Investment Securities (Tables)

6 Months Ended

Jun. 30, 2016

Schedule of investment securities

Investment securities were comprised of the following as of June 30, 2016 and December 31, 2015 (amounts in thousands):

	Carrying Value as of
	June 30, 2016		December 31, 2015
RMBS, available-for-sale	$	251,260	$	176,224
CMBS, fair value option (1)		1,050,909		1,038,200
Held-to-maturity (“HTM”) securities		520,342		321,244
Equity security, fair value option		12,861		14,498
Subtotal—Investment securities		1,835,372		1,550,166
VIE eliminations (1)		(936,569)		(825,219)
Total investment securities	$	898,803	$	724,947

(1) Certain fair value option CMBS are eliminated in consolidation against VIE liabilities pursuant to ASC 810.

Schedule of purchases, sales and principal collections for all investment securities

Purchases, sales and principal collections for all investment securities were as follows (amounts in thousands):

	Available-for-sale				CMBS, fair		HTM		Equity
	RMBS		CMBS		value option		Securities		Security		Total
Three Months Ended June 30, 2016
Purchases	$	46,866	$	—	$	24,403	$	195,036	$	—	$	266,305
Sales		—		—		1,269		—		—		1,269
Principal collections		16,197		—		7,142		1,861		—		25,200
Three Months Ended June 30, 2015
Purchases	$	—	$	—	$	250	$	79,926	$	—	$	80,176
Sales		—		—		385		—		—		385
Principal collections		7,127		—		—		228,910		—		236,037

	Available-for-sale				CMBS, fair		HTM		Equity
	RMBS		CMBS		value option		Securities		Security		Total
Six Months Ended June 30, 2016
Purchases	$	88,336	$	—	$	57,576	$	204,730	$	—	$	350,642
Sales		—		—		1,269		—		—		1,269
Principal collections		23,008		—		19,445		5,091		—		47,544
Six Months Ended June 30, 2015
Purchases	$	—	$	—	$	8,988	$	138,435	$	—	$	147,423
Sales		—		—		5,098		—		—		5,098
Principal collections		18,614		224		1		228,935		—		247,774

Summary of investments in available-for-sale RMBS and single-borrower CMBS where the fair value option has not been elected

The tables below summarize various attributes of our investments in available-for-sale RMBS as of June 30, 2016 and December 31, 2015 (dollars in thousands):

							Unrealized Gains or (Losses)
							Recognized in AOCI
	Purchase				Recorded				Gross		Gross		Net
	Amortized		Credit		Amortized		Non-Credit		Unrealized		Unrealized		Fair Value
	Cost		OTTI		Cost		OTTI		Gains		Losses		Adjustment		Fair Value
June 30, 2016
RMBS	$	221,587	$	(10,185)	$	211,402	$	(151)	$	40,146	$	(137)	$	39,858	$	251,260
December 31, 2015
RMBS	$	149,102	$	(10,185)	$	138,917	$	(340)	$	37,647	$	—	$	37,307	$	176,224

	Weighted Average Coupon (1)		Weighted Average Rating	WAL  (Years) (2)
June 30, 2016
RMBS	1.8	%	CCC	6.0
December 31, 2015
RMBS	1.3	%	B−	6.2

(1) Calculated using the June 30, 2016 and December 31, 2015 one-month LIBOR rate of 0.465% and 0.430%, respectively, for floating rate securities.

(2) Represents the WAL of each respective group of securities as of the respective balance sheet date. The WAL of each individual security is calculated using projected amounts and projected timing of future principal payments.

