Fair Value (Tables)

12 Months Ended

Dec. 31, 2018

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The table below presents a summary of financial assets and financial liabilities carried at fair value on a recurring basis, including financial instruments for which the fair value option was elected but excluding financial assets under the NAV practical expedient.



	Fair Value Measurements
(In thousands)	Level 1		Level 2		Level 3		Total
December 31, 2018
Assets
Equity method investments	$	—	$	—	$	81,085	$	81,085
Equity securities of consolidated funds	26,754		—		—		26,754
Debt securities available for sale—N-Star CDO bonds	—		—		64,127		64,127
CMBS of consolidated fund	—		32,706		—		32,706
Other assets—derivative assets	—		33,558		—		33,558
Liabilities
Other liabilities—derivative liabilities	—		132,808		—		132,808
Other liabilities—contingent consideration for THL Hotel Portfolio	—		—		8,903		8,903



	Fair Value Measurements
(In thousands)	Level 1		Level 2		Level 3		Total
December 31, 2017
Assets
Loans receivable—securitized loans	$	—	$	—	$	45,423	$	45,423
Equity method investments	—		—		363,901		363,901
Equity securities of consolidated fund	35,600		—		—		35,600
Debt securities available for sale
CRE securities of consolidated N-Star CDOs:
CMBS	—		—		147,945		147,945
Other securities	—		—		66,983		66,983
N-Star CDO bonds	—		—		90,933		90,933
CMBS and other securities	—		—		17,382		17,382
CMBS of consolidated fund	—		25,099		—		25,099
Other assets—derivative assets	—		10,152		—		10,152
Liabilities
Debt—securitization bonds payable	—		—		44,542		44,542
Other liabilities—derivative liabilities	—		204,848		—		204,848
Other liabilities—contingent consideration for THL Hotel Portfolio	—		—		7,419		7,419
Due to affiliates—contingent consideration for Internalization	—		—		20,650		20,650

Schedule of Fair Value Assumptions Related to Contingent Consideration

The Company relies on the third party pricing exception with respect to the requirement to provide quantitative disclosures about significant Level 3 inputs being used to determine fair value measurements for CRE debt securities, except for N-Star CDO bonds, and prior to May 2018, loans receivable and bonds payable issued by a consolidated securitization trust held by a previously consolidated N-Star CDO. The Company believes that the pricing service or broker quotations for these instruments may be based on market transactions of comparable securities, inputs including forecasted market rates, contractual terms, observable discount rates for similar securities and credit, such as credit support and delinquency rates.

Quantitative information about recurring Level 3 fair value measurements, for which information about unobservable inputs is reasonably available to the Company, are as follows.

Valuation Technique

Key Unobservable Inputs

Input Value

Effect on Fair Value from Increase in Input Value ⁽¹⁾

Financial Instrument

Fair Value

(In thousands)

Weighted Average

(Range)

December 31, 2018

Level 3 Assets

Equity method investments—third party private equity funds

5,908

Transaction price and NAV⁽²⁾

Not applicable

Equity method investments—other

21,831

Discounted cash flows

Discount rate

17.5%
(9.1% - 18.4%)

Decrease

Equity method investments—other

25,000

Multiple

Revenue multiple

5.8x

Increase

Equity method investments—other

28,346

Transaction price⁽³⁾

Not applicable

N-Star CDO bonds

64,127

Discounted cash flows

Discount rate

21.6%
(13.6% - 56.5%)

Decrease

Level 3 Liabilities

Other liabilities—contingent consideration for THL Hotel Portfolio

8,903

Discounted cash flows

Discount rate

20.0%

Decrease

December 31, 2017

Level 3 Assets

Equity method investments—third party private equity funds

204,774

Discounted cash flows

Discount rate

14.6%
(11.0% - 20.0%)

Decrease

Equity method investments—other

26,408

Discounted cash flows

Discount rate

14.2%
(8.8% - 14.8%)

Decrease

Equity method investments—other

132,719

Transaction price⁽³⁾

Not applicable

N-Star CDO bonds

90,933

Discounted cash flows

Discount rate

24.0%
(10.8% - 87.4%)

Decrease

Level 3 Liabilities

Due to affiliates—contingent consideration for Internalization

20,650

Monte Carlo simulation

Benchmark FFO volatility

11.8%

Increase

Equity volatility

18.7%

Increase

Correlation ⁽⁴⁾

80.0%

Increase

Other liabilities—contingent consideration for THL Hotel Portfolio

7,419

Discounted cash flows

Discount rate

20.0%

Decrease

__________


⁽¹⁾	Represents the directional change in fair value that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the reverse effect. Significant increases or decreases in these inputs in isolation could result in significantly higher or lower fair value measures.


⁽²⁾	Fair value was estimated based on a combination of inputs, namely indicative prices of investments sold by the Company as well as underlying NAV of the respective funds on a quarter lag.


⁽³⁾	Valued based upon transaction price of investments recently acquired or offer prices on investments pending sales.


⁽⁴⁾	Represents assumed correlation between Benchmark FFO and the Company's class A common stock price.

Fair value of PSUs, including dividend equivalent rights, was determined using a Monte Carlo simulation under a risk-neutral premise, with the following assumptions:



	2018 PSU Grant
Expected volatility of the Company's class A common stock⁽¹⁾	38	%
Expected annual dividend yield⁽²⁾	7.6	%
Risk-free rate (per annum)⁽³⁾	2.44	%

__________


⁽¹⁾	Based on a combination of implied volatilities on actively traded stock options and historical volatilities, on the stock of the Company and the specified peer group.


⁽²⁾	Based on an average of the Company's current and historical dividend yields.


⁽³⁾	Based on the prevailing 3-year zero coupon US Treasury yield on grant date.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents changes in recurring Level 3 fair value measurements, including realized and unrealized gains (losses) included in earnings and accumulated other comprehensive income.



		Level 3 Assets									Level 3 Liabilities
(In thousands)		Loans Receivable			Equity Method Investments			Securities			Debt			Due to Affiliates—Contingent Consideration for Internalization			Other Liabilities—Contingent Consideration for THL Hotel Portfolio
Fair value at December 31, 2015		$	—		$	—		$	—		$	—		$	(52,990	)	$	—
Unrealized gain in earnings		—			—			—			—			11,740			—
Fair value at December 31, 2016		$	—		$	—		$	—		$	—		$	(41,250	)	$	—
Unrealized gain related to balance recorded in earnings		$	—		$	—		$	—		$	—		$	11,740		$	—

Fair value at December 31, 2016		$	—		$	—		$	—		$	—		$	(41,250	)	$	—
Acquired through the Merger		—			362,269			427,560			—			—			—
Consideration for business combination		—			—			—			—			—			(6,771		)
Consolidation of securitization trust	Consolidation of securitization trust	58,296			—			—			(56,928		)	—			—
Purchases, contributions or accretion		—			162,323			40,035			10,564			—			—
Paydowns or distributions		(10,564		)	(166,795		)	(120,728		)	—			—			—
Realized losses in earnings		—			—			(38,885		)	—			—			—
Unrealized gains:
In earnings		(2,309		)	6,104			—			1,822			20,600			(648		)
In other comprehensive income		—			—			15,261			—			—			—
Fair value at December 31, 2017		$	45,423		$	363,901		$	323,243		$	(44,542	)	$	(20,650	)	$	(7,419	)
Unrealized gains (losses) on ending balance:
In earnings		$	(2,309	)	$	6,104		$	—		$	1,822		$	20,600		$	(648	)
In other comprehensive income (loss)		$	—		$	—		$	15,261		$	—		$	—		$	—

Fair value at December 31, 2017		$	45,423		$	363,901		$	323,243		$	(44,542	)	$	(20,650	)	$	(7,419	)
Purchases, contributions or accretion		—			61,113			21,049			—			—			—
Paydowns, distributions or sales		(638		)	(188,409		)	(138,261		)	638			—			—
Deconsolidation		(44,070		)	—			(124,344		)	43,847			—			—
Transfer out of liabilities into equity		—			—			—			—			12,539			—
Transfers out of Level 3		—			(132,527		)	—			—			6,381			—
Contribution to Colony Credit (Note 4)		—			(26,134		)	—			—			—			—
Realized gains in earnings		—			3,208			3,877			—			—			—
Unrealized gains (losses):
In earnings		(715		)	(67		)	—			57			1,730			(1,484		)
In other comprehensive income (loss)		—			—			(21,437		)	—			—			—
Fair value at December 31, 2018		$	—		$	81,085		$	64,127		$	—		$	—		$	(8,903	)
Unrealized gains (losses) on ending balance:
In earnings		$	(715	)	$	(67	)	$	—		$	57		$	1,730		$	(1,484	)
In other comprehensive income (loss)		$	—		$	—		$	(3,386	)	$	—		$	—		$	—

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents changes in recurring Level 3 fair value measurements, including realized and unrealized gains (losses) included in earnings and accumulated other comprehensive income.



		Level 3 Assets									Level 3 Liabilities
(In thousands)		Loans Receivable			Equity Method Investments			Securities			Debt			Due to Affiliates—Contingent Consideration for Internalization			Other Liabilities—Contingent Consideration for THL Hotel Portfolio
Fair value at December 31, 2015		$	—		$	—		$	—		$	—		$	(52,990	)	$	—
Unrealized gain in earnings		—			—			—			—			11,740			—
Fair value at December 31, 2016		$	—		$	—		$	—		$	—		$	(41,250	)	$	—
Unrealized gain related to balance recorded in earnings		$	—		$	—		$	—		$	—		$	11,740		$	—

