FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2018

Fair Value Disclosures [Abstract]

Carrying Amount and Fair Value of Financial Instruments

The following table summarizes the carrying amount and the fair value of our financial instruments as of June 30, 2018:

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Total investment in mortgage loans, held for investment, net	$	714,406	$	664,235
Investment in mortgage loans, held for sale		6,198		6,198
Cash and cash equivalents		72,224		72,224
Restricted cash		113,091		113,091
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		835		560
4.0% convertible senior notes		66,364		67,242
7.625% senior notes		54,984		44,721
7.125% senior notes		67,753		62,525
Senior secured notes		9,266		9,061
Junior subordinated notes, at fair value		5,111		5,111
Junior subordinated notes, at amortized cost		25,100		5,652
Non-recourse indebtedness:
CDO notes payable, at amortized cost		209,752		176,875
CMBS securitizations		454,440		459,029
Loans payable on real estate		40,818		40,674

The following table summarizes the carrying amount and the fair value of our financial instruments as of December 31, 2017:

Financial Instrument	Carrying Amount		Estimated Fair Value
Assets
Total investment in mortgage loans, held for investment, net	$	1,255,723	$	1,252,780
Cash and cash equivalents		53,380		53,380
Restricted cash		157,914		157,914
Derivative assets		11		11
Liabilities
Recourse indebtedness:
7.0% convertible senior notes		833		533
4.0% convertible senior notes		106,800		103,457
7.625% senior notes		54,867		43,009
7.125% senior notes		67,474		61,567
Senior secured notes		11,063		11,197
Junior subordinated notes, at fair value		8,121		8,121
Junior subordinated notes, at amortized cost		25,100		8,849
Secured warehouse facilities		21,743		22,313
Non-recourse indebtedness:
CDO notes payable, at amortized cost		254,724		196,212
CMBS securitizations		736,586		744,359
Loans payable on real estate		61,922		64,377
Other indebtedness		40,955		40,830
Derivative liabilities		—		—
Warrants and investor SARs		—		—

Information of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table summarizes information about our liabilities measured at fair value on a recurring basis as of June 30, 2018, and indicate the fair value hierarchy of the valuation techniques utilized to determine such fair value:

Liabilities:	Quoted Prices in Active Markets for Identical Assets (Level 1) (1)		Significant Other Observable Inputs (Level 2) (1)		Significant Unobservable Inputs (Level 3) (1)		Balance as of June 30, 2018
Junior subordinated notes, at fair value	$	—	$	—	$	5,111	$	5,111
Total liabilities	$	—	$	—	$	5,111	$	5,111

(1) During the six months ended June 30, 2018, there were no transfers between Level 1 and Level 2, and there were no transfers into and/or out of Level 3.

The following tables summarize information about our assets and liabilities measured at fair value on a recurring basis as of December 31, 2017, and indicate the fair value hierarchy of the valuation techniques utilized to determine such fair value:

Assets:	Quoted Prices in Active Markets for Identical Assets (Level 1) (1)		Significant Other Observable Inputs (Level 2) (1)		Significant Unobservable Inputs (Level 3) (1)		Balance as of December 31, 2017
Derivative assets	$	—	$	11	$	—	$	11
Total assets	$	—	$	11	$	—	$	11

Liabilities:	Quoted Prices in Active Markets for Identical Assets (Level 1) (1)		Significant Other Observable Inputs (Level 2) (1)		Significant Unobservable Inputs (Level 3) (1)		Balance as of December 31, 2017
Junior subordinated notes, at fair value	$	—	$	—	$	8,121	$	8,121
Total liabilities	$	—	$	—	$	8,121	$	8,121

(1) During the year ended December 31, 2017, there were no transfers between Level 1 and Level 2, and there were no transfers into and/or out of Level 3.

