Real Estate Securities, Available for Sale (Tables)

9 Months Ended

Sep. 30, 2020

Investments, Debt and Equity Securities [Abstract]

The following table presents CMBS investments as of September 30, 2020 and December 31, 2019 (dollars in thousands):


														Weighted Average
		Principal Amount(1)		Total Discount		Amortized Cost		Cumulative Unrealized on Investments				Fair Value		Coupon(2)		Unleveraged Current Yield(3)
As of Date:	Count							Gain		(Loss)
September 30, 2020	11	$	67,334	$	(35,375)	$	31,959	$	4,291	$	—	$	36,250	3.47	%	—	%
December 31, 2019	43	292,284		(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 $18.4 million as of September 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.

Schedule of Classification, Carrying Value and Maximum Exposure of VIEs

The following table presents the Company’s classification, carrying value and maximum exposure of unconsolidated VIEs as of September 30, 2020 (dollars in thousands):


	Carrying Value		Maximum Exposure to Loss
Real estate securities, available for sale	$	36,250	$	31,959
Investments in unconsolidated ventures	349,635		374,279
Loans and preferred equity held for investment, net	13,638		13,638
Total assets	$	399,523	$	419,876

The following table presents the assets and liabilities recorded on the consolidated balance sheets attributable to the securitization trust as of September 30, 2020 and December 31, 2019 (dollars in thousands):


	September 30, 2020		December 31, 2019
Assets
Mortgage loans held in a securitization trust, at fair value	$	1,839,390	$	1,872,970
Receivables, net	7,272		7,020
Total assets	$	1,846,662	$	1,879,990
Liabilities
Mortgage obligations issued by a securitization trust, at fair value	$	1,770,924	$	1,762,914
Accrued and other liabilities	6,307		6,267
Total liabilities	$	1,777,231	$	1,769,181

The below table presents net income attributable to the Company’s common stockholders for the nine months ended September 30, 2020 and 2019 generated from the Company’s investments in the subordinate tranches of the securitization trusts (dollars in thousands):


	Three Months Ended September 30,					Nine Months Ended September 30,
		2020		2019		2020		2019
Statement of Operations
Interest expense		$	(75)	$	(220)	$	(420)	$	(761)
Interest income on mortgage loans held in securitization trusts		20,462		22,586		61,556		99,718
Interest expense on mortgage obligations issued by securitization trusts		(18,204)		(20,299)		(54,627)		(91,690)
Net interest income		2,183		2,067		6,509		7,267
Administrative expense		(274)		(225)		(969)		(915)
Unrealized gain (loss) on mortgage loans and obligations held in securitization trusts, net		(13,162)		(1,976)		(41,589)		4,602
Realized gain on mortgage loans and obligations held in securitization trusts, net		—		2,724		—		2,772
Net income (loss) attributable to Colony Credit Real Estate, Inc. common stockholders		$	(11,253)	$	2,590	$	(36,049)	$	13,726

- 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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