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FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables) | 3 Months Ended
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Mar. 31, 2019
Fair Value Disclosures [Abstract] |
Summary of fair value | The carrying values and estimated fair values of the Company’s financial instruments, which are both reported at fair value on a recurring basis (as indicated) or amortized cost/par, at March 31, 2019 and December 31, 2018 are as follows ($ in thousands): March 31, 2019
|  |  |  |  |  |  |  |  | Weighted Average
| Outstanding Face Amount |  | Amortized Cost Basis/Purchase Price |  | Fair Value |  | Fair Value Method |  | Yield % |  | Remaining Maturity/Duration (years)
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CMBS(1) | $ | 1,475,469 |  |  | $ | 1,475,900 |  |  | $ | 1,481,640 |  |  | Internal model, third-party inputs |  | 3.28 | % |  | 2.50
CMBS interest-only(1) | 2,436,543 |  | (2) | 52,682 |  |  | 53,570 |  |  | Internal model, third-party inputs |  | 3.56 | % |  | 2.60
GNMA interest-only(3) | 123,684 |  | (2) | 2,694 |  |  | 2,491 |  |  | Internal model, third-party inputs |  | 9.09 | % |  | 2.56
Agency securities(1) | 660 |  |  | 673 |  |  | 661 |  |  | Internal model, third-party inputs |  | 1.81 | % |  | 2.24
GNMA permanent securities(1) | 32,346 |  |  | 32,592 |  |  | 33,006 |  |  | Internal model, third-party inputs |  | 3.75 | % |  | 4.87
Corporate bonds(1) | 36,441 |  |  | 35,682 |  |  | 36,609 |  |  | Internal model, third-party inputs |  | 5.00 | % |  | 1.88
Equity securities(3) | N/A |  |  | 10,678 |  |  | 11,151 |  |  | Observable market prices |  | N/A |  |  | N/A
Mortgage loan receivables held for investment, net, at amortized cost: |  |  |  |  |  |  |  |  |  |  |
Mortgage loan receivables held for investment, net, at amortized cost | 3,321,828 |  |  | 3,302,753 |  |  | 3,311,885 |  |  | Discounted Cash Flow(4) |  | 7.68 | % |  | 1.20
Mortgage loans transferred but not considered sold | 15,350 |  |  | 15,504 |  |  | 15,504 |  |  | Discounted Cash Flow(4) |  | 5.29 | % |  | 9.78
Provision for loan losses | N/A |  |  | (18,200 | ) |  | (18,200 | ) |  | (5) |  | N/A |  |  | N/A
Mortgage loan receivables held for sale | 189,334 |  |  | 189,525 |  |  | 202,363 |  |  | Internal model, third-party inputs(6) |  | 5.53 | % |  | 9.56
FHLB stock(7) | 61,619 |  |  | 61,619 |  |  | 61,619 |  |  | (7) |  | 5.50 | % |  | N/A
Nonhedge derivatives(1)(8) | 454,571 |  |  | N/A |  |  | 1,632 |  |  | Counterparty quotations |  | N/A |  |  | 0.25
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements - short-term | 804,986 |  |  | 804,986 |  |  | 804,986 |  |  | Discounted Cash Flow(9) |  | 3.30 | % |  | 0.24
Repurchase agreements - long-term | 225,096 |  |  | 225,096 |  |  | 225,096 |  |  | Discounted Cash Flow(10) |  | 3.35 | % |  | 1.55
Mortgage loan financing | 734,319 |  |  | 739,500 |  |  | 740,221 |  |  | Discounted Cash Flow(10) |  | 5.10 | % |  | 2.33
CLO debt | 497,334 |  |  | 497,334 |  |  | 497,334 |  |  | Discounted Cash Flow(9) |  | 4.65 | % |  | 8.15
Participation Financing - Mortgage Loan Receivable | 2,393 |  |  | 2,393 |  |  | 2,393 |  |  | Discounted Cash Flow(11) |  | 17.00 | % |  | 0.18
Borrowings from the FHLB | 1,291,449 |  |  | 1,291,449 |  |  | 1,295,087 |  |  | Discounted Cash Flow |  | 2.61 | % |  | 2.40
Senior unsecured notes | 1,166,201 |  |  | 1,155,692 |  |  | 1,167,074 |  |  | Broker quotations, pricing services |  | 5.39 | % |  | 4.03
Liability for transfers not considered sales | 15,840 |  |  | 15,840 |  |  | 15,840 |  |  | Discounted Cash Flow(12) |  | 5.29 | % |  | 9.78
(1) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded as a component of other comprehensive income (loss) in equity.
