REAL ESTATE SECURITIES (Tables)

9 Months Ended

Sep. 30, 2017

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, 2017 and December 31, 2016 ($ in thousands):

September 30, 2017

						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)	$	934,559		$	946,231	$	6,195	$	(2,397	)	$	950,029	89	AAA	3.24	%	2.73	%	2.85
CMBS interest-only(2)	3,308,063		(3)	102,986		1,542		(45		)	104,483		27	AAA	0.75	%	3.14	%	2.88
GNMA interest-only(4)	279,567		(3)	9,138		188		(1,327		)	7,999		16	AA+	0.60	%	5.99	%	4.36
Agency securities(2)	731			754		—		(12		)	742		2	AA+	2.84	%	1.82	%	3.08
GNMA permanent securities(2)	34,014			34,675		790		(247		)	35,218		6	AA+	3.98	%	3.63	%	5.82
Total	$	4,556,934		$	1,093,784	$	8,715	$	(4,028	)	$	1,098,471	140		1.28	%	2.82	%	2.96

December 31, 2016

						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)	$	1,676,680		$	1,698,616	$	10,880	$	(8,101	)	$	1,701,395	131	AAA	3.26	%	2.81	%	3.55
CMBS interest-only(2)	8,160,458		(3)	343,438		1,273		(2,540		)	342,171		60	AAA	0.87	%	3.45	%	2.99
GNMA interest-only(4)	478,577		(3)	18,994		159		(2,332		)	16,821		17	AA+	0.73	%	4.19	%	4.44
Agency securities(2)	774			802		—		(22		)	780		2	AA+	2.90	%	1.29	%	3.27
GNMA permanent securities(2)	38,327			39,144		882		(246		)	39,780		9	AA+	4.09	%	3.80	%	10.30
Total	$	10,354,816		$	2,100,994	$	13,194	$	(13,241	)	$	2,100,947	219		1.27	%	2.94	%	3.60

(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, and GNMA 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.

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

(4)

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.

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, 2017 and 2016 ($ in thousands):

September 30, 2017

Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total
CMBS(1)	$	72,958	$	770,559	$	106,512	$	—	$	950,029
CMBS interest-only(1)	737		103,746		—		—		104,483
GNMA interest-only(2)	101		7,368		516		14		7,999
Agency securities(1)	—		742		—		—		742
GNMA permanent securities(1)	—		1,881		33,337		—		35,218
Total	$	73,796	$	884,296	$	140,365	$	14	$	1,098,471

December 31, 2016

Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total
CMBS(1)	$	132,730	$	1,156,026	$	412,639	$	—	$	1,701,395
CMBS interest-only(1)	11,188		330,983		—		—		342,171
GNMA interest-only(2)	—		15,914		724		183		16,821
Agency securities(1)	—		780		—		—		780
GNMA permanent securities(1)	—		4,488		27,675		7,617		39,780
Total	$	143,918	$	1,508,191	$	441,038	$	7,800	$	2,100,947

(1) CMBS, CMBS interest-only securities, Agency securities, and GNMA 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.