The following is a summary of the Company’s securities at March 31, 2019 and December 31, 2018 ($ in thousands):

March 31, 2019



					Gross Unrealized									Weighted Average
Asset Type	Outstanding Face Amount		Amortized Cost Basis/Purchase Price		Gains		Losses			Carrying Value			# of Securities	Rating (1)	Coupon %		Yield %		Remaining Duration (years)

CMBS(2)	$	1,475,469	$	1,475,900	$	7,504	$	(1,764	)	$	1,481,640	(3)	153	AAA	3.44	%	3.28	%	2.50
CMBS interest-only(2)(4)	2,436,543		52,682		933		(45		)	53,570		(5)	20	AAA	0.69	%	3.56	%	2.60
GNMA interest-only(4)(6)	123,684		2,694		107		(310		)	2,491			12	AA+	0.53	%	9.09	%	2.56
Agency securities(2)	660		673		—		(12		)	661			2	AA+	2.71	%	1.81	%	2.24
GNMA permanent securities(2)	32,346		32,592		424		(10		)	33,006			6	AA+	3.94	%	3.75	%	4.87
Corporate bonds(2)	36,441		35,682		927		—			36,609			2	BB-	3.80	%	5.00	%	1.88
Total debt securities	$	4,105,143	$	1,600,223	$	9,895	$	(2,141	)	$	1,607,977		195		1.73	%	3.33	%	2.52
Equity securities(7)	N/A		10,678		503		(30		)	11,151			2	N/A	N/A		N/A		N/A
Total real estate securities	$	4,105,143	$	1,610,901	$	10,398	$	(2,171	)	$	1,619,128		197

(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, GNMA permanent securities and corporate bonds 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)	Includes $11.7 million of restricted securities which 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.


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


(5)	Includes $0.9 million of restricted securities which 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.

(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 has elected to account 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.


(7)	The Company has elected to account for equity securities at fair value with changes in fair value recorded in current period earnings.

December 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)	$	1,258,819	$	1,257,801	$	2,477	$	(7,638	)	$	1,252,640	(3)	138	AAA	3.32	%	3.14	%	2.33
CMBS interest-only(2)(4)	2,373,936		55,534		428		(271		)	55,691		(5)	19	AAA	0.57	%	2.80	%	2.69
GNMA interest-only(4)(6)	135,932		2,862		93		(307		)	2,648			12	AA+	0.51	%	6.30	%	4.11
Agency securities(2)	668		682		—		(20		)	662			2	AA+	2.73	%	1.83	%	2.36
GNMA permanent securities(2)	32,633		32,889		420		(245		)	33,064			6	AA+	3.94	%	3.76	%	5.03
Corporate bonds(2)	55,305		54,257		—		(386		)	53,871			2	BB	4.08	%	5.04	%	2.51
Total debt securities	$	3,857,293	$	1,404,025	$	3,418	$	(8,867	)	$	1,398,576		179		1.54	%	3.19	%	2.40
Equity securities(7)	N/A		13,154		—		(1,604		)	11,550			3	N/A	N/A		N/A		N/A
Total real estate securities	$	3,857,293	$	1,417,179	$	3,418	$	(10,471	)	$	1,410,126		182

(1)


(2)	CMBS, CMBS interest-only securities, Agency securities, GNMA permanent securities and corporate bonds 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)	Includes $11.3 million of restricted securities which 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.


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


(5)	Includes $0.9 million of restricted securities which 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.

(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.


(7)	The Company has elected to account for equity securities at fair value with changes in fair value recorded in current period earnings.