(2) | Represents notional outstanding balance of underlying collateral.
(3) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded in current period earnings.
(4) | Fair value for floating rate mortgage loan receivables, held for investment is estimated to approximate the outstanding face amount given the short interest rate reset risk (30 days) and no significant change in credit risk. Fair value for fixed rate mortgage loan receivables, held for investment is measured using a discounted cash flow model.
(5) | Fair value is estimated to equal par value.
(6) | Fair value for mortgage loan receivables, held for sale is measured using a hypothetical securitization model utilizing market data from recent securitization spreads and pricing.
(7) | Fair value of the FHLB stock approximates outstanding face amount as the Company’s captive insurance subsidiary is restricted from trading the stock and can only put the stock back to the FHLB, at the FHLB’s discretion, at par.
(8) | The outstanding face amount of the nonhedge derivatives represents the notional amount of the underlying contracts.
(9) | Fair value for repurchase agreement liabilities and CLO debt is estimated to approximate carrying amount primarily due to the short interest rate reset risk (30 days) of the financings and the high credit quality of the assets collateralizing these positions. If the collateral is determined to be impaired, the related financing would be revalued accordingly. There are no impairments on any positions.
(10) | For repurchase agreements - long term and mortgage loan financing, the carrying value approximates the fair value discounting the expected cash flows at current market rates. If the collateral is determined to be impaired, the related financing would be revalued accordingly. There are no impairments on any positions.
(11) | Fair value for Participation Financing - Mortgage Loan Receivable approximates amortized cost as this is a loan participation to a third party.
(12) | Fair value for liability for transfers not considered sales approximates amortized cost basis which represents fair value on the latest pricing date.
December 31, 2018
|  |  |  |  |  |  |  |  | Weighted Average
| Outstanding Face Amount |  | Amortized Cost Basis |  | Fair Value |  | Fair Value Method |  | Yield % |  | Remaining Maturity/Duration (years)
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CMBS(1) | $ | 1,258,819 |  |  | $ | 1,257,801 |  |  | $ | 1,252,640 |  |  | Internal model, third-party inputs |  | 3.14 | % |  | 2.33
CMBS interest-only(1) | 2,373,936 |  | (2) | 55,534 |  |  | 55,691 |  |  | Internal model, third-party inputs |  | 2.80 | % |  | 2.69
GNMA interest-only(3) | 135,932 |  | (2) | 2,862 |  |  | 2,648 |  |  | Internal model, third-party inputs |  | 6.30 | % |  | 4.11
Agency securities(1) | 668 |  |  | 682 |  |  | 662 |  |  | Internal model, third-party inputs |  | 1.83 | % |  | 2.36
GNMA permanent securities(1) | 32,633 |  |  | 32,889 |  |  | 33,064 |  |  | Internal model, third-party inputs |  | 3.76 | % |  | 5.03
Corporate bonds(1) | 55,305 |  |  | 54,257 |  |  | 53,871 |  |  | Internal model, third-party inputs |  | 5.04 | % |  | 2.51
Equity securities(3) | N/A |  |  | 13,154 |  |  | 11,550 |  |  | Observable market prices |  | N/A |  |  | N/A
Mortgage loan receivables held for investment, net, at amortized cost: |  |  |  |  |  |  |  |  |  |  |
Mortgage loan receivables held for investment, net, at amortized cost | 3,340,381 |  |  | 3,318,390 |  |  | 3,324,588 |  |  | Discounted Cash Flow(4) |  | 7.84 | % |  | 1.32
