Commercial mortgage-backed securities (“CMBS”), CMBS interest-only securities, U.S. Agency securities, corporate bonds and U.S. Treasury securities are classified as available-for-sale and reported at fair value with changes in fair value recorded in the current period in other comprehensive income. As of December 31, 2023, the Company does not intend to sell these investments and it is not more likely than not that the Company will be required to sell the investments before recovery of their amortized cost bases.

Government National Mortgage Association (“GNMA”) interest-only, Federal Home Loan Mortgage Corp (“FHLMC”) and equity securities are recorded at fair value with changes in fair value recognized in earnings in the consolidated statements of income. The following is a summary of the Company’s securities at December 31, 2023 and December 31, 2022 ($ in thousands):


						Gross Unrealized								Weighted Average
Asset Type	Outstanding Face Amount			Amortized Cost Basis		Gains		Losses (7)		Carrying Value			# of Securities	Rating (1)	Coupon %		Yield %		Remaining Duration (years)
CMBS	$	439,679		$	439,052	$	277	$	(14,439)	$	424,890	(2)	64	AAA	6.67 %		6.83 %		2.00
CMBS interest-only(3)	876,555		(3)	6,453		169		(53)		6,569		(4)	9	AAA	0.57 %		6.61 %		1.07
GNMA interest-only(5)	37,053		(3)	214		51		(52)		213			14	AAA	0.36 %		6.12 %		3.60
Agency securities	22			22		—		(1)		21			1	AAA	4.00 %		2.70 %		1.05
U.S. Treasury securities	54,031			53,648		68		—		53,716			7	AAA	N/A		5.41 %		0.07


Total debt securities	$	1,407,340		$	499,389	$	565	$	(14,545)	$	485,409	(6)	95		2.55	%	6.82	%	1.98
Equity securities	N/A			160		—		(16)		144			1	N/A	N/A		N/A		N/A

Allowance for current expected credit losses	N/A			—		—		(20)		(20)
Total securities	$	1,407,340		$	499,549	$	565	$	(14,581)	$	485,533		96


						Gross Unrealized								Weighted Average
Asset Type	Outstanding Face Amount			Amortized Cost Basis		Gains		Losses (7)		Carrying Value			# of Securities	Rating (1)	Coupon %		Yield %		Remaining Duration (years)

CMBS	$	562,839		$	562,246	$	—	$	(20,913)	$	541,333	(2)	71	AAA	5.22	%	5.32	%	1.06
CMBS interest-only(3)	1,026,195		(3)	10,498		121		(176)		10,443		(4)	10	AAA	0.41	%	3.65	%	1.45
GNMA interest-only(5)	45,369		(3)	285		17		(21)		281			14	AAA	0.31	%	4.23	%	3.30
Agency securities	36			36		—		(1)		35			1	AAA	4.00	%	2.70	%	1.54


U.S. Treasury securities	36,000			35,374		6		(52)		35,328			10	AAA	N/A		4.17	%	0.60
Total debt securities	$	1,670,439		$	608,439	$	144	$	(21,163)	$	587,420	(6)	106		2.06	%	5.29	%	1.07
Equity securities	N/A			160		—		(41)		119			1	N/A	N/A		N/A		N/A
Allowance for current expected credit losses	N/A			—		—		(20)		(20)
Total securities	$	1,670,439		$	608,599	$	144	$	(21,224)	$	587,519		107

(1)Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. For each security rated by multiple rating agencies, the highest rating is used. The ratings provided were determined by third-party rating agencies. The rates may not be current and are subject to change (including the assignment of a “negative outlook” or “credit watch”) at any time.

(2)As of December 31, 2023 and December 31, 2022, includes $9.0 million of restricted securities which are designated as risk retention securities under the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, as amended (“Dodd-Frank Act”) and are therefore subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost.

(4)As of December 31, 2023 and December 31, 2022, includes $0.3 million and $0.4 million, respectively of restricted securities which are designated as risk retention securities under the Dodd-Frank Act and are therefore subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost.

(5)GNMA interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings. The Company’s GNMA interest-only securities are considered to be hybrid financial instruments that contain embedded derivatives. As a result, the Company has elected to account for them as hybrid instruments in their entirety at fair value with changes in fair value recognized in unrealized gain (loss) on securities in the consolidated statements of income.

(6)The Company’s investments in debt securities represent an ownership interest in unconsolidated VIEs. The Company’s maximum exposure to loss from these unconsolidated VIEs is the amortized cost basis of the securities which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date.

(7)Based on the Company’s analysis, including review of interest rate changes and current levels of subordination, among other factors, the unrealized loss positions are determined to be due to market factors other than credit.

The following summarizes the carrying value of the Company’s debt securities by remaining maturity based upon expected cash flows at December 31, 2023 and December 31, 2022 ($ in thousands):


Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total

CMBS	$	81,343	$	343,547	$	—	$	—	$	424,890
CMBS interest-only	2,121		4,448		—		—		6,569
GNMA interest-only	86		22		105		—		213
Agency securities	—		21		—		—		21


U.S. Treasury securities	53,716		—		—		—		53,716

Total securities (1)	$	137,266	$	348,038	$	105	$	—	$	485,409


Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total

CMBS	$	346,272	$	195,061	$	—	$	—	$	541,333
CMBS interest-only	937		9,506		—		—		10,443
GNMA interest-only	40		111		130		—		281
Agency securities	—		35		—		—		35


U.S. Treasury securities	32,451		2,877		—		—		35,328

Total securities (1)	$	379,700	$	207,590	$	130	$	—	$	587,420

During the year ended December 31, 2023, the Company did not sell any equity securities. During the year ended December 31, 2022, the Company sold $1.5 million of equity securities.