XML 39 R29.htm IDEA: XBRL DOCUMENT v3.8.0.1
Fair Value Disclosure (Tables)
 9 Months Ended
Sep. 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 September 30, 2017 and December 31, 2016:
 
 
Fair Value as of September 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)
$
—

 
$
—

 
$
191,902

 
$
191,902

 
$
—

 
$
331,076

 
$
—

 
$
331,076

Derivative instruments, net
—

 
(11,746
)
 
—

 
(11,746
)
 
—

 
5,906

 
—

 
5,906

Total
$
—

 
$
(11,746
)
 
$
191,902

 
$
180,156

 
$
—

 
$
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

Net realized loss on investments
 
(4,076
)
Net increase in unrealized gain on investments
 
13,488

Sales and repayments of investments
 
(71,073
)
Amortization of purchase discount, net
 
(921
)
Fair value at September 30, 2017
 
$
191,902

———————
(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. In June 2017, the Manager determined that, based on illiquidity in the market for these securities, 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. Based on this determination, as of June 30, 2017, we have applied Level III classification to these securities.
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 September 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
 
191,902

 
Broker quotes
 
Price (1)
 
63 - 101
———————
(1) A significant increase (decrease) in the unobservable input in isolation would result in significantly higher (lower) fair value measurement.