Investments at fair value Investments at fair value (Tables)

12 Months Ended

Dec. 31, 2019

Investments, Debt and Equity Securities [Abstract]

The Company holds investments in various debt securities and beneficial interests which are the net residual interest of the investment trust. The Company's debt securities and beneficial interests are issued by securitization trusts, which are VIE's, that the Company has sponsored but which the Company does not consolidate since it has determined it is not the primary beneficiary. (See Note 10 - Related party transactions). The Company models the expected cash flows from the underlying loan pools held by the trusts using its Manager's proprietary pricing model, and believes any unrealized losses to be temporary. The following table presents information regarding the Company's investments and investments in beneficial interests ($ in thousands):


	As of December 31, 2019
	Basis⁽¹⁾		Gross unrealized gains		Gross unrealized losses		Carrying value (fair value)
Debt securities	$	230,408	$	1,643	$	(366)	$	231,685
Beneficial interests in securitization trusts	57,954		—		—		57,954
Total investments at fair value	$	288,362	$	1,643	$	(366)	$	289,639

(1)Basis amount is net of any realized amortized costs, principal paydowns and interest receivable on securities of $0.3 million


	As of December 31, 2018
	Basis⁽¹⁾		Gross unrealized gains		Gross unrealized losses		Carrying value (fair value)
Debt securities	$	147,386	$	250	$	(825)	$	146,811
Beneficial interests in securitization trusts	22,086		—		—		22,086
Total investments at fair value	$	169,472	$	250	$	(825)	$	168,897

(1)Basis amount is net of any realized amortized costs and principal paydowns.

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value

The following table presents a breakdown of the Company's gross unrealized losses ($ in thousands):


	As of December 31, 2019
	Basis⁽¹⁾		Gross unrealized losses		Carrying value (fair value)
Debt securities due April 2058⁽²⁾	$	6,855	$	(9)	$	6,846
Debt securities due February 2057⁽²⁾	7,324		(1)		7,323
Debt securities due September 2059⁽³⁾	37,843		(356)		37,487
Total	$	52,022	$	(366)	$	51,656

(1)Basis amount is net of any realized amortized costs and principal paydowns.

(2)These securities have been in an unrealized loss position for 12 months or longer.

(3)This security has been in an unrealized loss position for less than 12 months.


	As of December 31, 2018
	Basis⁽¹⁾		Gross unrealized losses		Carrying value (fair value)
Debt securities due April 2058⁽²⁾	$	7,896	$	(315)	$	7,581
Debt securities due February 2057⁽²⁾	11,813		(203)		11,610
Debt securities due June 2058⁽²⁾	18,702		(3)		18,699
Debt securities due August 2058⁽²⁾	16,143		(297)		15,846
Debt securities due November 2058⁽²⁾	45,680		(7)		45,673
Total	$	100,234	$	(825)	$	99,409

(1)Basis amount is net of any realized amortized costs and principal paydowns.

(2)These securities have been in an unrealized loss position for less than 12 months.