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Investment Securities
 3 Months Ended
Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract]  
Investment Securities Investment Securities
Investment securities were comprised of the following as of March 31, 2023 and December 31, 2022 (amounts in thousands):
Carrying Value as of
March 31, 2023December 31, 2022
RMBS, available-for-sale$111,069 $113,386 
RMBS, fair value option (1)427,629 423,183 
CMBS, fair value option (1), (2)1,247,152 1,262,846 
HTM debt securities, amortized cost net of credit loss allowance of $10,240 and $3,182
632,739 673,470 
Equity security, fair value10,134 9,840 
Subtotal—Investment securities
2,428,723 2,482,725 
VIE eliminations (1)(1,655,836)(1,666,921)
Total investment securities$772,887 $815,804 
______________________________________________________________________________________________________________________
(1)Certain fair value option CMBS and RMBS are eliminated in consolidation against VIE liabilities pursuant to ASC 810.
(2)Includes $197.0 million and $198.9 million of non-controlling interests in the consolidated entities which hold certain of these CMBS as of March 31, 2023 and December 31, 2022, respectively.
Purchases, sales, principal collections and redemptions for all investment securities were as follows (amounts in thousands):
RMBS,
available-for-sale		RMBS, fair
value option		CMBS, fair
value option		HTM
Securities		Securitization
VIEs (1)		Total
Three Months Ended March 31, 2023
Purchases/fundings$— $— $— $591 $— $591 
Sales— — — — — — 
Principal collections2,435 14,220 1,254 38,198 (15,329)40,778 
Three Months Ended March 31, 2022
Purchases$— $84,357 $— $18,139 $(84,357)$18,139 
Sales— — — — — 
Principal collections6,895 21,604 635 664 (22,014)7,784 
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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.
RMBS, Available-for-Sale
The Company classified all of its RMBS not eliminated in consolidation as available-for-sale as of March 31, 2023 and December 31, 2022. 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, 2023 and December 31, 2022 (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, 2023
RMBS$91,218 $— $91,218 $21,697 $(1,846)$19,851 $111,069 
December 31, 2022
RMBS$92,431 $— $92,431 $21,765 $(810)$20,955 $113,386 
Weighted Average Coupon (1)WAL 
(Years) (2)
March 31, 2023
RMBS5.2 %7.3
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(1)Calculated using the March 31, 2023 LIBOR rate of 4.858% 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.
As of March 31, 2023, approximately $97.7 million, or 88%, of RMBS were variable rate. 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 $0.2 million and $0.3 million for the three months ended March 31, 2023 and 2022, 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, 2023 and December 31, 2022, and for which an allowance for credit losses has not been recorded (amounts in thousands):
Estimated Fair ValueUnrealized 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, 2023
RMBS$12,818 $2,205 $(1,241)$(605)
As of December 31, 2022
RMBS$6,961 $1,889 $(502)$(308)
As of March 31, 2023 and December 31, 2022, there were eleven securities and ten securities, respectively, with unrealized losses reflected in the table above. After evaluating the securities, we concluded that the 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, if any, 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, 2023, 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, 2023, 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 $427.6 million and $326.3 million, respectively. The $1.7 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 $18.9 million at March 31, 2023) is eliminated against VIE liabilities before arriving at our GAAP balance for fair value option investment securities.
As of March 31, 2023, $97.2 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, 2023 and December 31, 2022 (amounts in thousands):
Amortized
Cost Basis		Credit Loss
Allowance		Net Carrying
Amount		Gross Unrealized
Holding Gains		Gross Unrealized
Holding Losses		Fair Value
March 31, 2023
CMBS$581,525 $(154)$581,371 $95 $(30,190)$551,276 
Preferred interests30,527 — 30,527 125 (5,424)25,228 
Infrastructure bonds30,927 (10,086)20,841 37 (22)20,856 
Total$642,979 $(10,240)$632,739 $257 $(35,636)$597,360 
December 31, 2022
CMBS$577,681 $(172)$577,509 $30 $(30,424)$547,115 
Preferred interests29,757 — 29,757 125 (4,863)25,019 
Infrastructure bonds69,214 (3,010)66,204 47 (1,110)65,141 
Total$676,652 $(3,182)$673,470 $202 $(36,397)$637,275 
The following table presents the activity in our credit loss allowance for HTM debt securities (amounts in thousands):
CMBSInfrastructure
Bonds		Total HTM
Credit Loss
Allowance
Three Months Ended March 31, 2023
Credit loss allowance at December 31, 2022$172 $3,010 $3,182 
Credit loss (reversal) provision, net(18)7,076 7,058 
Credit loss allowance at March 31, 2023$154 $10,086 $10,240 

The table below summarizes the maturities of our HTM debt securities by type as of March 31, 2023 (amounts in thousands):
CMBSPreferred
Interests		Infrastructure
Bonds		Total
Less than one year$339,465 $30,527 $— $369,992 
One to three years190,459 — — 190,459 
Three to five years51,447 — 11,727 63,174 
Thereafter— — 9,114 9,114 
Total$581,371 $30,527 $20,841 $632,739 
During the three months ended March 31, 2023, we provided an additional $7.2 million specific credit loss allowance, bringing the total to $10.0 million, on a $19.2 million infrastructure bond that is collateralized by a first priority lien on a coal-fired power plant in Mississippi. It was deemed credit deteriorated when we acquired the Infrastructure Lending Segment in 2018. It has now been placed on nonaccrual under the cost recovery method due to a forbearance and restructuring plan recently agreed between the lenders and borrower that was necessitated by operating shortfalls at the plant.
Equity Security, Fair Value
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 $10.1 million and $9.8 million as of March 31, 2023 and December 31, 2022, respectively. As of March 31, 2023, our shares represent an approximate 2% interest in SEREF.