Loans (Tables)

9 Months Ended

Sep. 30, 2011

Loans

Schedule of investments in mortgages and loans

September 30, 2011	Carrying Value		Face Amount		Weighted Average Coupon		Weighted Average Life (years)
First mortgages	$	765,198	$	781,829	7.8	%	3.3
Subordinated mortgages (1)	415,636		468,215		6.7	%	4.2
Mezzanine loans	635,213		653,348		8.5	%	3.2
Total loans held for investment	1,816,047		1,903,392
First mortgages held for sale at fair value	121,229		122,954		5.9	%	9.2
Loans held in securitization trust	50,311		50,660		5.0	%	3.7
Total Loans	$	1,987,587	$	2,077,006
December 31, 2010	Carrying Value		Face Amount		Weighted Average Coupon		Weighted Average Life (years)
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 includes (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.

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

	Balance Sheet Classification
Risk	Loans Held for Investment						Loans Held for Sale		Loans held in
Rating Category	First Mortgages		Subordinated Mortgages		Mezzanine Loans		First Mortgages		Securitization Trust		Total
1	$	—	$	—	$	—	$	—	$	—	$	—
2	88,436		129,831		138,294		84,295		13,214		454,070
3	642,689		232,202		489,253		36,934		37,097		1,438,175
4	34,073		53,603		7,666		—		—		95,342
5	—		—		—		—		—		—
	$	765,198	$	415,636	$	635,213	$	121,229	$	50,311	$	1,987,587

Schedule of originated and acquired loans

Balance December 31, 2010	$	1,425,243
Acquisitions/Origination	1,243,740
Additional funding	44,807
Capitalized Interest	4,404
Loans sold	(288,812		)
Loan maturities	(264,615		)
Transfer out  – loan converted to a security	(176,635		)
Principal repayments	(13,092		)
Discount/premium amortization	18,461
Unrealized foreign currency remeasurement loss	(4,189		)
Unrealized loss on loans held for sale at fair value	(1,725		)
Balance September 30, 2011	$	1,987,587