
	Carrying Value as of
	December 31, 2023		December 31, 2022
RMBS, available-for-sale	$	102,368	$	113,386
RMBS, fair value option (1)	449,909		423,183
CMBS, fair value option (1), (2)	1,147,550		1,262,846
HTM debt securities, amortized cost net of credit loss allowance of $13,143 and $3,182	606,254		673,470
Equity security, fair value	8,340		9,840
Subtotal—Investment securities	2,314,421		2,482,725
VIE eliminations (1)	(1,578,859)		(1,666,921)
Total investment securities	$	735,562	$	815,804


	RMBS, available-for-sale		RMBS, fair value option		CMBS, fair value option		HTM Securities		Equity Security		Securitization VIEs (1)		Total
Year Ended December 31, 2023
Purchases/fundings	$	—	$	—	$	48,011	$	11,578	$	—	$	(48,011)	$	11,578
Sales and redemptions	549		—		—		—		2,493		—		3,042
Principal collections	9,475		53,332		117,100		80,083		—		(169,642)		90,348

Year Ended December 31, 2022
Purchases/fundings	$	—	$	226,152	$	63,681	$	86,512	$	—	$	(289,833)	$	86,512
Sales and redemptions	—		—		—		—		—		—		—
Principal collections	19,087		74,542		20,862		94,868		—		(93,412)		115,947

Year Ended December 31, 2021
Purchases/fundings	$	—	$	168,825	$	71,476	$	198,358	$	—	$	(240,301)	$	198,358
Sales and redemptions	—		81,871		38,714		—		—		(120,585)		—
Principal collections	30,722		63,144		7,732		54,725		—		(68,873)		87,450

(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.

The Company classified all of its RMBS not eliminated in consolidation as available-for-sale as of December 31, 2023 and 2022. These RMBS are reported at fair value in the balance sheet with changes in fair value recorded in accumulated other comprehensive income (“AOCI”).


							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
December 31, 2023
RMBS	$	87,016	$	—	$	87,016	$	18,092	$	(2,740)	$	15,352	$	102,368
December 31, 2022
RMBS	$	92,431	$	—	$	92,431	$	21,765	$	(810)	$	20,955	$	113,386

As of December 31, 2023, approximately $91.3 million, or 89%, 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 $0.5 million, $0.6 million and $0.9 million for the years ended December 31, 2023, 2022 and 2021, respectively, recorded as management fees in the accompanying 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 December 31, 2023 and 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 December 31, 2023
RMBS	$	10,687	$	6,361	$	(1,322)	$	(1,418)
As of December 31, 2022
RMBS	$	6,961	$	1,889	$	(502)	$	(308)

As of December 31, 2023 and 2022, there were 14 and 10 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.

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 December 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 $1.1 billion

and $2.7 billion, respectively. As of December 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 $449.9 million and $326.3 million, respectively. The $1.6 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 $18.6 million at December 31, 2023) is eliminated against VIE liabilities before arriving at our GAAP balance for fair value option investment securities.


	Amortized Cost Basis		Credit Loss Allowance		Net Carrying Amount		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses		Fair Value
December 31, 2023
CMBS	$	580,704	$	(164)	$	580,540	$	43	$	(24,835)	$	555,748
Preferred interests	9,570		(2,898)		6,672		—		(318)		6,354
Infrastructure bonds	29,123		(10,081)		19,042		32		(16)		19,058
Total	$	619,397	$	(13,143)	$	606,254	$	75	$	(25,169)	$	581,160

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


	CMBS		Preferred Interests		Infrastructure Bonds		Total HTM Credit Loss Allowance
Credit loss allowance at December 31, 2020	$	—	$	2,749	$	2,926	$	5,675
Credit loss provision (reversal), net	3,140		(187)		(18)		2,935
Credit loss allowance at December 31, 2021	3,140		2,562		2,908		8,610
Credit loss (reversal) provision, net	(2,968)		(2,562)		102		(5,428)
Credit loss allowance at December 31, 2022	172		—		3,010		3,182
Credit loss (reversal) provision, net	(8)		2,898		7,071		9,961
Credit loss allowance at December 31, 2023	$	164	$	2,898	$	10,081	$	13,143

During the year ended December 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 been placed on nonaccrual under the cost recovery method due to a forbearance and restructuring plan agreed between the lenders and borrower that was necessitated by operating shortfalls at the plant.

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


	CMBS		Preferred Interests		Infrastructure Bonds		Total
Less than one year	$	96,548	$	—	$	—	$	96,548
One to three years	437,173		6,672		330		444,175
Three to five years	46,819		—		9,598		56,417
Thereafter	—		—		9,114		9,114
Total	$	580,540	$	6,672	$	19,042	$	606,254

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. During the year ended December 31, 2023, 1,892,313 shares were redeemed by SEREF, for proceeds of $2.5 million, leaving 7,247,687 held as of December 31, 2023. Prior to that, there were no share redemptions by SEREF. The fair value of the investment remeasured in USD was $8.3 million and $9.8 million as of December 31, 2023 and 2022, respectively. As of December 31, 2023, our shares represent an approximate 2.3% interest in SEREF.