| Summary of securities which are classified as available-for-sale |
The following is a summary of the Company’s securities at June 30, 2015 and December 31, 2014 ($ in thousands):
June 30, 2015 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross Unrealized | | | | | | Weighted Average | Asset Type | | Outstanding Face Amount | | Amortized Cost Basis | | Gains | | Losses | | Carrying Value | | # of Securities | | Rating (2) | | Coupon % | | Yield % | | Remaining Duration (years) | | | | | | | | | | | | | | | | | | | | | | CMBS(3) | | $ | 1,834,181 |
| | $ | 1,858,247 |
| | $ | 11,866 |
| | $ | (3,094 | ) | | $ | 1,867,019 |
| | 119 |
| | AAA | | 3.28 | % | | 2.72 | % | | 3.48 | CMBS interest-only(3) | | 6,742,719 |
| (1) | 344,990 |
| | 1,697 |
| | (948 | ) | | 345,739 |
| | 43 |
| | AAA | | 0.92 | % | | 3.53 | % | | 3.49 | GNMA interest-only(4) | | 959,515 |
| (1) | 44,059 |
| | — |
| | (2,237 | ) | | 41,822 |
| | 27 |
| | AA+ | | 0.81 | % | | 4.40 | % | | 5.38 | GN construction securities(3) | | 33,206 |
| | 33,964 |
| | 613 |
| | (359 | ) | | 34,218 |
| | 4 |
| | AA+ | | 3.88 | % | | 3.59 | % | | 9.10 | GN permanent securities(3) | | 10,004 |
| | 10,272 |
| | 265 |
| | — |
| | 10,537 |
| | 10 |
| | AA+ | | 5.67 | % | | 4.95 | % | | 4.22 | Total | | $ | 9,579,625 |
| | $ | 2,291,532 |
| | $ | 14,441 |
| | $ | (6,638 | ) | | $ | 2,299,335 |
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December 31, 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross Unrealized | | | | | | Weighted Average | Asset Type | | Outstanding Face Amount | | Amortized Cost Basis | | Gains | | Losses | | Carrying Value | | # of Securities | | Rating (2) | | Coupon % | | Yield % | | Remaining Duration (years) | | | | | | | | | | | | | | | | | | | | | | CMBS(3) | | $ | 2,247,565 |
| | $ | 2,277,995 |
| | $ | 28,453 |
| | $ | (1,038 | ) | | $ | 2,305,410 |
| | 145 |
| | AAA | | 3.31 | % | | 2.60 | % | | 4.23 | CMBS interest-only(3) | | 7,239,503 |
| (1) | 376,085 |
| | 2,973 |
| | (723 | ) | | 378,335 |
| | 41 |
| | AAA | | 1.04 | % | | 4.88 | % | | 3.45 | GNMA interest-only(4) | | 1,400,141 |
| (1) | 67,544 |
| | 1,035 |
| | (1,937 | ) | | 66,642 |
| | 34 |
| | AA+ | | 0.85 | % | | 5.90 | % | | 4.50 | GN construction securities(3) | | 27,538 |
| | 28,178 |
| | 503 |
| | (275 | ) | | 28,406 |
| | 4 |
| | AA+ | | 3.89 | % | | 3.56 | % | | 9.42 | GN permanent securities(3) | | 36,232 |
| | 36,515 |
| | 258 |
| | — |
| | 36,773 |
| | 11 |
| | AA+ | | 5.49 | % | | 4.94 | % | | 1.32 | Total | | $ | 10,950,979 |
| | $ | 2,786,317 |
| | $ | 33,222 |
| | $ | (3,973 | ) | | $ | 2,815,566 |
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| | (1) | The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate. |
| | (2) | 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 highest rating is used. Ratings provided were determined by third party rating agencies as of a particular date, may not be current and are subject to change (including the assignment of a “negative outlook” or “credit watch”) at any time. |
| | (3) | CMBS, CMBS interest-only securities, GN construction securities, and GN permanent securities are classified as available-for-sale and reported at fair value with changes in fair value recorded in the current period in other comprehensive income. |
| | (4) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings. |
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| Schedule of fair value of the Company's securities by remaining maturity based upon expected cash flows |
The following is a breakdown of the carrying value of the Company’s securities by remaining maturity based upon expected cash flows at June 30, 2015 and December 31, 2014 ($ in thousands): June 30, 2015 | | | | | | | | | | | | | | | | | | | | | | Asset Type | | Within 1 year | | 1-5 years | | 5-10 years | | After 10 years | | Total | | | | | | | | | | | | CMBS(1) | | $ | 520,346 |
| | $ | 773,880 |
| | $ | 572,793 |
| | $ | — |
| | $ | 1,867,019 |
| CMBS interest-only(1) | | 180 |
| | 341,541 |
| | 4,018 |
| | — |
| | 345,739 |
| GNMA interest-only(2) | | 18 |
| | 15,350 |
| | 25,832 |
| | 622 |
| | 41,822 |
| GN construction securities(1) | | — |
| | 1,198 |
| | 33,020 |
| | — |
| | 34,218 |
| GN permanent securities(1) | | — |
| | 9,020 |
| | 1,517 |
| | — |
| | 10,537 |
| Total | | $ | 520,544 |
| | $ | 1,140,989 |
| | $ | 637,180 |
| | $ | 622 |
| | $ | 2,299,335 |
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December 31, 2014 | | | | | | | | | | | | | | | | | | | | | | Asset Type | | Within 1 year | | 1-5 years | | 5-10 years | | After 10 years | | Total | | | | | | | | | | | | CMBS(1) | | $ | 474,357 |
| | $ | 814,702 |
| | $ | 1,016,351 |
| | $ | — |
| | $ | 2,305,410 |
| CMBS interest-only(1) | | 391 |
| | 370,993 |
| | 6,951 |
| | — |
| | 378,335 |
| GNMA interest-only(2) | | 1,356 |
| | 42,105 |
| | 23,181 |
| | — |
| | 66,642 |
| GN construction securities(1) | | — |
| | 507 |
| | 5,183 |
| | 22,716 |
| | 28,406 |
| GN permanent securities(1) | | 25,915 |
| | 9,334 |
| | 1,524 |
| | — |
| | 36,773 |
| Total | | $ | 502,019 |
| | $ | 1,237,641 |
| | $ | 1,053,190 |
| | $ | 22,716 |
| | $ | 2,815,566 |
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| | (1) | CMBS, CMBS interest-only securities, GN construction securities, and GN permanent securities are classified as available-for-sale and reported at fair value with changes in fair value recorded in the current period in other comprehensive income. |
| | (2) | Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings. |
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