Real Estate Securities

The following is a summary of the Company's real estate securities, CMBS (dollars in thousands):



March 31, 2020
Type	Interest Rate	Maturity	Par Value	Fair Value
CMBS 1	3.7%	5/15/2022	$13,250	$10,408



CMBS 2	2.8%	6/26/2025	11,488	10,250
CMBS 3	3.1%	2/15/2036	40,000	34,728
CMBS 4	2.4%	5/15/2036	18,500	14,672
CMBS 5	2.1%	5/15/2036	15,000	14,259
CMBS 6	2.2%	5/15/2037	13,500	11,279
CMBS 7	2.4%	5/15/2037	15,000	12,538
CMBS 8	2.2%	6/15/2037	7,000	6,386
CMBS 9	2.6%	2/15/2036	9,600	8,695
CMBS 10	2.5%	8/15/2036	10,000	9,083
CMBS 11	2.6%	6/15/2037	8,000	7,330
CMBS 12	2.3%	7/15/2038	13,000	10,802
CMBS 13	2.3%	9/15/2037	32,000	27,563
CMBS 14	2.7%	9/15/2037	24,000	20,628
CMBS 15	2.3%	10/19/2038	50,000	42,408
CMBS 16	2.7%	10/19/2038	26,000	22,210
CMBS 17	2.2%	6/15/2034	15,000	13,332
CMBS 18	2.5%	6/15/2034	6,500	5,606
CMBS 19	2.9%	6/15/2034	12,000	10,417
CMBS 20	2.0%	12/15/2036	20,000	17,920
CMBS 21	2.3%	12/15/2036	25,000	22,221
CMBS 22	2.1%	2/15/2035	22,500	18,255
CMBS 23	2.5%	2/15/2035	16,000	13,166
CMBS 24	2.5%	2/15/2035	2,000	1,646
CMBS 25	2.1%	2/15/2035	2,200	1,785
CMBS 26	2.6%	3/15/2035	12,500	11,153
CMBS 27	3.0%	3/15/2035	25,665	23,056
CMBS 28	2.3%	3/15/2037	28,000	25,601
CMBS 29	2.6%	3/15/2037	15,000	13,763
December 31, 2019
Type	Interest Rate	Maturity	Par Value	Fair Value
CMBS 1	4.7%	5/15/2022	$13,250	$13,274
CMBS 2	3.8%	6/26/2025	12,131	12,151
CMBS 3	4.1%	2/15/2036	40,000	40,186
CMBS 4	3.7%	5/15/2036	18,500	18,535
CMBS 5	3.1%	5/15/2036	15,000	15,019
CMBS 6	3.2%	5/15/2037	13,500	13,525
CMBS 7	3.4%	5/15/2037	15,000	15,028
CMBS 8	3.2%	6/15/2037	7,000	7,013
CMBS 9	3.6%	2/15/2036	9,600	9,641
CMBS 10	3.5%	8/15/2036	10,000	10,027
CMBS 11	3.6%	6/15/2037	8,000	8,015
CMBS 12	3.3%	7/15/2038	13,000	13,022
CMBS 13	3.3%	9/15/2037	32,000	32,074
CMBS 14	3.7%	9/15/2037	24,000	24,084



CMBS 15	3.3%	10/19/2038	50,000	50,094
CMBS 16	3.7%	10/19/2038	26,000	26,029
CMBS 17	3.2%	6/15/2034	15,000	15,022
CMBS 18	3.5%	6/15/2034	6,500	6,509
CMBS 19	3.9%	6/15/2034	12,000	12,022
CMBS 20	3.1%	12/15/2036	20,000	20,021
CMBS 21	3.4%	12/15/2036	25,000	25,025

The Company classified its CMBS investments as available for sale as of March 31, 2020 and December 31, 2019. These investments are reported at fair value in the consolidated balance sheets with changes in fair value recorded in accumulated other comprehensive income (loss). The weighted average contractual maturity for CLO investments included within the CMBS portfolio as of March 31, 2020 and December 31, 2019 was 16 and 17 years. The weighted average contractual maturity for single asset single borrower "SASB" investments as of March 31, 2020 and December 31, 2019 was 14 and 5 years.

