REAL ESTATE SECURITIES
The following is a summary of the Company’s real estate securities at June 30, 2018, 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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June 30, 2018 |
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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 (A) |
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Number of Securities |
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Rating (B) |
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Coupon |
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Yield |
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Life
(Years) (C) |
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Principal Subordination (D) |
ABS - Non-Agency RMBS |
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$ |
4,000 |
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$ |
2,512 |
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$ |
(1,521 |
) |
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$ |
991 |
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$ |
1,434 |
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$ |
— |
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$ |
2,425 |
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1 |
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CCC |
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2.48 |
% |
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22.98 |
% |
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7.3 |
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35.4 |
% |
Total Securities, Available for Sale (E) |
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$ |
4,000 |
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$ |
2,512 |
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$ |
(1,521 |
) |
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$ |
991 |
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$ |
1,434 |
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$ |
— |
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$ |
2,425 |
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1 |
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(A) |
See Note 10 regarding the estimation of fair value, which is equal to carrying value for all securities. |
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(B) |
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. 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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(C) |
The weighted average life is based on the timing of expected cash flows on the assets. |
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(D) |
Percentage of the outstanding face amount of securities and residual interests that is subordinate to the Company’s investments. |
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(E) |
The total outstanding face amount was $4.0 million for floating rate securities. The collateral securing the ABS - Non-Agency RMBS is located in various geographical 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.
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The Company had no securities in an unrealized loss position as of June 30, 2018. The Company has no activity related to credit losses on debt securities for the six months ended June 30, 2018.
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