XML 46 R33.htm IDEA: XBRL DOCUMENT v3.8.0.1
REAL ESTATE SECURITIES (Tables)
 3 Months Ended
Mar. 31, 2018
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 March 31, 2018 and December 31, 2017 ($ in thousands):

March 31, 2018
 
 
 
 
 
 
 
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)
 
$
983,104

 
$
991,436

 
$
331

 
$
(9,483
)
 
$
982,284

(3)
98

 
AAA
 
3.34
%
 
2.89
%
 
2.93
CMBS interest-only(2)(4)
 
2,492,711

 
79,162

 
192

 
(319
)
 
79,035

(5)
21

 
AAA
 
0.87
%
 
3.46
%
 
2.99
GNMA interest-only(4)(6)
 
165,307

 
4,540

 
142

 
(707
)
 
3,975

 
13

 
AA+
 
0.57
%
 
6.60
%
 
4.04
Agency securities(2)
 
706

 
727

 
—

 
(29
)
 
698

 
2

 
AA+
 
2.80
%
 
1.77
%
 
2.78
GNMA permanent securities(2)
 
33,472

 
33,757

 
468

 
(112
)
 
34,113

 
6

 
AA+
 
3.97
%
 
3.62
%
 
5.50
Total
 
$
3,675,300

 
$
1,109,622

 
$
1,133

 
$
(10,650
)
 
$
1,100,105

 
140

 
 
 
1.54
%
 
2.96
%
 
3.02
 
(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)
As more fully described in Note 4, certain securities that were purchased from the LCCM LC-26 securitization trust are designated as risk retention securities under the Dodd-Frank Act and are therefore subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost. Includes $11.5 million of such restricted securities.
(4)
The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate.
(5)
As more fully described in Note 4, certain securities that were purchased from the LCCM LC-26 securitization trust are designated as risk retention securities under the Dodd-Frank Act and are therefore subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost. Includes $1.0 million of such restricted securities.
(6)
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.
  
December 31, 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)
 
$
945,167

 
$
954,397

 
$
2,748

 
$
(3,646
)
 
$
953,499

(3)
96

 
AAA
 
3.28
%
 
2.79
%
 
2.89
CMBS interest-only(2)(4)
 
3,140,297

 
112,609

 
796

 
(334
)
 
113,071

(5)
25

 
AAA
 
0.81
%
 
3.16
%
 
3.08
GNMA interest-only(4)(6)
 
172,916

 
5,245

 
157

 
(925
)
 
4,477

 
13

 
AA+
 
0.58
%
 
6.70
%
 
4.18
Agency securities(2)
 
720

 
743

 
—

 
(15
)
 
728

 
2

 
AA+
 
2.82
%
 
1.80
%
 
2.94
GNMA permanent securities(2)
 
33,745

 
34,386

 
595

 
(239
)
 
34,742

 
6

 
AA+
 
3.98
%
 
3.62
%
 
5.66
Total
 
$
4,292,845

 
$
1,107,380

 
$
4,296

 
$
(5,159
)
 
$
1,106,517

 
142

 
 
 
1.37
%
 
2.87
%
 
3.00
 
(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)
As more fully described in Note 4, certain securities which were purchased from the LCCM LC-26 securitization trust are designated as risk retention securities under the Dodd-Frank Act which are subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost. Includes $11.7 million of such restricted securities.
(4)
The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate.
(5)
As more fully described in Note 4, certain securities which were purchased from the LCCM LC-26 securitization trust are designated as risk retention securities under the Dodd-Frank Act which are subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost. Includes $1.1 million of such restricted securities.
(6)
Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings. The Company’s Agency interest-only securities are considered to be hybrid financial instruments that contain embedded derivatives. As a result, the Company accounts for them as hybrid instruments in their entirety at fair value with changes in fair value recognized in unrealized gain (loss) on Agency interest-only securities in the consolidated statements of income in accordance with ASC 815.
Schedule of fair value of the Company's securities by remaining maturity based upon expected cash flows
The following is a breakdown of the carrying value of the Company’s securities by remaining maturity based upon expected cash flows at March 31, 2018 and December 31, 2017 ($ in thousands):
 
March 31, 2018
 
Asset Type
 
Within 1 year
 
1-5 years
 
5-10 years
 
After 10 years
 
Total
 
 
 
 
 
 
 
 
 
 
 
CMBS(1)
 
$
291,904

 
$
516,442

 
$
173,938

 
$
—

 
$
982,284

CMBS interest-only(1)
 
334

 
78,701

 
—

 
—

 
79,035

GNMA interest-only(2)
 
74

 
3,440

 
452

 
9

 
3,975

Agency securities(1)
 
—

 
698

 
—

 
—

 
698

GNMA permanent securities(1)
 
—

 
1,713

 
32,400

 
—

 
34,113

Total
 
$
292,312

 
$
600,994

 
$
206,790

 
$
9

 
$
1,100,105

 
December 31, 2017
 
Asset Type
 
Within 1 year
 
1-5 years
 
5-10 years
 
After 10 years
 
Total
 
 
 
 
 
 
 
 
 
 
 
CMBS(1)
 
$
285,982

 
$
544,278

 
$
123,239

 
$
—

 
$
953,499

CMBS interest-only(1)
 
537

 
112,534

 
—

 
—

 
113,071

GNMA interest-only(2)
 
76

 
3,906

 
484

 
11

 
4,477

Agency securities(1)
 
—

 
728

 
—

 
—

 
728

GNMA permanent securities(1)
 
—

 
1,797

 
32,945

 
—

 
34,742

Total
 
$
286,595

 
$
663,243

 
$
156,668

 
$
11

 
$
1,106,517

 
(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.