Provision for loan losses | N/A |  |  | (17,900 | ) |  | (17,900 | ) |  | (5) |  | N/A |  |  | N/A
Mortgage loan receivables held for sale | 181,905 |  |  | 182,439 |  |  | 187,870 |  |  | Internal model, third-party inputs(6) |  | 5.46 | % |  | 9.75
FHLB stock(7) | 57,915 |  |  | 57,915 |  |  | 57,915 |  |  | (7) |  | 4.50 | % |  | N/A
Nonhedge derivatives(1)(8) | — |  |  | N/A |  |  | — |  |  | Counterparty quotations |  | N/A |  |  | 0.00
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements - short-term | 436,957 |  |  | 436,957 |  |  | 436,957 |  |  | Discounted Cash Flow(9) |  | 3.42 | % |  | 0.23
Repurchase agreements - long-term | 226,728 |  |  | 226,728 |  |  | 226,728 |  |  | Discounted Cash Flow(10) |  | 3.47 | % |  | 1.73
Mortgage loan financing | 738,825 |  |  | 743,902 |  |  | 735,662 |  |  | Discounted Cash Flow(10) |  | 5.09 | % |  | 2.61
CLO debt | 601,543 |  |  | 601,543 |  |  | 601,543 |  |  | Discounted Cash Flow(9) |  | 4.41 | % |  | 9.40
Participation Financing - Mortgage Loan Receivable | 2,453 |  |  | 2,453 |  |  | 2,453 |  |  | Discounted Cash Flow(11) |  | 17.00 | % |  | 0.43
Borrowings from the FHLB | 1,286,000 |  |  | 1,286,000 |  |  | 1,286,664 |  |  | Discounted Cash Flow |  | 2.55 | % |  | 2.46
Senior unsecured notes | 1,166,201 |  |  | 1,154,991 |  |  | 1,111,288 |  |  | Broker quotations, pricing services |  | 5.39 | % |  | 4.28
Nonhedge derivatives(1)(8) | 578,971 |  |  | N/A |  |  | 975 |  |  | Counterparty quotations |  | N/A |  |  | 0.25
(1) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded as a component of other comprehensive income (loss) in equity.
(2) | Represents notional outstanding balance of underlying collateral.
(3) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded in current period earnings.
(4) | Fair value for floating rate mortgage loan receivables, held for investment is estimated to approximate the outstanding face amount given the short interest rate reset risk (30 days) and no significant change in credit risk. Fair value for fixed rate mortgage loan receivables, held for investment is measured using a discounted cash flow.
(5) | Fair value is estimated to equal par value.
(6) | Fair value for mortgage loan receivables, held for sale is measured using a hypothetical securitization model utilizing market data from recent securitization spreads and pricing.
(7) | Fair value of the FHLB stock approximates outstanding face amount as the Company’s captive insurance subsidiary is restricted from trading the stock and can only put the stock back to the FHLB, at the FHLB’s discretion, at par.
(8) | The outstanding face amount of the nonhedge derivatives represents the notional amount of the underlying contracts.
(9) | Fair value for repurchase agreement liabilities and CLO debt is estimated to approximate carrying amount primarily due to the short interest rate reset risk (30 days) of the financings and the high credit quality of the assets collateralizing these positions. If the collateral is determined to be impaired, the related financing would be revalued accordingly. There are no impairments on any positions.
(10) | For repurchase agreements - long term and mortgage loan financing, the carrying value approximates the fair value discounting the expected cash flows at current market rates. If the collateral is determined to be impaired, the related financing would be revalued accordingly. There are no impairments on any positions.
(11) | Fair value for Participation Financing - Mortgage Loan Receivable approximates amortized cost as this is a loan participation to a third party.
