Debt Securities (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2016 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
CMBS (Fair Value Option)	$	497,143	$	490,601	$	1,149	$	(39,046	)	$	452,704
CMBS (Held-to-Maturity)	151,750		151,726		—		—			151,726
Total	$	648,893	$	642,327	$	1,149	$	(39,046	)	$	604,430

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

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 June 30, 2016 and December 31, 2015 are as follows:



	June 30, 2016		December 31, 2015
Credit Ratings *	B+ - D		BB-D
Coupon	5.9	%	5.9	%
Yield	5.9	%	6.5	%
Weighted Average Life	1.2 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 June 30, 2016 and December 31, 2015 are as follows:



Vintage	June 30, 2016		December 31, 2015
2005	6.7	%	8.3	%
2006	20.4		20.0
2007	63.6		62.4
2008	9.3		9.3
Total	100.0	%	100.0	%



Property Type	June 30, 2016		December 31, 2015
Office	34.2	%	32.0	%
Retail	29.9		30.2
Multifamily	13.5		13.5
Other *	22.4		24.3
Total	100.0	%	100.0	%

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



Location	June 30, 2016		December 31, 2015
South Atlantic	22.1	%	23.0	%
Middle Atlantic	16.5		18.1
Pacific	17.2		17.8
East North Central	11.4		12.5
Other *	32.8		28.6
Total	100.0	%	100.0	%

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