4. REAL ESTATE SECURITIES

Commercial mortgage backed securities (“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. 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 March 31, 2016 and December 31, 2015 ($ in thousands):

March 31, 2016



						Gross Unrealized								Weighted Average
Asset Type	Outstanding Face Amount			Amortized Cost Basis		Gains		Losses			Carrying Value		# of Securities	Rating (1)	Coupon %		Yield %		Remaining Duration (years)

CMBS(2)	$	2,139,819		$	2,160,286	$	33,162	$	(1,294	)	$	2,192,154	133	AAA	3.21	%	2.86	%	3.15
CMBS interest-only(2)	7,216,114		(3)	344,809		952		(5,634		)	340,127		53	AAA	1.06	%	3.76	%	3.28
GNMA interest-only(4)	600,054		(3)	25,194		233		(1,689		)	23,738		21	AA+	0.73	%	4.28	%	5.13
GN permanent securities(2)	41,148			42,051		1,190		(386		)	42,855		12	AA+	4.18	%	3.49	%	7.02
Total	$	9,997,135		$	2,572,340	$	35,537	$	(9,003	)	$	2,598,874	219		1.51	%	3.00	%	3.25

December 31, 2015



						Gross Unrealized								Weighted Average
Asset Type	Outstanding Face Amount			Amortized Cost Basis		Gains		Losses			Carrying Value		# of Securities	Rating (1)	Coupon %		Yield %		Remaining Duration (years)

CMBS(2)	$	1,972,492		$	1,994,928	$	4,643	$	(8,065	)	$	1,991,506	119	AAA	3.17	%	2.59	%	3.15
CMBS interest-only(2)	7,436,379		(3)	348,222		1,027		(4,826		)	344,423		48	AAA	1.02	%	3.81	%	3.34
GNMA interest-only(4)	632,175		(3)	28,311		44		(2,161		)	26,194		20	AA+	0.80	%	4.26	%	5.22
GN construction securities(2)	27,091			27,581		1,058		—			28,639		1	AA+	4.10	%	3.86	%	9.33
GN permanent securities(2)	16,249			16,685		164		(394		)	16,455		12	AA+	4.52	%	3.94	%	5.43
Total	$	10,084,386		$	2,415,727	$	6,936	$	(15,446	)	$	2,407,217	200		1.44	%	3.60	%	3.29

(1)

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.


(2)	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.


(3)	The amounts presented represent the principal amount of the mortgage loans outstanding in the pool in which the interest-only securities participate.

(4)

Agency interest-only securities are recorded at fair value with changes in fair value recorded in current period earnings. The Company’s Agency interest-only securities are considered to be hybrid financial instruments that contain embedded derivatives. As a result, the Company accounts for them as hybrid instruments in their entirety at fair value with changes in fair value recognized in earnings in the combined consolidated statements of income in accordance with ASC 815.

The following is a breakdown of the carrying value of the Company’s securities by remaining maturity based upon expected cash flows at March 31, 2016 and December 31, 2015 ($ in thousands):

March 31, 2016



Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total

CMBS(1)	$	618,223	$	1,147,927	$	426,004	$	—	$	2,192,154
CMBS interest-only(1)	—		340,127		—		—		340,127
GNMA interest-only(2)	4		14,953		8,390		391		23,738
GN permanent securities(1)	—		6,861		35,994		—		42,855
Total	$	618,227	$	1,509,868	$	470,388	$	391	$	2,598,874

December 31, 2015



Asset Type	Within 1 year		1-5 years		5-10 years		After 10 years		Total

CMBS(1)	$	610,526	$	891,752	$	489,228	$	—	$	1,991,506
CMBS interest-only(1)	—		344,423		—		—		344,423
GNMA interest-only(2)	6		17,159		8,549		480		26,194
GN construction securities(1)	—		386		28,253		—		28,639
GN permanent securities(1)	2,220		6,661		7,574		—		16,455
Total	$	612,752	$	1,260,381	$	533,604	$	480	$	2,407,217


(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.

There were $0.6 million and $0.5 million in unrealized losses on securities recorded as other than temporary impairments for the three months ended March 31, 2016 and 2015, respectively. For cash flow statement purposes, all receipts of interest from interest-only real estate securities are treated as part of cash flows from operations.