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SECURITIES | 3 Months Ended
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Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract] |
SECURITIES | 4. SECURITIES The Company invests in primarily AAA-rated real estate securities, typically front pay securities, with relatively short duration and significant credit subordination. We continue to actively monitor the impacts of current market conditions on our securities portfolio. 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 March 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”), Federal Home Loan Mortgage Corp (“FHLMC”) and equity securities are recorded at fair value with changes in fair value recorded in current period earnings. The following is a summary of the Company’s securities at March 31, 2023 and December 31, 2022 ($ in thousands): March 31, 2023
|  |  |  |  |  | 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 |  | $ | 503,183 |  |  | $ | 502,710 |  |  | $ | 43 |  |  | $ | (17,563) |  |  | $ | 485,190 |  | (2) | 70 |  |  | AAA |  | 5.72 | % |  | 5.76 | % |  | 1.01
CMBS interest-only(3) |  | 898,620 |  | (3) | 9,493 |  |  | 177 |  |  | (134) |  |  | 9,536 |  | (4) | 9 |  |  | AAA |  | 0.59 | % |  | 3.82 | % |  | 1.37
GNMA interest-only(5) |  | 44,966 |  | (3) | 265 |  |  | 139 |  |  | (19) |  |  | 385 |  |  | 14 |  |  | AAA |  | 0.31 | % |  | 5.95 | % |  | 3.09
Agency securities |  | 32 |  |  | 33 |  |  | — |  |  | (1) |  |  | 32 |  |  | 1 |  |  | AAA |  | 4.00 | % |  | 2.70 | % |  | 1.42
U.S. Treasury securities |  | 25,000 |  |  | 24,811 |  |  | 2 |  |  | (41) |  |  | 24,772 |  |  | 6 |  |  | AAA |  | N/A |  | 4.10 | % |  | 0.29
Total debt securities |  | 1,471,801 |  |  | 537,312 |  |  | 361 |  |  | (17,758) |  |  | 519,915 |  | (6) | 100 |  |  |  |  | 2.37 | % |  | 5.72 | % |  | 1.02
Equity securities |  | N/A |  | 160 |  |  | — |  |  | (47) |  |  | 113 |  |  | 1 |  |  | N/A |  | N/A |  | N/A |  | N/A
Allowance for current expected credit losses |  | N/A |  | — |  |  | — |  |  | (20) |  |  | (20) |  |  |  |  |  |  |  |  |  |  |
Total securities |  | $ | 1,471,801 |  |  | $ | 537,472 |  |  | $ | 361 |  |  | $ | (17,825) |  |  | $ | 520,008 |  |  | 101 |  |  |  |  |  |  |  |  |
December 31, 2022
|  |  |  |  |  | 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 real estate 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 March 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. (3)The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate. (4)As of March 31, 2023 and December 31, 2022, includes $0.4 million of restricted securities which are designated as risk retention securities under the Dodd-Frank Act and are therefore subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost. (5)GNMA interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings. The Company’s GNMA interest-only securities are considered to be hybrid financial instruments that contain embedded derivatives. As a result, the Company has elected to account for them as hybrid instruments in their entirety at fair value with changes in fair value recognized in unrealized gain (loss) on securities in the consolidated statements of income. (6)The Company’s investments in debt securities represents an ownership interest in unconsolidated VIEs. The Company’s maximum exposure to loss from these unconsolidated VIEs is the amortized cost basis of the securities which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date. (7)Based on the Company’s analysis, including review of interest rate changes and current levels of subordination, among other factors, the unrealized loss positions are determined to be due to market factors other than credit. The following summarizes the carrying value of the Company’s debt securities by remaining maturity based upon expected cash flows at March 31, 2023 and December 31, 2022 ($ in thousands): March 31, 2023
Asset Type |  | Within 1 year |  | 1-5 years |  | 5-10 years |  | After 10 years |  | Total
CMBS |  | $ | 304,060 |  |  | $ | 181,131 |  |  | $ | — |  |  | $ | — |  |  | $ | 485,191 |
CMBS interest-only |  | 2,365 |  |  | 7,172 |  |  | — |  |  | — |  |  | 9,537 |
GNMA interest-only |  | 36 |  |  | 210 |  |  | 138 |  |  | — |  |  | 384 |
Agency securities |  | — |  |  | 31 |  |  | — |  |  | — |  |  | 31 |
U.S. Treasury securities |  | 24,772 |  |  | — |  |  | — |  |  | — |  |  | 24,772 |
Allowance for current expected credit losses |  | — |  |  | — |  |  | — |  |  | — |  |  | (20) |
Total securities (1) |  | $ | 331,233 |  |  | $ | 188,544 |  |  | $ | 138 |  |  | $ | — |  |  | $ | 519,895 |
(1)Excluded from the table above are $0.1 million of equity securities. December 31, 2022
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 |
Allowance for current expected credit losses |  | — |  |  | — |  |  | — |  |  | — |  |  | (20) |
Total securities (1) |  | $ | 379,700 |  |  | $ | 207,590 |  |  | $ | 130 |  |  | $ | — |  |  | $ | 587,400 |
(1)Excluded from the table above are $0.1 million of equity securities. During the three months ended March 31, 2023, the Company sold $0.5 million of equity securities. During the three months ended March 31, 2022, the Company sold $43 thousand of equity securities.

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI https://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI https://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
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