XML 25 R12.htm IDEA: XBRL DOCUMENT
v3.19.1

REAL ESTATE SECURITIES | 3 Months Ended
--- | ---
Mar. 31, 2019
Investments, Debt and Equity Securities [Abstract] |
REAL ESTATE SECURITIES | 5. REAL ESTATE SECURITIES Commercial mortgage backed securities (“CMBS”), CMBS interest-only securities, Agency securities, Government National Mortgage Association (“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. 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. Equity securities are classified as available-for-sale and reported at fair value with changes in fair value recorded in current period earnings. The following is a summary of the Company’s securities at March 31, 2019 and December 31, 2018 ($ in thousands): March 31, 2019
|  |  |  |  |  | Gross Unrealized |  |  |  |  |  | Weighted Average
Asset Type |  | Outstanding Face Amount |  | Amortized Cost Basis/Purchase Price |  | Gains |  | Losses |  | Carrying Value |  | # of Securities |  | Rating (1) |  | Coupon % |  | Yield % |  | Remaining Duration (years)
CMBS(2) |  | $ | 1,475,469 |  |  | $ | 1,475,900 |  |  | $ | 7,504 |  |  | $ | (1,764 | ) |  | $ | 1,481,640 |  | (3) | 153 |  |  | AAA |  | 3.44 | % |  | 3.28 | % |  | 2.50
CMBS interest-only(2)(4) |  | 2,436,543 |  |  | 52,682 |  |  | 933 |  |  | (45 | ) |  | 53,570 |  | (5) | 20 |  |  | AAA |  | 0.69 | % |  | 3.56 | % |  | 2.60
GNMA interest-only(4)(6) |  | 123,684 |  |  | 2,694 |  |  | 107 |  |  | (310 | ) |  | 2,491 |  |  | 12 |  |  | AA+ |  | 0.53 | % |  | 9.09 | % |  | 2.56
Agency securities(2) |  | 660 |  |  | 673 |  |  | — |  |  | (12 | ) |  | 661 |  |  | 2 |  |  | AA+ |  | 2.71 | % |  | 1.81 | % |  | 2.24
GNMA permanent securities(2) |  | 32,346 |  |  | 32,592 |  |  | 424 |  |  | (10 | ) |  | 33,006 |  |  | 6 |  |  | AA+ |  | 3.94 | % |  | 3.75 | % |  | 4.87
Corporate bonds(2) |  | 36,441 |  |  | 35,682 |  |  | 927 |  |  | — |  |  | 36,609 |  |  | 2 |  |  | BB- |  | 3.80 | % |  | 5.00 | % |  | 1.88
Total debt securities |  | $ | 4,105,143 |  |  | $ | 1,600,223 |  |  | $ | 9,895 |  |  | $ | (2,141 | ) |  | $ | 1,607,977 |  |  | 195 |  |  |  |  | 1.73 | % |  | 3.33 | % |  | 2.52
Equity securities(7) |  | N/A |  |  | 10,678 |  |  | 503 |  |  | (30 | ) |  | 11,151 |  |  | 2 |  |  | N/A |  | N/A |  |  | N/A |  |  | N/A
Total real estate securities |  | $ | 4,105,143 |  |  | $ | 1,610,901 |  |  | $ | 10,398 |  |  | $ | (2,171 | ) |  | $ | 1,619,128 |  |  | 197 |  |  |  |  |  |  |  |  |
(1) | 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.
(2) | CMBS, CMBS interest-only securities, Agency 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.
(3) | Includes $11.7 million of 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 and are classified as held-to-maturity and reported at amortized cost.
(4) | The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate.
(5) | Includes $0.9 million of 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 and are classified as held-to-maturity and reported at amortized cost.
(6) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings. The Company’s Agency interest-only securities are considered to be hybrid financial instruments that contain embedded derivatives. As a result, the Company has elected to account for them as hybrid instruments in their entirety at fair value with changes in fair value recognized in unrealized gain (loss) on Agency interest-only securities in the consolidated statements of income in accordance with ASC 815.
(7) | The Company has elected to account for equity securities at fair value with changes in fair value recorded in current period earnings.
December 31, 2018
|  |  |  |  |  | Gross Unrealized |  |  |  |  |  | Weighted Average
Asset Type |  | Outstanding Face Amount |  | Amortized Cost Basis |  | Gains |  | Losses |  | Carrying Value |  | # of Securities |  | Rating (1) |  | Coupon % |  | Yield % |  | Remaining Duration (years)
CMBS(2) |  | $ | 1,258,819 |  |  | $ | 1,257,801 |  |  | $ | 2,477 |  |  | $ | (7,638 | ) |  | $ | 1,252,640 |  | (3) | 138 |  |  | AAA |  | 3.32 | % |  | 3.14 | % |  | 2.33
CMBS interest-only(2)(4) |  | 2,373,936 |  |  | 55,534 |  |  | 428 |  |  | (271 | ) |  | 55,691 |  | (5) | 19 |  |  | AAA |  | 0.57 | % |  | 2.80 | % |  | 2.69
GNMA interest-only(4)(6) |  | 135,932 |  |  | 2,862 |  |  | 93 |  |  | (307 | ) |  | 2,648 |  |  | 12 |  |  | AA+ |  | 0.51 | % |  | 6.30 | % |  | 4.11
Agency securities(2) |  | 668 |  |  | 682 |  |  | — |  |  | (20 | ) |  | 662 |  |  | 2 |  |  | AA+ |  | 2.73 | % |  | 1.83 | % |  | 2.36
GNMA permanent securities(2) |  | 32,633 |  |  | 32,889 |  |  | 420 |  |  | (245 | ) |  | 33,064 |  |  | 6 |  |  | AA+ |  | 3.94 | % |  | 3.76 | % |  | 5.03
Corporate bonds(2) |  | 55,305 |  |  | 54,257 |  |  | — |  |  | (386 | ) |  | 53,871 |  |  | 2 |  |  | BB |  | 4.08 | % |  | 5.04 | % |  | 2.51
Total debt securities |  | $ | 3,857,293 |  |  | $ | 1,404,025 |  |  | $ | 3,418 |  |  | $ | (8,867 | ) |  | $ | 1,398,576 |  |  | 179 |  |  |  |  | 1.54 | % |  | 3.19 | % |  | 2.40
Equity securities(7) |  | N/A |  |  | 13,154 |  |  | — |  |  | (1,604 | ) |  | 11,550 |  |  | 3 |  |  | N/A |  | N/A |  |  | N/A |  |  | N/A
Total real estate securities |  | $ | 3,857,293 |  |  | $ | 1,417,179 |  |  | $ | 3,418 |  |  | $ | (10,471 | ) |  | $ | 1,410,126 |  |  | 182 |  |  |  |  |  |  |  |  |
(1) | 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.
