Annual report pursuant to Section 13 and 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.19.3.a.u2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
Schedule of carrying value and estimated fair value of assets and liabilities
The following table summarizes the carrying values and estimated fair values of the Company’s financial instruments at December 31, 2019 and 2018:
 
December 31, 2019
December 31, 2018
 
Carrying
Value
 
Estimated
Fair Value
 
Fair Value Method (A)
 
Carrying
Value
 
Estimated
Fair Value
Assets
 
 
 
 
 
 
 
 
 
Real estate securities, available-for-sale
$
3,052

 
$
3,052

 
Pricing models - Level 3
 
$
2,953

 
$
2,953

Cash and cash equivalents
28,423

 
28,423

 
 
 
79,235

 
79,235

Restricted cash - current and noncurrent
3,541

 
3,541

 
 
 
3,584

 
3,584

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Junior subordinated notes payable
51,192

 
24,382

 
Pricing models - Level 3
 
51,200

 
28,396

(A)
Pricing models are used for (i) real estate securities that are not traded in an active market, and, therefore, have little or no price transparency, and for which significant unobservable inputs must be used in estimating fair value, or (ii) debt obligations which are private and untraded.
Schedule of quantitative information about significant unobservable inputs
The following table provides quantitative information regarding the significant unobservable inputs used by the Company for assets and liabilities measured at fair value on a recurring basis as of December 31, 2019.
 
 
 
 
 
 
Weighted Average Significant Input
Asset Type
 
Amortized
Cost
Basis
 
Fair
Value
 
Discount Rate
 
Prepayment Speed
 
Cumulative Default Rate
 
Loss Severity
ABS - Non-Agency RMBS
 
$
1,342

 
$
3,052

 
10.0
%
 
8.0
%
 
2.6
%
 
70.0
%
Total
 
$
1,342

 
$
3,052

 
 
 
 
 
 
 
 
Schedule of change in fair value of Level 3 investments
Real estate securities measured at fair value on a recurring basis using Level 3 inputs changed as follows:
 
 
ABS - Non-Agency RMBS
 
 
 
Balance at December 31, 2017
 
$
2,294

Total gains (losses) (A)
 
 
Included in other comprehensive income (loss)
 
508

Amortization included in interest income
 
246

Purchases, sales and repayments (A)
 
 
Proceeds
 
(95
)
Balance at December 31, 2018
 
$
2,953

Total gains (losses) (A)
 
 
Included in other comprehensive income (loss)
 
(168
)
Amortization included in interest income
 
375

Purchases, sales and repayments (A)
 
 
Proceeds
 
(108
)
Balance at December 31, 2019
 
$
3,052

(A)
None of the gains (losses) recorded in earnings during the periods is attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates. There were no purchases or sales during the years ended December 31, 2019 and 2018. There were no transfers into or out of Level 3 during the years ended December 31, 2019 and 2018.
Liabilities for which fair value is disclosed
The following table summarizes the level of the fair value hierarchy, valuation techniques and inputs used for estimating each class of liabilities not measured at fair value in the statement of financial position but for which fair value is disclosed:
Type of Liabilities
 
 
 
 
Not Measured At Fair Value
 
Fair Value
 
 
for Which Fair Value Is Disclosed
 
 Hierarchy
 
Valuation Techniques and Significant Inputs
Junior subordinated notes payable
 
Level 3
 
Valuation technique is based on discounted cash flows. Significant inputs include:
 
 
 
 
•
Amount and timing of expected future cash flows
 
 
 
 
•
Interest rates
 
 
 
 
•
Market yields and the credit spread of the Company