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Debt Securities | 3 Months Ended
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Mar. 31, 2013
Investments Debt And Equity Securities [Abstract] |
Debt Securities | Note 4 – Debt Securities At March 31, 2013, the Company had CMBS with an aggregate face value of $258,369 which were pledged to secure borrowings under the Company’s master repurchase agreement with Wells Fargo Bank, N.A. (“Wells Fargo”) (the “Wells Facility”). This was comprised of AAA-rated CMBS with an aggregate face value of $185,974 and CMBS with a face amount of $72,395 for which the obligors are certain special purpose entities formed in 2010 to hold substantially all of the assets of Hilton Worldwide, Inc. (the “Hilton CMBS”). The Hilton CMBS has a current interest rate of one-month London InterBank Offered Rate (“LIBOR”)+2.30% which increases to LIBOR+3.30% on November 12, 2013 and LIBOR+3.80% on November 12, 2014. The Hilton CMBS receives principal repayments according to a schedule that is approximately equivalent to a 16-year amortization schedule and has a yield of 5.6%. The amortized cost and estimated fair value of the Company’s debt securities at March 31, 2013 are summarized as follows:
Security Description |  | Face Amount |  |  | Amortized Cost |  |  | Gross Unrealized Gain |  |  | Gross Unrealized Loss |  |  | Estimated Fair Value |
CMBS – AAA-rated (Available-for-Sale) |  | $ | 62,866 |  |  | $ | 64,404 |  |  | $ | 188 |  |  | $ | (376 | ) |  | $ | 64,216 |
CMBS – AAA-rated (Fair Value Option) |  |  | 123,108 |  |  |  | 124,420 |  |  |  | 1,232 |  |  |  | (314 | ) |  |  | 125,338 |
CMBS – Hilton (Fair Value Option) |  |  | 72,395 |  |  |  | 69,912 |  |  |  | 3,207 |  |  |  | — |  |  |  | 73,119 |
Total |  | $ | 258,369 |  |  | $ | 258,736 |  |  | $ | 4,627 |  |  | $ | (690 | ) |  | $ | 262,673 |
The gross unrealized loss related to the available-for-sale securities results from the fair value of the securities falling below the amortized cost basis. These unrealized losses are primarily the result of market factors other than credit impairment and the Company believes the carrying value of the securities are fully recoverable over their expected holding period. Management does not intend to sell or expect to be forced to sell the securities prior to the Company recovering the amortized cost. Additionally, all unrealized losses on securities available-for-sale at March 31, 2013 have existed for less than twelve months. As such, management does not believe any of the securities are other than temporarily impaired. The amortized cost and estimated fair value of the Company’s debt securities at December 31, 2012 are summarized as follows:
Security Description |  | Face Amount |  |  | Amortized Cost |  |  | Gross Unrealized Gain |  |  | Gross Unrealized Loss |  |  | Estimated Fair Value |
CMBS – AAA-rated (Available-for-Sale) |  | $ | 65,410 |  |  | $ | 67,109 |  |  | $ | 249 |  |  | $ | (279 | ) |  | $ | 67,079 |
CMBS – AAA-rated (Fair Value Option) |  |  | 134,694 |  |  |  | 136,354 |  |  |  | 2,061 |  |  |  | (167 | ) |  |  | 138,248 |
CMBS – Hilton (Fair Value Option) |  |  | 73,239 |  |  |  | 70,250 |  |  |  | 3,311 |  |  |  | — |  |  |  | 73,561 |
Total |  | $ | 273,343 |  |  | $ | 273,713 |  |  | $ | 5,621 |  |  | $ | (446 | ) |  | $ | 278,888 |
The overall statistics for the Company’s AAA-rated CMBS investments calculated on a weighted average basis assuming no early prepayments or defaults as of March 31, 2013 and December 31, 2012 are as follows:
|  | March 31, 2013 |  |  | December 31, 2012 |
Credit Ratings * |  |  | AAA |  |  |  | AAA |
Coupon |  |  | 5.6 | % |  |  | 5.6 | %
Yield |  |  | 4.6 | % |  |  | 4.1 | %
Weighted Average Life |  |  | 1.8 years |  |  |  | 1.8 years |
* | Ratings per Fitch Group, Moody’s Investors Service or Standard & Poor’s.
The percentage vintage, property type, and location of the collateral securing the Company’s AAA-rated CMBS investments calculated on a weighted average basis as of March 31, 2013 and December 31, 2012 are as follows:
Vintage |  | March 31, 2013 |  |  | December 31, 2012 |
2006 |  |  | — | % |  |  | 1 | %
2007 |  |  | 100 |  |  |  | 99 |
Total |  |  | 100 | % |  |  | 100 | %
Property Type |  | March 31, 2013 |  |  | December 31, 2012 |
Office |  |  | 41.0 | % |  |  | 40.5 | %
Retail |  |  | 22.9 |  |  |  | 23.2 |
Multifamily |  |  | 12.2 |  |  |  | 12.9 |
Hotel |  |  | 10.7 |  |  |  | 10.5 |
Other * |  |  | 13.2 |  |  |  | 12.9 |
Total |  |  | 100 | % |  |  | 100 | %
* | No other individual category comprises more than 10% of the total.
Location |  | March 31, 2013 |  |  | December 31, 2012 |
Middle Atlantic |  |  | 22.7 | % |  |  | 21.4 | %
South Atlantic |  |  | 22.5 |  |  |  | 21.8 |
Pacific |  |  | 22.1 |  |  |  | 23.8 |
Other * |  |  | 32.7 |  |  |  | 33.0 |
Total |  |  | 100 | % |  |  | 100 | %
* | No other individual category comprises more than 10% of the total.

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