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Fair Value Disclosure (Tables)

6 Months Ended

Jun. 30, 2017

Fair Value Disclosures [Abstract]

Summary of the Levels in Fair Value Hierarchy of Financial Instruments

The following table summarizes the levels in the fair value hierarchy into which the Company’s financial instruments were categorized as of June 30, 2017 and December 31, 2016:

	Fair Value as of June 30, 2017																Fair Value as of December 31, 2016
	Level I				Level II				Level III				Total				Level I				Level II				Level III				Total
CMBS (Fair Value Option)	$	—			$	—			$	254,484			$	254,484			$	—			$	331,076			$	—			$	331,076
Derivative instruments, net	—				(4,435		)		—				(4,435		)		—				5,906				—				5,906
Total	$	—			$	(4,435	)		$	254,484			$	250,049			$	—			$	336,982			$	—			$	336,982

Reconciliation of Investments for which Level 3 Inputs were used in Determining Fair Value

The following is a reconciliation of investments for which Level III inputs were used in determining fair value:

		CMBS
Fair value at December 31, 2016		$	—
Transfers into Level III (1)		254,484
Fair value at June 30, 2017		$	254,484

(1)     Transfers into Level III of the fair value hierarchy represent investments that experienced an insignificant level of market activity during the period and were thus valued in the absence of observable inputs. Transfers into Level III of the fair value hierarchy are recorded at the end of the reporting period. Based on illiquidity in the market for these securities as of June 30, 2017, the Manager determined that broker quotes, which are the primary valuation technique used to mark these investments at fair value, lack observable inputs and thus a transfer into Level III was necessary.

Quantitative Information About Significant Unobservable Inputs Used in the Fair Value Measurement of Level III Investments

The following table summarizes information about significant unobservable inputs used in the fair value measurement of Level III investments as of June 30, 2017. There were no Level III investments as of December 31, 2016:

							Unobservable Input
Asset Category		Fair Value			Primary Valuation Technique		Input		Range
CMBS		254,484			Broker quotes		Price (1)		63 - 100

(1)    A significant increase (decrease) in the unobservable input in isolation would result in significantly higher (lower) fair value measurement.

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- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19279-110258

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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://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
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-URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258

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- Definition

Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
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