Summary of financial assets and liabilities, both reported at fair value on a recurring basis or amortized cost/par | The following table summarizes the Company’s financial assets and liabilities, which are both reported at fair value on a recurring basis (as indicated) or amortized cost/par, at March 31, 2019 and December 31, 2018 ($ in thousands): March 31, 2019
Financial Instruments Reported at Fair Value on Consolidated Statements of Financial Condition |  | Outstanding Face Amount |  | Fair Value
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CMBS(1) |  | $ | 1,463,281 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,469,978 |  |  | $ | 1,469,978 |
CMBS interest-only(1) |  | 2,425,377 |  | (2) | — |  |  | — |  |  | 52,664 |  |  | 52,664 |
GNMA interest-only(3) |  | 123,684 |  | (2) | — |  |  | — |  |  | 2,491 |  |  | 2,491 |
Agency securities(1) |  | 660 |  |  | — |  |  | — |  |  | 661 |  |  | 661 |
GNMA permanent securities(1) |  | 32,346 |  |  | — |  |  | — |  |  | 33,006 |  |  | 33,006 |
Corporate bonds(1) |  | 36,441 |  |  | — |  |  | — |  |  | 36,609 |  |  | 36,609 |
Equity securities |  | N/A |  |  | 11,151 |  |  | — |  |  | — |  |  | 11,151 |
Nonhedge derivatives(4) |  | 454,571 |  |  | — |  |  | 1,632 |  |  | — |  |  | 1,632 |
|  |  |  | $ | 11,151 |  |  | $ | 1,632 |  |  | $ | 1,595,409 |  |  | $ | 1,608,192 |
Financial Instruments Not Reported at Fair Value on Consolidated Statements of Financial Condition |  | Outstanding Face Amount |  | Fair Value
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |
Mortgage loan receivable held for investment, net, at amortized cost: |  |  |  |  |  |  |  |  |  |
Mortgage loans held by consolidated subsidiaries |  | $ | 3,321,828 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,311,885 |  |  | $ | 3,311,885 |
Mortgage loans transferred but not considered sold |  | 15,350 |  |  | — |  |  | — |  |  | 15,504 |  |  | 15,504 |
Provision for loan losses |  | N/A |  |  | — |  |  | — |  |  | (18,200 | ) |  | (18,200 | )
Mortgage loan receivable held for sale |  | 189,334 |  |  | — |  |  | — |  |  | 202,363 |  |  | 202,363 |
CMBS(5) |  | 12,188 |  |  | — |  |  | — |  |  | 11,662 |  |  | 11,662 |
CMBS interest-only(5) |  | 11,166 |  | (2) | — |  |  | — |  |  | 906 |  |  | 906 |
FHLB stock |  | 61,619 |  |  | — |  |  | — |  |  | 61,619 |  |  | 61,619 |
|  |  |  | $ | — |  |  | $ | — |  |  | $ | 3,585,739 |  |  | $ | 3,585,739 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements - short-term |  | 804,986 |  |  | $ | — |  |  | $ | — |  |  | $ | 804,986 |  |  | $ | 804,986 |
Repurchase agreements - long-term |  | 225,096 |  |  | — |  |  | — |  |  | 225,096 |  |  | 225,096 |
Mortgage loan financing |  | 734,319 |  |  | — |  |  | — |  |  | 740,221 |  |  | 740,221 |
CLO debt |  | 497,334 |  |  | — |  |  | — |  |  | 497,334 |  |  | 497,334 |
Participation Financing - Mortgage Loan Receivable |  | 2,393 |  |  | — |  |  | — |  |  | 2,393 |  |  | 2,393 |
Borrowings from the FHLB |  | 1,291,449 |  |  | — |  |  | — |  |  | 1,295,087 |  |  | 1,295,087 |
Senior unsecured notes |  | 1,166,201 |  |  | — |  |  | — |  |  | 1,167,074 |  |  | 1,167,074 |
Liability for transfers not considered sales |  | 15,840 |  |  | — |  |  | — |  |  | 15,840 |  |  | 15,840 |
|  |  |  | $ | — |  |  | $ | — |  |  | $ | 4,748,031 |  |  | $ | 4,748,031 |
(1) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded as a component of other comprehensive income (loss) in equity.
(2) | Represents notional outstanding balance of underlying collateral.
(3) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded in current period earnings.
(4) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded in current period earnings. The outstanding face amount of the nonhedge derivatives represents the notional amount of the underlying contracts.
(5) | Restricted securities which are designated as risk retention securities under the Dodd-Frank Act and are therefore subject to transfer restrictions over the term of the securitization trust, which are classified as held-to-maturity and reported at amortized cost.
