Loans (Tables)

12 Months Ended

Dec. 31, 2011

Schedule of investments in loans by subordination class

December 31, 2011	Carrying Value		Face Amount

First mortgages	$	1,202,611	$	1,248,549	6.6	%	3.2
Subordinated mortgages(1)		437,163		487,175	7.4	%	4.1
Mezzanine loans		628,825		642,831	8.4	%	3.0

Total loans held for investment		2,268,599		2,378,555
First mortgages held for sale at fair value		128,593		122,833	5.9	%	8.9
Loans held in securitization trust		50,316		50,632	5.0	%	3.7

Total Loans	$	2,447,508	$	2,552,020

December 31, 2010	Carrying Value		Face Amount

First mortgages	$	757,684	$	797,154	6.9	%	3.3
Subordinated mortgages(1)		406,410		465,929	6.6	%	4.9
Mezzanine loans		66,689		67,883	10.8	%	4.8

Total loans held for investment		1,230,783		1,330,966
First mortgages held for sale at fair value		144,163		143,901	5.7	%	4.9
Loans held in securitization trust		50,297		50,738	5.0	%	4.2

Total Loans	$	1,425,243	$	1,525,605

(1): Subordinated mortgages include (i) subordinated mortgages that we retain after having sold first mortgage positions related to the same collateral, (ii) B-Notes, and (iii) subordinated loan participations.
(2): Represents the WAL of each respective group of loans. The WAL of each individual loan is calculated as a fraction, the numerator of which is the sum of the timing (in years) of each expected future principal payment multiplied by the balance of the respective payment, and with a denominator equal to the sum of the expected principal payments. This calculation was made as of December 31, 2011. Assumptions for the calculation of the WAL are adjusted as necessary for changes in projected principal repayments and/or maturity dates of the loan.

Schedule of internal rating categories

Rating		Characteristics

1		• Sponsor capability and financial condition—Sponsor is highly rated or investment grade or, if private, the equivalent thereof with significant management experience.
		• Loan collateral and performance relative to underwriting—The collateral has surpassed underwritten expectations.
		• Quality and stability of collateral cash flows—Occupancy is stabilized, the property has had a history of consistently high occupancy, and the property has a diverse and high quality tenant mix.
		• Loan structure—Loan-to-collateral value ratio ("LTV") does not exceed 65%. The loan has structural features that enhance the credit profile.
2		• Sponsor capability and financial condition—Strong sponsorship with experienced management team and a responsibly leveraged portfolio.
		• Loan collateral and performance relative to underwriting—Collateral performance equals or exceeds underwritten expectations and covenants and performance criteria are being met or exceeded.
		• Quality and stability of collateral cash flows—Occupancy is stabilized with a diverse tenant mix.
		• Loan structure—LTV does not exceed 70% and unique property risks are mitigated by structural features.
3		• Sponsor capability and financial condition—Sponsor has historically met its credit obligations, routinely pays off loans at maturity, and has a capable management team.
		• Loan collateral and performance relative to underwriting—Property performance is consistent with underwritten expectations.
		• Quality and stability of collateral cash flows—Occupancy is stabilized, near stabilized, or is on track with underwriting.
		• Loan structure—LTV does not exceed 80%.
4		• Sponsor capability and financial condition—Sponsor credit history includes missed payments, past due payment, and maturity extensions. Management team is capable but thin.
		• Loan collateral and performance relative to underwriting—Property performance lags behind underwritten expectations. Performance criteria and loan covenants have required occasional waivers. A sale of the property may be necessary in order for the borrower to pay off the loan at maturity.
		• Quality and stability of collateral cash flows—Occupancy is not stabilized and the property has a large amount of rollover.
		• Loan structure—LTV is 80% to 90%.
5		• Sponsor capability and financial condition—Credit history includes defaults, deeds-in-lieu, foreclosures, and/or bankruptcies.
		• Loan collateral and performance relative to underwriting—Property performance is significantly worse than underwritten expectations. The loan is not in compliance with loan covenants and performance criteria and may be in default. Sale proceeds would not be sufficient to pay off the loan at maturity.
		• Quality and stability of collateral cash flows—The property has material vacancy and significant rollover of remaining tenants.
		• Loan structure—LTV exceeds 90%.

Schedule of risk ratings by class of loan

As of December 31, 2011, the risk ratings by class of loan were as follows (amounts in thousands):

	Balance Sheet Classification

	Loans Held for Investment						Loans Held for Sale
Risk Rating Category	First Mortgages		Subordinated Mortgages		Mezzanine Loans		First Mortgages		Loans held in Securitization Trust		Total
1	$	—	$	—	$	—	$	—	$	—	$	—
2		108,900		131,281		139,167		89,760		13,193		482,301
3		1,054,717		251,788		481,982		38,833		37,123		1,864,443
4		38,994		54,094		7,676		—		—		100,764
5		—		—		—		—		—		—

	$	1,202,611	$	437,163	$	628,825	$	128,593	$	50,316	$	2,447,508

Schedule of activity in loan portfolio


Balance December 31, 2010	$	1,425,243
Acquisitions/originations		1,782,964
Additional funding		45,792
Capitalized interest(1)		7,485
Basis of loans sold		(331,312	)
Loan maturities		(305,316	)
Transfer out—loan converted to a security		(176,635	)
Principal repayments		(26,933	)
Discount accretion /premium amortization		26,966
Unrealized foreign currency remeasurement loss		(6,506	)
Unrealized gains on loans held for sale at fair value		5,760

Balance December 31, 2011,	$	2,447,508

(1): Represents accrued interest income on loans whose terms do not require current payment of interest.


Balance December 31, 2009	$	214,521
Acquisitions/originations		1,352,253
Capitalized interest(1)		3,323
Carrying amount of loans sold		(28,911	)
Loan maturities		(114,717	)
Principal repayments		(13,642	)
Discount/premium amortization		6,339
Unrealized foreign currency remeasurement gain		6,077

Balance December 31, 2010	$	1,425,243

(1): Represents accrued interest income on loans whose terms do not require current payment of interest.


Balance at Inception	$	—
Originations/acquisitions		215,048
Additional fundings(1)		305
Principal pay downs		(1,150	)
Discount/premium amortization		318
Provision for credit losses		—

Balance December 31, 2009	$	214,521

(1): Represents accrued interest income on loans whose terms do not require current payment of interest.