The following is a summary of the Company’s real estate securities at September 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2018 |
|
|
|
|
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) |
ABS - Non-Agency RMBS |
|
$ |
4,000 |
|
|
$ |
2,552 |
|
|
$ |
(1,521 |
) |
|
$ |
1,031 |
|
|
$ |
2,171 |
|
|
$ |
— |
|
|
$ |
3,202 |
|
|
1 |
|
|
CCC |
|
2.61 |
% |
|
26.65 |
% |
|
3.1 |
|
36.6 |
% |
Total Securities, Available for Sale (E) |
|
$ |
4,000 |
|
|
$ |
2,552 |
|
|
$ |
(1,521 |
) |
|
$ |
1,031 |
|
|
$ |
2,171 |
|
|
$ |
— |
|
|
$ |
3,202 |
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 investments. |
|
|
(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.
|
|