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REAL ESTATE SECURITIES | 9 Months Ended
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Sep. 30, 2015
Investments, Debt and Equity Securities [Abstract] |
REAL ESTATE SECURITIES | 4. REAL ESTATE SECURITIES Commercial mortgage-backed securities (“CMBS”), CMBS interest-only securities, GN construction securities and GN permanent securities are classified as available-for-sale and reported at fair value with changes in fair value recorded in the current period in other comprehensive income. Government National Mortgage Association (“GNMA”) and Federal Home Loan Mortgage Corp (“FHLMC”) securities (collectively, “Agency interest-only securities”), are recorded at fair value with changes in fair value recorded in current period earnings. The following is a summary of the Company’s securities at September 30, 2015 and December 31, 2014 ($ in thousands): September 30, 2015
|  |  |  |  |  | Gross Unrealized |  |  |  |  |  | Weighted Average
Asset Type |  | Outstanding Face Amount |  | Amortized Cost Basis |  | Gains |  | Losses |  | Carrying Value |  | # of Securities |  | Rating (2) |  | Coupon % |  | Yield % |  | Remaining Duration (years)
CMBS(3) |  | $ | 1,936,316 |  |  | $ | 1,960,371 |  |  | $ | 25,897 |  |  | $ | (1,073 | ) |  | $ | 1,985,195 |  |  | 120 |  |  | AAA |  | 3.25 | % |  | 2.63 | % |  | 3.35
CMBS interest-only(3) |  | 7,246,777 |  | (1) | 356,204 |  |  | 1,726 |  |  | (1,002 | ) |  | 356,928 |  |  | 47 |  |  | AAA |  | 0.90 | % |  | 3.74 | % |  | 3.46
GNMA interest-only(4) |  | 662,161 |  | (1) | 30,109 |  |  | 77 |  |  | (1,583 | ) |  | 28,603 |  |  | 21 |  |  | AA+ |  | 0.81 | % |  | 4.27 | % |  | 5.48
GN construction securities(3) |  | 26,730 |  |  | 27,223 |  |  | 589 |  |  | 37 |  |  | 27,849 |  |  | 2 |  |  | AA+ |  | 4.10 | % |  | 3.86 | % |  | 9.46
GN permanent securities(3) |  | 16,435 |  |  | 16,950 |  |  | 287 |  |  | (430 | ) |  | 16,807 |  |  | 12 |  |  | AA+ |  | 4.55 | % |  | 4.00 | % |  | 6.09
Total |  | $ | 9,888,419 |  |  | $ | 2,390,857 |  |  | $ | 28,576 |  |  | $ | (4,051 | ) |  | $ | 2,415,382 |  |  | 202 |  |  |  |  | 1.37 | % |  | 3.56 | % |  | 3.59
December 31, 2014
|  |  |  |  |  | Gross Unrealized |  |  |  |  |  | Weighted Average
Asset Type |  | Outstanding Face Amount |  | Amortized Cost Basis |  | Gains |  | Losses |  | Carrying Value |  | # of Securities |  | Rating (2) |  | Coupon % |  | Yield % |  | Remaining Duration (years)
CMBS(3) |  | $ | 2,247,565 |  |  | $ | 2,277,995 |  |  | $ | 28,453 |  |  | $ | (1,038 | ) |  | $ | 2,305,410 |  |  | 145 |  |  | AAA |  | 3.31 | % |  | 2.60 | % |  | 4.23
CMBS interest-only(3) |  | 7,239,503 |  | (1) | 376,085 |  |  | 2,973 |  |  | (723 | ) |  | 378,335 |  |  | 41 |  |  | AAA |  | 1.04 | % |  | 4.88 | % |  | 3.45
GNMA interest-only(4) |  | 1,400,141 |  | (1) | 67,544 |  |  | 1,035 |  |  | (1,937 | ) |  | 66,642 |  |  | 34 |  |  | AA+ |  | 0.85 | % |  | 5.90 | % |  | 4.50
GN construction securities(3) |  | 27,538 |  |  | 28,178 |  |  | 503 |  |  | (275 | ) |  | 28,406 |  |  | 4 |  |  | AA+ |  | 3.89 | % |  | 3.56 | % |  | 9.42
GN permanent securities(3) |  | 36,232 |  |  | 36,515 |  |  | 258 |  |  | — |  |  | 36,773 |  |  | 11 |  |  | AA+ |  | 5.49 | % |  | 4.94 | % |  | 1.32
Total |  | $ | 10,950,979 |  |  | $ | 2,786,317 |  |  | $ | 33,222 |  |  | $ | (3,973 | ) |  | $ | 2,815,566 |  |  | 235 |  |  |  |  | 1.50 | % |  | 4.54 | % |  | 3.75
(1) | The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate.
