Note 6 - CMBS Structured Pass Through Certificates

9 Months Ended

Sep. 30, 2021

CMBS Structured Pass Through Certificates [Member]

Notes to Financial Statements

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

6. CMBS Structured Pass Through Certificates

As of September 30, 2021, the Company held thirteen CMBS I/O Strips at fair value. These CMBS I/O Strips consist of interest only tranches of Freddie Mac structured pass through certificates with underlying portfolios of fixed-rate mortgage loans secured primarily by stabilized multifamily properties. See Note 2 and Note 9 for additional disclosures regarding valuation methodologies for the CMBS I/O Strips.

The following table presents the CMBS I/O Strips as of September 30, 2021 (in thousands):

	Investment
Investment	Date		Carrying Value		Property Type	Interest Rate			Current Yield (1)			Maturity Date
CMBS I/O Strips
CMBS I/O Strip	5/18/2020		$	2,432	Multifamily		2.09	%		14.95	%	9/25/2046
CMBS I/O Strip	8/6/2020			8,712	Multifamily		0.10	%		14.34	%	6/25/2030
CMBS I/O Strip	8/6/2020			23,783	Multifamily		3.09	%		14.64	%	6/25/2030
CMBS I/O Strip	4/28/2021	(2)		7,437	Multifamily		1.71	%		14.77	%	1/25/2030
CMBS I/O Strip	5/27/2021			4,919	Multifamily		3.50	%		14.31	%	5/25/2030
CMBS I/O Strip	6/7/2021			611	Multifamily		2.39	%		16.61	%	11/25/2028
CMBS I/O Strip	6/11/2021	(3)		7,289	Multifamily		1.39	%		15.32	%	5/25/2029
CMBS I/O Strip	6/21/2021			1,975	Multifamily		1.31	%		18.42	%	5/25/2030
CMBS I/O Strip	8/10/2021			3,345	Multifamily		1.96	%		14.45	%	4/25/2030
CMBS I/O Strip	8/11/2021			1,734	Multifamily		3.20	%		12.72	%	7/25/2031
CMBS I/O Strip	8/24/2021			325	Multifamily		2.70	%		13.30	%	1/25/2031
CMBS I/O Strip	9/1/2021			5,058	Multifamily		2.04	%		14.06	%	6/25/2030
CMBS I/O Strip	9/11/2021			5,025	Multifamily		2.95	%		12.30	%	9/25/2031
Total			$	72,645

(1)	Current yield is the annualized income earned divided by the cost basis of the investment.
(2)	The Company, through the Subsidiary OPs,  purchased approximately $50.0 million and $15.0 million aggregate notional amount of the X1 interest-only tranche of the FHMS K-107 CMBS I/O Strip on April 28, 2021 and May 4, 2021, respectively.

(3) The Company, through the Subsidiary OPs, purchased approximately $80.0 million and $35.0 million aggregate notional amount of the X1 interest-only tranche of the FRESB 2019-SB64 CMBS I/O Strip on June 11, 2021 and September 29, 2021, respectively.

The following table presents activity related to the Company’s CMBS I/O Strips (in thousands):

	For the Three Months Ended September 30,					For the Nine Months Ended September 30,
	2021		2020			2021		2020
Net interest earned	$	779	$	441		$	1,982	$	521
Change in unrealized gain on CMBS structured pass through certificates		355		(200	)		794		101
Realized gain		484		—			484		—
	$	1,618	$	241		$	3,260	$	622