Fair value at December 31, 2016		$	—		$	—		$	—		$	—		$	(41,250	)	$	—
Acquired through the Merger		—			362,269			427,560			—			—			—
Consideration for business combination		—			—			—			—			—			(6,771		)
Consolidation of securitization trust	Consolidation of securitization trust	58,296			—			—			(56,928		)	—			—
Purchases, contributions or accretion		—			162,323			40,035			10,564			—			—
Paydowns or distributions		(10,564		)	(166,795		)	(120,728		)	—			—			—
Realized losses in earnings		—			—			(38,885		)	—			—			—
Unrealized gains:
In earnings		(2,309		)	6,104			—			1,822			20,600			(648		)
In other comprehensive income		—			—			15,261			—			—			—
Fair value at December 31, 2017		$	45,423		$	363,901		$	323,243		$	(44,542	)	$	(20,650	)	$	(7,419	)
Unrealized gains (losses) on ending balance:
In earnings		$	(2,309	)	$	6,104		$	—		$	1,822		$	20,600		$	(648	)
In other comprehensive income (loss)		$	—		$	—		$	15,261		$	—		$	—		$	—

Fair value at December 31, 2017		$	45,423		$	363,901		$	323,243		$	(44,542	)	$	(20,650	)	$	(7,419	)
Purchases, contributions or accretion		—			61,113			21,049			—			—			—
Paydowns, distributions or sales		(638		)	(188,409		)	(138,261		)	638			—			—
Deconsolidation		(44,070		)	—			(124,344		)	43,847			—			—
Transfer out of liabilities into equity		—			—			—			—			12,539			—
Transfers out of Level 3		—			(132,527		)	—			—			6,381			—
Contribution to Colony Credit (Note 4)		—			(26,134		)	—			—			—			—
Realized gains in earnings		—			3,208			3,877			—			—			—
Unrealized gains (losses):
In earnings		(715		)	(67		)	—			57			1,730			(1,484		)
In other comprehensive income (loss)		—			—			(21,437		)	—			—			—
Fair value at December 31, 2018		$	—		$	81,085		$	64,127		$	—		$	—		$	(8,903	)
Unrealized gains (losses) on ending balance:
In earnings		$	(715	)	$	(67	)	$	—		$	57		$	1,730		$	(1,484	)
In other comprehensive income (loss)		$	—		$	—		$	(3,386	)	$	—		$	—		$	—

Fair Value, Assets Measured on Recurring and Nonrecurring Basis

Investments in retail companies, which include a Company-sponsored non-traded REIT and a third party managed open-end mutual fund, as well as limited partnership interest in a third party private fund are valued using NAV of the respective vehicles effective January 1, 2018.



	December 31, 2018
(In thousands)	Fair Value		Unfunded Commitments
Private fund—real estate	$	12,617	$	13,658
Retail Companies—real estate	21,674		—

Fair Value Measurements, Nonrecurring

The following table summarizes assets carried at fair value on a nonrecurring basis, measured at the time of impairment.



	December 31, 2018						December 31, 2017
(In thousands)	Level 2		Level 3		Total		Level 2		Level 3		Total
Real estate held for sale	$	68,864	$	200,281	$	269,145	$	13,252	$	36,246	$	49,498
Real estate held for investment	—		416,272		416,272		—		224,935		224,935
Intangible assets—investment management contracts	—		36,400		36,400		—		51,100		51,100
Equity method investments	—		32,761		32,761		—		11,871		11,871

The following table summarizes the fair value write-downs to assets carried at nonrecurring fair values during the periods presented.



	Year Ended December 31,
(In thousands)	2018		2017		2016
Impairment loss
Real estate held for sale	$	77,211	$	25,619	$	11,334
Real estate held for investment	280,418		19,668		57
Intangible assets—lease intangibles	12,744		—		—
Intangible assets—investment management contracts	147,429		59,073		320
Intangible assets—customer relationships	10,109		—		—
Intangible assets—trade name	59,464		—		—
Equity method earnings	61,182		6,774		—

Fair and Carrying Values of Assets and Liabilities by the Level in the Fair Value Hierarchy by Balance Sheet Grouping

Carrying amounts and estimated fair values of financial instruments reported at amortized cost are presented below. The carrying values of cash, interest receivable, accounts receivable, due from and to affiliates, interest payable and accounts payable approximate fair value due to their short term nature and credit risk, if any, are negligible.



	Fair Value Measurements								Carrying Value
(In thousands)	Level 1		Level 2		Level 3		Total		Carrying Value
December 31, 2018
Assets
Loans at amortized cost	$	—	$	—	$	1,667,892	$	1,667,892	$	1,659,217
Liabilities
Debt at amortized cost
Convertible and exchangeable senior notes	547,300		13,095		—		560,395		612,150
Secured debt	—		—		9,218,692		9,218,692		9,228,721
Junior subordinated debt	—		—		169,619		169,619		199,086
December 31, 2017
Assets
Loans at amortized cost	$	—	$	—	$	3,232,301	$	3,232,301	$	3,178,339
Liabilities
Debt at amortized cost
Corporate credit facility	—		50,000		—		50,000		50,000
Convertible and exchangeable senior notes	608,491		13,979		—		622,470		610,331
Secured and unsecured debt	—		—		9,703,680		9,703,680		9,622,175
Securitization bonds payable	—		132,815		169,908		302,723		303,709
Junior subordinated debt	—		—		216,316		216,316		197,053