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REAL ESTATE SECURITIES (Tables) | 3 Months Ended
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Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract] |
Summary of securities which are classified as available-for-sale | The following is a summary of the Company’s securities at March 31, 2020 and December 31, 2019 ($ in thousands): March 31, 2020
|  |  |  |  |  | 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) |  | $ | 1,943,507 |  |  | $ | 1,943,359 |  |  | $ | 1,476 |  |  | $ | (76,686 | ) |  | $ | 1,868,149 |  | (3) | 127 |  |  | AAA |  | 2.20 | % |  | 2.21 | % |  | 2.31
CMBS interest-only(2)(4) |  | 1,550,358 |  |  | 26,800 |  |  | 1,044 |  |  | (9 | ) |  | 27,835 |  | (5) | 15 |  |  | AAA |  | 0.60 | % |  | 2.99 | % |  | 2.46
GNMA interest-only(4)(6) |  | 105,009 |  |  | 1,661 |  |  | 139 |  |  | (193 | ) |  | 1,607 |  |  | 11 |  |  | AA+ |  | 0.46 | % |  | 4.86 | % |  | 3.05
Agency securities(2) |  | 621 |  |  | 631 |  |  | 2 |  |  | (5 | ) |  | 628 |  |  | 2 |  |  | AA+ |  | 2.63 | % |  | 1.70 | % |  | 1.70
GNMA permanent securities(2) |  | 31,159 |  |  | 31,345 |  |  | 866 |  |  | — |  |  | 32,211 |  |  | 6 |  |  | AA+ |  | 3.90 | % |  | 3.50 | % |  | 2.61
Total debt securities |  | $ | 3,630,654 |  |  | $ | 2,003,796 |  |  | $ | 3,527 |  |  | $ | (76,893 | ) |  | $ | 1,930,430 |  |  | 161 |  |  |  |  | 1.48 | % |  | 2.25 | % |  | 2.32
Equity securities(7) |  | N/A |  |  | 598 |  |  | — |  |  | (401 | ) |  | 197 |  |  | 3 |  |  | N/A |  | N/A |  |  | N/A |  |  | N/A
Provision for current expected credit losses |  | N/A |  |  | — |  |  | — |  |  | (22 | ) |  | (22 | ) |  |  |  |  |  |  |  |  |  |
Total real estate securities |  | $ | 3,630,654 |  |  | $ | 2,004,394 |  |  | $ | 3,527 |  |  | $ | (77,316 | ) |  | $ | 1,930,605 |  |  | 164 |  |  |  |  |  |  |  |  |
(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 $11.6 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 $0.8 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, 2019
|  |  |  |  |  | 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) |  | $ | 1,640,597 |  |  | $ | 1,640,905 |  |  | $ | 4,337 |  |  | $ | (920 | ) |  | $ | 1,644,322 |  | (3) | 125 |  |  | AAA |  | 3.06 | % |  | 3.08 | % |  | 2.41
CMBS interest-only(2)(4) |  | 1,559,160 |  |  | 28,553 |  |  | 630 |  |  | (37 | ) |  | 29,146 |  | (5) | 15 |  |  | AAA |  | 0.60 | % |  | 3.04 | % |  | 2.53
GNMA interest-only(4)(6) |  | 109,783 |  |  | 1,982 |  |  | 123 |  |  | (254 | ) |  | 1,851 |  |  | 11 |  |  | AA+ |  | 0.49 | % |  | 4.59 | % |  | 2.77
Agency securities(2) |  | 629 |  |  | 640 |  |  | 1 |  |  | (4 | ) |  | 637 |  |  | 2 |  |  | AA+ |  | 2.65 | % |  | 1.73 | % |  | 1.83
GNMA permanent securities(2) |  | 31,461 |  |  | 31,681 |  |  | 688 |  |  | — |  |  | 32,369 |  |  | 6 |  |  | AA+ |  | 3.91 | % |  | 3.17 | % |  | 1.93
Total debt securities |  | $ | 3,341,630 |  |  | $ | 1,703,761 |  |  | $ | 5,779 |  |  | $ | (1,215 | ) |  | $ | 1,708,325 |  |  | 159 |  |  |  |  | 1.84 | % |  | 3.06 | % |  | 2.39
Equity securities(7) |  | N/A |  |  | 12,848 |  |  | 292 |  |  | (160 | ) |  | 12,980 |  |  | 2 |  |  | N/A |  | N/A |  |  | N/A |  |  | N/A
Total real estate securities |  | $ | 3,341,630 |  |  | $ | 1,716,609 |  |  | $ | 6,071 |  |  | $ | (1,375 | ) |  | $ | 1,721,305 |  |  | 161 |  |  |  |  |  |  |  |  |
(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 $11.6 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 $0.8 million of restricted securities which are designated as risk retention securities under the Dodd-Frank Act and are therefore subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost.
(6) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings. The Company’s Agency interest-only securities are considered to be hybrid financial instruments that contain embedded derivatives. As a result, the Company accounts for them as hybrid instruments in their entirety at fair value with changes in fair value recognized in unrealized gain (loss) on Agency interest-only securities in the consolidated statements of income in accordance with ASC 815.
(7) The Company has elected to account for equity securities at fair value with changes in fair value recorded in current period earnings.
Schedule of fair value of the Company's securities by remaining maturity based upon expected cash flows | The following is a breakdown of the carrying value of the Company’s debt securities by remaining maturity based upon expected cash flows at March 31, 2020 and December 31, 2019 ($ in thousands): March 31, 2020
Asset Type |  | Within 1 year |  | 1-5 years |  | 5-10 years |  | After 10 years |  | Total
CMBS |  | $ | 262,830 |  |  | $ | 1,552,917 |  |  | $ | 52,402 |  |  | $ | — |  |  | $ | 1,868,149 |
CMBS interest-only |  | 1,151 |  |  | 26,684 |  |  | — |  |  | — |  |  | 27,835 |
GNMA interest-only |  | 135 |  |  | 1,189 |  |  | 283 |  |  | — |  |  | 1,607 |
Agency securities |  | — |  |  | 628 |  |  | — |  |  | — |  |  | 628 |
GNMA permanent securities |  | 324 |  |  | 31,887 |  |  | — |  |  | — |  |  | 32,211 |
Total debt securities |  | $ | 264,440 |  |  | $ | 1,613,305 |  |  | $ | 52,685 |  |  | $ | — |  |  | $ | 1,930,430 |
December 31, 2019
Asset Type |  | Within 1 year |  | 1-5 years |  | 5-10 years |  | After 10 years |  | Total
CMBS |  | $ | 177,193 |  |  | $ | 1,389,392 |  |  | $ | 77,737 |  |  | $ | — |  |  | $ | 1,644,322 |
CMBS interest-only |  | 1,439 |  |  | 27,707 |  |  | — |  |  | — |  |  | 29,146 |
GNMA interest-only |  | 91 |  |  | 1,504 |  |  | 256 |  |  | — |  |  | 1,851 |
Agency securities |  | — |  |  | 637 |  |  | — |  |  | — |  |  | 637 |
GNMA permanent securities |  | 416 |  |  | 31,953 |  |  | — |  |  | — |  |  | 32,369 |
Total debt securities |  | $ | 179,139 |  |  | $ | 1,451,193 |  |  | $ | 77,993 |  |  | $ | — |  |  | $ | 1,708,325 |

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