The following is a summary of the Company’s securities at June 30, 2018 and December 31, 2017 ($ in thousands):

June 30, 2018



					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)	$	999,461	$	1,005,795	$	244	$	(11,742	)	$	994,297	(3)	100	AAA	3.33	%	2.92	%	2.85
CMBS interest-only(2)(4)	2,466,340		74,383		437		(274		)	74,546		(5)	21	AAA	0.71	%	3.25	%	2.87
GNMA interest-only(4)(6)	143,738		3,651		117		(572		)	3,196			13	AA+	0.52	%	7.19	%	4.10
Agency securities(2)	696		712		—		(26		)	686			2	AA+	2.78	%	1.93	%	2.64
GNMA permanent securities(2)	33,196		33,471		412		(250		)	33,633			6	AA+	3.96	%	3.77	%	5.35
Total	$	3,643,431	$	1,118,012	$	1,210	$	(12,864	)	$	1,106,358		142		1.45	%	2.98	%	2.93

(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, Agency securities, and GNMA 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)

As more fully described in Note 4, certain securities that were purchased from the LCCM LC-26 securitization trust are designated as risk retention securities under the Dodd-Frank Act and are therefore subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost. Includes $11.3 million of such restricted securities.


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

(5)

(6)

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 unrealized gain (loss) on Agency interest-only securities in the consolidated statements of income in accordance with ASC 815.

December 31, 2017



					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)	$	945,167	$	954,397	$	2,748	$	(3,646	)	$	953,499	(3)	96	AAA	3.28	%	2.79	%	2.89
CMBS interest-only(2)(4)	3,140,297		112,609		796		(334		)	113,071		(5)	25	AAA	0.81	%	3.16	%	3.08
GNMA interest-only(4)(6)	172,916		5,245		157		(925		)	4,477			13	AA+	0.58	%	6.70	%	4.18
Agency securities(2)	720		743		—		(15		)	728			2	AA+	2.82	%	1.80	%	2.94
GNMA permanent securities(2)	33,745		34,386		595		(239		)	34,742			6	AA+	3.98	%	3.62	%	5.66
Total	$	4,292,845	$	1,107,380	$	4,296	$	(5,159	)	$	1,106,517		142		1.37	%	2.87	%	3.00

(1)


(2)	CMBS, CMBS interest-only securities, Agency securities, and GNMA 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)	As more fully described in Note 4, certain securities which were purchased from the LCCM LC-26 securitization trust are designated as risk retention securities under the Dodd-Frank Act which are subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost. Includes $11.7 million of such restricted securities.


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


(5)	As more fully described in Note 4, certain securities which were purchased from the LCCM LC-26 securitization trust are designated as risk retention securities under the Dodd-Frank Act which are subject to transfer restrictions over the term of the securitization trust and are classified as held-to-maturity and reported at amortized cost. Includes $1.1 million of such restricted securities.

(6)