Securities

At September 30, 2017, all of the Company's CMBS (Fair Value Option) were pledged to secure borrowings under the Company’s master repurchase agreement Deutsche Bank AG ("DB") (the "DB Facility"). The Company's master repurchase agreement with UBS AG, London Branch ("UBS") (the "UBS Facility") matured in September, 2017 and was fully repaid by the Company. 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 that 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. During May 2017, the loan and associated CMBS (Held-to-Maturity) were fully repaid and the related Securities, held-to-maturity and participation sold line items were removed from the Company's condensed consolidated balance sheet.

The amortized cost and estimated fair value of the Company’s debt securities at September 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)	$	222,522	$	217,242	$	247	$	(25,587	)	$	191,902

During the nine months ended September 30, 2017, the Company sold securities resulting in a net realized loss of $5,118.

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 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 net proceeds of $16,222 after the repayment of $70,229 of borrowings under the DB Facility.

The overall statistics for the Company’s CMBS (Fair Value Option) calculated on a weighted average basis as of September 30, 2017 and December 31, 2016 are as follows:



	September 30, 2017		December 31, 2016
Credit Ratings *	BB-D		B+-NR
Coupon	5.9	%	5.9	%
Yield	4.2	%	6.0	%
Weighted Average Life	2.0 years		2.5 years

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*	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 September 30, 2017 and December 31, 2016 are as follows:



Vintage	September 30, 2017		December 31, 2016
2005	—	%	2.0	%
2006	21.2		12.1
2007	57.0		73.5
2008	21.8		12.4
Total	100.0	%	100.0	%



Property Type	September 30, 2017		December 31, 2016
Office	37.8	%	34.6	%
Retail	25.8		29.0
Multifamily	13.6		12.4
Other ⁽¹⁾	22.8		24.0
Total	100.0	%	100.0	%

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



Location	September 30, 2017		December 31, 2016
South Atlantic	28.3	%	23.8	%
Middle Atlantic	11.9		16.7
Pacific	5.8		15.3
East North Central	16.7		10.8
Other ⁽¹⁾	37.3		33.4
Total	100.0	%	100.0	%

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