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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