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Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2022
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 September 30, 2022 and December 31, 2021 (dollars in thousands):
TotalLevel ILevel IILevel III
September 30, 2022
Assets, at fair value
Real estate securities, available for sale, measured at fair value$74,625 $— $74,625 $— 
Real estate securities, trading, measured at fair value252,491 — $252,491 $— 
Commercial mortgage loans, held for sale, measured at fair value41,342 — — 41,342 
Derivatives instruments, measured at fair value:
Credit default swaps— — — — 
Interest rate swaps3,546 — 3,546 — 
Total assets, at fair value$372,004 $— $330,662 $41,342 
Liabilities, at fair value
Derivatives instruments, measured at fair value:
Interest rate swaps$8 $— $8 $— 
Credit default swaps$4 $— $4 $— 
Total liabilities, at fair value$12 $— $12 $— 
December 31, 2021
Assets, at fair value
Real estate securities, trading, measured at fair value$4,566,871 $— $4,566,871 $— 
Commercial mortgage loans, held for sale, measured at fair value34,718 — — 34,718 
Other real estate investments, measured at fair value2,074 — — 2,074 
Derivatives instruments, measured at fair value:
Interest rate swaps312 — 312 — 
Treasury note futures124 — 124 — 
Total assets, at fair value$4,604,099 $— $4,567,307 $36,792 
Liabilities, at fair value
Derivatives instruments, measured at fair value:
Credit default swaps$1,142 $— $1,142 $— 
Unsecured debt-related interest rate swap agreements31,153 — 31,153 — 
Total liabilities, at fair value$32,295 $— $32,295 $— 
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, 2022 and December 31, 2021 for which the Company has used Level III inputs to determine fair value (dollars in thousands):
September 30, 2022
Commercial Mortgage Loans, held for sale, measured at fair valueOther Real Estate Investments, measured at fair value
Beginning balance, January 1, 2022$34,718 $2,074 
Transfers into Level III (1)
— — 
Total realized and unrealized gain/(loss) included in earnings:
Realized gain/(loss) on sale of commercial mortgage loans, held for sale, and other real estate investments4,838 (33)
Unrealized gain/(loss) on commercial mortgage loans, held for sale and other real estate investments(3,678)4 
Net accretion— — 
Purchases343,096 — 
Sales / paydowns(337,632)(2,045)
Transfers out of Level III (1)
— — 
Ending Balance, September 30, 2022$41,342 $— 
December 31, 2021
Commercial Mortgage Loans, held for sale, measured at fair valueOther Real Estate Investments, measured at fair value
Beginning balance, January 1, 2021$67,649 $2,522 
Transfers into Level III (1)
— — 
Total realized and unrealized gain/(loss) included in earnings:
Realized gain/(loss) on sale of commercial mortgage loans, held for sale24,208 — 
Unrealized gain/(loss) on commercial mortgage loans, held for sale and other real estate investments469 (19)
Net accretion— (3)
Purchases420,673 — 
Sales / paydowns(478,281)(426)
Transfers out of Level III (1)
— — 
Ending Balance, December 31, 2021$34,718 $2,074 
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(1) 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
The following table contains the Level 3 inputs used to value assets and liabilities on a recurring and nonrecurring basis or where the Company discloses fair value as of September 30, 2022:
Asset CategoryFair ValueValuation Methodologies
Unobservable Inputs (1)
Weighted Average (2)
Range
September 30, 2022
Commercial mortgage loans, held for sale, measured at fair value$41,342  Discounted Cash Flow  Yield 3.4%
3.1% - 7.3%
December 31, 2021
Commercial mortgage loans, held for sale, measured at fair value$34,718 Discounted Cash FlowYield3.4%
3.2% - 4.2%
Other real estate investments, measured at fair value2,074 Discounted Cash FlowYield10.9%
9.9% - 11.9%
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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 September 30, 2022 and December 31, 2021 (dollars in thousands):
September 30, 2022December 31, 2021
Level
Carrying Amount (1)
Fair Value
Carrying Amount (1)
Fair Value
Commercial mortgage loans, held for investmentAssetIII$5,328,273 $5,331,258 $4,226,888 $4,249,118 
Collateralized loan obligationsLiabilityIII3,174,530 3,097,531 2,162,190 2,181,571 
Mortgage note payableLiabilityIII23,998 23,998 23,998 23,998 
Other financing and loan participation - commercial mortgage loansLiabilityIII53,167 53,167 37,903 37,903 
Unsecured debtLiabilityIII98,670 73,700 148,594 125,400 
________________________________________________________
(1) The carrying value is gross of $46.8 million and $15.8 million of allowance for credit losses as of September 30, 2022 and December 31, 2021, respectively.