December 31, 2018
Financial Instruments Reported at Fair Value on Consolidated Statements of Financial Condition |  | Outstanding Face Amount |  | Fair Value
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CMBS(1) |  | $ | 1,246,609 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,241,334 |  |  | $ | 1,241,334 |
CMBS interest-only(1) |  | 2,362,747 |  | (2) | — |  |  | — |  |  | 54,789 |  |  | 54,789 |
GNMA interest-only(3) |  | 135,932 |  | (2) | — |  |  | — |  |  | 2,648 |  |  | 2,648 |
Agency securities(1) |  | 668 |  |  | — |  |  | — |  |  | 662 |  |  | 662 |
GNMA permanent securities(1) |  | 32,633 |  |  | — |  |  | — |  |  | 33,064 |  |  | 33,064 |
Corporate bonds(1) |  | 55,305 |  |  | — |  |  | — |  |  | 53,871 |  |  | 53,871 |
Equity securities |  | N/A |  |  | 11,550 |  |  | — |  |  | — |  |  | 11,550 |
|  |  |  | $ | 11,550 |  |  | $ | — |  |  | $ | 1,386,368 |  |  | $ | 1,397,918 |
Liabilities: |  |  |  |  |  |  |  |  |  |
Nonhedge derivatives(4) |  | $ | 605,871 |  |  | $ | — |  |  | $ | 975 |  |  | $ | — |  |  | $ | 975 |
Financial Instruments Not Reported at Fair Value on Consolidated Statements of Financial Condition |  | Outstanding Face Amount |  | Fair Value
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |
Mortgage loan receivable held for investment, net, at amortized cost: |  |  |  |  |  |  |  |  |  |
Mortgage loans held by consolidated subsidiaries |  | $ | 3,340,381 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,324,588 |  |  | $ | 3,324,588 |
Provision for loan losses |  | N/A |  |  | — |  |  | — |  |  | (17,900 | ) |  | (17,900 | )
Mortgage loan receivables held for sale |  | 181,905 |  |  | — |  |  | — |  |  | 187,870 |  |  | 187,870 |
CMBS(5) |  | 12,210 |  |  | — |  |  | — |  |  | 11,306 |  |  | 11,306 |
CMBS interest-only(5) |  | 11,189 |  | (2) | — |  |  | — |  |  | 902 |  |  | 902 |
FHLB stock |  | 57,915 |  |  | — |  |  | — |  |  | 57,915 |  |  | 57,915 |
|  |  |  | $ | — |  |  | $ | — |  |  | $ | 3,564,681 |  |  | $ | 3,564,681 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements - short-term |  | 436,957 |  |  | $ | — |  |  | $ | — |  |  | $ | 436,957 |  |  | $ | 436,957 |
Repurchase agreements - long-term |  | 226,728 |  |  | — |  |  | — |  |  | 226,728 |  |  | 226,728 |
Mortgage loan financing |  | 738,825 |  |  | — |  |  | — |  |  | 735,662 |  |  | 735,662 |
CLO debt |  | 601,543 |  |  | — |  |  | — |  |  | 601,543 |  |  | 601,543 |
Participation Financing - Mortgage Loan Receivable |  | 2,453 |  |  | — |  |  | — |  |  | 2,453 |  |  | 2,453 |
Borrowings from the FHLB |  | 1,286,000 |  |  | — |  |  | — |  |  | 1,286,664 |  |  | 1,286,664 |
Senior unsecured notes |  | 1,166,201 |  |  | — |  |  | — |  |  | 1,111,288 |  |  | 1,111,288 |
|  |  |  | $ | — |  |  | $ | — |  |  | $ | 4,401,295 |  |  | $ | 4,401,295 |
(1) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded as a component of other comprehensive income (loss) in equity.
(2) | Represents notional outstanding balance of underlying collateral.
(3) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded in current period earnings.
(4) | Measured at fair value on a recurring basis with the net unrealized gains or losses recorded in current period earnings. The outstanding face amount of the nonhedge derivatives represents the notional amount of the underlying contracts.
