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Debt Securities | 12 Months Ended
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Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract] |
Debt Securities | Debt Securities At December 31, 2015, all of the Company's CMBS were pledged to secure borrowings under the UBS Facility and the DB Facility. See Note 8 - Borrowings for a description of 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 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 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%. During 2014, the Company purchased CMBS with an aggregate face amount of $387,100 and an aggregate purchase price of $375,006. The CMBS were financed under the DB Facility and the Company elected the fair value option for these securities. The amortized cost and estimated fair value of the Company’s debt securities at December 31, 2015 are summarized as follows:
Security Description | Face Amount |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Estimated Fair Value
CMBS (Fair Value Option) | $ | 511,482 |  |  | $ | 504,253 |  |  | $ | 2,614 |  |  | $ | (13,718 | ) |  | $ | 493,149 |
CMBS (Held-to-Maturity) | 153,250 |  |  | 153,193 |  |  | — |  |  | — |  |  | 153,193 |
Total | $ | 664,732 |  |  | $ | 657,446 |  |  | $ | 2,614 |  |  | $ | (13,718 | ) |  | $ | 646,342 |
The following table presents information about the Company's debt securities that were in an unrealized loss position at December 31, 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) | 259,739 |  |  | (10,644 | ) |  | 68,232 |  |  | (3,074 | )
Total | $ | 259,739 |  |  | $ | (10,644 | ) |  | $ | 68,232 |  |  | $ | (3,074 | )
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 temporary impairment of the available-for-sale securities results from the fair value of the securities falling below the amortized cost basis. These 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. Additionally, all unrealized losses on securities available-for-sale at December 31, 2014 have existed for less than twelve months. As such, management does not believe any of the securities are other than temporarily impaired. The overall statistics for the Company’s CMBS (Available-for-Sale) and CMBS (Fair Value Option) calculated on a weighted average basis as of December 31, 2015 and 2014 are as follows:
| December 31, 2015 |  | December 31, 2014
Credit Ratings * | BB-D |  |  | AAA-CCC- |
Coupon | 5.9 | % |  | 5.9 | %
Yield | 6.5 | % |  | 6.4 | %
Weighted Average Life | 1.6 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) calculated on a weighted average basis as of December 31, 2015 and 2014 are as follows:
Vintage | December 31, 2015 |  | December 31, 2014
2005 | 8.3 | % |  | 9.0 | %
2006 | 20.0 |  |  | 19.0 |
2007 | 62.4 |  |  | 63.0 |
2008 | 9.3 |  |  | 9.0 |
Total | 100 | % |  | 100 | %
Property Type | December 31, 2015 |  | December 31, 2014
Office | 32.0 | % |  | 33.4 | %
Retail | 30.2 |  |  | 29.1 |
Multifamily | 13.5 |  |  | 13.3 |
Hotel | — |  |  | 9.2 |
Other * | 24.3 |  |  | 15.0 |
Total | 100 | % |  | 100 | %
* | No other individual category comprises more than 10% of the total.
Location | December 31, 2015 |  | December 31, 2014
South Atlantic | 23.0 | % |  | 23.2 | %
Middle Atlantic | 18.1 |  |  | 21.1 |
Pacific | 17.8 |  |  | 17.0 |
East North Central | 12.5 |  |  | 11.0 |
Other * | 28.6 |  |  | 27.7 |
Total | 100 | % |  | 100 | %
* | No other individual category comprises more than 10% of the total.

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