Reconciliation of aggregate principal balance to amortized cost for RMBS and single-borrower CMBS, excluding CMBS where the fair value option is elected

The following table contains a reconciliation of aggregate principal balance to amortized cost for our RMBS as of June 30, 2016 and December 31, 2015 (amounts in thousands):

	June 30, 2016		December 31, 2015
Principal balance	$	408,521	$	233,976
Accretable yield		(78,116)		(68,345)
Non-accretable difference		(119,003)		(26,714)
Total discount		(197,119)		(95,059)
Amortized cost	$	211,402	$	138,917

Schedule of changes to accretable yield and non-accretable difference for RMBS and single-borrower CMBS, excluding CMBS where the fair value option is elected

The following table discloses the changes to accretable yield and non-accretable difference for our RMBS during the three and six months ended June 30, 2016 (amounts in thousands):

			Non-Accretable
Three Months Ended June 30, 2016	Accretable Yield		Difference
Balance as of April 1, 2016	$	67,626	$	82,550
Accretion of discount		(3,742)		—
Principal recoveries, net		—		4,283
Purchases		9,765		36,637
Sales		—		—
OTTI		—		—
Transfer to/from non-accretable difference		4,467		(4,467)
Balance as of June 30, 2016	$	78,116	$	119,003
Six Months Ended June 30, 2016
Balance as of January 1, 2016	$	68,345	$	26,714
Accretion of discount		(7,157)		—
Principal recoveries, net		—		3,994
Purchases		9,147		96,076
Sales		—		—
OTTI		—		—
Transfer to/from non-accretable difference		7,781		(7,781)
Balance as of June 30, 2016	$	78,116	$	119,003

Schedule of gross unrealized losses and estimated fair value of securities in an unrealized loss position, excluding CMBS where the fair value option is elected

The following table presents the gross unrealized losses and estimated fair value of any available-for-sale securities that were in an unrealized loss position as of June 30, 2016 and December 31, 2015, and for which OTTIs (full or partial) have not been recognized in earnings (amounts in thousands):

	Estimated Fair Value				Unrealized Losses
	Securities with a		Securities with a		Securities with a		Securities with a
	loss less than		loss greater than		loss less than		loss greater than
	12 months		12 months		12 months		12 months
As of June 30, 2016
RMBS	$	14,602	$	639	$	(157)	$	(131)
As of December 31, 2015
RMBS	$	17,026	$	653	$	(180)	$	(160)

Schedule of investment in fair value option CMBS

The table below summarizes various attributes of our investment in fair value option CMBS as of June 30, 2016 and December 31, 2015:

	Weighted Average Coupon		Weighted Average Rating (1)	WAL (Years) (2)
June 30, 2016
CMBS, fair value option	5.7	%	B−	1.8
December 31, 2015
CMBS, fair value option	3.9	%	CCC+	7.4

(1) As of June 30, 2016 and December 31, 2015, excludes $6.2 million and $51.3 million, respectively, in fair value option CMBS that are not rated.

(2) The WAL of each security is calculated based on the period of time over which we expect to receive principal cash flows. Expected principal cash flows are based on contractual payments net of expected losses.

Held-to-maturity

Schedule of gross unrealized losses and estimated fair value of securities in an unrealized loss position, excluding CMBS where the fair value option is elected

The table below summarizes unrealized gains and losses of our investments in HTM securities as of June 30, 2016 and December 31, 2015 (amounts in thousands):

	Net Carrying Amount		Gross Unrealized		Gross Unrealized
	(Amortized Cost)		Holding Gains		Holding Losses		Fair Value
June 30, 2016
CMBS	$	500,711	$	—	$	(14,502)	$	486,209
Preferred interests		19,631		—		(192)		19,439
Total	$	520,342	$	—	$	(14,694)	$	505,648
December 31, 2015
CMBS	$	301,858	$	257	$	(5,651)	$	296,464
Preferred interests		19,386		—		(595)		18,791
Total	$	321,244	$	257	$	(6,246)	$	315,255

Summary of investments in HTM securities

The table below summarizes the maturities of our HTM CMBS and our HTM preferred equity interests in limited liability companies that own commercial real estate as of June 30, 2016 (amounts in thousands):

			Preferred
	CMBS		Interests		Total
Less than one year	$	210,834	$	—	$	210,834
One to three years		106,112		—		106,112
Three to five years		183,765		—		183,765
Thereafter		—		19,631		19,631
Total	$	500,711	$	19,631	$	520,342