Securities (Tables)

6 Months Ended

Jun. 30, 2017

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, 2017 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
CMBS (Fair Value Option)	$	300,064	$	293,312	$	147	$	(38,975	)	$	254,484

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

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) calculated on a weighted average basis as of June 30, 2017 and December 31, 2016 are as follows:



	June 30, 2017		December 31, 2016
Credit Ratings *	B-NR		B+-NR
Coupon	5.8	%	5.9	%
Yield	4.6	%	6.0	%
Weighted Average Life	2.3 years		2.5 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 Company's CMBS (Fair Value Option) calculated on a weighted average basis as of June 30, 2017 and December 31, 2016 are as follows:



Vintage	June 30, 2017		December 31, 2016
2005	0.9	%	2.0	%
2006	15.4		12.1
2007	68.0		73.5
2008	15.7		12.4
Total	100.0	%	100.0	%



Property Type	June 30, 2017		December 31, 2016
Office	35.8	%	34.6	%
Retail	30.6		29.0
Multifamily	12.4		12.4
Other ⁽¹⁾	21.2		24.0
Total	100.0	%	100.0	%

(1) No other individual category comprises more than 10% of the total.



Location	June 30, 2017		December 31, 2016
South Atlantic	26.9	%	23.8	%
Middle Atlantic	16.5		16.7
Pacific	14.3		15.3
East North Central	14.4		10.8
Other ⁽¹⁾	27.9		33.4
Total	100.0	%	100.0	%

(1) No other individual category comprises more than 10% of the total.