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.