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Fair Value of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
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 December 31, 2020 and December 31, 2019 (dollars in thousands):
December 31, 2020TotalLevel ILevel IILevel III
Assets, at fair value
Real estate securities, available for sale, measured at fair value$171,136 $— $171,136 $— 
Commercial mortgage loans, held-for-sale, measured at fair value67,649 — — 67,649 
Other real estate investments, measured at fair value2,522 — — 2,522 
Interest rate swaps25 — 25 — 
Total assets, at fair value$241,332 $— $171,161 $70,171 
Liabilities, at fair value
 Credit default swaps$297 $— $297 $— 
 Treasury note futures106 106 — — 
Total liabilities, at fair value$403 $106 $297 $— 
December 31, 2019
Assets, at fair value
Real estate securities, available for sale, measured at fair value$386,316 $— $386,316 $— 
Commercial mortgage loans, held-for-sale, measured at fair value112,562 — — 112,562 
Other real estate investments, measured at fair value2,557 — — 2,557 
Credit default swaps59 — 59 — 
Interest rate swaps325 — 325 — 
Treasury note futures735 735 — — 
Total assets, at fair value$502,554 $735 $386,700 $115,119 
Liabilities, at fair value
Credit default swaps$1,581 $— $1,581 $— 
Total liabilities, at fair value$1,581 $— $1,581 $— 
The following table presents additional information about the Company’s financial instruments which are measured at fair value on a recurring basis as of December 31, 2020 and December 31, 2019 for which the Company has used Level III inputs to determine fair value (dollars in thousands):
December 31, 2020
Commercial mortgage loans, held-for-sale, measured at fair valueOther real estate investments, measured at fair value
Beginning balance, January 1, 2020$112,562 $2,557 
Transfers into Level III (2)
23,625 — 
Total realized and unrealized gain/(loss) included in earnings:
Realized gain/(loss) on sale of commercial mortgage loan, held-for-sale15,931 — 
Unrealized gain/(loss) on commercial mortgage loans, held-for-sale and other real estate investments(75)(32)
Net accretion— (3)
Purchases (1)
267,552 — 
Sales / paydowns (1)
(328,321)— 
Transfers out of Level III (2)
(23,625)— 
Ending Balance, December 31, 2020$67,649 $2,522 
December 31, 2019
Commercial mortgage loans, held-for-sale, measured at fair valueOther real estate investments, measured at fair value
Beginning balance, January 1, 2019$76,863 $— 
Transfers into Level III (2)
— — 
Total realized and unrealized gain (loss) included in earnings:
Realized gain (loss) on sale of real estate securities— — 
Realized gain (loss) on sale of commercial mortgage loan held-for-sale37,832 — 
Unrealized gain (loss) on commercial mortgage loans held-for-sale and other real estate investments312 47 
Net accretion— — 
Unrealized gain (loss) included in OCI— — 
Purchases1,015,677 2,510 
Sales / paydowns(1,008,050)— 
Cash repayments / receipts— — 
Transfers out of Level III (2)
(10,072)— 
Ending Balance, December 31, 2019$112,562 $2,557 
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(1) Excluded from Purchases and Sales/paydowns are $679.1 million and $682.0 million, respectively, of loans that collateralize a CMBS investment required to be consolidated in connection with the Company's retention of the B tranche during the year ended December 31, 2020. Upon disposition of the B tranche during the year ended December 31, 2020, the Company recognized a gain of $2.8 million that is recorded in Realized gain/loss on sale of real estate securities on the consolidated statements of operations.
(2) Transfers in and transfers out include transfers between Commercial mortgage loans, held-for-sale and Commercial mortgage loans, held for investment.
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques
Both observable and unobservable inputs may be used to determine the fair value of positions that the Company has classified within the Level III category. As a result, the unrealized gains and losses for assets and liabilities within the Level III category may include changes in fair value that were attributable to both observable and unobservable inputs. 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 December 31, 2020 and December 31, 2019 (dollars in thousands).
Asset CategoryFair ValueValuation Methodologies
Unobservable Inputs (1)
Weighted Average (2)
Range
December 31, 2020
Commercial mortgage loans, held-for-sale, measured at fair value$67,649 Discounted Cash FlowYield16.6%
15.6% - 17.6%
Other real estate investments, measured at fair value2,522 Discounted Cash FlowYield13.2%
12.2% - 14.2%
December 31, 2019
Commercial mortgage loans, held-for-sale, measured at fair value$112,562 Discounted Cash FlowYield4.9%
4.7% - 5.2%
Other real estate investments, measured at fair value2,557 Broker QuotesYield12.4%
11.4% - 13.4%
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(1) In determining certain 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.
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 December 31, 2020 and 2019 (dollars in thousands):
LevelCarrying AmountFair Value
December 31, 2020
Commercial mortgage loans, held for investment (1)
AssetIII$2,714,734 $2,724,039 
Collateralized loan obligationLiabilityIII1,625,498 1,606,478 
Mortgage note payableLiabilityIII29,167 29,167 
Other financing and loan participation - commercial mortgage loansLiabilityIII31,379 31,379 
December 31, 2019
Commercial mortgage loans, held for investment (1)
AssetIII$2,762,963 $2,784,650 
Collateralized loan obligationLiabilityIII1,803,185 1,822,386 
Mortgage note payableLiabilityIII29,167 29,167 
________________________
(1) The carrying value is gross of $20.9 million and $0.9 million of allowance for credit losses as of December 31, 2020 and December 31, 2019, respectively.