Debt Securities

At September 30, 2015, all of the Company's CMBS (Fair Value Option) were pledged to secure borrowings under the Company’s master repurchase agreements with UBS AG, London Branch ("UBS") (the "UBS Facility") and Deutsche Bank AG ("DB") (the "DB Facility"). See "Note 8 - Borrowings Under Repurchase Agreements" for further information regarding these facilities.

During February 2015, the Company sold CMBS with an amortized cost of $24,038 resulting in a net realized loss of $443, which was comprised of realized gains of $43 and realized losses of $486. As a result of the sale, $678 was reclassified out of accumulated other comprehensive income. The sale generated proceeds of $1,341 after the repayment of $22,254 of borrowings under the Company's master repurchase agreement with Wells Fargo Bank, N.A. ("Wells Fargo") (the "Wells Facility").

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. The Company evaluated this transaction and concluded due to its continuing involvement the transaction 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, 2015 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Carrying Value
CMBS (Fair Value Option)	$	520,883	$	512,107	$	5,752	$	(5,374	)	$	512,485
CMBS (Held-to-Maturity)	$	154,000	$	153,799	$	—	$	—		$	153,799
Total	$	674,883	$	665,906	$	5,752	$	(5,374	)	$	666,284

The following table presents information about the Company's debt securities that were in an unrealized loss position at September 30, 2015:



	Unrealized Loss Position for Less than 12 months					Unrealized Loss Position for 12 months or More
Security Description	Fair Value		Unrealized Loss			Fair Value		Unrealized Loss
CMBS (Fair Value Option)	239,715		(4,222		)	6,315		(1,152		)
Total	$	239,715	$	(4,222	)	$	6,315	$	(1,152	)

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, 2014 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
CMBS (Available-for-Sale)	$	17,013	$	17,783	$	—	$	(678	)	$	17,105
CMBS (Fair Value Option)	527,177		516,443		7,322		(1,035		)	522,730
CMBS (Held-to-Maturity)	$	155,000	$	154,283	$	—	$	—		$	154,283
Total	$	699,190	$	688,509	$	7,322	$	(1,713	)	$	694,118

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, 2015 and December 31, 2014 are as follows:



	September 30, 2015		December 31, 2014
Credit Ratings *	AAA to CC		AAA to CCC-
Coupon	5.9	%	5.9	%
Yield	6.6	%	6.4	%
Weighted Average Life	1.7 years		2.3 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, 2015 and December 31, 2014 are as follows:



Vintage	September 30, 2015		December 31, 2014
2005	9.7	%	9.0	%
2006	19.4		19.0
2007	61.8		63.0
2008	9.1		9.0
Total	100.0	%	100.0	%



Property Type	September 30, 2015		December 31, 2014
Office	32.3	%	33.4	%
Retail	29.4		29.1
Multifamily	13.3		13.3
Other *	25.0		24.2
Total	100.0	%	100.0	%

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



Location	September 30, 2015		December 31, 2014
South Atlantic	23.2	%	23.2	%
Middle Atlantic	17.9		21.1
Pacific	17.6		17.0
East North Central	12.4		11.0
Other *	28.9		27.7
Total	100.0	%	100.0	%

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