Debt Securities

At December 31, 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" 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 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%.

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



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
CMBS (Fair Value Option)	$	375,861	$	368,247	$	292	$	(37,463	)	$	331,076
CMBS (Held-to-Maturity)	146,530		146,352		—		—			146,352
Total	$	522,391	$	514,599	$	292	$	(37,463	)	$	477,428

During August 2016, the Company sold CMBS resulting in a net realized loss of $225.

During October 2016, the Company sold CMBS resulting in a net realized loss of $1,245.

The following table presents information about the Company's debt securities that were in an unrealized loss position at December 31, 2016:



	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)	63,589		(1,780		)	228,206		(35,683		)
Total	$	63,589	$	(1,780	)	$	228,206	$	(35,683	)

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., which was repaid in February 2015 and expired in March 2016.

The overall statistics for the Company’s CMBS (Fair Value Option) calculated on a weighted average basis as of December 31, 2016 and 2015 are as follows:



	December 31, 2016		December 31, 2015
Credit Ratings *	B+-NR		BB-D
Coupon	5.9	%	5.9	%
Yield	6.0	%	6.5	%
Weighted Average Life	2.5 years		1.6 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 (Fair Value Option) calculated on a weighted average basis as of December 31, 2016 and 2015 are as follows:



Vintage	December 31, 2016		December 31, 2015
2005	2.0	%	8.3	%
2006	12.1		20.0
2007	73.5		62.4
2008	12.4		9.3
Total	100	%	100	%



Property Type	December 31, 2016		December 31, 2015
Office	34.6	%	32.0	%
Retail	29.0		30.2
Multifamily	12.4		13.5
Other *	24.0		24.3
Total	100	%	100	%


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



Location	December 31, 2016		December 31, 2015
South Atlantic	23.8	%	23.0	%
Middle Atlantic	16.7		18.1
Pacific	15.3		17.8
East North Central	10.8		12.5
Other *	33.4		28.6
Total	100	%	100	%


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