(5) | Restricted securities which are designated as risk retention securities under the Dodd-Frank Act and are therefore subject to transfer restrictions over the term of the securitization trust, which are classified as held-to-maturity and reported at amortized cost.
Schedule of changes in Level 3 of financial instruments | The following table summarizes changes in Level 3 financial instruments reported at fair value on the consolidated statements of financial condition for the three months ended March 31, 2019 and 2018 ($ in thousands):
|  | Three Months Ended March 31,
Level 3 |  | 2019 |  | 2018
Balance at January 1, |  | $ | 1,385,957 |  |  | $ | 1,106,517 |
Transfer from level 2 |  | — |  |  | — |
Purchases |  | 431,107 |  |  | 135,058 |
Sales |  | (210,279 | ) |  | (122,356 | )
Paydowns/maturities |  | (24,166 | ) |  | (2,954 | )
Amortization of premium/discount |  | (3,191 | ) |  | (6,407 | )
Unrealized gain/(loss) |  | 13,203 |  |  | (8,654 | )
Realized gain/(loss) on sale(1) |  | 2,778 |  |  | (1,099 | )
Balance at March 31, |  | $ | 1,595,409 |  |  | $ | 1,100,105 |
(1) | Includes realized losses on securities recorded as other than temporary impairments.
Schedule of quantitative information | The following is quantitative information about significant unobservable inputs in our Level 3 measurements for those assets and liabilities measured at fair value on a recurring basis ($ in thousands): March 31, 2019
Financial Instrument |  | Carrying Value |  | Valuation Technique |  | Unobservable Input |  | Minimum |  | Weighted Average |  | Maximum
CMBS(1) |  | $ | 1,481,640 |  |  | Discounted cash flow |  | Yield (4) |  | — | % |  | 3.38 | % |  | 21.32 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.00 |  |  | 2.16 |  |  | 8.05 |
CMBS interest-only(1) |  | 53,570 |  | (2) | Discounted cash flow |  | Yield (4) |  | 0.62 | % |  | 4.61 | % |  | 7.87 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.10 |  |  | 2.88 |  |  | 6.67 |
|  |  |  |  |  | Prepayment speed (CPY)(5) |  | 100.00 |  |  | 100.00 |  |  | 100.00 |
GNMA interest-only(3) |  | 2,491 |  | (2) | Discounted cash flow |  | Yield (4) |  | 2.11 | % |  | 8.30 | % |  | 10.13 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.04 |  |  | 3.07 |  |  | 5.06 |
|  |  |  |  |  | Prepayment speed (CPJ)(5) |  | 5.00 |  |  | 6.64 |  |  | 15.00 |
Agency securities(1) |  | 661 |  |  | Discounted cash flow |  | Yield (4) |  | — | % |  | 1.89 | % |  | 2.51 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.00 |  |  | 2.71 |  |  | 3.61 |
GNMA permanent securities(1) |  | 33,006 |  |  | Discounted cash flow |  | Yield (4) |  | — | % |  | 3.38 | % |  | 3.92 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.00 |  |  | 5.46 |  |  | 5.68 |
Corporate bonds(1) |  | 36,609 |  |  | Discounted cash flow |  | Yield (4) |  | 3.54 | % |  | 3.58 | % |  | 3.82 | %
|  |  |  |  |  | Duration (years)(5) |  | 1.52 |  |  | 1.62 |  |  | 2.27 |
Total |  | $ | 1,607,977 |  |  |  |  |  |  |  |  |  |  |
(1) | CMBS, CMBS interest-only securities, Agency securities, GNMA construction securities, GNMA permanent securities and corporate bonds 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) | The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate.
(3) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings.
Sensitivity of the Fair Value to Changes in the Unobservable Inputs
(4) | Significant increase (decrease) in the unobservable input in isolation would result in significantly lower (higher) fair value measurement.
(5) | Significant increase (decrease) in the unobservable input in isolation would result in either a significantly lower or higher (lower or higher) fair value measurement depending on the structural features of the security in question.
