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Debt Securities (Tables)

9 Months Ended

Sep. 30, 2013

Investments, Debt and Equity Securities [Abstract]

Amortized Cost and Estimated Fair Value

The amortized cost and estimated fair value of the Company’s debt securities at September 30, 2013 are summarized as follows:

Security Description	Face Amount				Amortized Cost				Gross Unrealized Gain				Gross Unrealized Loss				Estimated Fair Value
CMBS (Available-for-Sale)	$	36,925			$	38,178			$	—			$	(619	)		$	37,559
CMBS (Fair Value Option)	180,365				179,841				372				(235		)		179,978
CMBS – Hilton (Fair Value Option)	70,682				69,587				1,095				—				70,682
Total	$	287,972			$	287,606			$	1,467			$	(854	)		$	288,219

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 (Available-for-Sale)	$	65,410			$	67,109			$	249			$	(279	)		$	67,079
CMBS (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

Overall Statistics for Company's AAA-Rated CMBS Investments Calculated on Weighted Average Basis

The overall statistics for the Company’s CMBS investments (excluding the Hilton CMBS) calculated on a weighted average basis assuming no early prepayments or defaults as of September 30, 2013 and December 31, 2012 are as follows:

	September 30, 2013			December 31, 2012
Credit Ratings *	AAA-CCC			AAA
Coupon	5.8	%		5.6	%
Yield	5.3	%		4.1	%
Weighted Average Life	2.2 years			1.8 years

* Ratings per Fitch Ratings, Moody’s Investors Service or Standard & Poor's.

Percentage Vintage, Property Type, and Location of Collateral Securing Company's AAA-Rated CMBS Investments Calculated on Weighted Average Basis

The percentage vintage, property type and location of the collateral securing the Company’s CMBS investments (excluding the Hilton CMBS) calculated on a weighted average basis as of September 30, 2013 and December 31, 2012 are as follows:

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

Property Type	September 30, 2013			December 31, 2012
Office	40.0	%		40.5	%
Retail	22.1			23.2
Hotel	13.0			10.5
Multifamily	12.3			12.9
Other *	12.6			12.9
Total	100	%		100	%

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

Location	September 30, 2013			December 31, 2012
Middle Atlantic	22.9	%		21.4	%
Pacific	21.7			23.8
South Atlantic	21.1			21.8
Other *	34.3			33.0
Total	100	%		100	%

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

X

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

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-Number 107

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Tabular disclosure of information pertaining to carrying amount and estimated fair value of short-term and long-term debt instruments or arrangements, including but not limited to, identification of terms, features, and collateral requirements.

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Tabular disclosure of the nature of a concentration, a benchmark to which it is compared, and the percentage that the risk is to the benchmark.

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-Name Statement of Position (SOP)

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