Fair Value Of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2014

Carrying Amount and Fair Value of Financial Instruments

The following table summarizes the carrying amount and the fair value of our financial instruments as of December 31, 2014:

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Commercial mortgages, mezzanine loans, other loans and preferred equity interests, net	$	1,392,436	$	1,316,796
Investments in securities and security-related receivables		31,412		31,412
Cash and cash equivalents		121,726		121,726
Restricted cash		124,220		124,220
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		33,417		41,901
4.0% convertible senior notes		134,418		123,677
7.625% senior notes		60,000		56,016
7.125% senior notes		71,905		70,064
Secured credit facilities		18,392		18,392
Junior subordinated notes, at fair value		13,102		13,102
Junior subordinated notes, at amortized cost		25,100		14,471
CMBS facilities		55,956		55,956
Commercial mortgage facility		29,097		29,097
Senior secured notes		68,314		79,594
Non-recourse indebtedness:
CDO notes payable, at amortized cost		1,073,145		913,050
CMBS securitizations		389,415		389,771
Loans payable on real estate		643,405		678,306
Derivative liabilities		20,695		20,695
Warrants and investor SARs		35,384		35,384

The following table summarizes the carrying amount and the fair value of our financial instruments as of December 31, 2013:

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Commercial mortgages, mezzanine loans, other loans and preferred equity interests, net	$	1,122,377	$	1,083,118
Investments in securities and security-related receivables		567,302		567,302
Cash and cash equivalents		88,847		88,847
Restricted cash		121,589		121,589
Derivative assets		1,305		1,305
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		32,938		47,778
4.0% convertible senior notes		116,184		124,063
Secured credit facilities		11,129		11,129
Junior subordinated notes, at fair value		11,911		11,911
Junior subordinated notes, at amortized cost		25,100		14,007
CMBS facilities		30,618		30,618
Commercial mortgage facility		7,131		7,131
Non-recourse indebtedness:
CDO notes payable, at amortized cost		1,202,772		724,885
CDO notes payable, at fair value		377,235		377,235
CMBS securitizations		100,139		100,214
Loans payable on real estate		171,244		176,979
Derivative liabilities		113,331		113,331
Warrants and investor SARs		31,304		31,304

Information of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables summarize information about our assets and liabilities measured at fair value on a recurring basis as of December 31, 2014, and indicate the fair value hierarchy of the valuation techniques utilized to determine such fair value:

Assets:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance of December 31, 2014
Trading securities
TruPS	$	—	$	—	$	—	$	—
Other securities		—		—		—		—
Available-for-sale securities		—		19,167		—		19,167
Security-related receivables
TruPS receivables		—		—		—		—
Unsecured REIT note receivables		—		10,995		—		10,995
CMBS receivables		—		1,250		—		1,250
Other securities		—		—		—		—
Derivative assets		—		—		—		—
Total assets	$	—	$	31,412	$	—	$	31,412

Liabilities:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance of December 31, 2014
Junior subordinated notes, at fair value	$	—	$	—	$	13,102	$	13,102
CDO notes payable, at fair value		—		—		—		—
Derivative liabilities		—		20,695		—		20,695
Warrants and investor SARs		—		—		35,384		35,384
Total liabilities	$	—	$	20,695	$	48,486	$	69,181

(a) During the year ended December 31, 2014, there were no transfers between Level 1 and Level 2, as well as, there were no transfers into and out of Level 3.

The following tables summarize information about our assets and liabilities measured at fair value on a recurring basis as of December 31, 2013, and indicate the fair value hierarchy of the valuation techniques utilized to determine such fair value:

Assets:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance of December 31, 2013
Trading securities
TruPS	$	—	$	—	$	480,845	$	480,845
Other securities		—		—		—		—
Available-for-sale securities		—		2		—		2
Security-related receivables								—
TruPS receivables		—		—		8,211		8,211
Unsecured REIT note receivables		—		33,046		—		33,046
CMBS receivables		—		44,118		—		44,118
Other securities		—		1,080		—		1,080
Derivative assets		—		1,305		—		1,305
Total assets	$	—	$	79,551	$	489,056	$	568,607

Liabilities:	Quoted Prices in Active Markets for Identical Assets (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3) (a)		Balance of December 31, 2013
Junior subordinated notes, at fair value	$	—	$	—	$	11,911	$	11,911
CDO notes payable, at fair value		—		—		377,235		377,235
Derivative liabilities		—		45,926		67,405		113,331
Warrants and investor SARs		—		—		31,304		31,304
Total liabilities	$	—	$	45,926	$	487,855	$	533,781

(a) During the year ended December 31, 2013, there were no transfers between Level 1 and Level 2, as well as, there were no transfers into and out of Level 3.

