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FAIR VALUE (Tables)
 6 Months Ended
Jun. 30, 2016
Fair Value Disclosures [Abstract]  
Company's Asset Recorded at Fair Value on Recurring Basis
The fair value of the Company’s assets and liability recorded at fair value on a recurring basis were as follows (in thousands): 
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets - Investment securities
 
 
 
 
 
 
 
Investment securities
$
11,130

 
$
—

 
$
8,234

 
$
19,364

Pelium securities
—

 
—

 
24,552

 
24,552

June 30, 2016
$
11,130

 
$
—

 
$
32,786

 
$
43,916

 
 
 
 
 
 
 
 
Investment securities
$
11,062

 
$
—

 
$
9,898

 
$
20,960

Pelium securities
—

 
—

 
26,516

 
26,516

December 31, 2015
$
11,062

 
$
—

 
$
36,414

 
$
47,476

Liability - Apidos contractual commitment
Level 1
 
Level 2
 
Level 3
 
Total
June 30, 2016
$
—

 
$
—

 
$
345

 
$
345

December 31, 2015
—

 
—

 
615

 
615

    
Additional Information about Assets Measured at Fair Value on Recurring Basis for which the Company Has Utilized Level 3 Inputs to Determine Fair Value
The following table presents additional information about assets which were measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value during six months ended June 30, 2016 (in thousands):
 
Investment Securities
 
Pelium Securities
 
Total
Balance, beginning of year
$
9,898

 
$
26,516

 
$
36,414

Purchases
2,045

 
6,828

 
8,873

Income accreted
593

 
1,867

 
2,460

Capitalized interest
—

 
—

 
—

Payments and distributions received, net
(968
)
 
(5,440
)
 
(6,408
)
Sales
(1,853
)
 
(5,503
)
 
(7,356
)
Impairment
(902
)
 
—

 
(902
)
Realized gains on CDOs
498

 
—

 
498

Gains on trading securities
188

 
—

 
188

Unrealized holding gains on trading securities
9

 
284

 
293

Change in unrealized gains included in accumulated other comprehensive loss
(1,274
)
 
—

 
(1,274
)
Balance, end of period
$
8,234

 
$
24,552

 
$
32,786

The following table presents additional information about assets which were measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value during year ended December 31, 2015 (in thousands):
 
Investment Securities
 
Pelium Securities
 
Total
Balance, beginning of year
$
8,489

 
$
17,561

 
$
26,050

Purchases
2,524

 
27,630

 
30,154

Income accreted
1,238

 
—

 
1,238

Capitalized interest
—

 
3,047

 
3,047

Payments and distributions received, net
(1,913
)
 
(4,285
)
 
(6,198
)
Sales
(174
)
 
(16,012
)
 
(16,186
)
Impairment
(331
)
 
—

 
(331
)
Gains (losses) on sales of trading securities
(14
)
 
1,415

 
1,401

Unrealized holding gains on trading securities
269

 
(2,840
)
 
(2,571
)
Change in unrealized gains included in accumulated other comprehensive loss
(190
)
 
—

 
(190
)
Balance, end of period
$
9,898

 
$
26,516

 
$
36,414
Quantitative Inputs and Assumptions in Determining the Fair Value of Items Categorized in Level 3
The following table presents the Company's quantitative inputs and assumptions used in determining the fair value of items categorized in Level 3 (in thousands, except percentages):
 
Fair value at June 30, 2016
 
Valuation Technique
 
Unobservable Inputs
 
Assumptions
(weighted average)
CLO securities
$
6,645

 
Discounted cash flow
 
Constant default rate
 
1% - 2%
 
 
 
 
 
Loss severity rate
 
25%
 
 
 
 
 
Constant prepayment rate
 
25%
 
 
 
 
 
Reinvestment price on collateral
 
99.5%
 
 
 
 
 
Reinvestment spread
 
0% - 4.50%
 
 
 
 
 
Discount rates
 
17%
 
 
 
 
 
 
 
 
Trading securities
$
1,590

 
Net asset value
 
Value of underlying assets
 
variable
 
 
 
 
 
Discount rates
 
0% - 10%
 
 
 
Discounted cash flow
 
Constant default rate
 
5%
 
 
 
 
 
Constant prepayment rate
 
30%
 
 
 
 
 
Loss severity rate
 
30%
Fair Value of Financial Instruments
The fair value of financial instruments required to be disclosed at fair value, excluding instruments valued on a recurring basis, is as follows (in thousands):
 
June 30, 2016
 
December 31, 2015
 
Carrying
Amount (1)
 
Estimated Fair Value
 
Carrying
Amount
 
Estimated Fair Value
Borrowings:
 

 
 

 
 

 
 

Real estate debt
$
9,767

 
$
10,371

 
$
9,877

 
$
10,618

Senior Notes
10,000

 
13,238

 
10,000

 
12,202

Other debt
688

 
688

 
870

 
870

 
$
20,455

 
$
24,297

 
$
20,747

 
$
23,690

(1) Borrowings on the consolidated balance sheets are reflected net of outstanding deferred financing costs of $183,000 and $214,000 at June 30, 2016 and December 31, 2015, respectively.