Note 4 - CMBS Trusts

3 Months Ended

Mar. 31, 2022

Notes to Financial Statements

Commercial Mortgage Backed Securities Trusts [Text Block]

4. CMBS Trusts

As of March 31, 2022, the Company consolidated all eight 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 financing cash flows.

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

Trust's Assets	March 31, 2022			December 31, 2021
Mortgage loans held in variable interest entities, at fair value	$	6,716,235		$	7,192,547
Accrued interest receivable		2,063			2,212
Trust's Liabilities
Bonds payable held in variable interest entities, at fair value		(6,266,928	)		(6,726,272	)
Accrued interest payable		(1,509	)		(1,500	)

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

	For the Three Months Ended March 31,
	2022			2021
Net interest earned	$	7,953		$	5,700
Unrealized gain (loss)		(4,537	)		15,011
Change in net assets related to consolidated CMBS variable interest entities	$	3,416		$	20,711

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	March 31, 2022			December 31, 2021
Texas		16.60	%		16.88	%
Florida		14.04	%		14.77	%
Arizona		10.15	%		10.37	%
California		8.75	%		8.50	%
Georgia		5.11	%		4.97	%
Washington		6.36	%		6.19	%
New Jersey		4.79	%		4.65	%
Nevada		3.61	%		3.51	%
Colorado		4.19	%		4.08	%
Connecticut		3.11	%		3.02	%
North Carolina		3.21	%		3.12	%
New York		2.14	%		2.45	%
Ohio		1.77	%		1.72	%
Virginia		1.75	%		1.70	%
Indiana		1.73	%		1.68	%
South Carolina		1.60	%		1.56	%
Maryland		1.60	%		1.55	%
Missouri		1.30	%		1.26	%
Other (20 and 20 states each at <1%)		8.19	%		8.02	%
		100.00	%		100.00	%

Collateral Property Type	March 31, 2022			December 31, 2020
Multifamily		98.38	%		98.42	%
Manufactured Housing		1.62	%		1.58	%
		100.00	%		100.00	%