7. CMBS Structured Pass-Through Certificates As of June 30, 2026, the Company held 14 CMBS interest only structured pass-through certificates (“CMBS I/O Strips') at fair value. The 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. The following table presents the CMBS I/O Strips as of June 30, 2026 (dollars in thousands):
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Investment |
|
Investment Date |
|
Carrying Value (1) |
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|
Property Type |
|
Interest Rate |
|
|
Current Yield (2) |
|
|
Maturity Date |
CMBS I/O Strips |
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|
|
CMBS I/O Strip |
|
5/18/2020 |
|
$ |
997 |
|
|
Multifamily |
|
|
2.09 |
% |
|
|
26.50 |
% |
|
1/25/2030 |
CMBS I/O Strip |
|
8/6/2020 |
|
|
10,725 |
|
|
Multifamily |
|
|
3.08 |
% |
|
|
28.55 |
% |
|
6/25/2030 |
CMBS I/O Strip |
|
4/28/2021 |
|
|
3,006 |
|
|
Multifamily |
|
|
1.70 |
% |
|
|
30.28 |
% |
|
1/25/2030 |
CMBS I/O Strip |
|
5/27/2021 |
|
|
2,246 |
|
|
Multifamily |
|
|
3.50 |
% |
|
|
28.70 |
% |
|
5/25/2030 |
CMBS I/O Strip |
|
6/7/2021 |
|
|
213 |
|
|
Multifamily |
|
|
2.39 |
% |
|
|
45.29 |
% |
|
11/25/2028 |
CMBS I/O Strip |
|
6/11/2021 |
|
|
725 |
|
|
Multifamily |
|
|
2.07 |
% |
|
|
37.55 |
% |
|
5/25/2029 |
CMBS I/O Strip |
|
6/24/2021 |
|
|
463 |
|
|
Multifamily |
|
|
— |
% |
|
|
— |
% |
|
5/25/2030 |
CMBS I/O Strip |
|
8/10/2021 |
|
|
1,481 |
|
|
Multifamily |
|
|
1.96 |
% |
|
|
29.37 |
% |
|
4/25/2030 |
CMBS I/O Strip |
|
8/11/2021 |
|
|
922 |
|
|
Multifamily |
|
|
3.20 |
% |
|
|
22.41 |
% |
|
7/25/2031 |
CMBS I/O Strip |
|
8/24/2021 |
|
|
158 |
|
|
Multifamily |
|
|
2.70 |
% |
|
|
24.73 |
% |
|
1/25/2031 |
CMBS I/O Strip |
|
9/1/2021 |
|
|
2,257 |
|
|
Multifamily |
|
|
2.04 |
% |
|
|
28.24 |
% |
|
6/25/2030 |
CMBS I/O Strip |
|
9/11/2021 |
|
|
2,633 |
|
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Multifamily |
|
|
3.05 |
% |
|
|
21.99 |
% |
|
9/25/2031 |
CMBS I/O Strip |
|
1/16/2025 |
|
|
5,258 |
|
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Multifamily |
|
|
5.86 |
% |
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|
16.40 |
% |
|
11/25/2034 |
CMBS I/O Strip |
|
4/24/2025 |
|
|
5,154 |
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Multifamily |
|
|
5.88 |
% |
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|
17.34 |
% |
|
4/25/2034 |
Total |
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$ |
36,238 |
|
|
|
|
|
3.59 |
% |
|
|
24.57 |
% |
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|
(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):
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|
|
|
|
Investment |
|
Investment Date |
|
Carrying Value (1) |
|
|
Property Type |
|
Interest Rate |
|
|
Current Yield (3) |
|
|
Maturity Date |
CMBS I/O Strips |
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|
CMBS I/O Strip |
|
5/18/2020 |
|
$ |
1,150 |
|
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Multifamily |
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|
2.02 |
% |
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|
22.00 |
% |
|
1/25/2030 |
CMBS I/O Strip |
|
8/6/2020 |
|
|
11,994 |
|
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Multifamily |
|
|
2.98 |
% |
|
|
24.75 |
% |
|
6/25/2030 |
CMBS I/O Strip |
|
4/28/2021 |
|
|
3,458 |
|
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Multifamily |
|
|
1.58 |
% |
|
|
24.88 |
% |
|
1/25/2030 |
CMBS I/O Strip |
|
5/27/2021 |
|
|
2,502 |
|
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Multifamily |
|
|
3.38 |
% |
|
|
24.72 |
% |
|
5/25/2030 |
CMBS I/O Strip |
|
6/7/2021 |
|
|
254 |
|
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Multifamily |
|
|
2.31 |
% |
|
|
36.17 |
% |
|
11/25/2028 |
CMBS I/O Strip |
|
6/11/2021 |
|
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1,239 |
|
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Multifamily |
|
|
2.01 |
% |
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|
35.42 |
% |
|
5/25/2029 |
CMBS I/O Strip |
|
6/21/2021 |
|
|
577 |
|
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Multifamily |
|
|
— |
% |
|
|
— |
% |
|
5/25/2030 |
CMBS I/O Strip |
|
8/10/2021 |
|
|
1,603 |
|
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Multifamily |
|
|
1.89 |
% |
|
|
25.19 |
% |
|
4/25/2030 |
CMBS I/O Strip |
|
8/11/2021 |
|
|
998 |
|
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Multifamily |
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|
3.10 |
% |
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|
19.91 |
% |
|
7/25/2031 |
CMBS I/O Strip |
|
8/24/2021 |
|
|
174 |
|
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Multifamily |
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2.61 |
% |
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21.70 |
% |
|
1/25/2031 |
CMBS I/O Strip |
|
9/1/2021 |
|
|
2,545 |
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Multifamily |
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1.92 |
% |
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|
23.73 |
% |
|
6/25/2030 |
CMBS I/O Strip |
|
9/11/2021 |
|
|
2,872 |
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Multifamily |
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2.95 |
% |
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|
19.57 |
% |
|
9/25/2031 |
CMBS I/O Strip |
|
1/16/2025 |
|
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5,562 |
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Multifamily |
|
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5.67 |
% |
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|
15.22 |
% |
|
11/25/2034 |
CMBS I/O Strip |
|
4/24/2025 |
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5,499 |
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Multifamily |
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|
5.69 |
% |
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16.03 |
% |
|
4/25/2034 |
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$ |
40,427 |
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3.41 |
% |
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|
21.68 |
% |
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(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 activity related to the Company’s CMBS I/O Strips (in thousands):
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For the Three Months Ended June 30, |
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For the Six Months Ended June 30, |
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|
2026 |
|
|
2025 |
|
|
2026 |
|
|
2025 |
|
Net interest expense |
|
$ |
222 |
|
|
$ |
194 |
|
|
$ |
(95 |
) |
|
$ |
(19 |
) |
Change in unrealized gain (loss) on CMBS structured pass-through certificates |
|
|
224 |
|
|
|
660 |
|
|
|
697 |
|
|
|
1,832 |
|
Total |
|
$ |
446 |
|
|
$ |
854 |
|
|
$ |
602 |
|
|
$ |
1,813 |
|
|