Note 4 - CMBS Trusts

9 Months Ended

Sep. 30, 2021

Notes to Financial Statements

Commercial Mortgage Backed Securities Trusts [Text Block]

4. CMBS Trusts

As of September 30, 2021, the Company consolidated all seven of the CMBS Entities that it determined are VIEs and for which the Company is the primary beneficiary. The Company elected the fair-value measurement alternative in accordance with ASU 2014-13 for each of the trusts and carries the fair values of the trust’s assets and liabilities at fair value in its Consolidated Balance Sheets; recognizes changes in the trust’s net assets, including changes in fair-value adjustments and net interest earned, in its Consolidated Statements of Operations; and records cash interest received from the trusts and cash interest paid to bondholders of the CMBS not beneficially owned by the Company, as operating cash-flows.

The following table presents the Company’s recognized Trust’s Assets and Liabilities (in thousands):

Trust's Assets	September 30, 2021			December 31, 2020
Mortgage loans held in variable interest entities, at fair value	$	7,085,361		$	5,007,515
Accrued interest receivable		1,775			1,063
Trust's Liabilities
Bonds payable held in variable interest entities, at fair value		(6,652,704	)		(4,731,429	)
Accrued interest payable		(1,275	)		(794	)

The following table presents “Change in net assets related to consolidated CMBS variable interest entities” (in thousands):

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2021		2020		2021		2020
Net interest earned	$	7,819	$	5,017	$	19,943	$	10,024
Unrealized gain (loss)		12,421		3,903		28,982		(11,231	)
Change in net assets related to consolidated CMBS variable interest entities	$	20,240	$	8,920	$	48,925	$	(1,207	)

The following tables present the geographies and property types of collateral underlying the CMBS trusts consolidated by the Company as a percentage of the collateral unpaid principal balance:

Geography	September 30, 2021			December 31, 2020
Texas		16.38	%		15.02	%
Florida		14.38	%		16.25	%
Arizona		8.94	%		11.80	%
California		7.31	%		8.25	%
Georgia		6.67	%		7.05	%
Washington		6.66	%		5.76	%
New Jersey		4.76	%		4.14	%
Nevada		3.60	%		4.12	%
Pennsylvania		*			3.30	%
Colorado		4.18	%		2.26	%
Connecticut		3.10	%		*
North Carolina		2.91	%		1.98	%
New York		2.66	%		3.00	%
Ohio		1.77	%		2.00	%
Virginia		1.74	%		2.09	%
Indiana		1.72	%		2.42	%
South Carolina		1.59	%		1.08	%
Utah		*			1.33	%
Maryland		1.59	%		1.32	%
Missouri		1.29	%		1.20	%
Tennessee		1.21	%		1.45	%
Other (19 and 15 states each at <1%)		7.54	%		4.21	%
		100.00	%		100.00	%

*Included in "Other."

Collateral Property Type	September 30, 2021			December 31, 2020
Multifamily		98.26	%		98.12	%
Manufactured Housing		1.74	%		1.88	%
		100.00	%		100.00	%