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Loans (Tables)
 3 Months Ended
Mar. 31, 2016
Loans  
Summary of investments in mortgages and loans by subordination class

The following tables summarize our investments in mortgages and loans by subordination class as of March 31, 2016 and December 31, 2015 (amounts in thousands):

 

 

 

 

 

 

 

 

 

 

 

 

 

  

 

 

  

 

 

  

 

    

Weighted

 

 

 

 

 

 

 

 

Weighted

 

Average Life

 

 

Carrying

 

Face

 

Average

 

(“WAL”)

March 31, 2016

 

Value

 

Amount

 

Coupon

 

(years)(3)

First mortgages (1)

 

$
5,030,487

 

$
5,081,967

 
5.9

%  
2.4

Subordinated mortgages (2)

 

 
392,315

 

 
414,875

 
8.5

%  
3.2

Mezzanine loans (1)

 

 
770,120

 

 
754,284

 
9.9

%  
2.3

Total loans held-for-investment

 

 
6,192,922

 

 
6,251,126

 

 

 

 

Loans held-for-sale, fair value option elected

 

 
154,225

 

 
151,970

 
5.2

%  
9.8

Loans transferred as secured borrowings

 

 
88,512

 

 
89,905

 
6.1

%  
2.2

Total gross loans

 

 
6,435,659

 

 
6,493,001

 

 

 

 

Loan loss allowance (loans held-for-investment)

 

 
(5,268)

 

 

 —

 

 

 

 

Total net loans

 

$
6,430,391

 

$
6,493,001

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

 

 

 

 

 

 

 

 

 

First mortgages (1)

 

$
4,723,852

 

$
4,776,576

 
6.0

%  
2.7

Subordinated mortgages (2)

 

 
392,563

 

 
416,713

 
8.5

%  
3.4

Mezzanine loans (1)

 

 
862,693

 

 
850,024

 
9.9

%  
2.5

Total loans held-for-investment

 

 
5,979,108

 

 
6,043,313

 

 

 

 

Loans held-for-sale, fair value option elected

 

 
203,865

 

 
203,710

 
4.9

%  
9.8

Loans transferred as secured borrowings

 

 
86,573

 

 
88,000

 
6.1

%  
2.4

Total gross loans

 

 
6,269,546

 

 
6,335,023

 

 

 

 

Loan loss allowance (loans held-for-investment)

 

 
(6,029)

 

 

 —

 

 

 

 

Total net loans

 

$
6,263,517

 

$
6,335,023

 

 

 

 

(1)

First mortgages include first mortgage loans and any contiguous mezzanine loan components because as a whole, the expected credit quality of these loans is more similar to that of a first mortgage loan.  The application of this methodology resulted in mezzanine loans with carrying values of $1.0 billion and $930.0 million being classified as first mortgages as of March 31, 2016 and December 31, 2015, respectively.

(2)

Subordinated mortgages include B-Notes and junior participation in first mortgages where we do not own the senior A-Note or senior participation. If we own both the A-Note and B-Note, we categorize the loan as a first mortgage loan.

(3)

Represents the WAL of each respective group of loans as of the respective balance sheet date. The WAL of each individual loan is calculated using amounts and timing of future principal payments, as projected at origination.

Summary of investments in floating rate loans

The following table summarizes our investments in floating rate loans (amounts in thousands):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2016

 

December 31, 2015

 

 

    

 

    

Carrying

    

 

    

Carrying

 

Index

 

Base Rate

 

Value

 

Base Rate

 

Value

 

One-month LIBOR USD

 
0.4373

%

$
555,960

 
0.4295

%

$
438,641

 

Three-month LIBOR GBP

 
0.5881

%

 
366,478

 
0.5904

%

 
375,467

 

LIBOR floor

 

0.15 - 3.00

% (1)  

 
4,333,422

 

0.15 - 3.00

% (1)  

 
4,237,947

 

Total

 

 

 

$
5,255,860

 

 

 

$
5,052,055

 

(1)

The weighted-average LIBOR floor was 0.32% and 0.31% as of March 31, 2016 and December 31, 2015, respectively.
Schedule of internal rating categories

As of March 31, 2016, the risk ratings for loans subject to our rating system, which excludes loans for which the fair value option has been elected, by class of loan were as follows (amounts in thousands):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance Sheet Classification

 

 

 

 

 

 

 

 

Loans Held-For-Investment

 

 

 

 

Loans

 

 

 

 

 

 

 

    

 

    

 

  

 

    

Cost

  

 

    

Transferred

    

 

    

% of

 

Risk Rating

 

First

 

Subordinated

 

Mezzanine

 

Recovery

 

Loans Held-

 

