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SEC Filings
10-Q
APOLLO COMMERCIAL REAL ESTATE FINANCE, INC. filed this Form 10-Q on 05/02/2017
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CMBS (Held-to-Maturity) represents a loan the Company closed during May 2014 that was subsequently contributed to a securitization during August 2014. During May 2014, the Company closed a $155,000 floating-rate whole loan secured by the first mortgage and equity interests in an entity that owns a resort hotel in Aruba. The property consists of 442 hotel rooms, 114 timeshare units, two casinos and approximately 131,500 square feet of retail space. During June 2014, the Company syndicated a $90,000 senior participation in the loan and retained a $65,000 junior participation. The Company evaluated this transaction and concluded due to its continuing involvement, the transaction should not be accounted for as a sale. During August 2014, both the $90,000 senior participation and the Company's $65,000 junior participation were contributed to a CMBS securitization. In exchange for contributing its $65,000 junior participation, the Company received a CMBS secured solely by the $65,000 junior participation. The whole loan has a three-year term with two one-year extension options and an appraised loan-to-value ("LTV") of approximately 60%.
The amortized cost and estimated fair value of the Company’s debt securities at March 31, 2017 are summarized as follows:
 
Security Description
Face
Amount
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Estimated Fair
Value
CMBS (Fair Value Option)
$
304,768

 
$
296,159

 
$
1,833

 
$
(36,151
)
 
$
261,841

CMBS (Held-to-Maturity)
145,780

 
145,780

 

 

 
145,780

Total
$
450,548

 
$
441,939

 
$
1,833

 
$
(36,151
)
 
$
407,621

During the three months ended March 31, 2017, the Company sold CMBS resulting in a net realized loss of $1,001.
The amortized cost and estimated fair value of the Company’s debt securities at December 31, 2016 are summarized as follows:
 
Security Description
Face
Amount
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Estimated
Fair
Value
CMBS (Fair Value Option)
$
375,861

 
$
368,247

 
$
292

 
$
(37,463
)
 
$
331,076

CMBS (Held-to-Maturity)
146,530

 
146,352

 

 

 
146,352

Total
$
522,391

 
$
514,599

 
$
292

 
$
(37,463
)
 
$
477,428

During 2016, the Company sold CMBS resulting in a net realized loss of $1,470.
The overall statistics for the Company’s CMBS (Fair Value Option) calculated on a weighted average basis as of March 31, 2017 and December 31, 2016 are as follows:
 
 
March 31, 2017
 
December 31, 2016
Credit Ratings *
B-NR

 
B+-NR

Coupon
5.9
%
 
5.9
%
Yield
4.3
%
 
6.0
%
Weighted Average Life
2.4 years

 
2.5 years

 
*
Ratings per Fitch Ratings, Moody’s Investors Service or Standard & Poor's.
The percentage vintage, property type and location of the collateral securing the Company's CMBS (Fair Value Option) calculated on a weighted average basis as of March 31, 2017 and December 31, 2016 are as follows:
 
Vintage
March 31, 2017
 
December 31, 2016
2005
2.5
%
 
2.0
%
2006
14.9

 
12.1

2007
67.4

 
73.5

2008
15.2

 
12.4

Total
100.0
%
 
100.0
%
 

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