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Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2019
Fair Value Disclosures [Abstract]  
Schedule of financial instruments carried at fair value on a recurring basis
The following table presents the Company's financial instruments carried at fair value on a recurring basis in the consolidated balance sheets by its level in the fair value hierarchy as of September 30, 2019 and December 31, 2018 (dollars in thousands):
 
Total
 
Level I
 
Level II
 
Level III
September 30, 2019
 
 
 
 
 
 
 
Real estate securities, measured at fair value
$
232,247

 
$
—

 
$
—

 
$
232,247

Commercial mortgage loans, held-for-sale, measured at fair value
175,073

 
—

 
—

 
175,073

Other real estate investments, measured at fair value
2,556

 
—

 
—

 
2,556

Credit default swaps
235

 
—

 
235

 
—

Interest rate swaps
505

 
—

 
505

 
—

Total assets, at fair value
$
410,616

 
$
—

 
$
740

 
$
409,876

 
 
 
 
 
 
 
 
Liabilities, at fair value
 
 
 
 
 
 
 
  Credit default swaps
$
1,998

 
$
—

 
$
1,998

 
$
—

 Interest rate swaps
14

 
—

 
14

 
—

 Treasury note futures
156

 
156

 
—

 
$
—

Total liabilities, at fair value
$
2,168

 
$
156

 
$
2,012

 
$
—

 
 
 
 
 
 
 
 
December 31, 2018

 
 
 
 
 
 
Real estate securities, measured at fair value
$
26,412

 
$
—

 
$
—

 
$
26,412

Commercial mortgage loans, held-for-sale, measured at fair value
76,863

 
—

 
—

 
76,863

Credit default swaps
640

 
—

 
640

 
—

Interest rate swaps
206

 
—

 
206

 
—

Total assets, at fair value
$
104,121

 
$
—

 
$
846

 
$
103,275

 
 
 
 
 
 
 
 
Liabilities, at fair value
 
 
 
 
 
 
 
Interest rate swaps
$
256

 
$
—

 
$
256

 
$
—

Treasury note futures
1,063

 
1,063

 
—

 
—

Total liabilities, at fair value
$
1,319

 
$
1,063

 
$
256

 
$
—

The following table presents additional information about the Company’s financial instruments which are measured at fair value on a recurring basis as of September 30, 2019 and December 31, 2018 for which the Company has used Level III inputs to determine fair value (dollars in thousands):
 
 
September 30, 2019
 
 
Commercial Mortgage Loans, held-for-sale, measured at fair value
 
Real Estate Securities, available for sale, measured at fair value
 
Other Real Estate Investments, measured at fair value
Beginning balance, January 1, 2019
 
$
76,863

 
$
26,412

 
$
—

Transfers into Level III
 
—

 
—

 
—

Total realized and unrealized gain (loss) included in earnings:
 
 
 
 
 
 
Realized gain (loss) on sale of commercial mortgage loans held-for-sale
 
32,575

 
—

 
—

Realized gain (loss) on sale of real estate securities
 
—

 
—

 
—

Unrealized gain (loss) on commercial mortgage loans held-for-sale and other real estate investments
 
348

 
—

 
45

Net accretion
 
—

 
(42
)
 
—

Unrealized gain (loss) included in OCI (1)
 
—

 
(292
)
 
—

Purchases
 
744,397

 
206,710

 
2,511

Sales / paydowns
 
(674,639
)
 
(541
)
 
—

Cash repayments/receipts
 
—

 
—

 
—

Transfers out of Level III
 
(4,471
)
 
—

 
—

Ending Balance, September 30, 2019
 
$
175,073

 
$
232,247

 
$
2,556

 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
Commercial Mortgage Loans, held-for-sale, measured at fair value
 
Real Estate Securities, available for sale, measured at fair value
 
Other Real Estate Investments, measured at fair value
Beginning balance, January 1, 2018
 
$
28,531

 
$
—

 
$
—

Transfers into Level III
 
—

 
—

 
—

Total realized and unrealized gain (loss) included in earnings:
 
 
 
 
 
 
Realized gain (loss) on sale of real estate securities
 
—

 
(107
)
 
—

Realized gain (loss) on sale of commercial mortgage loan held-for-sale
 
11,288

 
—

 
—

Unrealized gain (loss) on commercial mortgage loans held-for-sale
 
(237
)
 
—

 
—

Net accretion
 
—

 
(76
)
 
—

Unrealized gain (loss) included in OCI (1)
 
—

 
(459
)
 
—

Purchases
 
617,916

 
39,510

 
—

Sales / paydown
 
(580,635
)
 
(12,456
)
 
—

Cash repayments/receipts
 
—

 
—

 
—

Transfers out of Level III
 
—

 
—

 
—

Ending Balance, December 31, 2018
 
$
76,863

 
$
26,412

 
$
—


________________________
(1) Unrealized gains included in Other comprehensive income ("OCI") are attributable to assets held at September 30, 2019 and December 31, 2018.
Schedule of fair value measurements, recurring and nonrecurring, valuation techniques
The following table summarizes the valuation method and significant unobservable inputs used for the Company’s financial instruments that are categorized within Level III of the fair value hierarchy as of September 30, 2019 and December 31, 2018 (dollars in thousands):
Asset Category
Fair Value
Valuation Methodologies
Unobservable Inputs (1)
Weighted Average (2)
Range
September 30, 2019
 
 
 
 
 
Commercial mortgage loans, held-for-sale, measured at fair value
$175,073
Discounted Cash Flow
Yield
6.1%
1.7% - 11.1%
Real estate securities, available-for-sale, measured at fair value
232,247
Discounted Cash Flow
Discount Margin
1.9%
1.3% - 3.0%
Other real estate investments, measured at fair value
2,556
Discounted Cash Flow
Yield
12.4%
11.4% - 13.4%
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
Commercial mortgage loans, held-for-sale, measured at fair value
$76,863
Discounted Cash Flow
Yield
6.3%
4.7% - 11.3%
Real estate securities, available-for-sale, measured at fair value
26,412
Discounted Cash Flow
Yield
5.5%
4.0% - 6.0%
________________________
(1) In determining certain of these inputs, the Company evaluates a variety of factors including economic conditions, industry and market developments, market valuations of comparable companies and company specific developments including exit strategies and realization opportunities. The Company has determined that market participants would take these inputs into account when valuing the investments.
(2) Inputs were weighted based on the fair value of the investments included in the range.
Schedule of financial instruments not carried at fair value
The fair values of the Company's commercial mortgage loans, held-for-investment and collateralized loan obligations, which are not reported at fair value on the consolidated balance sheets are reported below as of September 30, 2019 and December 31, 2018 (dollars in thousands):
 
 
 
Level
 
Carrying Amount
 
Fair Value
September 30, 2019
 
 
 
 
 
 
 
Commercial mortgage loans, held-for-investment (1)
Asset
 
III
 
$
2,496,851

 
$
2,496,783

Collateralized loan obligation
Liability
 
III
 
1,812,448

 
1,832,145

December 31, 2018
 
 
 
 
 
 

Commercial mortgage loans, held-for-investment (1)
 
Asset
 
III
 
$
2,211,666

 
$
2,213,650

Collateralized loan obligation
Liability
 
III
 
1,505,279

 
1,518,127

Other financing and loan participation - commercial mortgage loans
Liability
 
III
 
9,902

 
9,902

________________________
(1) The carrying value is gross of $0.7 million and $4.8 million of allowance for loan losses as of September 30, 2019 and December 31, 2018, respectively.