(2) | Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. For each security rated by multiple rating agencies, the highest rating is used. Ratings provided were determined by third-party rating agencies as of a particular date, may not be current and are subject to change (including the assignment of a “negative outlook” or “credit watch”) at any time.
(3) | CMBS, CMBS interest-only securities, GN construction securities, and GN permanent securities are classified as available-for-sale and reported at fair value with changes in fair value recorded in the current period in other comprehensive income.
(4) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings.
The following is a breakdown of the carrying value of the Company’s securities by remaining maturity based upon expected cash flows at September 30, 2015 and December 31, 2014 ($ in thousands): September 30, 2015
Asset Type |  | Within 1 year |  | 1-5 years |  | 5-10 years |  | After 10 years |  | Total
CMBS(1) |  | $ | 604,249 |  |  | $ | 776,565 |  |  | $ | 604,381 |  |  | $ | — |  |  | $ | 1,985,195 |
CMBS interest-only(1) |  | 70 |  |  | 356,858 |  |  | — |  |  | — |  |  | 356,928 |
GNMA interest-only(2) |  | 9 |  |  | 8,929 |  |  | 19,104 |  |  | 561 |  |  | 28,603 |
GN construction securities(1) |  | — |  |  | 414 |  |  | 27,435 |  |  | — |  |  | 27,849 |
GN permanent securities(1) |  | — |  |  | 8,859 |  |  | 7,948 |  |  | — |  |  | 16,807 |
Total |  | $ | 604,328 |  |  | $ | 1,151,625 |  |  | $ | 658,868 |  |  | $ | 561 |  |  | $ | 2,415,382 |
December 31, 2014
Asset Type |  | Within 1 year |  | 1-5 years |  | 5-10 years |  | After 10 years |  | Total
CMBS(1) |  | $ | 474,357 |  |  | $ | 814,702 |  |  | $ | 1,016,351 |  |  | $ | — |  |  | $ | 2,305,410 |
CMBS interest-only(1) |  | 391 |  |  | 370,993 |  |  | 6,951 |  |  | — |  |  | 378,335 |
GNMA interest-only(2) |  | 1,356 |  |  | 42,105 |  |  | 23,181 |  |  | — |  |  | 66,642 |
GN construction securities(1) |  | — |  |  | 507 |  |  | 5,183 |  |  | 22,716 |  |  | 28,406 |
GN permanent securities(1) |  | 25,915 |  |  | 9,334 |  |  | 1,524 |  |  | — |  |  | 36,773 |
Total |  | $ | 502,019 |  |  | $ | 1,237,641 |  |  | $ | 1,053,190 |  |  | $ | 22,716 |  |  | $ | 2,815,566 |
(1) | CMBS, CMBS interest-only securities, GN construction securities, and GN permanent securities are classified as available-for-sale and reported at fair value with changes in fair value recorded in the current period in other comprehensive income.
(2) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings.
There were $0.2 million and $1.6 million in unrealized losses on securities recorded as other than temporary impairments for the three and nine months ended September 30, 2015, respectively, included in realized gain on securities in the combined consolidated statements of income. There were $0.5 million and $2.1 million in unrealized losses on securities recorded as other than temporary impairments for the three and nine months ended September 30, 2014, respectively. For cash flow statement purposes, all receipts of interest from interest-only real estate securities are treated as part of cash flows from operations.

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