FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2019

Fair Value Disclosures [Abstract]

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 March 31, 2019:

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Total investment in mortgage loans, held for investment, net	$	417,517	$	380,819
Investment in mortgage loans, held for sale		5,131		5,131
Cash and cash equivalents		39,139		39,139
Restricted cash		65,000		65,000
Liabilities
Recourse indebtedness:
7.625% Senior Notes		55,158		41,117
7.125% Senior Notes		65,131		60,128
Junior subordinated notes, at fair value		5,500		5,500
Junior subordinated notes, at amortized cost		25,100		5,780
Non-recourse indebtedness:
CDO notes payable, at amortized cost		102,918		83,595
CMBS securitizations		281,126		282,856
Loans payable on real estate		40,330		40,698

The following table summarizes the carrying amount and the fair value of our financial instruments as of December 31, 2018:

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Total investment in mortgage loans, held for investment, net	$	480,061	$	444,962
Investment in mortgage loans, held for sale		4,873		4,873
Cash and cash equivalents		42,453		42,453
Restricted cash		63,067		63,067
Liabilities
Recourse indebtedness:
7.625% Senior Notes		55,100		41,229
7.125% Senior Notes		64,997		58,010
Junior subordinated notes, at fair value		6,110		6,110
Junior subordinated notes, at amortized cost		25,100		6,550
Non-recourse indebtedness:
CDO notes payable, at amortized cost		116,102		94,513
CMBS securitizations		318,008		320,711
Loans payable on real estate		40,499		40,608

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 March 31, 2019, and indicate the fair value hierarchy of the valuation techniques utilized to determine such fair value:

Liabilities:	Quoted Prices in Active Markets for Identical Assets (Level 1) (1)		Significant Other Observable Inputs (Level 2) (1)		Significant Unobservable Inputs (Level 3) (1)		Balance as of March 31, 2019
Junior subordinated notes, at fair value	$	—	$	—	$	5,500	$	5,500
Total liabilities	$	—	$	—	$	5,500	$	5,500

(1) During the three months ended March 31, 2019, there were no transfers between Level 1 and Level 2, and there were no transfers into and/or 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, 2018, and indicate the fair value hierarchy of the valuation techniques utilized to determine such fair value:

Liabilities:	Quoted Prices in Active Markets for Identical Assets (Level 1) (1)		Significant Other Observable Inputs (Level 2) (1)		Significant Unobservable Inputs (Level 3) (1)		Balance as of December 31, 2018
Junior subordinated notes, at fair value	$	—	$	—	$	6,110	$	6,110
Total liabilities	$	—	$	—	$	6,110	$	6,110

(1) During the year ended December 31, 2018, there were no transfers between Level 1 and Level 2, and there were no transfers into and/or out of Level 3.

Rollforward of Level 3 Liabilities

The following table summarizes additional information about assets and liabilities that are measured at fair value on a recurring basis for which we have utilized level 3 inputs to determine fair value for the three months ended March 31, 2019:

Liabilities	Junior Subordinated Notes, at Fair Value			Total Level 3 Liabilities
Balance, as of December 31, 2018	$	6,110		$	6,110
Change in fair value of financial instruments		(610	)		(610	)
Balance, as of March 31, 2019	$	5,500		$	5,500

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 and restricted cash approximates cost due to the nature of these instruments and are not included in the tables below.

	Carrying Amount as of March 31, 2019		Estimated Fair Value as of March 31, 2019		Valuation Technique	Level in Fair Value Hierarchy
Total investment in mortgage loans, held for investment, net	$	417,517	$	380,819	Discountedcash flows	Three
Investment in mortgage loans, held for sale		5,131		5,131	Discounted cash flows	Three
7.625% Senior Notes		55,158		41,117	Trading price	Two
7.125% Senior Notes		65,131		60,128	Trading price	Two
Junior subordinated notes, at amortized cost		25,100		5,780	Discounted cash flows	Three
CDO notes payable, at amortized cost		102,918		83,595	Discounted cash flows	Three
CMBS securitizations		281,126		282,856	Discounted cash flows	Three
Loans payable on real estate		40,330		40,698	Discounted cash flows	Three

	Carrying Amount as of December 31, 2018		Estimated Fair Value as of December 31, 2018		Valuation Technique	Level in Fair Value Hierarchy
Total investment in mortgage loans, held for investment, net	$	480,061	$	444,962	Discounted cash flows	Three
Investment in mortgage loans, held for sale		4,873		4,873	Discounted cash flows	Three
7.625% Senior Notes		55,100		41,229	Trading price	Two
7.125% Senior Notes		64,997		58,010	Trading price	Two
Junior subordinated notes, at amortized cost		25,100		6,550	Discounted cash flows	Three
CDO notes payable, at amortized cost		116,102		94,513	Discounted cash flows	Three
CMBS securitizations		318,008		320,711	Discounted cash flows	Three
Loans payable on real estate		40,499		40,608	Discounted cash flows	Three

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 of FASB ASC Topic 825, “Financial Instruments” and derivatives as reported in change in fair value of financial instruments in the accompanying consolidated statements of operations:

	For the Three Months Ended March 31,
Description	2019		2018
Change in fair value of junior subordinated notes	$	30	$	(269	)
Change in fair value of derivatives		—		356
Change in fair value of financial instruments	$	30	$	87