The following table shows the amortized cost, allowance for expected credit losses, unrealized gain/(loss) and fair value of the Company's CMBS investments by investment type (dollars in thousands):



	Amortized Cost		Credit Loss Allowance		Unrealized Gain		Unrealized Loss			Fair Value
March 31, 2020
CLOs	$	411,234	$	—	$	—	$	(59,830	)	$	351,404
SASB	98,511		—		—		(8,755		)	89,756
Total	$	509,745	$	—	$	—	$	(68,585	)	$	441,160
December 31, 2019
CLOs	330,000		$	—	1		(881		)	329,120
SASB	57,294		—		—		(98		)	57,196
Total	$	387,294	$	—	$	1	$	(979	)	$	386,316

As of March 31, 2020 the Company held 29 CMBS positions with an aggregate carrying value of $510 million and an unrealized loss of $69 million, of which two positions had an unrealized loss for a period greater than twelve months. As of December 31, 2019, the Company held 21 CMBS positions with an aggregate carrying value of $387 million and an unrealized loss of $1 million, of which two positions had an unrealized loss for a period greater than twelve months.

The following table provides information on the unrealized losses and fair value on the Company's real estate securities, CMBS, available for sale that were in an unrealized loss position, and for which an allowance for credit losses has not been recorded as of March 31, 2020 and December 31, 2019 (amounts in thousands):



	Fair Value				Unrealized Loss
	Securities with an unrealized loss less than 12 months		Securities with an unrealized loss greater than 12 months		Securities with an unrealized loss less than 12 months			Securities with an unrealized loss greater than 12 months
March 31, 2020
CLOs	$	341,003	$	10,401	$	(56,944	)	$	(2,886	)
SASB	79,506		10,250		(7,468		)	(1,287		)
Total	$	420,509	$	20,651	$	(64,412	)	$	(4,173	)
December 31, 2019
CLOs	$	315,845	$	13,275	$	(863	)	$	(17	)
SASB	45,045		12,151		(67		)	(31		)
Total	$	360,890	$	25,426	$	(930	)	$	(48	)

As of March 31, 2020 and December 31, 2019, there are two securities with unrealized losses reflected in the table above. After evaluating the securities, we concluded that the unrealized losses reflected above were noncredit-related and would be recovered from the securities’ estimated future cash flows. We considered a number of factors in reaching this conclusion, including that we did not intend to sell the securities, it was not considered more likely than not that we would be forced to sell the securities prior to recovering our amortized cost, and that there were no material credit events that would have caused us to otherwise conclude that we would not recover our cost. The allowance for credit losses is calculated using a discounted cash flow approach and is measured as the difference between the original cash flows expected to be collected to the revised cash flows expected to be collected discounted using the effective interest rate, limited by the amount that the fair value is less than the amortized cost basis. Significant judgment is used in projecting cash flows. As a result, actual income and/or credit losses could be materially different from what is currently projected and/or reported.

The following table provides information on the amounts of gain/(loss) on the Company's real estate securities, CMBS, available for sale (dollars in thousands):



	Three Months Ended March 31,
	2020			2019
Unrealized gain/(loss) available-for-sale securities	$	(67,607	)	$	145
Reclassification of net (gain)/loss on available-for-sale securities included in net income (loss) from sales of securities	—			—
Unrealized gain/(loss) available-for-sale securities, net of reclassification adjustment	$	(67,607	)	$	145

The amounts reclassified for net (gain)/loss on available for sale securities from sales of securities are included in the realized (gain)/loss on sale of real estate securities in the Company's consolidated statements of operations. The Company's unrealized gain/(loss) on available for sale securities is net of tax. Due to the Company's designation as a REIT, there was no tax impact on unrealized gain/(loss) on available for sale securities.

The deterioration in fair value of real estate securities for both collateralized loan obligations and other securities as of March 31, 2020 can be attributed mainly to the market down-turn and volatility as a result of high unemployment and credit uncertainties related to the outbreak of COVID-19. Management currently does not have the intention to sell any of the real estate securities as of March 31, 2020.