Debt Securities (Tables)

3 Months Ended

Mar. 31, 2016

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, 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 amortized cost and estimated fair value of the Company’s debt securities at March 31, 2016 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Carrying Value
CMBS (Fair Value Option)	$	505,134	$	498,630	$	1,575	$	(27,741	)	$	472,464
CMBS (Held-to-Maturity)	152,500		152,451		—		—			152,451
Total	$	657,634	$	651,081	$	1,575	$	(27,741	)	$	624,915

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

The overall statistics for the Company’s CMBS (Fair Value Option) investments calculated on a weighted average basis assuming no early prepayments or defaults as of March 31, 2016 and December 31, 2015 are as follows:



	March 31, 2016		December 31, 2015
Credit Ratings *	BB-D		BB-D
Coupon	5.9	%	5.9	%
Yield	6.6	%	6.5	%
Weighted Average Life	1.4 years		1.6 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 CMBS (Fair Value Option) investments calculated on a weighted average basis as of March 31, 2016 and December 31, 2015 are as follows:



Vintage	March 31, 2016		December 31, 2015
2005	7.2	%	8.3	%
2006	21.0		20.0
2007	62.6		62.4
2008	9.2		9.3
Total	100.0	%	100.0	%



Property Type	March 31, 2016		December 31, 2015
Office	33.0	%	32.0	%
Retail	30.0		30.2
Multifamily	13.3		13.5
Other *	23.7		24.3
Total	100.0	%	100.0	%

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



Location	March 31, 2016		December 31, 2015
South Atlantic	22.3	%	23.0	%
Middle Atlantic	18.6		18.1
Pacific	17.7		17.8
East North Central	12.2		12.5
Other *	29.2		28.6
Total	100.0	%	100.0	%

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