Debt Securities

At March 31, 2014, all of the Company's CMBS were pledged to secure borrowings under the Company’s master repurchase agreements with Wells Fargo Bank, N.A. (“Wells Fargo”) (the “Wells Facility”) and UBS AG, London Branch ("UBS") (the "UBS Facility"). (See Note 8 for a description of these facilities).

The amortized cost and estimated fair value of the Company’s debt securities at March 31, 2014 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
CMBS (Available-for-Sale)	$	25,281	$	26,364	$	—	$	(887	)	$	25,477
CMBS (Fair Value Option)	146,497		146,810		4,432		(108		)	151,134
Total	$	171,778	$	173,174	$	4,432	$	(995	)	$	176,611

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. The 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. 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, 2013 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
CMBS (Available-for-Sale)	$	33,066	$	34,232	$	—	$	(870	)	$	33,362
CMBS (Fair Value Option)	155,577		155,946		2,313		(173		)	158,086
Total	$	188,643	$	190,178	$	2,313	$	(1,043	)	$	191,448

The overall statistics for the Company’s CMBS investments calculated on a weighted average basis assuming no early prepayments or defaults as of March 31, 2014 and December 31, 2013 are as follows:



	March 31, 2014		December 31, 2013
Credit Ratings *	AAA-CCC		AAA-CCC
Coupon	5.8	%	5.8	%
Yield	5.4	%	5.3	%
Weighted Average Life	3.1 years		3.1 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 CMBS investments (excluding the Hilton CMBS) calculated on a weighted average basis as of March 31, 2014 and December 31, 2013 are as follows:



Vintage	March 31, 2014		December 31, 2013
2006	3	%	3	%
2007	97		97
Total	100	%	100	%



Property Type	March 31, 2014		December 31, 2013
Office	36.0	%	35.5	%
Retail	24.0		24.1
Hotel	13.8		13.7
Multifamily	12.1		12.7
Other *	14.1		14.0
Total	100	%	100	%

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



Location	March 31, 2014		December 31, 2013
South Atlantic	23.8	%	23.4	%
Middle Atlantic	23.0		22.8
Pacific	17.0		17.6
East North Central	10.3		—
Other *	25.9		36.2
Total	100	%	100	%

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