XML 59 R12.htm IDEA: XBRL DOCUMENT
v2.4.0.8

Debt Securities | 9 Months Ended
--- | ---
Sep. 30, 2014
Investments, Debt and Equity Securities [Abstract] |
Debt Securities | Debt Securities At September 30, 2014, all of the Company's CMBS (Available-for-Sale) and CMBS (Fair Value Option) 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 9 for a description of these facilities). CMBS (Held-to-Maturity) represents a loan the Company closed during May 2014 that was subsequently contributed to a securitization during August 2014. During May 2014, the Company closed a $155,000 floating-rate whole loan secured by the first mortgage and equity interests in an entity that owns a resort hotel in Aruba. The property consists of 442 hotels rooms, 114 timeshare units, two casinos and approximately 131,500 square feet of retail space. During June 2014, the Company syndicated a $90,000 senior participation in the loan and retained a $65,000 junior participation. We evaluated this transaction and concluded due to our continuing involvement it should not be accounted for as a sale. During August 2014, both the $90,000 senior participation and the Company's $65,000 junior participation were contributed to a CMBS securitization. In exchange for contributing its $65,000 junior participation, the Company received a CMBS secured solely by the $65,000 junior participation. The whole loan has a three-year term with two one-year extension options and an appraised loan-to-value ("LTV") of approximately 60%. The amortized cost and estimated fair value of the Company’s debt securities at September 30, 2014 are summarized as follows:
Security Description | Face Amount |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Carrying Value
CMBS (Available-for-Sale) | $ | 17,777 |  |  | $ | 18,673 |  |  | $ | — |  |  | $ | (754 | ) |  | $ | 17,919 |
CMBS (Fair Value Option) | 503,768 |  |  | 492,772 |  |  | 7,306 |  |  | (377 | ) |  | 499,701 |
CMBS (Held to Maturity) | 155,000 |  |  | 153,998 |  |  | — |  |  | — |  |  | 153,998 |
Total | $ | 676,545 |  |  | $ | 665,443 |  |  | $ | 7,306 |  |  | $ | (1,131 | ) |  | $ | 671,618 |
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 (Available-for-Sale) and CMBS (Fair Value Option) investments calculated on a weighted average basis assuming no early prepayments or defaults as of September 30, 2014 and December 31, 2013 are as follows:
| September 30, 2014 |  | December 31, 2013
Credit Ratings * | AAA - CCC- |  |  | AAA - CCC |
Coupon | 5.8 | % |  | 5.8 | %
Yield | 6.3 | % |  | 5.3 | %
Weighted Average Life | 2.5 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 (Available-for-Sale) and CMBS (Fair Value Option) investments calculated on a weighted average basis as of September 30, 2014 and December 31, 2013 are as follows:
Vintage | September 30, 2014 |  | December 31, 2013
2005 | 9.8 | % |  | — | %
2006 | 19.6 |  |  | 3.0 |
2007 | 61.6 |  |  | 97.0 |
2008 | 9.0 |  |  | — |
Total | 100 | % |  | 100 | %
Property Type | September 30, 2014 |  | December 31, 2013
Office | 33.5 | % |  | 33.2 | %
Retail | 28.4 |  |  | 25.1 |
Multifamily | 13.7 |  |  | 15.3 |
Hotel | 9.3 |  |  | 12.0 |
Other * | 15.1 |  |  | 14.4 |
Total | 100 | % |  | 100 | %
* No other individual category comprises more than 10% of the total.
Location | September 30, 2014 |  | December 31, 2013
South Atlantic | 23.6 | % |  | 23.4 | %
Middle Atlantic | 20.9 |  |  | 22.8 |
Pacific | 17.3 |  |  | 17.6 |
East North Central | 11.0 |  |  | — |
Other * | 27.2 |  |  | 36.2 |
Total | 100 | % |  | 100 | %
* No other individual category comprises more than 10% of the total.

X
- Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27290-111563 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27357-111563 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -Glossary Debt Security -URI http://asc.fasb.org/extlink&oid=6509901 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 30 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6379141&loc=d3e15032-111544 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27232-111563 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62557-112803 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27161-111563 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27405-111563 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -Glossary Equity Security -URI http://asc.fasb.org/extlink&oid=6511694 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration