Debt Securities (Tables)

9 Months Ended

Sep. 30, 2015

Investments, Debt and Equity Securities [Abstract]

Amortized Cost and Estimated Fair Value of Debt Securities

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 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

Schedule of Continuous Unrealized Loss Position, Debt Securities

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	)

Overall Statistics for Company's AAA-Rated CMBS Investments Calculated on Weighted Average Basis

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.

Percentage Vintage, Property Type, and Location of Collateral Securing Company's AAA-Rated CMBS Investments Calculated on Weighted Average Basis

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.