Debt Securities

At June 30, 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”), UBS AG, London Branch ("UBS") (the "UBS Facility") and Deutsche Bank AG ("DB") (the "DB Facility"). (See Note 8 for a description of these facilities).

The amortized cost and estimated fair value of the Company’s debt securities at June 30, 2014 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
CMBS (Available-for-Sale)	$	23,097	$	24,074	$	—	$	(793	)	$	23,281
CMBS (Fair Value Option)	320,499		315,650		9,143		(69		)	324,724
Total	$	343,596	$	339,724	$	9,143	$	(862	)	$	348,005

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 June 30, 2014 and December 31, 2013 are as follows:



	June 30, 2014		December 31, 2013
Credit Ratings *	AAA - CC		AAA - CCC
Coupon	5.8	%	5.8	%
Yield	6.3	%	5.3	%
Weighted Average Life	2.8 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 calculated on a weighted average basis as of June 30, 2014 and December 31, 2013 are as follows:



Vintage	June 30, 2014		December 31, 2013
2005	13	%	—	%
2006	15		3
2007	71		97
2008	1		—
Total	100	%	100	%



Property Type	June 30, 2014		December 31, 2013
Office	36.6	%	35.5	%
Retail	24.3		24.1
Hotel	14.2		13.7
Multifamily	11.4		12.7
Other *	13.5		14.0
Total	100	%	100	%

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



Location	June 30, 2014		December 31, 2013
South Atlantic	24.0	%	23.4	%
Middle Atlantic	20.3		22.8
Pacific	17.7		17.6
East North Central	11.0		—
Other *	27.0		36.2
Total	100	%	100	%

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