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Securities | 3 Months Ended
--- | ---
Mar. 31, 2017
Investments, Debt and Equity Securities [Abstract] |
Securities | Securities At March 31, 2017, 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 7 - 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 hotel 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 March 31, 2017 are summarized as follows:
Security Description | Face Amount |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Estimated Fair Value
CMBS (Fair Value Option) | $ | 304,768 |  |  | $ | 296,159 |  |  | $ | 1,833 |  |  | $ | (36,151 | ) |  | $ | 261,841 |
CMBS (Held-to-Maturity) | 145,780 |  |  | 145,780 |  |  | — |  |  | — |  |  | 145,780 |
Total | $ | 450,548 |  |  | $ | 441,939 |  |  | $ | 1,833 |  |  | $ | (36,151 | ) |  | $ | 407,621 |
During the three months ended March 31, 2017, the Company sold CMBS resulting in a net realized loss of $1,001. 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 2016, the Company sold CMBS resulting in a net realized loss of $1,470. The overall statistics for the Company’s CMBS (Fair Value Option) calculated on a weighted average basis as of March 31, 2017 and December 31, 2016 are as follows:
| March 31, 2017 |  | December 31, 2016
Credit Ratings * | B-NR |  |  | B+-NR |
Coupon | 5.9 | % |  | 5.9 | %
Yield | 4.3 | % |  | 6.0 | %
Weighted Average Life | 2.4 years |  |  | 2.5 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 March 31, 2017 and December 31, 2016 are as follows:
Vintage | March 31, 2017 |  | December 31, 2016
2005 | 2.5 | % |  | 2.0 | %
2006 | 14.9 |  |  | 12.1 |
2007 | 67.4 |  |  | 73.5 |
2008 | 15.2 |  |  | 12.4 |
Total | 100.0 | % |  | 100.0 | %
Property Type | March 31, 2017 |  | December 31, 2016
Office | 31.7 | % |  | 34.6 | %
Retail | 32.5 |  |  | 29.0 |
Multifamily | 11.3 |  |  | 12.4 |
Other (1) | 24.5 |  |  | 24.0 |
Total | 100.0 | % |  | 100.0 | %
(1) No other individual category comprises more than 10% of the total.
Location | March 31, 2017 |  | December 31, 2016
South Atlantic | 26.7 | % |  | 23.8 | %
Middle Atlantic | 15.7 |  |  | 16.7 |
Pacific | 13.9 |  |  | 15.3 |
East North Central | 12.1 |  |  | 10.8 |
Other (1) | 31.6 |  |  | 33.4 |
Total | 100.0 | % |  | 100.0 | %
(1) No other individual category comprises more than 10% of the total.

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