, respectively. As of June 30, 2020, across the two consolidated securitization trusts, the underlying collateral consisted of 115 underlying commercial mortgage loans, with a weighted average coupon of 4.5% and a weighted average loan to value ratio of 56.4%.
The following table presents the assets and liabilities recorded on the consolidated balance sheets attributable to the securitization trust as of June 30, 2020 and December 31, 2019 (dollars in thousands):
June 30, 2020December 31, 2019
Assets
Mortgage loans held in a securitization trust, at fair value$1,839,953  $1,872,970  
Receivables, net7,170  7,020  
Total assets$1,847,123  $1,879,990  
Liabilities
Mortgage obligations issued by a securitization trust, at fair value$1,758,325  $1,762,914  
Accrued and other liabilities6,254  6,267  
Total liabilities$1,764,579  $1,769,181  
The Company elected the fair value option to measure the assets and liabilities of the securitization trusts, which requires that changes in valuations of the securitization trusts be reflected in the Company’s consolidated statements of operations.
The difference between the carrying values of the mortgage loans held in securitization trusts and the carrying value of the mortgage obligations issued by securitization trusts was $81.6 million and $110.1 million as of June 30, 2020 and December 31, 2019, respectively, and approximates the fair value of the Company’s retained investments in the subordinate tranches of the securitization trusts, which are eliminated in consolidation. Refer to Note 14, “Fair Value” for a description of the valuation techniques used to measure fair value of assets and liabilities of the Investing VIEs.
The below table presents net income attributable to the Company’s common stockholders for the six months ended June 30, 2020 and 2019 generated from the Company’s investments in the subordinate tranches of the securitization trusts (dollars in thousands):
Three Months Ended June 30,Six Months Ended June 30,
2020201920202019
Statement of Operations
Interest expense$(160) $(278) $(345) $(541) 
Interest income on mortgage loans held in securitization trusts20,539  38,656  41,094  77,132  
Interest expense on mortgage obligations issued by securitization trusts(18,364) (35,756) (36,423) (71,391) 
Net interest income2,015  2,622  4,326  5,200  
Administrative expense(180) (331) (695) (690) 
Unrealized gain (loss) on mortgage loans and obligations held in securitization trusts, net(8,975) 5,549  (28,427) 6,578  
Realized gain on mortgage loans and obligations held in securitization trusts, net—  —  —  48  
Net income (loss) attributable to Colony Credit Real Estate, Inc. common stockholders$(7,140) $7,840  $(24,796) $11,136