REAL ESTATE SECURITIES (Tables)

9 Months Ended

Sep. 30, 2015

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 September 30, 2015 and December 31, 2014 ($ in thousands):

September 30, 2015

						Gross Unrealized								Weighted Average
Asset Type	Outstanding Face Amount			Amortized Cost Basis		Gains		Losses			Carrying Value		# of Securities	Rating (2)	Coupon %		Yield %		Remaining Duration (years)
CMBS(3)	$	1,936,316		$	1,960,371	$	25,897	$	(1,073	)	$	1,985,195	120	AAA	3.25	%	2.63	%	3.35
CMBS interest-only(3)	7,246,777		(1)	356,204		1,726		(1,002		)	356,928		47	AAA	0.90	%	3.74	%	3.46
GNMA interest-only(4)	662,161		(1)	30,109		77		(1,583		)	28,603		21	AA+	0.81	%	4.27	%	5.48
GN construction securities(3)	26,730			27,223		589		37			27,849		2	AA+	4.10	%	3.86	%	9.46
GN permanent securities(3)	16,435			16,950		287		(430		)	16,807		12	AA+	4.55	%	4.00	%	6.09
Total	$	9,888,419		$	2,390,857	$	28,576	$	(4,051	)	$	2,415,382	202		1.37	%	3.56	%	3.59

December 31, 2014

						Gross Unrealized								Weighted Average
Asset Type	Outstanding Face Amount			Amortized Cost Basis		Gains		Losses			Carrying Value		# of Securities	Rating (2)	Coupon %		Yield %		Remaining Duration (years)
CMBS(3)	$	2,247,565		$	2,277,995	$	28,453	$	(1,038	)	$	2,305,410	145	AAA	3.31	%	2.60	%	4.23
CMBS interest-only(3)	7,239,503		(1)	376,085		2,973		(723		)	378,335		41	AAA	1.04	%	4.88	%	3.45
GNMA interest-only(4)	1,400,141		(1)	67,544		1,035		(1,937		)	66,642		34	AA+	0.85	%	5.90	%	4.50
GN construction securities(3)	27,538			28,178		503		(275		)	28,406		4	AA+	3.89	%	3.56	%	9.42
GN permanent securities(3)	36,232			36,515		258		—			36,773		11	AA+	5.49	%	4.94	%	1.32
Total	$	10,950,979		$	2,786,317	$	33,222	$	(3,973	)	$	2,815,566	235		1.50	%	4.54	%	3.75

(1) The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate.

(2) 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.

(3) CMBS, CMBS interest-only securities, GN construction securities, and GN permanent securities 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.

(4) Agency interest-only securities are recorded 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 securities by remaining maturity based upon expected cash flows at September 30, 2015 and December 31, 2014 ($ in thousands):

September 30, 2015

Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total
CMBS(1)	$	604,249	$	776,565	$	604,381	$	—	$	1,985,195
CMBS interest-only(1)	70		356,858		—		—		356,928
GNMA interest-only(2)	9		8,929		19,104		561		28,603
GN construction securities(1)	—		414		27,435		—		27,849
GN permanent securities(1)	—		8,859		7,948		—		16,807
Total	$	604,328	$	1,151,625	$	658,868	$	561	$	2,415,382

December 31, 2014

Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total
CMBS(1)	$	474,357	$	814,702	$	1,016,351	$	—	$	2,305,410
CMBS interest-only(1)	391		370,993		6,951		—		378,335
GNMA interest-only(2)	1,356		42,105		23,181		—		66,642
GN construction securities(1)	—		507		5,183		22,716		28,406
GN permanent securities(1)	25,915		9,334		1,524		—		36,773
Total	$	502,019	$	1,237,641	$	1,053,190	$	22,716	$	2,815,566

(1) CMBS, CMBS interest-only securities, GN construction securities, and GN permanent securities 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) Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings.