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FAIR VALUE OF FINANCIAL INSTRUMENTS | 3 Months Ended
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Mar. 31, 2019
Fair Value Disclosures [Abstract] |
FAIR VALUE OF FINANCIAL INSTRUMENTS | 9. FAIR VALUE OF FINANCIAL INSTRUMENTS Fair value is based upon internal models, using market quotations, broker quotations, counterparty quotations or pricing services quotations, which provide valuation estimates based upon reasonable market order indications and are subject to significant variability based on market conditions, such as interest rates, credit spreads and market liquidity. The fair value of the mortgage loan receivables held for sale is based upon a securitization model utilizing market data from recent securitization spreads and pricing. Fair Value Summary Table 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.
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.
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.
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.
Nonrecurring Fair Values The Company measures fair value of certain assets on a nonrecurring basis when events or changes in circumstances indicate that the carrying value of the assets may not be recoverable. Adjustments to fair value generally result from the application of lower of amortized cost or fair value accounting for assets held for sale or write-down of assets value due to impairment. 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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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI http://asc.fasb.org/topic&trid=2155941 + Details
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