Debt Securities

At June 30, 2013, the Company had CMBS with an aggregate face value of $234,660, 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 $163,162 and CMBS with a face amount of $71,498, 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 June 30, 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)	$	52,142	$	53,571	$	16	$	(678	)	$	52,909
CMBS – AAA-rated (Fair Value Option)	111,020		111,982		672		(390		)	112,264
CMBS – Hilton (Fair Value Option)	71,498		69,521		2,423		—			71,944
Total	$	234,660	$	235,074	$	3,111	$	(1,068	)	$	237,117

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 June 30, 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 June 30, 2013 and December 31, 2012 are as follows:



	June 30, 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 Ratings, 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 June 30, 2013 and December 31, 2012 are as follows:



Vintage	June 30, 2013		December 31, 2012
2006	—	%	1	%
2007	100		99
Total	100	%	100	%



Property Type	June 30, 2013		December 31, 2012
Office	41.0	%	40.5	%
Retail	22.7		23.2
Multifamily	12.2		12.9
Hotel	10.8		10.5
Other *	13.3		12.9
Total	100	%	100	%

* No other individual category comprises more than 10% of the total.



Location	June 30, 2013		December 31, 2012
Middle Atlantic	22.8	%	21.4	%
South Atlantic	22.2		21.8
Pacific	22.0		23.8
Other *	33.0		33.0
Total	100	%	100	%

* No other individual category comprises more than 10% of the total.