Quarterly report pursuant to Section 13 or 15(d)

REAL ESTATE SECURITIES (Tables)

v3.21.1
REAL ESTATE SECURITIES (Tables)
 3 Months Ended
Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Schedule of real estate securities holdings
The following is a summary of the Company’s real estate securities at March 31, 2021, 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 After Impairment Gains Losses Carrying
 Value (A)		 Number of Securities Rating (B) Coupon Yield Life
(Years) (C)		 Principal Subordination (D)
March 31, 2021
ABS - Non-Agency RMBS (E) $ 4,000  $ 3,400  $ (1,521) $ 1,879  $ 1,392  $ —  $ 3,271  1  CCC 0.71  % 29.16  % 2.4 55.2  %
December 31, 2020
ABS - Non-Agency RMBS (E) $ 4,000  $ 3,276  $ (1,521) $ 1,755  $ 1,468  $ —  $ 3,223  1  CCC 0.73  % 29.14  % 2.6 52.2  %
  
(A)See Note 10 regarding the estimation of fair value, which is equal to carrying value for all securities.
(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.
(C)The weighted average life is based on the timing of expected cash flows on the assets.
(D)Percentage of the outstanding face amount of securities and residual interests that is subordinate to the Company’s investment.
(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.