(2) | CMBS, CMBS interest-only securities, Agency 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.
(3) | Includes $11.3 million of 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 and are classified as held-to-maturity and reported at amortized cost.
(4) | The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate.
(5) | Includes $0.9 million of restricted securities which are designated as risk retention securities under the Dodd-Frank Act and are therefore subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost.
(6) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings. The Company’s Agency interest-only securities are considered to be hybrid financial instruments that contain embedded derivatives. As a result, the Company accounts for them as hybrid instruments in their entirety at fair value with changes in fair value recognized in unrealized gain (loss) on Agency interest-only securities in the consolidated statements of income in accordance with ASC 815.
(7) | The Company has elected to account for equity securities at fair value with changes in fair value recorded in current period earnings.
The following is a breakdown of the carrying value of the Company’s debt securities by remaining maturity based upon expected cash flows at March 31, 2019 and December 31, 2018 ($ in thousands): March 31, 2019
Asset Type |  | Within 1 year |  | 1-5 years |  | 5-10 years |  | After 10 years |  | Total
CMBS(1) |  | $ | 361,036 |  |  | $ | 922,789 |  |  | $ | 197,815 |  |  | $ | — |  |  | $ | 1,481,640 |
CMBS interest-only(1) |  | 1,191 |  |  | 52,379 |  |  | — |  |  | — |  |  | 53,570 |
GNMA interest-only(2) |  | 329 |  |  | 1,929 |  |  | 232 |  |  | 1 |  |  | 2,491 |
Agency securities(1) |  | — |  |  | 661 |  |  | — |  |  | — |  |  | 661 |
GNMA permanent securities(1) |  | 483 |  |  | 6,822 |  |  | 25,701 |  |  | — |  |  | 33,006 |
Corporate bonds(1) |  | — |  |  | 36,609 |  |  | — |  |  | — |  |  | 36,609 |
Total debt securities |  | $ | 363,039 |  |  | $ | 1,021,189 |  |  | $ | 223,748 |  |  | $ | 1 |  |  | $ | 1,607,977 |
(1) | CMBS, CMBS interest-only securities, Agency 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) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings.
December 31, 2018
Asset Type |  | Within 1 year |  | 1-5 years |  | 5-10 years |  | After 10 years |  | Total
CMBS(1) |  | $ | 342,121 |  |  | $ | 772,594 |  |  | $ | 137,925 |  |  | $ | — |  |  | $ | 1,252,640 |
CMBS interest-only(1) |  | 1,145 |  |  | 54,546 |  |  | — |  |  | — |  |  | 55,691 |
GNMA interest-only(2) |  | 17 |  |  | 2,276 |  |  | 353 |  |  | 2 |  |  | 2,648 |
Agency securities(1) |  | — |  |  | 662 |  |  | — |  |  | — |  |  | 662 |
GNMA permanent securities(1) |  | 551 |  |  | 1,048 |  |  | 31,465 |  |  | — |  |  | 33,064 |
Corporate bonds(1) |  | — |  |  | 53,871 |  |  | — |  |  | — |  |  | 53,871 |
Total debt securities |  | $ | 343,834 |  |  | $ | 884,997 |  |  | $ | 169,743 |  |  | $ | 2 |  |  | $ | 1,398,576 |
(1) | CMBS, CMBS interest-only securities, Agency 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) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings.
During the three months ended March 31, 2019, the Company realized a gain (loss) on sale of equity securities of $86.9 thousand which is included in realized gain (loss) on securities on the Company’s consolidated statements of income. There were no sales of equity securities during the three months ended March 31, 2018. There were no realized losses on securities recorded as other than temporary impairments for the three months ended March 31, 2019. During the three months ended March 31, 2018 there were $1.0 million of realized losses on securities recorded as other than temporary impairments, which is included in realized gain (loss) on securities on the Company’s consolidated statements of income. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. Consideration is given to (i) the length of time and the extent to which the fair value has been less than amortized cost, (ii) the financial condition and near-term prospects of recovery in fair value of the security, and (iii) the Company’s intent to sell the security and whether it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. The Company has no intention to sell its securities before recovery of its amortized cost basis. For cash flow statement purposes, receipts of interest from interest-only real estate securities are bifurcated between amortization of premium/(accretion) of discount and other fees on securities as part of cash flows from operations and basis recovery of Agency interest-only securities as part of cash flows from investing activities.

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration