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COMMERCIAL REAL ESTATE INVESTMENTS (Tables)
 3 Months Ended
Mar. 31, 2016
Commercial Real Estate Investments Held for Investment
The following tables present commercial real estate investments held for investment at March 31, 2016 and December 31, 2015.

CRE Debt and Preferred Equity Investments
 
   
March 31, 2016
    
December 31, 2015
  
   
Outstanding Principal
    
Carrying
Value(1)
    
Percentage
of Loan
Portfolio(2)
    
Outstanding Principal
    
Carrying
Value(1)
    
Percentage
of Loan
Portfolio(2)
  
   
(dollars in thousands)
  
Senior mortgages
  
$
477,302
    
$
474,559
      
40.3
%
  
$
387,314
    
$
385,838
      
28.6
%
Senior securitized mortgages(3)
    
212,072
      
211,855
      
17.9
%
    
263,072
      
262,703
      
19.4
%
Mezzanine loans
    
486,081
      
482,101
      
41.0
%
    
582,592
      
578,503
      
43.0
%
Preferred equity
    
9,000
      
8,953
      
0.8
%
    
122,444
      
121,773
      
9.0
%
Total (4)
  
$
1,184,455
    
$
1,177,468
      
100.0
%
  
$
1,355,422
    
$
1,348,817
      
100.0
%
 
(1)
Carrying value includes unamortized origination fees of $7.1 million and $6.9 million as of March 31, 2016 and December 31, 2015, respectively.
(2) Based on outstanding principal.
(3)  Assets of consolidated VIEs.
(4) Excludes Loans held for sale.
 
 
   
March 31, 2016
  
   
Senior Mortgages
    
Senior Securitized Mortgages(1)
    
Mezzanine Loans
    
Preferred
Equity
    
Total
  
   
(dollars in thousands)
  
Beginning balance
  
$
385,838
    
$
262,703
    
$
578,503
    
$
121,773
    
$
1,348,817
  
Originations & advances (principal)
    
155,065
      
-
      
25,897
      
-
      
180,962
  
Principal payments
    
(65,077
)
    
(51,000
)
    
(122,408
)
    
(113,445
)
    
(351,930
)
Sales (principal)
    
-
      
-
      
-
      
-
      
-
  
Amortization & accretion of (premium) discounts
    
(34
)
    
-
      
(221
)
    
-
      
(255
)
Net (increase) decrease in origination fees
    
(1,578
)
    
-
      
(285
)
    
-
      
(1,863
)
Amortization of net origination fees
    
345
      
152
      
615
      
625
      
1,737
  
Transfers
    
-
      
-
      
-
      
-
      
-
  
Allowance for loan losses
    
-
      
-
      
-
      
-
      
-
  
Net carrying value (2)
  
$
474,559
    
$
211,855
    
$
482,101
    
$
8,953
    
$
1,177,468
  
 
(1) Assets of consolidated VIE.
(2) Excludes Loans held for sale.
 
 
  
December 31, 2015
  
   
Senior Mortgages
    
Senior Securitized Mortgages(1)
    
Mezzanine Loans
    
Preferred Equity
    
Total
  
   
(dollars in thousands)
  
Beginning balance
  
$
383,895
    
$
398,634
    
$
522,731
    
$
212,905
    
$
1,518,165
  
Originations & advances (principal)
    
293,925
      
-
      
195,312
      
-
      
489,237
  
Principal payments
    
(243,270
)
    
(136,469
)
    
(153,693
)
    
(92,210
)
    
(625,642
)
Sales (principal)
    
(46,945
)
    
-
      
-
      
-
      
(46,945
)
Amortization & accretion of (premium) discounts
    
(142
)
    
-
      
(232
)
    
517
      
143
  
Net (increase) decrease in origination fees
    
(3,702
)
    
(279
)
    
(4,806
)
    
-
      
(8,787
)
Amortization of net origination fees
    
2,077
      
817
      
691
      
561
      
4,146
  
Transfers
    
-
      
-
      
18,500
      
-
      
18,500
  
Allowance for loan losses
    
-
      
-
      
-
      
-
      
-
  
Net carrying value (2)
  
$
385,838
    
$
262,703
    
$
578,503
    
$
121,773
    
$
1,348,817
  
                                         
(1) Assets of consolidated VIE.
                                        
(2) Excludes Loans held for sale.
Internal Loan and Preferred Equity Ratings
Internal CRE Debt and Preferred Equity Investment Ratings

   
March 31, 2016
  
         
Percentage of CRE Debt and Preferred Equity Portfolio
    
Internal Ratings
Investment Type
  
Outstanding Principal (1)
    
Performing
    
Closely-Monitored
    
Special Mention
    
Substandard
    
Doubtful
    
Loss
    
Total
  
   
(dollars in thousands)
                    
Senior mortgages
  
$
477,302
      
40.3
%
  
$
91,321
    
$
243,681
    
$
142,300
    
$
-
    
$
-
    
$
-
    
$
477,302
  
Senior securitized mortgages(2)
    
212,072
      
17.9
%
    
55,770
      
15,500
      
140,802
      
-
      
-
      
-
      
212,072
  
Mezzanine loans
    
486,081
      
41.0
%
    
295,950
      
160,814
      
29,317
      
-
      
-
      
-
      
486,081
  
Preferred equity
    
9,000
      
0.8
%
    
-
      
-
      
9,000
      
-
      
-
      
-
      
9,000
  
   
$
1,184,455
      
100.0
%
  
$
443,041
    
$
419,995
    
$
321,419
    
$
-
    
$
-
    
$
-
    
$
1,184,455
  
                                                                         
(1) Excludes Loans held for sale.
                                                                  
(2) Assets of consolidated VIE.
 
                                                                        
   
December 31, 2015
  
           
Percentage of CRE Debt and Preferred Equity Portfolio
    
Internal Ratings
Investment Type
  
Outstanding Principal (1)
    
Performing
    
Closely-Monitored
    
Special Mention
    
Substandard
    
Doubtful
    
Loss
    
Total
  
   
(dollars in thousands)
                          
Senior mortgages
  
$
387,314
      
28.6
%
  
$
71,000
    
$
283,148
    
$
33,166
    
$
-
    
$
-
    
$
-
    
$
387,314
  
Senior securitized mortgages(2)
    
263,072
      
19.4
%
    
106,770
      
15,500
      
140,802
      
-
      
-
      
-
      
263,072
  
Mezzanine loans
    
582,592
      
43.0
%
    
342,493
      
219,969
      
20,130
      
-
      
-
      
-
      
582,592
  
Preferred equity
    
122,444
      
9.0
%
    
-
      
81,944
      
40,500
      
-
      
-
      
-
      
122,444
  
   
$
1,355,422
      
100.0
%
  
$
520,263
    
$
600,561
    
$
234,598
    
$
-
    
$
-
    
$
-
    
$
1,355,422
  
                                                                         
(1) Excludes Loans held for sale.
(2) Assets of consolidated VIE.
Summary of Acquisitions of Real Estate Held for Investment
The following table summarizes real estate held for investment as of March 31, 2016:
 
Date of Acquisition
Type
Location
Purchase Price
  
Remaining Lease Term (Years) (1)
  
(dollars in thousands)
      
 
 
 
        
July 2015
Multi Tenant Retail
Ohio
  
$
11,000
      
4.6
  
August 2015
Multi Tenant Retail
Florida
  
$
18,900
      
5.1
  
October 2015
Multifamily Property
Washington, DC
  
$
75,000
      
0.3
  
October 2015
Multi Tenant Retail
California
  
$
37,750
      
3.0
  
November 2015
Multi Tenant Retail
Texas
  
$
131,950
      
4.3
  
Total Commercial Real Estate Held for Investments
Investments in Commercial Real Estate
 
   
March 31, 2016
    
December 31, 2015
  
   
(dollars in thousands)
  
Real estate held for investment, at amortized cost
            
Land
  
$
113,494
    
$
113,494
  
Buildings and improvements
    
374,213
      
373,603
  
Subtotal
    
487,707
      
487,097
  
Less: accumulated depreciation
    
(21,456
)
    
(16,886
)
Total real estate held for investment, at amortized cost, net
    
466,251
      
470,211
  
Equity in unconsolidated joint ventures
    
61,535
      
65,735
  
Investments in commercial real estate, net
  
$
527,786
    
$
535,946
  
Minimum Future Rentals on Non-cancelable Leases
Rental Income
 
 
  
March 31, 2016
  
 
  
(dollars in thousands)
  
2016 (remaining)
  
$
26,105
  
2017
    
30,305
  
2018
    
26,238
  
2019
    
22,157
  
2020
    
17,848
  
Later years
    
53,326
  
 
  
$
175,979
  
Mortgage loans payable
Mortgage loans payable as of March 31, 2016 and December 31, 2015, were as follows:
 
March 31, 2016
Property
  
Mortgage Carrying Value
    
Mortgage Principal
    
Interest Rate
  
Fixed/Floating Rate
Maturity Date
Priority
(dollars in thousands)
Joint Ventures
  
$
292,821
    
$
296,325
    
2.30% to 4.61%
  
Floating (1)
2016 and 2025
First liens
Tennessee
    
12,236
      
12,350
      
4.01
%
Fixed
6/6/2019
First liens
Virginia
    
11,012
      
11,025
      
3.58
%
Fixed
9/6/2019
First liens
Arizona
    
16,271
      
16,227
      
3.50
%
Fixed
1/1/2017
First liens
Nevada
    
2,425
      
2,419
      
3.45
%
Floating (2)
3/29/2017
First liens
 
  
$
334,765
    
$
338,346
          
 
 
 
                        
 
 
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 4.31%, receive floating rate of L+215).
(2) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
 
                        
 
 
 
                        
 
 
December 31, 2015
Property
  
Mortgage Carrying Value
    
Mortgage Principal
    
Interest Rate
  
Fixed/Floating Rate
Maturity Date
Priority
(dollars in thousands)
Joint Ventures
  
$
292,658
    
$
296,325
    
2.30% to 4.61%
  
Floating (1)
2016 and 2025
First liens
Tennessee
    
12,228
      
12,350
      
4.01
%
Fixed
6/6/2019
First liens
Virginia
    
11,012
      
11,025
      
3.58
%
Fixed
9/6/2019
First liens
Arizona
    
16,365
      
16,308
      
3.50
%
Fixed
1/1/2017
First liens
Nevada
    
2,444
      
2,436
      
3.45
%
Floating (2)
3/29/2017
First liens
 
  
$
334,707
    
$
338,444
          
 
 
 
                        
 
 
(1) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 4.31%, receive floating rate of L+215).
(2) Includes a mortgage with a fixed rate via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).
Future Mortgage Loan Principal Payments
The following table details future mortgage loan principal payments as of March 31, 2016:
 
  
Mortgage Loan Principal Payments
  
 
  
(dollars in thousands)
  
2016 (remaining)
  
$
7,502
  
2017
    
18,344
  
2018
    
-
  
2019
    
23,375
  
2020
    
-
  
Later years
    
289,125
  
 
  
$
338,346
  
Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Balances
The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF Trusts as of March 31, 2016 are as follows:
 
Securitized Loans at Fair Value Geographic Concentration of Credit Risk
  
Property Location
  
Principal Balance
    
% of Balance
  
 
  
(dollars in thousands)
  
Texas
  
$
749,569
      
18.8
%
North Carolina
    
537,375
      
13.5
%
Maryland
    
499,495
      
12.5
%
Florida
    
456,663
      
11.4
%
Other
    
1,751,963
      
43.8
%
Total
  
$
3,995,065
      
100.0
%
FREMF Trust  
Statement of financial condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition
The statement of financial condition of the FREMF Trusts that is reflected in the Company's Consolidated Statements of Financial Condition at March 31, 2016 is as follows:
 
  
March 31, 2016
  
 
  
(dollars in thousands)
  
Assets
      
Senior securitized commercial mortgages carried at fair value
  
$
3,968,118
  
Accrued interest receivable
    
8,351
  
Total assets
  
$
3,976,469
  
 
        
Liabilities
        
Securitized debt (non-recourse) at fair value
  
$
3,677,079
  
Accrued interest payable
    
4,311
  
Total liabilities
  
$
3,681,390
  
Statement of Comprehensive Income (Loss) of FREMF Trusts Reflected the Consolidated Statements of Comprehensive Income (Loss)
The statement of comprehensive income (loss) of the FREMF Trusts that is reflected in the Company's Consolidated Statements of Comprehensive Income (Loss) for the quarter ended March 31, 2016 is as follows:
 
   
For the Quarter Ended March 31, 2016
  
   
(dollars in thousands)
  
Net interest income:
      
Interest income
  
$
21,030
  
Interest expense
    
7,876
  
Net interest income
    
13,154
  
         
Other income (loss):
        
Unrealized gain (loss) on financial instruments at fair value (1)
    
147
  
Guarantee fees and servicing costs
    
(5,297
 )
Other income (loss)
    
(5,150
)
General and administration expenses
    
2
  
Net income
  
$
8,002
  
         
(1) Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings.