Investments In Securities |
NOTE 4: INVESTMENTS IN
SECURITIES
Our investments
in securities and security-related receivables are accounted for at
fair value. The following table summarizes our investments in
securities as of June 30, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment
Description
|
|
Amortized
Cost |
|
|
Net Fair
Value
Adjustments |
|
|
Estimated
Fair
Value |
|
|
Weighted
Average
Coupon (1) |
|
|
Weighted
Average
Years to
Maturity |
|
Trading
securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TruPS
|
|
$ |
620,376 |
|
|
$ |
(133,387 |
) |
|
$ |
486,989 |
|
|
|
3.8 |
% |
|
|
20.9 |
|
Other securities
|
|
|
12,015 |
|
|
|
(12,015 |
) |
|
|
0 |
|
|
|
4.8 |
% |
|
|
39.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total trading
securities
|
|
|
632,391 |
|
|
|
(145,402 |
) |
|
|
486,989 |
|
|
|
3.8 |
% |
|
|
21.3 |
|
Available-for-sale
securities
|
|
|
3,600 |
|
|
|
(3,598 |
) |
|
|
2 |
|
|
|
2.1 |
% |
|
|
29.4 |
|
Security-related
receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TruPS
receivables
|
|
|
57,900 |
|
|
|
(21,318 |
) |
|
|
36,582 |
|
|
|
5.4 |
% |
|
|
13.0 |
|
Unsecured REIT note
receivables
|
|
|
30,000 |
|
|
|
2,564 |
|
|
|
32,564 |
|
|
|
6.7 |
% |
|
|
3.6 |
|
CMBS receivables
(2)
|
|
|
76,741 |
|
|
|
(32,192 |
) |
|
|
44,549 |
|
|
|
5.6 |
% |
|
|
31.3 |
|
Other securities
|
|
|
36,801 |
|
|
|
(34,314 |
) |
|
|
2,487 |
|
|
|
2.6 |
% |
|
|
37.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total security-related
receivables
|
|
|
201,442 |
|
|
|
(85,260 |
) |
|
|
116,182 |
|
|
|
5.2 |
% |
|
|
23.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments in
securities
|
|
$ |
837,433 |
|
|
$ |
(234,260 |
) |
|
$ |
603,173 |
|
|
|
4.1 |
% |
|
|
21.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Weighted-average coupon is
calculated on the unpaid principal amount of the underlying
instruments which does not necessarily correspond to the carrying
amount. |
(2) |
CMBS receivables include
securities with a fair value totaling $8,176 that are rated between
“AAA” and “A-” by Standard &
Poor’s, securities with a fair value totaling $25,992 that
are rated “BBB+” and “B-” by
Standard & Poor’s, securities with a fair value
totaling $9,667 that are rated “CCC” by
Standard & Poor’s and securities with a fair value
totaling $714 that are rated “D” by Standard &
Poor’s. |
All of our
gross unrealized losses are greater than 12 months.
The following
table summarizes our investments in securities as of
December 31, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment
Description
|
|
Amortized
Cost |
|
|
Net Fair
Value
Adjustments |
|
|
Estimated
Fair
Value |
|
|
Weighted
Average
Coupon (1) |
|
|
Weighted
Average
Years to
Maturity |
|
Trading
securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TruPS and subordinated
debentures
|
|
$ |
637,376 |
|
|
$ |
(152,173 |
) |
|
$ |
485,203 |
|
|
|
4.2 |
% |
|
|
20.9 |
|
Other securities
|
|
|
11,584 |
|
|
|
(11,584 |
) |
|
|
0 |
|
|
|
4.8 |
% |
|
|
39.9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total trading
securities
|
|
|
648,960 |
|
|
|
(163,757 |
) |
|
|
485,203 |
|
|
|
4.2 |
% |
|
|
21.2 |
|
Available-for-sale
securities
|
|
|
3,600 |
|
|
|
(3,598 |
) |
|
|
2 |
|
|
|
2.1 |
% |
|
|
29.9 |
|
Security-related
receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TruPS and subordinated
debenture receivables
|
|
|
111,025 |
|
|
|
(19,877 |
) |
|
|
91,148 |
|
|
|
6.5 |
% |
|
|
9.1 |
|
Unsecured REIT note
receivables
|
|
|
30,000 |
|
|
|
2,769 |
|
|
|
32,769 |
|
|
|
6.7 |
% |
|
|
4.1 |
|
CMBS receivables
(2)
|
|
|
83,342 |
|
|
|
(39,532 |
) |
|
|
43,810 |
|
|
|
5.6 |
% |
|
|
32.2 |
|
Other securities
|
|
|
38,508 |
|
|
|
(35,931 |
) |
|
|
2,577 |
|
|
|
2.8 |
% |
|
|
37.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total security-related
receivables
|
|
|
262,875 |
|
|
|
(92,571 |
) |
|
|
170,304 |
|
|
|
5.7 |
% |
|
|
20.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments in
securities
|
|
$ |
915,435 |
|
|
$ |
(259,926 |
) |
|
$ |
655,509 |
|
|
|
4.6 |
% |
|
|
21.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Weighted-average coupon is
calculated on the unpaid principal amount of the underlying
instruments which does not necessarily correspond to the carrying
amount. |
(2) |
CMBS receivables include
securities with a fair value totaling $8,398 that are rated between
“AAA” and “A-” by Standard &
Poor’s, securities with a fair value totaling $26,013 that
are rated between “BBB+” and “B-” by
Standard & Poor’s, securities with a fair value
totaling $8,782 that are rated “CCC” by
Standard & Poor’s, and securities with a fair value
totaling $617 that are rated “D” by Standard &
Poor’s. |
All of our
gross unrealized losses are greater than 12 months.
TruPS included
above as trading securities include (a) investments in TruPS
issued by VIEs of which we are not the primary beneficiary and
which we do not consolidate and (b) transfers of investments
in TruPS securities to us that were accounted for as a sale
pursuant to FASB ASC Topic 860, “Transfers and
Servicing.”
The following
table summarizes the non-accrual status of our investments in
securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of June 30,
2013 |
|
|
As of December 31,
2012 |
|
|
|
Principal /Par
Amount
on
Non-accrual |
|
|
Weighted
Average Coupon |
|
|
Fair Value |
|
|
Principal /Par
Amount
on
Non-accrual |
|
|
Weighted
Average Coupon |
|
|
Fair Value |
|
TruPS and TruPS
receivables
|
|
$ |
83,557 |
|
|
|
1.9 |
% |
|
$ |
5,678 |
|
|
$ |
83,557 |
|
|
|
1.9 |
% |
|
$ |
5,678 |
|
Other securities
|
|
|
40,448 |
|
|
|
3.0 |
% |
|
|
2 |
|
|
|
35,159 |
|
|
|
3.2 |
% |
|
|
2 |
|
CMBS receivables
|
|
|
28,608 |
|
|
|
5.9 |
% |
|
|
746 |
|
|
|
35,208 |
|
|
|
5.9 |
% |
|
|
642 |
|
The assets of
our consolidated CDOs collateralize the debt of such entities and
are not available to our creditors. As of June 30, 2013 and
December 31, 2012, investment in securities of $678,276 in
principal amount of TruPS and subordinated debentures, and $98,219
and $101,021, respectively, in principal amount of unsecured REIT
note receivables and CMBS receivables, collateralized the
consolidated CDO notes payable of such entities.
|