The following is a summary of the Company’s real estate security at December 31, 2019 and 2018, which is classified as available-for-sale and is, therefore, reported at fair value with changes in fair value recorded in other comprehensive income, except if the security is 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
(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) |
December 31, 2019 |
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ABS - Non-Agency RMBS (E) |
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$ |
4,000 |
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$ |
2,863 |
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$ |
(1,521 |
) |
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$ |
1,342 |
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$ |
1,710 |
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$ |
— |
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$ |
3,052 |
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1 |
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CCC |
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2.18 |
% |
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29.70 |
% |
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4.0 |
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44.0 |
% |
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December 31, 2018 |
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ABS - Non-Agency RMBS (E) |
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$ |
4,000 |
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$ |
2,596 |
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$ |
(1,521 |
) |
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$ |
1,075 |
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$ |
1,878 |
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$ |
— |
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$ |
2,953 |
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1 |
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CCC |
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2.90 |
% |
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26.65 |
% |
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4.9 |
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38.0 |
% |
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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 the security and residual interest that is subordinate to the Company’s investment. |
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(E) |
The ABS - Non-Agency RMBS is a floating rate security and the collateral securing it is located in various geographic regions in the U.S. The Company does not have significant investments in any one geographic region. |
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