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Debt Securities | 9 Months Ended
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Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract] |
Debt Securities | Debt Securities At September 30, 2016, 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. 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, 2016 are summarized as follows:
Security Description | Face Amount |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Estimated Fair Value
CMBS (Fair Value Option) | $ | 402,392 |  |  | $ | 395,160 |  |  | $ | 116 |  |  | $ | (47,820 | ) |  | $ | 347,456 |
CMBS (Held-to-Maturity) | 147,280 |  |  | 147,190 |  |  | — |  |  | — |  |  | 147,190 |
Total | $ | 549,672 |  |  | $ | 542,350 |  |  | $ | 116 |  |  | $ | (47,820 | ) |  | $ | 494,646 |
During August 2016, the Company sold CMBS with an amortized cost of $86,676 resulting in a net realized loss of $225, which was comprised of realized gains of $90 and realized losses of $315. The sale generated proceeds of $16,222 after the repayment of $70,229 of borrowings under the Company's master repurchase agreement with Deutsche Bank AG ("DB") (the "DB Facility"). 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 |
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"). 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 September 30, 2016 and December 31, 2015 are as follows:
| September 30, 2016 |  | December 31, 2015
Credit Ratings * | B+ - D |  |  | BB-D |
Coupon | 5.9 | % |  | 5.9 | %
Yield | 5.9 | % |  | 6.5 | %
RemainingWeighted Average Life | 2.0 years |  |  | 1.6 years |
* | Ratings per Fitch Ratings, Inc., Moody’s Investors Service, Inc. or Standard & Poor's Ratings Services.
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 September 30, 2016 and December 31, 2015 are as follows:
Vintage | September 30, 2016 |  | December 31, 2015
2005 | 1.2 | % |  | 8.3 | %
2006 | 15.5 |  |  | 20.0 |
2007 | 71.6 |  |  | 62.4 |
2008 | 11.7 |  |  | 9.3 |
Total | 100.0 | % |  | 100.0 | %
Property Type | September 30, 2016 |  | December 31, 2015
Office | 34.6 | % |  | 32.0 | %
Retail | 27.8 |  |  | 30.2 |
Multifamily | 13.3 |  |  | 13.5 |
Other * | 24.3 |  |  | 24.3 |
Total | 100.0 | % |  | 100.0 | %
* No other individual category comprises more than 10% of the total.
Location | September 30, 2016 |  | December 31, 2015
South Atlantic | 23.0 | % |  | 23.0 | %
Middle Atlantic | 16.0 |  |  | 18.1 |
Pacific | 15.8 |  |  | 17.8 |
East North Central | 11.3 |  |  | 12.5 |
Other * | 33.9 |  |  | 28.6 |
Total | 100.0 | % |  | 100.0 | %
* No other individual category comprises more than 10% of the total.

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