| Schedule of real estate securities holdings |
The following is a summary of the Company’s real estate securities at June 30, 2017, all of which are classified as available-for-sale and are, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except for securities that are other-than-temporarily impaired.
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Amortized Cost Basis |
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Gross Unrealized |
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Weighted Average |
Asset Type |
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Outstanding Face Amount |
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Before Impairment |
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Other-Than- Temporary Impairment |
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After Impairment |
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Gains |
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Losses |
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Carrying
Value (B) |
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Number of Securities |
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Rating (C) |
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Coupon |
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Yield |
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Life
(Years) (D) |
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Principal Subordination (E) |
ABS - Non-Agency RMBS |
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$ |
4,000 |
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$ |
2,377 |
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$ |
(1,521 |
) |
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$ |
856 |
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$ |
1,258 |
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$ |
— |
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$ |
2,114 |
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1 |
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CCC |
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1.61 |
% |
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25.44 |
% |
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8.3 |
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29.9 |
% |
Total Securities, Available-for-Sale (F) |
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$ |
4,000 |
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$ |
2,377 |
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$ |
(1,521 |
) |
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$ |
856 |
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$ |
1,258 |
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$ |
— |
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$ |
2,114 |
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1 |
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FNMA/FHLMC (A) |
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310,713 |
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329,101 |
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(11,094 |
) |
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318,007 |
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1,177 |
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— |
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319,184 |
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1 |
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AAA |
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3.50 |
% |
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3.13 |
% |
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7.0 |
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N/A |
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Total Securities, Pledged as Collateral (F) |
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$ |
310,713 |
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$ |
329,101 |
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$ |
(11,094 |
) |
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$ |
318,007 |
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$ |
1,177 |
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$ |
— |
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$ |
319,184 |
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1 |
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(A) |
As of June 30, 2017, the Company had recognized gross unrealized losses of $11.1 million into earnings on FNMA/FHLMC securities that the Company intends to sell and recorded in realized and unrealized (gain) loss on investments in the Consolidated Statements of Operations.
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(B) |
See Note 10 regarding the estimation of fair value, which is equal to carrying value for all securities. |
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(C) |
Represents the weighted average of the ratings of all securities in each asset type, expressed as an S&P equivalent rating. For each security rated by multiple rating agencies, the lowest rating is used. The Company uses an implied AAA rating for the FNMA/FHLMC securities. Ratings provided were determined by third-party rating agencies, represent the most recent credit ratings available as of the reporting date and may not be current. |
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(D) |
The weighted average life is based on the timing of expected cash flows on the assets. |
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(E) |
Percentage of the outstanding face amount of securities and residual interests that is subordinate to the Company’s investments. |
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(F) |
The total outstanding face amount was $310.7 million for fixed rate securities and $4.0 million for floating rate securities.
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