Investment securities were comprised of the following as of March 31, 2020 and December 31, 2019 (amounts in thousands):

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

(2)	Includes $170.1 million and $186.6 million of non-controlling interests in the consolidated entities which hold certain of these CMBS as of March 31, 2020 and December 31, 2019, respectively.

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 March 31, 2020
Purchases/fundings	$	—	$	29,292	$	7,661	$	5,729	$	—	$	(36,953)	$	5,729
Sales		—		—		32,316		—		—		(24,376)		7,940
Principal collections		6,549		8,572		16,523		6,638		—		(24,723)		13,559
Three Months Ended March 31, 2019
Purchases	$	—	$	26,272	$	13,262	$	—	$	—	$	(39,534)	$	—
Sales		—		—		36,906		—		—		(33,678)		3,228
Principal collections		6,360		2,034		9,837		1,206		—		(11,683)		7,754

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

RMBS, Available-for-Sale

The Company classified all of its RMBS not eliminated in consolidation as available-for-sale as of March 31, 2020 and December 31, 2019. These RMBS are reported at fair value in the balance sheet with changes in fair value recorded in accumulated other comprehensive income (“AOCI”).

The tables below summarize various attributes of our investments in available-for-sale RMBS as of March 31, 2020 and December 31, 2019 (amounts in thousands):


							Unrealized Gains or (Losses)
							Recognized in AOCI
			Credit				Gross		Gross		Net
	Amortized		Loss		Net		Unrealized		Unrealized		Fair Value
	Cost		Allowance		Basis		Gains		Losses		Adjustment		Fair Value
March 31, 2020
RMBS	$	134,692	$	—	$	134,692	$	36,514	$	(566)	$	35,948	$	170,640
December 31, 2019
RMBS	$	138,580	$	N/A	$	138,580	$	51,310	$	(314)	$	50,996	$	189,576


	Weighted Average Coupon (1)		Weighted Average Rating	WAL (Years) (2)
March 31, 2020
RMBS	2.4	%	B+	5.8
December 31, 2019
RMBS	3.1	%	BB-	5.6

(1)	Calculated using the March 31, 2020 and December 31, 2019 one-month LIBOR rate of 0.993% and 1.763%, 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.

As of March 31, 2020, approximately $144.5 million, or 84.7%, of RMBS were variable rate and paid interest at LIBOR plus a weighted average spread of 1.25%. As of December 31, 2019, approximately $160.9 million, or 84.9%, of RMBS were variable rate and paid interest at LIBOR plus a weighted average spread of 1.24%. We purchased all of the RMBS at a discount, a portion of which is accreted into income over the expected remaining life of the security. The majority of the income from this strategy is earned from the accretion of this accretable discount.

We have engaged a third party manager who specializes in RMBS to execute the trading of RMBS, the cost of which was $0.4 million for both the three months ended March 31, 2020 and 2019, recorded as management fees in the accompanying condensed consolidated statements of operations.

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 March 31, 2020 and December 31, 2019, and for which an allowance for credit losses has not been recorded (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 March 31, 2020
RMBS	$	3,267	$	1,157	$	(198)	$	(368)
As of December 31, 2019
RMBS	$	—	$	1,380	$	—	$	(314)

As of March 31, 2020 and December 31, 2019, there were five securities and one security, respectively, with unrealized losses reflected in the table above. After evaluating the securities and recording adjustments for credit losses, we concluded that the remaining unrealized losses reflected above were noncredit-related and would be recovered from the securities’ estimated future cash flows. We considered a number of factors in reaching this conclusion, including that we did not intend to sell the securities, it was not considered more likely than not that we would be forced to sell the securities prior to recovering our amortized cost, and there were no material credit events that would have caused us to otherwise conclude that we would not recover our cost. Credit losses are calculated by comparing (i) the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to (ii) our net amortized cost basis. Significant judgment is used in projecting cash flows for our non-agency RMBS. As a result, actual income and/or credit losses could be materially different from what is currently projected and/or reported.

