Note 6 - CMBS Structured Pass Through Certificates

3 Months Ended

Mar. 31, 2022

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 March 31, 2022, 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 10 for additional disclosures regarding valuation methodologies for the CMBS I/O Strips.

The following table presents the CMBS I/O Strips as of  March 31, 2022 (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		$	2,170	Multifamily		2.02	%		14.49	%	9/25/2046
CMBS I/O Strip	8/6/2020			7,799	Multifamily		0.10	%		15.02	%	6/25/2030
CMBS I/O Strip	8/6/2020			21,807	Multifamily		2.98	%		14.83	%	6/25/2030
CMBS I/O Strip	4/28/2021	(2)		6,715	Multifamily		1.59	%		14.27	%	1/25/2030
CMBS I/O Strip	5/27/2021			4,403	Multifamily		3.38	%		14.50	%	5/25/2030
CMBS I/O Strip	6/7/2021			543	Multifamily		2.31	%		17.08	%	11/25/2028
CMBS I/O Strip	6/11/2021	(3)		9,231	Multifamily		1.25	%		14.27	%	5/25/2029
CMBS I/O Strip	6/21/2021			1,649	Multifamily		1.19	%		16.73	%	5/25/2030
CMBS I/O Strip	8/10/2021			2,989	Multifamily		1.89	%		14.66	%	4/25/2030
CMBS I/O Strip	8/11/2021			1,575	Multifamily		3.10	%		12.81	%	7/25/2031
CMBS I/O Strip	8/24/2021			294	Multifamily		2.61	%		13.43	%	1/25/2031
CMBS I/O Strip	9/1/2021			4,424	Multifamily		1.92	%		13.86	%	6/25/2030
CMBS I/O Strip	9/11/2021			4,534	Multifamily		2.95	%		12.82	%	9/25/2031
Total			$	68,133			2.11	%		14.49	%

(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, $35.0 million, $40.0 million and $50.0 million aggregate notional amount of the X1 interest-only tranche of the FRESB 2019-SB64 CMBS I/O Strip on June 11, 2021, September 29, 2021, February 3, 2022 and March 18, 2022, respectively.

The following table presents the CMBS I/O Strips as of December 31, 2022 (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		$	2,356	Multifamily		2.02	%		14.47	%	9/25/2046
CMBS I/O Strip	8/6/2020			8,383	Multifamily		0.10	%		14.67	%	6/25/2030
CMBS I/O Strip	8/6/2020			23,188	Multifamily		2.98	%		14.48	%	6/25/2030
CMBS I/O Strip	4/28/2021	(2)		7,274	Multifamily		1.59	%		13.88	%	1/25/2030
CMBS I/O Strip	5/27/2021			4,781	Multifamily		3.38	%		14.16	%	5/25/2030
CMBS I/O Strip	6/7/2021			589	Multifamily		2.31	%		16.56	%	11/25/2028
CMBS I/O Strip	6/11/2021	(3)		6,424	Multifamily		1.26	%		13.57	%	5/25/2029
CMBS I/O Strip	6/21/2021			1,850	Multifamily		1.20	%		17.02	%	5/25/2030
CMBS I/O Strip	8/10/2021			3,246	Multifamily		1.89	%		14.30	%	4/25/2030
CMBS I/O Strip	8/11/2021			1,697	Multifamily		3.10	%		12.55	%	7/25/2031
CMBS I/O Strip	8/24/2021			317	Multifamily		2.61	%		13.14	%	1/25/2031
CMBS I/O Strip	9/1/2021			4,827	Multifamily		1.92	%		13.53	%	6/25/2030
CMBS I/O Strip	9/11/2021			4,884	Multifamily		2.95	%		12.55	%	9/25/2031
Total			$	69,816			2.15	%		14.16	%

(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 March 31,
	2022			2021
Net interest earned	$	1,165		$	611
Change in unrealized gain on CMBS structured pass-through certificates		(4,340	)		631
	$	(3,175	)	$	1,242