The following table presents the CMBS I/O Strips as of March 31, 2026 (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment |
|
Investment Date |
|
Carrying Value (1) |
|
Property Type |
Interest Rate |
|
Current Yield (2) |
|
Maturity Date |
CMBS I/O Strips |
|
|
|
|
|
|
|
|
|
|
|
CMBS I/O Strip |
|
5/18/2020 |
|
$ |
1,071 |
|
Multifamily |
|
2.09 |
% |
|
24.66 |
% |
1/25/2030 |
CMBS I/O Strip |
|
8/6/2020 |
|
|
11,335 |
|
Multifamily |
|
3.08 |
% |
|
27.08 |
% |
6/25/2030 |
CMBS I/O Strip |
|
4/28/2021 |
|
|
3,253 |
|
Multifamily |
|
1.70 |
% |
|
28.62 |
% |
1/25/2030 |
CMBS I/O Strip |
|
5/27/2021 |
|
|
2,380 |
|
Multifamily |
|
3.50 |
% |
|
27.17 |
% |
5/25/2030 |
CMBS I/O Strip |
|
6/7/2021 |
|
|
233 |
|
Multifamily |
|
2.39 |
% |
|
41.38 |
% |
11/25/2028 |
CMBS I/O Strip |
|
6/11/2021 |
|
|
799 |
|
Multifamily |
|
2.07 |
% |
|
35.88 |
% |
5/25/2029 |
CMBS I/O Strip |
|
6/21/2021 |
|
|
526 |
|
Multifamily |
|
— |
% |
|
— |
% |
5/25/2030 |
CMBS I/O Strip |
|
8/10/2021 |
|
|
1,584 |
|
Multifamily |
|
1.96 |
% |
|
27.76 |
% |
4/25/2030 |
CMBS I/O Strip |
|
8/11/2021 |
|
|
953 |
|
Multifamily |
|
3.20 |
% |
|
21.49 |
% |
7/25/2031 |
CMBS I/O Strip |
|
8/24/2021 |
|
|
166 |
|
Multifamily |
|
2.70 |
% |
|
23.60 |
% |
1/25/2031 |
CMBS I/O Strip |
|
9/1/2021 |
|
|
2,397 |
|
Multifamily |
|
2.04 |
% |
|
26.77 |
% |
6/25/2030 |
CMBS I/O Strip |
|
9/11/2021 |
|
|
2,742 |
|
Multifamily |
|
3.05 |
% |
|
21.12 |
% |
9/25/2031 |
CMBS I/O Strip |
|
1/16/2025 |
|
|
5,418 |
|
Multifamily |
|
5.86 |
% |
|
16.07 |
% |
11/25/2034 |
CMBS I/O Strip |
|
4/24/2025 |
|
|
5,319 |
|
Multifamily |
|
5.88 |
% |
|
16.95 |
% |
4/25/2034 |
Total |
|
|
|
$ |
38,176 |
|
|
|
3.57 |
% |
|
23.50 |
% |
|
(1)Carrying value of the CMBS I/O strips are measured at fair value. See Note 10. (2)Current yield is the annualized income earned divided by the cost basis of the investment. The following table presents the CMBS I/O Strips as of December 31, 2025 (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment |
|
Investment Date |
|
Carrying Value (1) |
|
Property Type |
Interest Rate |
|
Current Yield (3) |
|
Maturity Date |
CMBS I/O Strips |
|
|
|
|
|
|
|
|
|
|
|
CMBS I/O Strip |
|
5/18/2020 |
|
$ |
1,150 |
|
Multifamily |
|
2.02 |
% |
|
22.00 |
% |
1/25/2030 |
CMBS I/O Strip |
|
8/6/2020 |
|
|
11,994 |
|
Multifamily |
|
2.98 |
% |
|
24.75 |
% |
6/25/2030 |
CMBS I/O Strip |
|
4/28/2021 |
|
|
3,458 |
|
Multifamily |
|
1.58 |
% |
|
24.88 |
% |
1/25/2030 |
CMBS I/O Strip |
|
5/27/2021 |
|
|
2,502 |
|
Multifamily |
|
3.38 |
% |
|
24.72 |
% |
5/25/2030 |
CMBS I/O Strip |
|
6/7/2021 |
|
|
254 |
|
Multifamily |
|
2.31 |
% |
|
36.17 |
% |
11/25/2028 |
CMBS I/O Strip |
|
6/11/2021 |
|
|
1,239 |
|
Multifamily |
|
2.01 |
% |
|
35.42 |
% |
5/25/2029 |
CMBS I/O Strip |
|
6/21/2021 |
|
|
577 |
|
Multifamily |
|
— |
% |
|
— |
% |
5/25/2030 |
CMBS I/O Strip |
|
8/10/2021 |
|
|
1,603 |
|
Multifamily |
|
1.89 |
% |
|
25.19 |
% |
4/25/2030 |
CMBS I/O Strip |
|
8/11/2021 |
|
|
998 |
|
Multifamily |
|
3.10 |
% |
|
19.91 |
% |
7/25/2031 |
CMBS I/O Strip |
|
8/24/2021 |
|
|
174 |
|
Multifamily |
|
2.61 |
% |
|
21.70 |
% |
1/25/2031 |
CMBS I/O Strip |
|
9/1/2021 |
|
|
2,545 |
|
Multifamily |
|
1.92 |
% |
|
23.73 |
% |
6/25/2030 |
CMBS I/O Strip |
|
9/11/2021 |
|
|
2,872 |
|
Multifamily |
|
2.95 |
% |
|
19.57 |
% |
9/25/2031 |
CMBS I/O Strip |
|
1/16/2025 |
|
|
5,562 |
|
Multifamily |
|
5.67 |
% |
|
15.22 |
% |
11/25/2034 |
CMBS I/O Strip |
|
4/24/2025 |
|
|
5,499 |
|
Multifamily |
|
5.69 |
% |
|
16.03 |
% |
4/25/2034 |
|
|
|
|
$ |
40,427 |
|
|
|
3.41 |
% |
|
21.68 |
% |
|
(1)Carrying value of the CMBS I/O strips are measured at fair value. See Note 10. (2)Current yield is the annualized income earned divided by the cost basis of the investment.
|