Real Estate Debt Investments

The following table presents CRE debt investments, as of June 30, 2014 (dollars in thousands):



								Weighted Average						Floating Rate as % of Principal Amount
Asset Type:	Number	Principal Amount ⁽¹⁾		Carrying Value ⁽²⁾		Allocation by Investment Type ⁽³⁾		Fixed Rate		Spread over LIBOR ⁽⁴⁾		Total Unleveraged Current Yield		Floating Rate as % of Principal Amount
First mortgage loans	28	$	1,102,475	$	1,078,223	83.7	%	12.00	%	6.47	%	6.58	%	99.0	%
Mezzanine loans	5	181,193		148,332		13.8	%	10.10	%	13.70	%	13.79	%	93.4	%
Subordinate interests	1	33,250		33,250		2.5	%	13.11	%	—	%	13.24	%	—	%
Total/Weighted average	34	$	1,316,918	$	1,259,805	100.0	%	12.25	%	6.98	%	7.61	%	95.7	%

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(1)	Includes future funding commitments of $59.3 million.


(2)	Certain CRE debt investments serve as collateral for financing transactions including carrying value of $701.7 million for Securitization Financing Transactions (including $0.8 million of cash pending investment) and $251.7 million for Term Loan Facilities (refer to Note 7). The remainder is unleveraged.


(3)	Based on principal amount.


(4)	Includes a fixed minimum LIBOR rate (“LIBOR floor”), as applicable. As of June 30, 2014, the Company had $981.3 million principal amount of floating-rate loans subject to a LIBOR floor with the weighted average LIBOR floor of 0.89%.

Year to date through August 12, 2014, the Company originated seven loans with an aggregate principal amount of $406.4 million, including the Company’s proportionate interest in a mezzanine loan owned through a joint venture of $69.2 million, including future funding commitments (refer to Note 4).

The following table presents CRE debt investments, as of December 31, 2013 (dollars in thousands):



								Weighted Average						Floating Rate as % of Principal Amount
Asset Type:	Number	Principal Amount ⁽¹⁾		Carrying Value ⁽²⁾⁽³⁾		Allocation by Investment Type⁽⁴⁾		Fixed Rate		Spread Over LIBOR ⁽⁵⁾		Total Unleveraged Current Yield		Floating Rate as % of Principal Amount
First mortgage loans	29	$	915,380	$	904,918	80.6	%	12.96	%	6.86	%	7.26	%	94.6	%
Mezzanine loans	4	186,693		154,105		16.5	%	—	%	14.19	%	14.27	%	100.0	%
Subordinate interests	1	33,250		33,250		2.9	%	13.11	%	—	%	13.24	%	—	%
Total/Weighted average	34	$	1,135,323	$	1,092,273	100.0	%	13.02	%	7.97	%	8.43	%	92.4	%

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(1)	Includes future funding commitments of $44.6 million and a $17.5 million mezzanine loan participation classified as held for sale.


(2)	Certain CRE debt investments serve as collateral for financing transactions including carrying value of $711.5 million for Securitization Financing Transactions (including $42.6 million of cash pending investment) and $30.9 million for Term Loan Facilities (refer to Note 7). The remainder is unleveraged.


(3)	Includes a $17.5 million mezzanine loan participation classified as held for sale.


(4)	Based on principal amount.


(5)	Includes a LIBOR floor. As of December 31, 2013, the Company had $898.2 million principal amount of floating-rate loans subject to a LIBOR floor with the weighted average LIBOR floor of 1.07%.

The following table presents maturities of CRE debt investments based on principal amount as of June 30, 2014 (dollars in thousands):



	Initial Maturity		Maturity Including Extensions ⁽¹⁾
July 1 to December 31, 2014	$	129,685	$	—
Years Ending December 31:
2015	378,320		12,480
2016	313,600		175,205
2017	187,300		320,320
2018	—		413,600
Thereafter	308,013		395,313
Total	$	1,316,918	$	1,316,918

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(1)	Assumes that all debt with extension options will qualify for extension at such maturity according to the conditions set forth in the governing documents.

As of June 30, 2014, the weighted average maturity, including extensions, of CRE debt investments was 4.4 years.

Credit Quality Monitoring

CRE debt investments are typically loans secured by direct senior priority liens on real estate properties or by interests in entities that directly own real estate properties, which serve as the primary source of cash for the payment of principal and interest. The Company evaluates its debt investments at least quarterly and differentiates the relative credit quality principally based on: (i) whether the borrower is currently paying contractual debt service in accordance with its contractual terms; and (ii) whether the Company believes the borrower will be able to perform under its contractual terms in the future, as well as the Company’s expectations as to the ultimate recovery of principal at maturity. The Company categorizes a debt investment for which it expects to receive full payment of contractual principal and interest payments as “performing.” The Company will categorize a weaker credit quality debt investment that is currently performing, but for which it believes future collection of all or some portion of principal and interest is in doubt, into a category called “performing with a loan loss reserve.” The Company will categorize a weaker credit quality debt investment that is not performing, which the Company defines as a loan in maturity default and/or past due at least 90 days on its contractual debt service payments, as a non-performing loan (“NPL”). The Company’s definition of an NPL may differ from that of other companies that track NPLs.

As of June 30, 2014, the Company had one CRE debt investment that was not performing in accordance with the contractual terms. The Company is in the process of taking title to property collateralizing this debt investment and believes the collateral value is in excess of its carrying value. For the six months ended June 30, 2014, no CRE debt investment contributed more than 10% of interest income.