v3.25.2
Fair Value of Financial Instruments
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value of Financial Instruments Fair Value of Financial Instruments
The following table presents the Company's financial assets and liabilities carried at fair value in the consolidated balance sheets by its level in the fair value hierarchy:
June 30, 2025 (Unaudited)December 31, 2024
TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Financial Assets
Mortgage-backed securities, at fair value$359,682 $— $359,682 $— $335,720 $— $335,720 $— 
Mortgage loans held in securitization trusts, at fair value2,246,442 — — 2,246,442 1,633,589 — — 1,633,589 
Interest rate cap214 — 214 — 1,427 — 1,427 — 
Total$2,606,338 $— $359,896 $2,246,442 $1,970,736 $— $337,147 $1,633,589 
Financial Liabilities
Mortgage obligations issued by securitization trusts, at fair value$2,034,059 — $2,034,059 — $1,484,019 — $1,484,019 — 
The following table presents the changes in fair value of financial assets which are measured at fair value on a recurring basis using Level 3 inputs to determine fair value for the six months ended June 30, 2025 and 2024:
Mortgage loans held in securitization trusts, at fair value
Six Months Ended June 30,
20252024
Fair value at beginning of period$1,633,589 $950,972 
Accretion of discount (amortization of premium)— — 
Net realized gain (loss)— — 
Unrealized gain (loss) in earnings(1)
18,282 10,981 
Purchases62,357 1,056,508 
Sales and repayments— (240,274)
Issuances— — 
Transfer into Level 3— — 
Transfers out of Level 3— — 
Consolidation of securitization trusts532,214 — 
Deconsolidation of securitization trusts— — 
Fair value at end of period$2,246,442 $1,778,187 
Amount of unrealized gains (losses) attributable to assets still held at the reporting date
Included in earnings$18,282 $10,981 
Included in other comprehensive income— — 
______________________
(1)    For the six months ended June 30, 2025 and 2024, unrealized gain of $18,282 and $10,981, respectively, related to mortgage loans held in securitization trusts, at fair value was offset by unrealized loss of $17,304 and $10,019 related to mortgage obligations issued by securitization trusts, at fair value.
As of June 30, 2025, the Company utilized a discounted cash flow model, comparable precedent transactions and other market information to quantify Level 3 fair value measurements on a recurring basis. As of June 30, 2025, the key unobservable inputs used in the valuation of mortgage obligations issued by securitization trusts included a blended yield ranging from 8.96% to 12.73% (weighted average blended yield of 9.96%) and a life of 1 to 4.75 (weighted average life of 2.87). Significant increases or decreases in any one of the inputs described above in isolation may result in significantly different fair value of the financial assets and liabilities using such Level 3 inputs.
As discussed in Note 2, GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the statement of financial position, for which it is practicable to estimate that value. The following table details the carrying amount, face amount, and fair value of the financial instruments described in Note 2:
June 30, 2025 (Unaudited)December 31, 2024
Book ValueFace AmountFair ValueBook ValueFace AmountFair Value
Financial Assets
Cash, cash equivalents and restricted cash$140,754 $140,754 $140,754 $90,540 $90,540 $90,540 
Loans receivable - held-for-investment(1)
$7,360,785 $7,468,417 $7,419,394 $7,402,810 $7,507,083 $7,421,414 
Mortgage-backed securities held-to-maturity$30,024 $30,000 $29,724 $78,131 $80,300 $77,107 
Financial Liabilities
Repurchase agreements(2)
$1,787,524 $1,792,194 $1,792,194 $1,079,758 $1,082,669 $1,082,669 
Credit facilities(2)
$840,147 $850,037 $850,037 $837,894 $850,000 $850,000 
Collateralized loan obligations(2)(3)
$3,135,910 $3,152,847 $3,152,847 $3,696,034 $3,715,375 $3,715,375 
Mortgage note payable(2)
$124,700 $124,700 $124,700 $124,368 $124,700 $124,700 
__________________
(1)    Book value of loans receivable represents the face amount, net of CECL reserve, unamortized loan fees and costs and accrual of exit fees, as applicable.
(2)    Book value represents the face amount, net of deferred financing costs and discount.
(3)    Face value represents the face amount, net of discount.
Estimates of fair value for cash, cash equivalents and restricted cash are measured using observable, quoted market prices, or Level 1 inputs. Estimates of fair value for loans receivable, mortgage-backed securities held-to-maturity, repurchase obligations, credit facility obligations and the collateralized loan and mortgage obligations are measured using unobservable inputs, or Level 3 inputs.
CMBS, Fair Value Option
As discussed in Note 2, the Company elected the fair value option for certain CMBS mortgage loans in an effort to eliminate an accounting mismatch resulting from consolidation of the related mortgage loans held in securitization trusts. As of June 30, 2025, the fair value and unpaid principal balance of these CMBS mortgage loans, excluding the notional value of interest-only securities and before consolidation of the securitization mortgage loans, were $211,405 and $213,207, respectively. As a result of the consolidation of the mortgage loans, the total fair value balance of $2,246,442 represents the Company's economic interest in the asset. The vast majority of this fair value (all except $211,405 at June 30, 2025) is eliminated in consolidation of the related mortgage obligations before arriving at the GAAP balance for the fair value option investment securities.