Debt Securities (Tables)

9 Months Ended

Sep. 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 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

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 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.

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 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.