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REAL ESTATE SECURITIES (Tables)
 3 Months Ended
Mar. 31, 2014
REAL ESTATE SECURITIES  
Summary of securities which are classified as available-for-sale

The following is a summary of the Company’s securities at March 31, 2014 and December 31, 2013 ($ in thousands):

 

March 31, 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Remaining 

 

 

 

Outstanding 

 

Amortized Cost 

 

Gross Unrealized

 

 

 

# of 

 

 

 

 

 

 

 

Duration 

 

Asset Type

 

Face Amount

 

Basis

 

Gains

 

Losses

 

Carrying Value

 

Securities

 

Rating (2)

 

Coupon %

 

Yield %

 

(years)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CMBS

 

$

1,227,308

 

$

1,225,746

 

$

22,466

 

$

(735

)

$

1,247,477

 

102

 

AAA

 

4.08

%

3.68

%

4.79

 

CMBS interest-only

 

6,075,913

(1)

275,802

 

3,357

 

(327

)

278,832

 

25

 

AAA

 

0.98

%

4.25

%

3.35

 

GNMA interest-only

 

1,799,019

(1)

98,682

 

1,652

 

(5,720

)

94,614

 

37

 

AA+

 

1.00

%

5.03

%

3.10

 

FHLMC interest-only

 

218,834

(1)

7,541

 

90

 

(68

)

7,563

 

2

 

AA+

 

0.88

%

5.32

%

2.03

 

GN construction securities

 

16,321

 

16,808

 

47

 

(550

)

16,305

 

8

 

AA+

 

4.01

%

3.46

%

6.67

 

GN permanent securities

 

101,175

 

103,244

 

2,010

 

(5

)

105,249

 

13

 

AAA

 

5.46

%

4.40

%

3.64

 

Total

 

$

9,438,570

 

$

1,727,823

 

$

29,622

 

$

(7,405

)

$

1,750,040

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2013

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted Average

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Remaining 

 

 

 

Outstanding 

 

Amortized Cost 

 

Gross Unrealized

 

 

 

# of 

 

 

 

 

 

 

 

Duration 

 

Asset Type

 

Face Amount

 

Basis

 

Gains

 

Losses

 

Carrying Value

 

Securities

 

Rating (2)

 

Coupon %

 

Yield %

 

(years)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CMBS

 

$

1,160,741

 

$

1,156,230

 

$

13,853

 

$

(5,147

)

$

1,164,936

 

101

 

AAA

 

4.24

%

4.08

%

4.88

 

CMBS interest-only

 

5,702,862

(1)

256,869

 

2,204

 

(1,015

)

258,058

 

21

 

AAA

 

1.00

%

4.19

%

3.38

 

GNMA interest-only

 

1,848,270

(1)

103,136

 

1,630

 

(4,889

)

99,877

 

36

 

AA+

 

1.12

%

5.32

%

2.12

 

FHLMC interest-only

 

219,677

(1)

7,904

 

248

 

—

 

8,152

 

2

 

AA+

 

0.95

%

5.21

%

3.04

 

GN construction securities

 

12,858

 

13,261

 

36

 

(290

)

13,007

 

8

 

AA+

 

4.11

%

3.49

%

6.57

 

GN permanent securities

 

108,310

 

110,724

 

2,492

 

—

 

113,216

 

14

 

AAA

 

5.53

%

4.64

%

3.27

 

Total

 

$

9,052,718

 

$

1,648,124

 

$

20,463

 

$

(11,341

)

$

1,657,246

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(2) 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.

 
Schedule of fair value of the Company's securities by remaining maturity based upon expected cash flows

The following is a breakdown of the fair value of the Company’s securities by remaining maturity based upon expected cash flows at March 31, 2014 and December 31, 2013 ($ in thousands):

 

March 31, 2014

 

Asset Type

 

Within 1 year

 

1-5 years

 

5-10 years

 

After 10 years

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

CMBS

 

$

192,253

 

$

430,024

 

$

625,200

 

$

—

 

$

1,247,477

 

CMBS interest-only

 

5,632

 

273,200

 

—

 

—

 

278,832

 

GNMA interest-only

 

297

 

86,705

 

7,612

 

—

 

94,614

 

FHLMC interest-only

 

—

 

7,563

 

—

 

—

 

7,563

 

GN construction securities

 

—

 

3,203

 

13,102

 

—

 

16,305

 

GN permanent securities

 

3,184

 

73,895

 

28,170

 

—

 

105,249

 

Total

 

$

201,366

 

$

874,590

 

$

674,084

 

$

—

 

$

1,750,040

 

 

December 31, 2013

 

Asset Type

 

Within 1 year

 

1-5 years

 

5-10 years

 

After 10 years

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

CMBS

 

$

175,042

 

$

390,116

 

$

599,778

 

$

—

 

$

1,164,936

 

CMBS interest-only

 

7,482

 

250,576

 

—

 

—

 

258,058

 

GNMA interest-only

 

371

 

94,001

 

5,505

 

—

 

99,877

 

FHLMC interest-only

 

—

 

8,152

 

—

 

—

 

8,152

 

GN construction securities

 

—

 

3,280

 

9,727

 

—

 

13,007

 

GN permanent securities

 

62,605

 

15,080

 

28,841

 

6,690

 

113,216

 

Total

 

$

245,500

 

$

761,205

 

$

643,851

 

$

6,690

 

$

1,657,246