Rollforward of Level 3 Assets

Assets	Trading Securities—TruPS and Subordinated Debentures			Security—Related Receivables—TruPS and Subordinated Debenture Receivables			Total Level 3 Assets
Balance, as of December 31, 2013	$	480,845		$	8,211		$	489,056
Change in fair value of financial instruments		9,360			(540	)		8,820
Purchases		—			—			—
Sales		—			—			—
Principal repayments		(40,000	)		—			(40,000	)
Taberna deconsolidation		(450,205	)		(7,671	)		(457,876	)
Balance, as of December 31, 2014	$	—		$	—		$	—

Assets	Trading Securities—TruPS and Subordinated Debentures			Security—Related Receivables—TruPS and Subordinated Debenture Receivables			Total Level 3 Assets
Balance, as of December 31, 2012	$	485,203		$	91,148		$	576,351
Change in fair value of financial instruments		12,642			(4,812	)		7,830
Purchases		—			—			—
Sales		—			—			—
Principal repayments		(17,000	)		(78,125	)		(95,125	)
Balance, as of December 31, 2013	$	480,845		$	8,211		$	489,056

Rollforward of Level 3 Liabilities

Liabilities	Derivative Liabilities			Warrants and investor SARs			CDO Notes Payable, at Fair Value			Junior Subordinated Notes, at Fair Value		Total Level 3 Liabilities
Balance, as of December 31, 2013	$	67,405		$	31,304		$	377,235		$	11,911	$	487,855
Change in fair value of financial instruments		(16,518	)		(8,593	)		100,484			1,191		76,564
Purchases		—			12,673			—			—		12,673
Sales		—			—			—			—		—
Principal repayments		—			—			(69,954	)		—		(69,954	)
Taberna deconsolidation		(50,887	)		—			(407,765	)		—		(458,652	)
Balance, as of December 31, 2014	$	—		$	35,384		$	—		$	13,102	$	48,486

Liabilities	Derivative Liabilities			Warrants and investor SARs		CDO Notes Payable, at Fair Value			Junior Subordinated Notes, at Fair Value			Total Level 3 Liabilities
Balance, as of December 31, 2012	$	79,462		$	9,675	$	187,048		$	29,655		$	305,840
Change in fair value of financial instruments		(12,057	)		21,629		309,367			1,637			320,576
Purchases		—			—		—			—			—
Sales		—			—		—			—			—
Principal repayments		—			—		(119,180	)		(19,381	)		(138,561	)
Balance, as of December 31, 2013	$	67,405		$	31,304	$	377,235		$	11,911		$	487,855

Fair Value Hierarchy for Financial Instruments Not Fair Valued but For Which Fair Value Is Required To Be Disclosed

The following tables summarize the valuation technique and the level of the fair value hierarchy for financial instruments that are not recorded at fair value in the accompanying consolidated balance sheets but for which fair value is required to be disclosed. The fair value of cash and cash equivalents, restricted cash, secured credit facilities, CMBS facilities and commercial mortgage facility approximates cost due to the nature of these instruments and are not included in the tables below.

						Fair Value Measurement
	Carrying Amount as of December 31, 2014		Estimated Fair Value as of December 31, 2014		Valuation Technique	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Commercial mortgages,	$	1,392,436	$	1,316,796	Discounted cash flows	$	—	$	—	$	1,316,796
mezzanine loans and other loans
7.0% convertible senior notes		33,417		41,901	Trading price		41,901		—		—
4.0% convertible senior notes		134,418		123,677	Trading price		123,677		—		—
7.625% senior notes		60,000		56,016	Trading price		56,016		—		—
7.125% senior notes		71,905		70,064	Trading price		70,064		—		—
Senior Secured Notes		68,314		79,594	Discounted cash flows		—		—		79,594
Junior subordinated notes, at amortized cost		25,100		14,471	Discounted cash flows		—		—		14,471
CDO notes payable, at amortized cost		1,073,145		913,050	Discounted cash flows		—		—		913,050
CMBS securitization		389,415		389,771	Discounted cash flows		—		—		389,771
Loans payable on real estate		643,405		678,306	Discounted cash flows		—		—		678,306

						Fair Value Measurement
	Carrying Amount as of December 31, 2013		Estimated Fair Value as of December 31, 2013		Valuation Technique	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Commercial mortgages, mezzanine loansand other loans	$	1,122,377	$	1,083,118	Discounted cash flows	$	—	$	—	$	1,083,118
7.0% convertible senior notes		32,938		47,778	Trading price		47,778		—		—
4.0% convertible senior notes		116,184		124,063	Trading price		124,063		—		—
Junior subordinated notes, at amortized cost		25,100		14,007	Discounted cash flows		—		—		14,007
CDO notes payable, at amortized cost		1,202,772		724,885	Discounted cash flows		—		—		724,885
CMBS securitization		100,139		100,214	Discounted cash flows		—		—		100,214
Loans payable on real estate		171,244		176,979	Discounted cash flows		—		—		176,979

Summary of Realized and Unrealized Gains and Losses on Assets and Liabilities

The following table summarizes realized and unrealized gains and losses on assets and liabilities for which we elected the fair value option within FASB ASC Topic 825, “Financial Instruments” as reported in change in fair value of financial instruments in the accompanying consolidated statements of operations:

Description	For the Year Ended December 31, 2014			For the Year Ended December 31, 2013			For the Year Ended December 31, 2012
Change in fair value of trading securities and security-related receivables	$	10,682		$	9,193		$	23,380
Change in fair value of CDO notes payable and trust preferred obligations		(101,675	)		(311,009	)		(191,451	)
Change in fair value of derivatives		(16,352	)		(22,230	)		(32,016	)
Change in fair value of warrants and investor SARs		8,593			(20,380	)		(1,700	)
Change in fair value of financial instruments	$	(98,752	)	$	(344,426	)	$	(201,787	)