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FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables) | 3 Months Ended
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Mar. 31, 2020
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, 2020 and December 31, 2019 are as follows ($ in thousands): March 31, 2020
|  |  |  |  |  |  |  |  | Weighted Average
| Outstanding Face Amount |  | Amortized Cost Basis/Purchase Price |  | Fair Value |  | Fair Value Method |  | Yield % |  | Remaining Maturity/Duration (years)
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CMBS(1) | $ | 1,943,507 |  |  | $ | 1,943,359 |  |  | $ | 1,868,149 |  |  | Internal model, third-party inputs |  | 2.21 | % |  | 2.31
CMBS interest-only(1) | 1,550,358 |  | (2) | 26,800 |  |  | 27,835 |  |  | Internal model, third-party inputs |  | 2.99 | % |  | 2.46
GNMA interest-only(3) | 105,009 |  | (2) | 1,661 |  |  | 1,607 |  |  | Internal model, third-party inputs |  | 4.86 | % |  | 3.05
Agency securities(1) | 621 |  |  | 631 |  |  | 628 |  |  | Internal model, third-party inputs |  | 1.70 | % |  | 1.70
GNMA permanent securities(1) | 31,159 |  |  | 31,345 |  |  | 32,211 |  |  | Internal model, third-party inputs |  | 3.50 | % |  | 2.61
Equity securities(3) | N/A |  |  | 598 |  |  | 197 |  |  | Observable market prices |  | N/A |  |  | N/A
Provision for current expected credit reserves | N/A |  |  | (22 | ) |  | (22 | ) |  | (5) |  | N/A |  |  | N/A
Mortgage loan receivables held for investment, net, at amortized cost: |  |  |  |  |  |  |  |  |  |  |
Mortgage loan receivables held for investment, net, at amortized cost | 3,453,893 |  |  | 3,432,779 |  |  | 3,447,851 |  |  | Discounted Cash Flow(4) |  | 6.86 | % |  | 1.29
Provision for current expected credit reserves | N/A |  |  | (49,457 | ) |  | (49,457 | ) |  | (5) |  | N/A |  |  | N/A
Mortgage loan receivables held for sale | 154,833 |  |  | 146,713 |  |  | 146,961 |  |  | Internal model, third-party inputs(6) |  | 3.94 | % |  | 9.96
FHLB stock(7) | 61,619 |  |  | 61,619 |  |  | 61,619 |  |  | (7) |  | 4.25 | % |  | N/A
Nonhedge derivatives(1)(8) | 121,400 |  |  | N/A |  |  | 950 |  |  | Counterparty quotations |  | N/A |  |  | 0.25
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements - short-term | 1,626,706 |  |  | 1,626,706 |  |  | 1,626,706 |  |  | Discounted Cash Flow(9) |  | 2.87 | % |  | 0.20
Repurchase agreements - long-term | 100,094 |  |  | 100,094 |  |  | 100,094 |  |  | Discounted Cash Flow(10) |  | 2.48 | % |  | 1.36
Revolving credit facility | 266,430 |  |  | 266,430 |  |  | 266,430 |  |  | Discounted Cash Flow(11) |  | 3.83 | % |  | 0.87
Mortgage loan financing | 801,515 |  |  | 806,153 |  |  | 830,648 |  |  | Discounted Cash Flow(10) |  | 4.90 | % |  | 1.53
Borrowings from the FHLB | 1,007,581 |  |  | 1,007,581 |  |  | 1,012,997 |  |  | Discounted Cash Flow |  | 2.08 | % |  | 1.92
Senior unsecured notes | 1,891,897 |  |  | 1,874,056 |  |  | 1,005,958 |  |  | Broker quotations, pricing services |  | 4.95 | % |  | 4.50
Nonhedge derivatives(1)(8) | 69,571 |  |  | N/A |  |  | — |  |  | Counterparty quotations |  | N/A |  |  | 0.11
(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 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.