CMBS and RMBS, Fair Value Option

As discussed in the “Fair Value Option” section of Note 2 herein, we elect the fair value option for certain CMBS and RMBS in an effort to eliminate accounting mismatches resulting from the current or potential consolidation of securitization VIEs. As of March 31, 2020, the fair value and unpaid principal balance of CMBS where we have elected the fair value option, excluding the notional value of interest-only securities and before consolidation of securitization VIEs, were $1.2 billion and $2.8 billion, respectively. As of March 31, 2020, the fair value and unpaid principal balance of RMBS where we have elected the fair value option, excluding the notional value of interest-only securities and before consolidation of securitization VIEs, were $149.9 million and $97.1 million, respectively. The $1.4 billion total fair value balance of CMBS and RMBS represents our economic interests in these assets. However, as a

result of our consolidation of securitization VIEs, the vast majority of this fair value (all except $32.9 million at March 31, 2020) is eliminated against VIE liabilities before arriving at our GAAP balance for fair value option investment securities.

As of March 31, 2020, $104.7 million of our CMBS were variable rate and none of our RMBS were variable rate.

HTM Debt Securities, Amortized Cost

The table below summarizes our investments in HTM debt securities as of March 31, 2020 and December 31, 2019 (amounts in thousands):


	Amortized		Credit Loss		Net Carrying		Gross Unrealized		Gross Unrealized
	Cost Basis		Allowance		Amount		Holding Gains		Holding Losses		Fair Value
March 31, 2020
CMBS	$	375,873	$	—	$	375,873	$	104	$	(17,975)	$	358,002
Preferred interests		147,855		(2,018)		145,837		—		(7,977)		137,860
Infrastructure bonds		47,160		(3,019)		44,141		307		(42)		44,406
Total	$	570,888	$	(5,037)	$	565,851	$	411	$	(25,994)	$	540,268

December 31, 2019
CMBS	$	383,473	$	—	$	383,473	$	946	$	(3,001)	$	381,418
Preferred interests		142,012		—		142,012		1,148		(353)		142,807
Infrastructure bonds		45,153		—		45,153		—		(651)		44,502
Total	$	570,638	$	—	$	570,638	$	2,094	$	(4,005)	$	568,727

The following table presents the activity in our credit loss allowance for HTM debt securities (amounts in thousands):


							Total HTM
			Preferred		Infrastructure		Credit Loss
	CMBS		Interests		Bonds		Allowance
Three Months Ended March 31, 2020
Credit loss allowance at December 31, 2019	$	—	$	—	$	—	$	—
Cumulative effect of ASC 326 effective January 1, 2020:
Beginning accumulated deficit charge		—		1,114		179		1,293
Gross-up of PCD bond amortized cost basis		—		—		2,837		2,837
Credit loss provision, net		—		904		3		907
Charge-offs		—		—		—		—
Recoveries		—		—		—		—
Credit loss allowance at March 31, 2020	$	—	$	2,018	$	3,019	$	5,037

The table below summarizes the maturities of our HTM debt securities by type as of March 31, 2020 (amounts in thousands):


			Preferred		Infrastructure
	CMBS		Interests		Bonds		Total
Less than one year	$	278,404	$	—	$	5,312	$	283,716
One to three years		97,469		140,542		—		238,011
Three to five years		—		5,295		—		5,295
Thereafter		—		—		38,829		38,829
Total	$	375,873	$	145,837	$	44,141	$	565,851

Equity Security, Fair Value Option

During 2012, we acquired 9,140,000 ordinary shares from a related-party in Starwood European Real Estate Finance Limited (“SEREF”), a debt fund that is externally managed by an affiliate of our Manager and is listed on the London Stock Exchange. The fair value of the investment remeasured in USD was $8.6 million and $12.7 million as of March 31, 2020 and December 31, 2019, respectively. As of March 31, 2020, our shares represent an approximate 2% interest in SEREF.