The following is a summary of the Company’s real estate securities at June 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. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 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 |
| | $ | 2,512 |
| | $ | (1,521 | ) | | $ | 991 |
| | $ | 1,434 |
| | $ | — |
| | $ | 2,425 |
| | 1 |
| | CCC | | 2.48 | % | | 22.98 | % | | 7.3 | | 35.4 | % | Total Securities, Available for Sale (E) | | $ | 4,000 |
| | $ | 2,512 |
| | $ | (1,521 | ) | | $ | 991 |
| | $ | 1,434 |
| | $ | — |
| | $ | 2,425 |
| | 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, thus a downturn in market conditions would not have a material negative impact on the Company. |
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