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USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES
 12 Months Ended
Dec. 31, 2023
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES USE OF SPECIAL PURPOSE ENTITIES AND VARIABLE INTEREST ENTITIES
 
We account for CLO transactions and secured financings on our consolidated balance sheet as financing facilities. The issuing entities for our CLOs and secured financings are VIEs for which we are the primary beneficiary and are consolidated in our financial statements. The investment grade tranches are treated as secured financings, and are non-recourse to us. See Note 2 ("Summary of Significant Accounting Policies - Principles Consolidation - VIE") for further discussion.

On June 14, 2021, the Company completed the 2021-FL1 CLO, issuing eight tranches of CLO notes through two newly-formed wholly-owned subsidiaries totaling $903.8 million. Of the total CLO notes issued $833.8 million were investment grade notes issued to third party investors and $70 million were below investment-grade notes retained by us. In addition, a $96.25 million equity interest in the portfolio was retained by us. The financing had an initial two-and-a-half year reinvestment period, which expired in December 2023, that allowed principal proceeds of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid. Initially, the proceeds of the issuance of the securities also included $330.3 million for the purpose of acquiring additional loan obligations for a period up to 180 days from the CLO closing date, resulting in the issuer owning loan obligations with a face value of $1.0 billion, representing leverage of 83%.

On July 12, 2023, the Company entered into and closed a matched-term non-recourse collateralized commercial real estate financing (the "LMF 2023-1 Financing"), secured by $386.4 million of first lien floating-rate multifamily mortgage assets and is not subject to margin calls or additional collateralization requirements. In connection with the LMF 2023-1 Financing, approximately $270.4 million of an investment-grade rated senior secured floating rate loan was provided by a private lender and approximately $47.3 million of investment-grade rated notes (collectively, the "Senior Debt") were issued and sold to an affiliate of LFT's external manager, Lument IM. A consolidated subsidiary of LFT retained the subordinate interests in the issuing vehicle of approximately $68.6 million. The Senior Debt has an initial weighted average spread of approximately 314 basis points over 30-day Term SOFR, excluding fees and transaction costs. The Senior Debt matures on the payment date in July 2032, unless it is sooner repaid or redeemed in accordance with its terms. The financing has an initial two-year reinvestment period that allows principal proceeds of the loan obligations to be reinvested in qualifying replacement loan obligations, subject to the satisfaction of certain conditions set forth in the indenture. Thereafter, the outstanding debt balance will be reduced as loans are repaid.

The 2021-FL1 CLO and LMF 2023-1 Financing are subject to collateralization and coverage tests that are customary for these types of securitizations. As of December 31, 2023, and December 31, 2022 all such collateralization and coverage tests in the 2021-FL1 CLO and LMF 2023-1 Financing were met.

The carrying values of the Company's total assets and liabilities related to the 2021-FL1 CLO and LMF 2023-1 Financing as of December 31, 2023 and December 31, 2022 included the following VIE assets and liabilities:

ASSETSDecember 31, 2023December 31, 2022
Cash, cash equivalents and restricted cash$270,217 $3,507,850 
Accrued interest receivable8,588,805 5,488,118 
Investment related receivable— — 
Loans held for investment1,375,277,312 996,511,403 
Total Assets$1,384,136,334 $1,005,507,371 
LIABILITIES
Accrued interest payable$3,996,538 $2,264,646 
Collateralized loan obligations(1)
1,146,210,752 829,310,498 
Total Liabilities$1,150,207,290 $831,575,144 
Equity233,929,044 173,932,227 
Total liabilities and equity$1,384,136,334 $1,005,507,371 

(1)     The stated maturity of the collateral loan obligations per the terms of the underlying collateralized loan obligation agreement is June 14, 2039 for the 2021-FL1 CLO and the stated maturity of the secured financing per the terms of the underlying indenture is July 20, 2032.

The following tables present certain loan and borrowing characteristics of 2021-FL1 CLO and LMF 2023-1 Financing. as of December 31, 2023 and December 31, 2022:

As of December 31, 2023
Collateralized Loan ObligationsCountPrincipal Value
Carrying Value(1)
Wtd. Avg. Coupon(2)
Collateral (loan investments)871,388,495,984 1,375,277,312 8.91 %
Financings provided21,151,450,000 1,146,210,752 7.35 %
 
As of December 31, 2022
Collateralized Loan ObligationsCountPrincipal Value
Carrying Value(1)
Wtd. Avg. Coupon(2)
Collateral (loan investments)64996,492,150 996,511,403 7.60 %
Financings provided1833,750,000 829,310,498 5.75 %
(1)     The carrying value of the collateral is net of unaccreted purchase discounts of $7,159,664 as of December 31, 2023, there were no unaccreted purchase discounts as of December 31, 2022. The carrying value for 2021-FL1 CLO is net of debt issuance costs of $1,911,547 and $4,439,502 for December 31, 2023, and December 31, 2022, respectively, and the carrying value for LMF 2023-1 Financing is net of debt issuance costs of $3,327,701.
(2)    Weighted average coupon assumes applicable one-month LIBOR of 4.18% as of December 31, 2022 and 30-day Term SOFR of 5.33% and 4.19% as of December 31, 2023 and December 31, 2022, respectively, inclusive of weighted average interest rate floors of 0.38% and 0.25%, respectively. As of December 31, 2023, 100.0% of the investments by total exposure earned a floating rate indexed to 30-day Term SOFR. As of December 31, 2022, 80.4% of the investments by total investment exposure earned a floating rate indexed to one-month LIBOR and 19.6% of the investments by total investment exposure earned a floating indexed to 30-day term SOFR. Weighted average coupon for the financings assumes applicable 30-day term SOFR of 5.36% as of December 31, 2023 and one-month LIBOR of 4.32% as of December 31, 2022, respectively and spreads of 1.99% and 1.43% for December 31, 2023 and December 31, 2022.

The statement of operations related to the 2021-FL1 CLO and LMF 2023-1 Financing. at December 31, 2023 and December 31, 2022 include the following income and expense items:


Statements of OperationsDecember 31, 2023December 31, 2022
Interest income$105,008,175 $53,264,413 
Interest expense71,041,861 29,055,324 
Net interest income$33,966,314 $24,209,089 
Less:
Provision for credit losses$2,745,791 $— 
General and administrative fees755,745 614,149 
Net income$30,464,778 $23,594,940