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Investment Securities (Tables)

6 Months Ended

Jun. 30, 2019

Investment securities were comprised of the following as of June 30, 2019 and December 31, 2018 (amounts in thousands):


	Carrying Value as of
	June 30, 2019		December 31, 2018
RMBS, available-for-sale	$	200,874	$	209,079
RMBS, fair value option (1)		63,203		87,879
CMBS, fair value option (1)		1,160,421		1,157,508
Held-to-maturity (“HTM”) debt securities, amortized cost		592,163		644,149
Equity security, fair value		11,833		11,893
Subtotal—Investment securities		2,028,494		2,110,508
VIE eliminations (1)		(1,178,922)		(1,204,040)
Total investment securities	$	849,572	$	906,468

(1)	Certain fair value option CMBS and RMBS 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):


	RMBS,		RMBS, fair		CMBS, fair		HTM		Equity		Securitization
	available-for-sale		value option		value option		Securities		Security		VIEs (1)		Total
Three Months Ended June 30, 2019
Purchases	$	—	$	—	$	38,951	$	—	$	—	$	(38,951)	$	—
Sales		—		41,501		25,795		—		—		(66,546)		750
Principal collections		6,417		3,058		12,072		53,462		—		(9,728)		65,281
Three Months Ended June 30, 2018
Purchases	$	—	$	—	$	61,683	$	—	$	—	$	(41,218)	$	20,465
Sales		807		—		—		—		—		—		807
Principal collections		8,036		—		45,599		94,181		—		(45,359)		102,457


	RMBS,		RMBS, fair		CMBS, fair		HTM		Equity		Securitization
	available-for-sale		value option		value option		Securities		Security		VIEs (1)		Total
Six Months Ended June 30, 2019
Purchases	$	—	$	26,272	$	52,213	$	—	$	—	$	(78,485)	$	—
Sales		—		41,501		62,701		—		—		(100,224)		3,978
Principal collections		12,777		5,092		21,909		54,668		—		(21,411)		73,035
Six Months Ended June 30, 2018
Purchases	$	—	$	—	$	91,908	$	—	$	—	$	(71,443)	$	20,465
Sales		807		—		7,948		—		—		(7,948)		807
Principal collections		18,186		—		60,780		302,484		—		(59,763)		321,687

(1)	Represents RMBS and CMBS, fair value option amounts eliminated due to our consolidation of securitization VIEs. These amounts are reflected as repayment of debt of consolidated VIEs in our condensed consolidated statements of cash flows.

Summary of investments in available-for-sale RMBS

The tables below summarize various attributes of our investments in available-for-sale RMBS as of June 30, 2019 and December 31, 2018 (amounts 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, 2019
RMBS	$	157,721	$	(9,897)	$	147,824	$	(22)	$	53,072	$	—	$	53,050	$	200,874
December 31, 2018
RMBS	$	165,461	$	(9,897)	$	155,564	$	(31)	$	53,546	$	—	$	53,515	$	209,079


	Weighted Average Coupon (1)		Weighted Average Rating	WAL (Years) (2)
June 30, 2019
RMBS	3.6	%	BB-	5.9
December 31, 2018
RMBS	3.7	%	CCC-	6.0

(1)	Calculated using the June 30, 2019 and December 31, 2018 one-month LIBOR rate of 2.398% and 2.503%, respectively, for floating rate securities.

(2)	Represents the remaining 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, 2019 and December 31, 2018 (amounts in thousands):


	June 30, 2019		December 31, 2018
Principal balance	$	295,215	$	309,497
Accretable yield		(54,821)		(54,779)
Non-accretable difference		(92,570)		(99,154)
Total discount		(147,391)		(153,933)
Amortized cost	$	147,824	$	155,564

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, 2019 (amounts in thousands):


			Non-Accretable
Three Months Ended June 30, 2019	Accretable Yield		Difference
Balance as of April 1, 2019	$	57,391	$	93,131
Accretion of discount		(2,535)		—
Principal write-downs, net		—		(596)
Transfer to/from non-accretable difference		(35)		35
Balance as of June 30, 2019	$	54,821	$	92,570

Six Months Ended June 30, 2019
Balance as of January 1, 2019	$	54,779	$	99,154
Accretion of discount		(5,038)		—
Principal write-downs, net		—		(1,504)
Transfer to/from non-accretable difference		5,080		(5,080)
Balance as of June 30, 2019	$	54,821	$	92,570

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, 2019 and December 31, 2018, and for which other-than-temporary impairments (“OTTI”) (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, 2019
RMBS	$	2,118	$	—	$	(22)	$	—
As of December 31, 2018
RMBS	$	2,148	$	—	$	(31)	$	—

Held-to-maturity

Summary of investments in HTM securities

The table below summarizes unrealized gains and losses of our investments in HTM debt securities as of June 30, 2019 and December 31, 2018 (amounts in thousands):


	Net Carrying Amount		Gross Unrealized		Gross Unrealized
	(Amortized Cost)		Holding Gains		Holding Losses		Fair Value
June 30, 2019
CMBS	$	361,648	$	1,534	$	(649)	$	362,533
Preferred interests		175,183		583		—		175,766
Infrastructure bonds		55,332		717		(575)		55,474
Total	$	592,163	$	2,834	$	(1,224)	$	593,773
December 31, 2018
CMBS	$	408,556	$	2,435	$	(3,349)	$	407,642
Preferred interests		174,825		703		—		175,528
Infrastructure bonds		60,768		178		(168)		60,778
Total	$	644,149	$	3,316	$	(3,517)	$	643,948

Summary of maturities of preferred equity interests in limited liability companies that own commercial real estate

The table below summarizes the maturities of our HTM debt securities by type as June 30, 2019 (amounts in thousands):


			Preferred		Infrastructure
	CMBS		Interests		Bonds		Total
Less than one year	$	75,204	$	—	$	—	$	75,204
One to three years		286,444		—		9,094		295,538
Three to five years		—		175,183		—		175,183
Thereafter		—		—		46,238		46,238
Total	$	361,648	$	175,183	$	55,332	$	592,163