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REAL ESTATE SECURITIES (Tables)
 3 Months Ended
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