| Schedule of real estate securities holdings |
The following is a summary of the Company’s real estate securities at December 31, 2018 and 2017, 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.
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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, 2018 |
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ABS - Non-Agency RMBS |
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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 |
% |
Total Securities, Available-for-Sale (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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December 31, 2017 |
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ABS - Non-Agency RMBS |
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4,000 |
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2,445 |
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(1,521 |
) |
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924 |
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1,370 |
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— |
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2,294 |
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1 |
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CCC |
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1.94 |
% |
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22.69 |
% |
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7.5 |
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33.0 |
% |
Total Securities, Available-for-Sale (E) |
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$ |
4,000 |
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$ |
2,445 |
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$ |
(1,521 |
) |
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$ |
924 |
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$ |
1,370 |
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$ |
— |
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$ |
2,294 |
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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) |
As of December 31, 2018 and 2017, the total outstanding face amount 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 U.S. The Company does not have significant investments in any one geographic region.
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