As Secured

 

 

 

Total

 

Category

 

Mortgages

 

Mortgages

 

Loans

 

Loans

 

For-Sale

 

Borrowings

 

Total

 

Loans

 

1

 

$
6,533

 

$

 —

 

$

 —

 

$

 —

 

$

 —

 

$

 —

 

$
6,533

 
0.1

%

2

 

 
477,910

 

 
85,363

 

 
98,656

 

 

 —

 

 

 —

 

 

 —

 

 
661,929

 
10.3

%

3

 

 
4,331,630

 

 
286,702

 

 
546,746

 

 

 —

 

 

 —

 

 
88,512

 

 
5,253,590

 
81.6

%

4

 

 
206,252

 

 
20,250

 

 
124,718

 

 

 —

 

 

 —

 

 

 —

 

 
351,220

 
5.5

%

5

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 —

%

N/A

 

 

 —

 

 

 —

 

 

 —

 

 
8,162

 

 
154,225

 

 

 —

 

 
162,387

 
2.5

%

 

 

$
5,022,325

 

$
392,315

 

$
770,120

 

$
8,162

 

$
154,225

 

$
88,512

 

$
6,435,659

 
100.0

%

 

As of December 31, 2015, the risk ratings for loans subject to our rating system by class of loan were as follows (amounts in thousands):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance Sheet Classification

 

 

 

 

 

 

 

 

Loans Held-For-Investment

 

 

 

 

Loans

 

 

 

 

 

 

 

    

 

 

    

 

 

    

 

 

    

Cost

    

 

 

    

Transferred

    

 

 

    

% of

 

Risk Rating

 

First

 

Subordinated

 

Mezzanine

 

Recovery

 

Loans Held-

 

As Secured

 

 

 

 

Total

 

Category

 

Mortgages

 

Mortgages

 

Loans

 

Loans

 

For-Sale

 

Borrowings

 

Total

 

Loans

 

1

 

$
664

 

$

 —

 

$

 —

 

$

 —

 

$

 —

 

$

 —

 

$
664

 

 —

%

2

 

 
496,372

 

 
88,857

 

 
90,449

 

 

 —

 

 

 —

 

 

 —

 

 
675,678

 
10.8

%

3

 

 
3,979,247

 

 
270,435

 

 
651,204

 

 

 —

 

 

 —

 

 
86,573

 

 
4,987,459

 
79.6

%

4

 

 
247,569

 

 
33,271

 

 
121,040

 

 

 —

 

 

 —

 

 

 —

 

 
401,880

 
6.4

%

5

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 —

%

N/A

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 
203,865

 

 

 —

 

 
203,865

 
3.2

%

 

 

$
4,723,852

 

$
392,563

 

$
862,693

 

$

 —

 

$
203,865

 

$
86,573

 

$
6,269,546

 
100.0

%

 

Schedule of activity in allowance for loan losses

The following table presents the activity in our allowance for loan losses (amounts in thousands):

 

 

 

 

 

 

 

 

 

 

 

For the Three Months Ended

 

 

March 31,

 

 

2016

    

2015

Allowance for loan losses at January 1

 

$
6,029

 

$
6,031

Provision for loan losses

 

 
(761)

 

 
317

Charge-offs

 

 

 —

 

 

—

Recoveries

 

 

 —

 

 

 —

Allowance for loan losses at March 31

 

$
5,268

 

$
6,348

Recorded investment in loans related to the allowance for loan loss

 

$
351,220

 

$
315,881

 

Schedule of activity in loan portfolio

The activity in our loan portfolio was as follows (amounts in thousands):

 

 

 

 

 

 

 

 

 

 

 

For the Three Months Ended

 

 

March 31,

 

 

2016

    

2015

Balance at January 1

 

$
6,263,517

 

$
6,300,285

Acquisitions/originations/additional funding

 

 
674,712

 

 
1,063,108

Capitalized interest (1)

 

 
21,290

 

 
17,490

Basis of loans sold (2)

 

 
(354,601)

 

 
(567,033)

Loan maturities/principal repayments

 

 
(195,073)

 

 
(320,379)

Discount accretion/premium amortization

 

 
8,696

 

 
10,179

Changes in fair value

 

 
6,891

 

 
21,131

Unrealized foreign currency remeasurement loss

 

 
(12,984)

 

 
(45,907)

Change in loan loss allowance, net

 

 
761

 

 
(317)

Transfer to/from other asset classifications

 

 
17,182

 

 
1,038

Balance at March 31

 

$
6,430,391

 

$
6,479,595

(1)

Represents accrued interest income on loans whose terms do not require current payment of interest.

(2)

See Note 11 for additional disclosure on these transactions.