Debt Securities

At September 30, 2013, all of the Company's CMBS were pledged to secure borrowings under the Company’s master repurchase agreements with Wells Fargo Bank, N.A. (“Wells Fargo”) (the “Wells Facility”) and UBS AG, London Branch ("UBS") (the "UBS Facility"). (See Note 8 for a description of these facilities).

During 2013, the Company purchased CMBS with an aggregate face amount of $92,279 and an aggregate purchase price of $91,391. The CMBS were financed under the UBS Facility and the Company elected the Fair Value Option for these securities.

The amortized cost and estimated fair value of the Company’s debt securities at September 30, 2013 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
CMBS (Available-for-Sale)	$	36,925	$	38,178	$	—	$	(619	)	$	37,559
CMBS (Fair Value Option)	180,365		179,841		372		(235		)	179,978
CMBS – Hilton (Fair Value Option)	70,682		69,587		1,095		—			70,682
Total	$	287,972	$	287,606	$	1,467	$	(854	)	$	288,219

The gross unrealized loss related to the available-for-sale securities results from the fair value of the securities falling below the amortized cost basis. The unrealized losses are primarily the result of market factors other than credit impairment and the Company believes the carrying value of the securities are fully recoverable over their expected holding period. Management does not intend to sell or expect to be forced to sell the securities prior to the Company recovering the amortized cost. As such, management does not believe any of the securities are other than temporarily impaired.

The amortized cost and estimated fair value of the Company’s debt securities at December 31, 2012 are summarized as follows:



Security Description	Face Amount		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss			Estimated Fair Value
CMBS (Available-for-Sale)	$	65,410	$	67,109	$	249	$	(279	)	$	67,079
CMBS (Fair Value Option)	134,694		136,354		2,061		(167		)	138,248
CMBS – Hilton (Fair Value Option)	73,239		70,250		3,311		—			73,561
Total	$	273,343	$	273,713	$	5,621	$	(446	)	$	278,888

The Hilton CMBS has a current interest rate of one-month London InterBank Offered Rate (“LIBOR”)+2.30%, which increases to LIBOR+3.30% on November 12, 2013 and LIBOR+3.80% on November 12, 2014. The Hilton CMBS receives principal repayments according to a schedule that is approximately equivalent to a 16-year amortization schedule and has a yield of 5.6%.

The overall statistics for the Company’s CMBS investments (excluding the Hilton CMBS) calculated on a weighted average basis assuming no early prepayments or defaults as of September 30, 2013 and December 31, 2012 are as follows:



	September 30, 2013		December 31, 2012
Credit Ratings *	AAA-CCC		AAA
Coupon	5.8	%	5.6	%
Yield	5.3	%	4.1	%
Weighted Average Life	2.2 years		1.8 years


*	Ratings per Fitch Ratings, Moody’s Investors Service or Standard & Poor's.

The percentage vintage, property type and location of the collateral securing the Company’s CMBS investments (excluding the Hilton CMBS) calculated on a weighted average basis as of September 30, 2013 and December 31, 2012 are as follows:



Vintage	September 30, 2013		December 31, 2012
2006	—	%	1	%
2007	100		99
Total	100	%	100	%



Property Type	September 30, 2013		December 31, 2012
Office	40.0	%	40.5	%
Retail	22.1		23.2
Hotel	13.0		10.5
Multifamily	12.3		12.9
Other *	12.6		12.9
Total	100	%	100	%

* No other individual category comprises more than 10% of the total.



Location	September 30, 2013		December 31, 2012
Middle Atlantic	22.9	%	21.4	%
Pacific	21.7		23.8
South Atlantic	21.1		21.8
Other *	34.3		33.0
Total	100	%	100	%

* No other individual category comprises more than 10% of the total.