| Schedule of real estate securities holdings |
The following is a summary of the Company’s real estate securities at December 31, 2017 and 2016, 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amortized Cost Basis |
|
Gross Unrealized |
|
|
|
|
|
Weighted Average |
Asset Type |
|
Outstanding
Face Amount |
|
Before
Impairment |
|
Other-Than-
Temporary-
Impairment (A) |
|
After
Impairment |
|
Gains |
|
Losses |
|
Carrying Value
(B) |
|
Number of
Securities |
|
Rating
(C) |
|
Coupon |
|
Yield |
|
Life
(Years)
(D) |
|
Principal
Subordination
(E) |
December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS - Non-Agency RMBS |
|
$ |
4,000 |
|
|
$ |
2,445 |
|
|
$ |
(1,521 |
) |
|
$ |
924 |
|
|
$ |
1,370 |
|
|
$ |
— |
|
|
$ |
2,294 |
|
|
1 |
|
CCC |
|
1.94 |
% |
|
22.69 |
% |
|
7.5 |
|
33.0 |
% |
Total Securities, Available-for-Sale (F) |
|
$ |
4,000 |
|
|
$ |
2,445 |
|
|
$ |
(1,521 |
) |
|
$ |
924 |
|
|
$ |
1,370 |
|
|
$ |
— |
|
|
$ |
2,294 |
|
|
1 |
|
CCC |
|
1.94 |
% |
|
22.69 |
% |
|
7.5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ABS - Non-Agency RMBS |
|
4,000 |
|
|
2,303 |
|
|
(1,521 |
) |
|
782 |
|
|
1,168 |
|
|
— |
|
|
1,950 |
|
|
1 |
|
C |
|
1.15 |
% |
|
25.45 |
% |
|
9.0 |
|
27.9 |
% |
FNMA/FHLMC (A) |
|
619,808 |
|
|
650,432 |
|
|
(23,128 |
) |
|
627,304 |
|
|
— |
|
|
— |
|
|
627,304 |
|
|
15 |
|
AAA |
|
3.28 |
% |
|
2.65 |
% |
|
8.4 |
|
N/A |
|
Total Securities, Available-for-Sale (F) |
|
$ |
623,808 |
|
|
$ |
652,735 |
|
|
$ |
(24,649 |
) |
|
$ |
628,086 |
|
|
$ |
1,168 |
|
|
$ |
— |
|
|
$ |
629,254 |
|
|
16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(A) |
In December 2016, the Company reclassified gross unrealized losses of $23.1 million from other comprehensive income 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.
|
|
|
(B) |
See Note 11 regarding the estimation of fair value, which is equal to carrying value for all securities. |
|
|
(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 used 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.
|
|
|
(D) |
The weighted average life is based on the timing of expected cash flows on the assets. |
|
|
(E) |
Percentage of the outstanding face amount of securities and residual interests that is subordinate to the Company’s investments. |
|
|
(F) |
As of December 31, 2017 and 2016, the total outstanding face amount of fixed rate securities was zero and $619.8 million, respectively, and of floating rate securities were $4.0 million for both years. The collateral securing the ABS - Non-Agency RMBS is located in various geographic regions in the US. The Company does not have significant investments in any geographic region, thus a downturn in market conditions would not have a material negative impact on the Company.
|
|
| Schedule of credit losses on debt securities |
The following table summarizes the activity related to credit losses on debt securities (the Company had no activity related to credit losses on securities for the year ended December 31, 2017).
|
|
|
|
|
|
2016 |
Credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income, Balance at January 1, 2016 |
$ |
(3,010 |
) |
|
|
Additions to credit losses on securities for which an OTTI was previously recognized and a portion of an OTTI was recognized in other comprehensive income |
(110 |
) |
|
|
Reduction for securities deconsolidated during the period |
3,120 |
|
|
|
Credit losses on debt securities for which a portion of an OTTI was recognized in other comprehensive income, Balance at December 31, 2016 |
$ |
— |
|
|