REAL ESTATE SECURITIES

12 Months Ended

Dec. 31, 2014

Investments, Debt and Equity Securities [Abstract]

REAL ESTATE SECURITIES

4. REAL ESTATE SECURITIES

CMBS, CMBS interest-only, 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.  Government National Mortgage Association (“GNMA”) and Federal Home Loan Mortgage Corp (“FHLMC”) securities (collectively, “Agency interest-only securities”), are recorded at fair value with changes in fair value recorded in current period earnings. The following is a summary of the Company’s securities at December 31, 2014 and 2013 ($ in thousands):

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	$	2,247,565		$	2,277,995	$	28,453	$	(1,038	)	$	2,305,410	145	AAA	3.31	%	2.60	%	4.23
CMBS interest-only	7,239,503		(1)	376,085		2,973		(723		)	378,335		41	AAA	1.04	%	4.88	%	3.45
GNMA interest-only	1,400,141		(1)	67,544		1,035		(1,937		)	66,642		34	AA+	0.85	%	5.90	%	4.50
GN construction securities	27,538			28,178		503		(275		)	28,406		4	AA+	3.89	%	3.56	%	9.42
GN permanent securities	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

December 31, 2013

						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	$	1,160,741		$	1,156,230	$	13,853	$	(5,147	)	$	1,164,936	101	AAA	4.24	%	4.08	%	4.88
CMBS interest-only	5,702,862		(1)	256,869		2,204		(1,015		)	258,058		21	AAA	1.00	%	4.19	%	3.38
GNMA interest-only	1,848,270		(1)	103,136		1,630		(4,889		)	99,877		36	AA+	1.12	%	5.32	%	2.12
FHLMC interest-only	219,677		(1)	7,904		248		—			8,152		2	AA+	0.95	%	5.21	%	3.04
GN construction securities	12,858			13,261		36		(290		)	13,007		8	AA+	4.11	%	3.49	%	6.57
GN permanent securities	108,310			110,724		2,492		—			113,216		14	AAA	5.53	%	4.64	%	3.27
Total	$	9,052,718		$	1,648,124	$	20,463	$	(11,341	)	$	1,657,246

(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.

The following is a breakdown of the carrying value of the Company’s securities by remaining maturity based upon expected cash flows at December 31, 2014 and 2013 ($ in thousands):

December 31, 2014

Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total
CMBS	$	474,357	$	814,702	$	1,016,351	$	—	$	2,305,410
CMBS interest-only	391		370,993		6,951		—		378,335
GNMA interest-only	1,356		42,105		23,181		—		66,642
GN construction securities	—		507		5,183		22,716		28,406
GN permanent securities	25,915		9,334		1,524		—		36,773
Total	$	502,019	$	1,237,641	$	1,053,190	$	22,716	$	2,815,566

December 31, 2013

Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total
CMBS	$	175,042	$	390,116	$	599,778	$	—	$	1,164,936
CMBS interest-only	7,482		250,576		—		—		258,058
GNMA interest-only	371		94,001		5,505		—		99,877
FHLMC interest-only	—		8,152		—		—		8,152
GN construction securities	—		3,280		9,727		—		13,007
GN permanent securities	62,605		15,080		28,841		6,690		113,216
Total	$	245,500	$	761,205	$	643,851	$	6,690	$	1,657,246

There were $3,939,273 and $2,469,845 in unrealized losses on securities recorded as other than temporary impairments for the year endedDecember 31, 2014 and 2013 respectively, included in gain on securities in the combined consolidated statements of income. There were no unrealized losses on securities recorded as other than temporary impairments for the year endedDecember 31, 2012. For cash flow statement purposes, all receipts of interest from interest-only real estate securities are treated as part of cash flows from operations.