
	Carrying Value as of
	March 31, 2025		December 31, 2024
RMBS, available-for-sale	$	91,941	$	93,806
RMBS, fair value option (1)	422,297		421,122
CMBS, fair value option (1), (2)	1,148,978		1,225,024
HTM debt securities, amortized cost net of credit loss allowance of $23,490 and $24,463	370,419		406,961
Equity security, fair value	3,800		5,146
Subtotal—Investment securities	2,037,435		2,152,059
VIE eliminations (1)	(1,539,976)		(1,618,801)
Total investment securities	$	497,459	$	533,258

_____________________________________________________________________________________________________________________


	RMBS, available-for-sale		RMBS, fair value option		CMBS, fair value option			HTM Securities		Equity Security		Securitization VIEs (1)		Total
Three Months Ended March 31, 2025
Purchases/fundings	$	—	$	—	$	8,666	(2)	$	9,799	$	—	$	(4,639)	$	13,826
Sales and redemptions	—		—		—			—		1,350		—		1,350
Principal collections	2,073		10,080		62,084			50,850		—		(72,120)		52,967

Three Months Ended March 31, 2024
Purchases/fundings	$	—	$	—	$	—		$	9,220	$	—	$	—	$	9,220
Sales and redemptions	—		—		3,166			—		1,314		(3,166)		1,314
Principal collections	1,925		11,883		3,200			17,163		—		(15,022)		19,149

(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 March 31, 2025 and December 31, 2024. 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
March 31, 2025
RMBS	$	79,214	$	—	$	79,214	$	14,375	$	(1,648)	$	12,727	$	91,941
December 31, 2024
RMBS	$	80,212	$	—	$	80,212	$	15,163	$	(1,569)	$	13,594	$	93,806

As of March 31, 2025, approximately $82.1 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 $0.2 million for both the three months ended March 31, 2025 and 2024, 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, 2025 and December 31, 2024, 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, 2025
RMBS	$	—	$	11,513	$	—	$	(1,648)
As of December 31, 2024
RMBS	$	2,076	$	9,742	$	(178)	$	(1,391)

As of both March 31, 2025 and December 31, 2024, there were 13 securities 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 March 31, 2025, 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 March 31, 2025, 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 $422.3 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 $31.3 million at March 31, 2025) 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
March 31, 2025
CMBS	$	309,817	$	(11)	$	309,806	$	—	$	(17,360)	$	292,446
Preferred interests	56,865		(13,409)		43,456		—		(7,685)		35,771
Infrastructure bonds	27,227		(10,070)		17,157		20		(8)		17,169
Total	$	393,909	$	(23,490)	$	370,419	$	20	$	(25,053)	$	345,386

December 31, 2024
CMBS	$	357,012	$	(85)	$	356,927	$	315	$	(21,326)	$	335,916
Preferred interests	47,069		(14,308)		32,761		—		(3,568)		29,193
Infrastructure bonds	27,343		(10,070)		17,273		21		(9)		17,285
Total	$	431,424	$	(24,463)	$	406,961	$	336	$	(24,903)	$	382,394


	CMBS		Preferred Interests		Infrastructure Bonds		Total HTM Credit Loss Allowance
Three Months Ended March 31, 2025
Credit loss allowance at December 31, 2024	$	85	$	14,308	$	10,070	$	24,463
Credit loss reversal	(74)		(899)		—		(973)
Credit loss allowance at March 31, 2025	$	11	$	13,409	$	10,070	$	23,490

As of March 31, 2025 and December 31, 2024, we had a $10.0 million specific credit loss allowance 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 and was placed on nonaccrual under the cost recovery method in 2023 due to a forbearance and restructuring plan agreed between the lenders and borrower that was necessitated by operating shortfalls at the plant.

We also had six commercial lending preferred interests with a combined amortized cost basis of $39.1 million on nonaccrual that were not 90 days or greater past due as of March 31, 2025. During the quarter, we had a new preferred interest placed on nonaccrual with an amortized cost basis of $3.5 million and unfunded commitment of $20.0 million. All of these investments were made in connection with loan modifications, but are not considered credit deteriorated.

The table below summarizes the maturities of our HTM debt securities by type as of March 31, 2025 (amounts in thousands):


	CMBS		Preferred Interests		Infrastructure Bonds		Total
Less than one year	$	268,353	$	17,173	$	—	$	285,526
One to three years	41,453		12,965		8,044		62,462
Three to five years	—		13,318		—		13,318
Thereafter	—		—		9,113		9,113
Total	$	309,806	$	43,456	$	17,157	$	370,419

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. As of December 31, 2024, we held 4,480,649 shares of SEREF that had not yet been redeemed. During the three months ended March 31, 2025, 1,060,265 shares were redeemed by SEREF, for proceeds of $1.4 million, leaving 3,420,384 shares held as of March 31, 2025. The fair value of the investment remeasured in USD was $3.8 million and $5.1 million as of March 31, 2025 and December 31, 2024, respectively. As of March 31, 2025, our shares represent an approximate 2.3% interest in SEREF.