December 31, 2018
Financial Instrument |  | Carrying Value |  | Valuation Technique |  | Unobservable Input |  | Minimum |  | Weighted Average |  | Maximum
CMBS(1) |  | $ | 1,252,640 |  |  | Discounted cash flow |  | Yield (3) |  | — | % |  | 3.54 | % |  | 21.67 | %
|  |  |  |  |  | Duration (years)(4) |  | 0.00 |  |  | 2.50 |  |  | 7.78 |
CMBS interest-only(1) |  | 55,691 |  | (2) | Discounted cash flow |  | Yield (3) |  | 0.87 | % |  | 4.71 | % |  | 8.11 | %
|  |  |  |  |  | Duration (years)(4) |  | 0.14 |  |  | 2.96 |  |  | 6.86 |
|  |  |  |  |  | Prepayment speed (CPY)(4) |  | 100.00 |  |  | 100.00 |  |  | 100.00 |
GNMA interest-only(3) |  | 2,648 |  | (2) | Discounted cash flow |  | Yield (4) |  | 1.21 | % |  | 5.54 | % |  | 10.21 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.04 |  |  | 3.13 |  |  | 4.77 |
|  |  |  |  |  | Prepayment speed (CPJ)(5) |  | 5.00 |  |  | 6.58 |  |  | 15.00 |
Agency securities(1) |  | 662 |  |  | Discounted cash flow |  | Yield (4) |  | — | % |  | 2.1 | % |  | 2.84 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.00 |  |  | 2.83 |  |  | 3.82 |
GNMA permanent securities(1) |  | 33,064 |  |  | Discounted cash flow |  | Yield (4) |  | — | % |  | 3.51 | % |  | 4 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.00 |  |  | 5.62 |  |  | 5.88 |
Corporate bonds(1) |  | 53,871 |  |  | Discounted cash flow |  | Yield (4) |  | 5.3 | % |  | 5.35 | % |  | 5.46 | %
|  |  |  |  |  | Duration (years)(5) |  | 1.94 |  |  | 2.19 |  |  | 2.70 |
Total |  | $ | 1,398,576 |  |  |  |  |  |  |  |  |  |  |
(1) | CMBS, CMBS interest-only securities, Agency securities, GNMA construction securities, GNMA permanent securities and corporate bonds 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) | The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate.
(3) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings.
Sensitivity of the Fair Value to Changes in the Unobservable Inputs
(4) | Significant increase (decrease) in the unobservable input in isolation would result in significantly lower (higher) fair value measurement.
(5) | Significant increase (decrease) in the unobservable input in isolation would result in either a significantly lower or higher (lower or higher) fair value measurement depending on the structural features of the security in question.
Fair Value Measurements, Nonrecurring [Table Text Block] | The following table summarizes assets carried at fair value on a nonrecurring basis, measured at the time of impairment ($ in thousands):
| March 31, 2019
Level 1 |  | Level 2 |  | Level 3 |  | Total
Real estate, net(1)(2) | $ | — |  |  | $ | 1,748 |  |  | $ | — |  |  | $ | 1,748 |
(1) | The write down to fair value was recorded based on contracted sales price and classified as Level 2 of the fair valuation hierarchy. On May 1, 2019, the Company completed the sale of the property recognizing $3.9 million of operating lease income, $3.5 million realized loss on sale of real estate, net and $0.4 million of depreciation and amortization expense, resulting in a $20 thousand loss on sale of real estate, net.
(2) | There were no assets carried at fair value on a nonrecurring basis at December 31, 2018.
The following table summarizes the fair value write-downs to assets carried at fair value on a nonrecurring basis ($ in thousands):
| Three Months Ended March 31,
| 2019 |  | 2018
Impairment of real estate |  |  |
Real estate, net(1)(2) | $ | 1,350 |  |  | $ | — |
(1) | The write down to fair value was recorded based on contracted sales price and classified as Level 2 of the fair valuation hierarchy. On May 1, 2019, the Company completed the sale of the property recognizing $3.9 million of operating lease income, $3.5 million realized loss on sale of real estate, net and $0.4 million of depreciation and amortization expense, resulting in a $20 thousand loss on sale of real estate, net.
(2) | Impairment is discussed in further detail in Note 6, Real Estate and Related Lease Intangibles, Net.

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