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Investment Securities (Tables)

3 Months Ended

Mar. 31, 2023

Investments, Debt and Equity Securities [Abstract]

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, 2023		December 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 value	10,134		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

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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 $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.

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, 2023
Purchases/fundings	$	—	$	—	$	—	$	591	$	—	$	591
Sales	—		—		—		—		—		—
Principal collections	2,435		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 collections	6,895		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.

Schedule 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, 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
RMBS	5.2	%	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.

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, 2023 and December 31, 2022, 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, 2023
RMBS	$	12,818	$	2,205	$	(1,241)	$	(605)
As of December 31, 2022
RMBS	$	6,961	$	1,889	$	(502)	$	(308)

Schedule of Investments in HTM Securities

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 interests	30,527		—		30,527		125		(5,424)		25,228
Infrastructure bonds	30,927		(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 interests	29,757		—		29,757		125		(4,863)		25,019
Infrastructure bonds	69,214		(3,010)		66,204		47		(1,110)		65,141
Total	$	676,652	$	(3,182)	$	673,470	$	202	$	(36,397)	$	637,275

Schedule 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):


	CMBS		Infrastructure 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

Schedule of Maturities of Our HTM Debt Securities

The table below summarizes the maturities of our HTM debt securities by type as of March 31, 2023 (amounts in thousands):


	CMBS		Preferred Interests		Infrastructure Bonds		Total
Less than one year	$	339,465	$	30,527	$	—	$	369,992
One to three years	190,459		—		—		190,459
Three to five years	51,447		—		11,727		63,174
Thereafter	—		—		9,114		9,114
Total	$	581,371	$	30,527	$	20,841	$	632,739