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Investment Securities (Tables)

3 Months Ended

Mar. 31, 2022

Investments, Debt and Equity Securities [Abstract]

Investment securities were comprised of the following as of March 31, 2022 and December 31, 2021 (amounts in thousands):


	Carrying Value as of
	March 31, 2022		December 31, 2021
RMBS, available-for-sale	$	134,406	$	143,980
RMBS, fair value option (1)	311,292		250,424
CMBS, fair value option (1), (2)	1,253,711		1,263,606
HTM debt securities, amortized cost net of credit loss allowance of $3,385 and $8,610	701,306		683,136
Equity security, fair value	11,619		11,624
Subtotal—Investment securities	2,412,334		2,352,770
VIE eliminations (1)	(1,543,145)		(1,491,786)
Total investment securities	$	869,189	$	860,984

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

(2)Includes $190.6 million and $182.6 million of non-controlling interests in the consolidated entities which hold certain of these CMBS as of March 31, 2022 and December 31, 2021, respectively.

Schedule of Purchases, Sales and Principal Collections for all Investment Securities

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


	RMBS, available-for-sale		RMBS, fair value option		CMBS, fair value option		HTM Securities		Securitization VIEs (1)		Total
Three Months Ended March 31, 2022
Purchases/fundings	$	—	$	84,357	$	—	$	18,139	$	(84,357)	$	18,139
Sales	—		—		—		—		—		—
Principal collections	6,895		21,604		635		664		(22,014)		7,784
Redemptions	—		—		—		—		—		—
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

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(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 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, 2022 and December 31, 2021 (amounts in thousands):


							Unrealized Gains or (Losses) Recognized in AOCI
	Amortized Cost		Credit Loss Allowance		Net Basis		Gross Unrealized Gains		Gross Unrealized Losses		Net Fair Value Adjustment		Fair Value
March 31, 2022
RMBS	$	98,737	$	—	$	98,737	$	35,708	$	(39)	$	35,669	$	134,406
December 31, 2021
RMBS	$	103,027	$	—	$	103,027	$	41,052	$	(99)	$	40,953	$	143,980


	Weighted Average Coupon (1)		WAL (Years) (2)
March 31, 2022
RMBS	1.5	%	5.5

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(1)Calculated using the March 31, 2022 one-month LIBOR rate of 0.452% 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 With No Recorded Allowance for Credit Loss

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, 2022 and December 31, 2021, and for which an allowance for credit losses has not been recorded (amounts in thousands):


	Estimated Fair Value				Unrealized Losses
	Securities with a loss less than 12 months		Securities with a loss greater than 12 months		Securities with a loss less than 12 months		Securities with a loss greater than 12 months
As of March 31, 2022
RMBS	$	3,769	$	—	$	(39)	$	—
As of December 31, 2021
RMBS	$	2,478	$	—	$	(99)	$	—

Summary of Investments in HTM Securities

The table below summarizes our investments in HTM debt securities as of March 31, 2022 and December 31, 2021 (amounts in thousands):


	Amortized Cost Basis		Credit Loss Allowance		Net Carrying Amount		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value
March 31, 2022
CMBS	$	533,372	$	(228)	$	533,144	$	—	$	(25,218)	$	507,926
Preferred interests	119,136		(172)		118,964		353		(2,921)		116,396
Infrastructure bonds	52,183		(2,985)		49,198		526		(47)		49,677
Total	$	704,691	$	(3,385)	$	701,306	$	879	$	(28,186)	$	673,999

December 31, 2021
CMBS	$	538,506	$	(3,140)	$	535,366	$	195	$	(25,029)	$	510,532
Preferred interests	118,409		(2,562)		115,847		450		(2,449)		113,848
Infrastructure bonds	34,831		(2,908)		31,923		561		—		32,484
Total	$	691,746	$	(8,610)	$	683,136	$	1,206	$	(27,478)	$	656,864

Summary of Activity in Credit Loss Allowance for HTM Debt Decurities

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


	CMBS		Preferred Interests		Infrastructure Bonds		Total HTM Credit Loss Allowance
Three Months Ended March 31, 2022
Credit loss allowance at December 31, 2021	$	3,140	$	2,562	$	2,908	$	8,610
Credit loss provision (reversal), net	(2,912)		(2,390)		77		(5,225)
Credit loss allowance at March 31, 2022	$	228	$	172	$	2,985	$	3,385

Summary of Maturities of Preferred Equity Interests in Limited Liability Companies

The table below summarizes the maturities of our HTM debt securities by type as of March 31, 2022 (amounts in thousands):


	CMBS		Preferred Interests		Infrastructure Bonds		Total
Less than one year	$	313,993	$	91,394	$	—	$	405,387
One to three years	25,303		27,570		—		52,873
Three to five years	193,848		—		18,602		212,450
Thereafter	—		—		30,596		30,596
Total	$	533,144	$	118,964	$	49,198	$	701,306