Investment Securities (Tables)

3 Months Ended

Mar. 31, 2021

Schedule of investment securities

Investment securities were comprised of the following as of March 31, 2021 and December 31, 2020 (amounts in thousands):

	Carrying Value as of
	March 31, 2021		December 31, 2020
RMBS, available-for-sale	$	160,301	$	167,349
RMBS, fair value option (1)		249,005		235,997
CMBS, fair value option (1), (2)		1,202,883		1,209,030
HTM debt securities, amortized cost net of credit loss allowance of $5,387 and $5,675		488,075		538,605
Equity security, fair value		10,655		11,247
Subtotal—Investment securities		2,110,919		2,162,228
VIE eliminations (1)		(1,432,632)		(1,425,570)
Total investment securities	$	678,287	$	736,658

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

(2) Includes $180.9 million and $179.5 million of non-controlling interests in the consolidated entities which hold certain of these CMBS as of March 31, 2021 and December 31, 2020, respectively.

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		Securitization
	available-for-sale		value option		value option		Securities		VIEs (1)		Total
Three Months Ended March 31, 2021
Purchases	$	—	$	27,333	$	—	$	—	$	(27,333)	$	—
Sales		—		—		11,604		—		(11,604)		—
Principal collections		7,251		13,344		1,710		51,690		(14,481)		59,514
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

(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.

Summary of investments in available-for-sale RMBS

The tables below summarize various attributes of our investments in available-for-sale RMBS as of March 31, 2021 and December 31, 2020 (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, 2021
RMBS	$	118,647	$	—	$	118,647	$	41,688	$	(34)	$	41,654	$	160,301
December 31, 2020
RMBS	$	123,292	$	—	$	123,292	$	44,123	$	(66)	$	44,057	$	167,349

	Weighted Average Coupon (1)		WAL  (Years) (2)
March 31, 2021
RMBS	1.2	%	5.9

(1) Calculated using the March 31, 2021 one-month LIBOR rate of 0.111% for floating rate securities.

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

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 March 31, 2021 and December 31, 2020, 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, 2021
RMBS	$	—	$	1,170	$	—	$	(34)
As of December 31, 2020
RMBS	$	438	$	1,195	$	(25)	$	(41)

Held-to-maturity

Summary of investments in HTM securities

The table below summarizes our investments in HTM debt securities as of March 31, 2021 and December 31, 2020 (amounts in thousands):

	Amortized		Credit Loss		Net Carrying		Gross Unrealized		Gross Unrealized
	Cost Basis		Allowance		Amount		Holding Gains		Holding Losses		Fair Value
March 31, 2021
CMBS	$	339,120	$	—	$	339,120	$	—	$	(25,169)	$	313,951
Preferred interests		116,466		(2,462)		114,004		3,346		—		117,350
Infrastructure bonds		37,876		(2,925)		34,951		435		—		35,386
Total	$	493,462	$	(5,387)	$	488,075	$	3,781	$	(25,169)	$	466,687
December 31, 2020
CMBS	$	339,059	$	—	$	339,059	$	—	$	(23,286)	$	315,773
Preferred interests		166,614		(2,749)		163,865		432		(913)		163,384
Infrastructure bonds		38,607		(2,926)		35,681		415		—		36,096
Total	$	544,280	$	(5,675)	$	538,605	$	847	$	(24,199)	$	515,253

Summary of activity in credit loss allowance for HTM debt securities

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

					Total HTM
	Preferred		Infrastructure		Credit Loss
	Interests		Bonds		Allowance
Three Months Ended March 31, 2021
Credit loss allowance at December 31, 2020	$	2,749	$	2,926	$	5,675
Credit loss reversal, net		(287)		(1)		(288)
Credit loss allowance at March 31, 2021	$	2,462	$	2,925	$	5,387

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 of March 31, 2021 (amounts in thousands):

			Preferred		Infrastructure
	CMBS		Interests		Bonds		Total
Less than one year	$	313,863	$	—	$	—	$	313,863
One to three years		25,257		114,004		—		139,261
Three to five years		—		—		—		—
Thereafter		—		—		34,951		34,951
Total	$	339,120	$	114,004	$	34,951	$	488,075