December 31, 2019
|  |  |  |  |  |  |  |  | Weighted Average
| Outstanding Face Amount |  | Amortized Cost Basis |  | Fair Value |  | Fair Value Method |  | Yield % |  | Remaining Maturity/Duration (years)
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
CMBS(1) | $ | 1,640,597 |  |  | $ | 1,640,905 |  |  | $ | 1,644,322 |  |  | Internal model, third-party inputs |  | 3.08 | % |  | 2.41
CMBS interest-only(1) | 1,559,160 |  | (2) | 28,553 |  |  | 29,146 |  |  | Internal model, third-party inputs |  | 3.04 | % |  | 2.53
GNMA interest-only(3) | 109,783 |  | (2) | 1,982 |  |  | 1,851 |  |  | Internal model, third-party inputs |  | 4.59 | % |  | 2.77
Agency securities(1) | 629 |  |  | 640 |  |  | 637 |  |  | Internal model, third-party inputs |  | 1.73 | % |  | 1.83
GNMA permanent securities(1) | 31,461 |  |  | 31,681 |  |  | 32,369 |  |  | Internal model, third-party inputs |  | 3.17 | % |  | 1.93
Equity securities(3) | N/A |  |  | 12,848 |  |  | 12,980 |  |  | 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 | 3,277,596 |  |  | 3,257,036 |  |  | 3,273,219 |  |  | Discounted Cash Flow(4) |  | 6.94 | % |  | 1.43
Provision for loan losses | N/A |  |  | (20,500 | ) |  | (20,500 | ) |  | (5) |  | N/A |  |  | N/A
Mortgage loan receivables held for sale | 122,748 |  |  | 122,325 |  |  | 124,989 |  |  | Internal model, third-party inputs(6) |  | 4.20 | % |  | 9.99
FHLB stock(7) | 61,619 |  |  | 61,619 |  |  | 61,619 |  |  | (7) |  | 4.75 | % |  | N/A
Nonhedge derivatives(1)(8) | 340,200 |  |  | N/A |  |  | 693 |  |  | Counterparty quotations |  | N/A |  |  | 0.25
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements - short-term | 1,781,253 |  |  | 1,781,253 |  |  | 1,781,253 |  |  | Discounted Cash Flow(9) |  | 2.50 | % |  | 0.19
Repurchase agreements - long-term | 34,681 |  |  | 34,681 |  |  | 34,681 |  |  | Discounted Cash Flow(10) |  | 2.81 | % |  | 1.41
Mortgage loan financing | 807,854 |  |  | 812,606 |  |  | 838,766 |  |  | Discounted Cash Flow(10) |  | 4.91 | % |  | 1.51
Borrowings from the FHLB | 1,073,500 |  |  | 1,073,500 |  |  | 1,080,354 |  |  | Discounted Cash Flow |  | 2.33 | % |  | 2.08
Senior unsecured notes | 1,166,201 |  |  | 1,157,833 |  |  | 1,208,860 |  |  | Broker quotations, pricing services |  | 5.39 | % |  | 3.28
Nonhedge derivatives(1)(8) | 69,571 |  |  | N/A |  |  | — |  |  | Counterparty quotations |  | N/A |  |  | 0.36
(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 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.
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, 2020 and December 31, 2019 ($ in thousands): March 31, 2020
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) |  | $ | 1,931,411 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,856,559 |  |  | $ | 1,856,559 |
CMBS interest-only(1) |  | 1,539,283 |  | (2) | — |  |  | — |  |  | 27,065 |  |  | 27,065 |
GNMA interest-only(3) |  | 105,009 |  | (2) | — |  |  | — |  |  | 1,607 |  |  | 1,607 |
Agency securities(1) |  | 621 |  |  | — |  |  | — |  |  | 628 |  |  | 628 |
GNMA permanent securities(1) |  | 31,159 |  |  | — |  |  | — |  |  | 32,211 |  |  | 32,211 |
Equity securities |  | N/A |  |  | 197 |  |  | — |  |  | — |  |  | 197 |
Nonhedge derivatives(4) |  | 121,400 |  |  | — |  |  | 950 |  |  | — |  |  | 950 |
|  |  |  | $ | 197 |  |  | $ | 950 |  |  | $ | 1,918,070 |  |  | $ | 1,919,217 |
Liabilities: |  |  |  |  |  |  |  |  |  |
Nonhedge derivatives(4) |  | 69,571 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
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 |  | $ | 3,453,893 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,447,851 |  |  | $ | 3,447,851 |
Provision for current expected credit losses |  | N/A |  |  | — |  |  | — |  |  | (49,457 | ) |  | (49,457 | )