Rollforward of Level 3 Liabilities

The following table summarizes additional information about assets and liabilities that are measured at fair value on a recurring basis for which we have utilized level 3 inputs to determine fair value for the six months ended June 30, 2018: 

Liabilities	Junior Subordinated Notes, at Fair Value			Total Level 3 Liabilities
Balance, as of December 31, 2017	$	8,121		$	8,121
Change in fair value of financial instruments		(3,010	)		(3,010	)
Balance, as of June 30, 2018	$	5,111		$	5,111

The following table summarizes additional information about assets and liabilities that are measured at fair value on a recurring basis for which we have utilized level 3 inputs to determine fair value for the three months ended June 30, 2018:

Liabilities	Junior Subordinated Notes, at Fair Value			Total Level 3 Liabilities
Balance, as of March 31, 2018	$	7,052		$	7,052
Change in fair value of financial instruments		(1,941	)		(1,941	)
Balance, as of June 30, 2018	$	5,111		$	5,111

Fair Value Hierarchy for Financial Instruments Not Fair Valued but For Which Fair Value Is Required To Be Disclosed

The following tables summarize the valuation technique and the level of the fair value hierarchy for financial instruments that are not fair valued in the accompanying consolidated balance sheets but for which fair value is required to be disclosed. The fair value of cash and cash equivalents, restricted cash, secured warehouse facilities, commercial mortgage facilities and other indebtedness approximates cost due to the nature of these instruments and are not included in the tables below.

	Carrying Amount as of June 30, 2018		Estimated Fair Value as of June 30, 2018		Valuation Technique	Level in Fair Value Hierarchy
Total investment in mortgage loans, held for investment, net	$	714,406	$	664,235	Discountedcash flows	Three
Investment in mortgage loans, held for sale		6,198		6,198	Discounted cash flows	Three
7.0% convertible senior notes		835		560	Trading price	Two
4.0% convertible senior notes		66,364		67,242	Trading price	Two
7.625% senior notes		54,984		44,721	Trading price	Two
7.125% senior notes		67,753		62,525	Trading price	Two
Senior secured notes		9,266		9,061	Discounted cash flows	Three
Junior subordinated notes, at amortized cost		25,100		5,652	Discounted cash flows	Three
CDO notes payable, at amortized cost		209,752		176,875	Discounted cash flows	Three
CMBS securitizations		454,440		459,029	Discounted cash flows	Three
Loans payable on real estate		40,818		40,674	Discounted cash flows	Three

	Carrying Amount as of December 31, 2017		Estimated Fair Value as of December 31, 2017		Valuation Technique	Level in Fair Value Hierarchy
Total investment in mortgage loans, held for investment, net	$	1,255,723	$	1,252,780	Discounted cash flows	Three
7.0% convertible senior notes		833		533	Trading price	Two
4.0% convertible senior notes		106,800		103,457	Trading price	Two
7.625% senior notes		54,867		43,009	Trading price	Two
7.125% senior notes		67,474		61,567	Trading price	Two
Senior secured notes		11,063		11,197	Discounted cash flows	Three
Junior subordinated notes, at amortized cost		25,100		8,849	Discounted cash flows	Three
CDO notes payable, at amortized cost		254,724		196,212	Discounted cash flows	Three
CMBS securitizations		736,586		744,359	Discounted cash flows	Three
Loans payable on real estate		61,922		64,377	Discounted cash flows	Three
Other indebtedness		40,955		40,830	Discounted cash flows	Three

Summary of Realized and Unrealized Gains and Losses on Assets and Liabilities

The following table summarizes realized and unrealized gains and losses on assets and liabilities for which we elected the fair value option of FASB ASC Topic 825, “Financial Instruments” and derivatives as reported in change in fair value of financial instruments in the accompanying consolidated statements of operations:

	For the Three Months Ended June 30,						For the Six Months Ended June 30,
Description	2018			2017			2018			2017
Change in fair value of junior subordinated notes	$	(77	)	$	(42	)	$	(272	)	$	(702	)
Change in fair value of derivatives		188			(265	)		470			(258	)
Change in fair value of warrants and investors SARs		—			3,400			—			2,900
Change in fair value of financial instruments	$	111		$	3,093		$	198		$	1,940