Mortgage loan receivable held for sale |  | 154,833 |  |  | — |  |  | — |  |  | 146,961 |  |  | 146,961 |
CMBS(5) |  | 12,096 |  |  | — |  |  | — |  |  | 11,590 |  |  | 11,590 |
CMBS interest-only(5) |  | 11,075 |  | (2) | — |  |  | — |  |  | 770 |  |  | 770 |
Provision for current expected credit losses |  | N/A |  |  | — |  |  | — |  |  | (22 | ) |  | (22 | )
FHLB stock |  | 61,619 |  |  | — |  |  | — |  |  | 61,619 |  |  | 61,619 |
|  |  |  | $ | — |  |  | $ | — |  |  | $ | 3,619,312 |  |  | $ | 3,619,312 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements - short-term |  | 1,626,706 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,626,706 |  |  | $ | 1,626,706 |
Repurchase agreements - long-term |  | 100,094 |  |  | — |  |  | — |  |  | 100,094 |  |  | 100,094 |
Revolving credit facility |  | 266,430 |  |  | — |  |  | — |  |  | 266,430 |  |  | 266,430 |
Mortgage loan financing |  | 801,515 |  |  | — |  |  | — |  |  | 830,648 |  |  | 830,648 |
Borrowings from the FHLB |  | 1,007,581 |  |  | — |  |  | — |  |  | 1,012,997 |  |  | 1,012,997 |
Senior unsecured notes |  | 1,891,897 |  |  | — |  |  | — |  |  | 1,005,958 |  |  | 1,005,958 |
|  |  |  | $ | — |  |  | $ | — |  |  | $ | 4,842,833 |  |  | $ | 4,842,833 |
(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, 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) |  | $ | 1,628,476 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,632,714 |  |  | $ | 1,632,714 |
CMBS interest-only(1) |  | 1,548,061 |  | (2) | — |  |  | — |  |  | 28,342 |  |  | 28,342 |
GNMA interest-only(3) |  | 109,783 |  | (2) | — |  |  | — |  |  | 1,851 |  |  | 1,851 |
Agency securities(1) |  | 629 |  |  | — |  |  | — |  |  | 637 |  |  | 637 |
GNMA permanent securities(1) |  | 31,461 |  |  | — |  |  | — |  |  | 32,369 |  |  | 32,369 |
Equity securities |  | N/A |  |  | 12,980 |  |  | — |  |  | — |  |  | 12,980 |
Nonhedge derivatives(4) |  | 340,200 |  |  | — |  |  | 693 |  |  | — |  |  | 693 |
|  |  |  | $ | 12,980 |  |  | $ | 693 |  |  | $ | 1,695,913 |  |  | $ | 1,709,586 |
Liabilities: |  |  |  |  |  |  |  |  |  |
Nonhedge derivatives(4) |  | $ | 69,571 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
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 |  | $ | 3,277,597 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,273,219 |  |  | $ | 3,273,219 |
Provision for loan losses |  | N/A |  |  | — |  |  | — |  |  | (20,500 | ) |  | (20,500 | )
Mortgage loan receivables held for sale |  | 122,748 |  |  | — |  |  | — |  |  | 124,989 |  |  | 124,989 |
CMBS(5) |  | 12,121 |  |  | — |  |  | — |  |  | 11,608 |  |  | 11,608 |
CMBS interest-only(5) |  | 11,099 |  | (2) | — |  |  | — |  |  | 804 |  |  | 804 |
FHLB stock |  | 61,619 |  |  | — |  |  | — |  |  | 61,619 |  |  | 61,619 |
|  |  |  | $ | — |  |  | $ | — |  |  | $ | 3,451,739 |  |  | $ | 3,451,739 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Repurchase agreements - short-term |  | 1,781,253 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,781,253 |  |  | $ | 1,781,253 |
Repurchase agreements - long-term |  | 34,681 |  |  | — |  |  | — |  |  | 34,681 |  |  | 34,681 |
Mortgage loan financing |  | 807,854 |  |  | — |  |  | — |  |  | 838,766 |  |  | 838,766 |
Borrowings from the FHLB |  | 1,073,500 |  |  | — |  |  | — |  |  | 1,080,354 |  |  | 1,080,354 |
Senior unsecured notes |  | 1,166,201 |  |  | — |  |  | — |  |  | 1,208,860 |  |  | 1,208,860 |
|  |  |  | $ | — |  |  | $ | — |  |  | $ | 4,943,914 |  |  | $ | 4,943,914 |
(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, 2020 and December 31, 2019 ($ in thousands):
|  | Three Months Ended March 31,
Level 3 |  | 2020 |  | 2019
Balance at January 1, |  | $ | 1,695,913 |  |  | $ | 1,385,957 |
Transfer from level 2 |  | — |  |  | — |
Purchases |  | 437,519 |  |  | 431,107 |
Sales |  | (93,301 | ) |  | (210,279 | )
Paydowns/maturities |  | (43,603 | ) |  | (24,166 | )
Amortization of premium/discount |  | (2,284 | ) |  | (3,191 | )
Unrealized gain/(loss) |  | (77,931 | ) |  | 13,203 |
Realized gain/(loss) on sale(1) |  | 1,755 |  |  | 2,778 |
Balance at March 31, |  | $ | 1,918,068 |  |  | $ | 1,595,409 |
(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, 2020
Financial Instrument |  | Carrying Value |  | Valuation Technique |  | Unobservable Input |  | Minimum |  | Weighted Average |  | Maximum
CMBS(1) |  | $ | 1,856,560 |  |  | Discounted cash flow |  | Yield (4) |  | 1.68 | % |  | 11.1 | % |  | 442.78 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.01 |  |  | 2.60 |  |  | 6.25 |
CMBS interest-only(1) |  | 27,065 |  | (2) | Discounted cash flow |  | Yield (4) |  | 2.06 | % |  | 4.04 | % |  | 6.8 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.14 |  |  | 2.30 |  |  | 3.34 |
|  |  |  |  |  | Prepayment speed (CPY)(5) |  | 100.00 |  |  | 97.23 |  |  | 100.00 |
GNMA interest-only(3) |  | 1,607 |  | (2) | Discounted cash flow |  | Yield (4) |  | (2.32 | )% |  | 10.81 | % |  | 123.94 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.52 |  |  | 2.57 |  |  | 13.70 |
|  |  |  |  |  | Prepayment speed (CPJ)(5) |  | 5.00 |  |  | 12.36 |  |  | 35.00 |
Agency securities(1) |  | 628 |  |  | Discounted cash flow |  | Yield (4) |  | 1.42 | % |  | 15.77 | % |  | 72 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.00 |  |  | 2.16 |  |  | 2.71 |
GNMA permanent securities(1) |  | 32,211 |  |  | Discounted cash flow |  | Yield (4) |  | 157.21 | % |  | 277.67 | % |  | 410.00 | %
|  |  |  |  |  | Duration (years)(5) |  | 1.15 |  |  | 9.96 |  |  | 14.89 |
Total |  | $ | 1,918,071 |  |  |  |  |  |  |  |  |  |  |
(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, 2019
Financial Instrument |  | Carrying Value |  | Valuation Technique |  | Unobservable Input |  | Minimum |  | Weighted Average |  | Maximum
CMBS(1) |  | $ | 1,632,714 |  |  | Discounted cash flow |  | Yield (3) |  | — | % |  | 3.11 | % |  | 19.92 | %
|  |  |  |  |  | Duration (years)(4) |  | 0.00 |  |  | 1.63 |  |  | 6.87 |
CMBS interest-only(1) |  | 28,342 |  | (2) | Discounted cash flow |  | Yield (3) |  | 1.57 | % |  | 3.93 | % |  | 7.62 | %
|  |  |  |  |  | Duration (years)(4) |  | 0.26 |  |  | 2.47 |  |  | 3.51 |
|  |  |  |  |  | Prepayment speed (CPY)(4) |  | 100.00 |  |  | 97.24 |  |  | 100.00 |
GNMA interest-only(3) |  | 1,851 |  | (2) | Discounted cash flow |  | Yield (4) |  | (4.82 | )% |  | 15.13 | % |  | 44.5 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.85 |  |  | 2.90 |  |  | 13.69 |
|  |  |  |  |  | Prepayment speed (CPJ)(5) |  | 5.00 |  |  | 12.36 |  |  | 35.00 |
Agency securities(1) |  | 637 |  |  | Discounted cash flow |  | Yield (4) |  | — | % |  | 1.7 | % |  | 2.16 | %
|  |  |  |  |  | Duration (years)(5) |  | 0.00 |  |  | 2.30 |  |  | 2.92 |
GNMA permanent securities(1) |  | 32,369 |  |  | Discounted cash flow |  | Yield (4) |  | 56.56 | % |  | 166.79 | % |  | 410 | %
|  |  |  |  |  | Duration (years)(5) |  | 2.60 |  |  | 3.61 |  |  | 6.49 |
Total |  | $ | 1,695,913 |  |  |  |  |  |  |  |  |  |  |
(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.

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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis or on an amortized cost basis.. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References No definition available. + Details
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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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