3. MORTGAGE LOAN RECEIVABLES

September 30, 2016 ($ in thousands)



	Outstanding Face Amount		Carrying Value			Weighted Average Yield (1)		Remaining Maturity (years)

Mortgage loan receivables held for investment, at amortized cost	$	1,654,554	$	1,647,035		7.09	%	1.70
Provision for loan losses	N/A		(4,000		)
Total mortgage loan receivables held for investment, at amortized cost	1,654,554		1,643,035
Mortgage loan receivables held for sale	783,441		784,186			4.40	%	7.54
Total	$	2,437,995	$	2,427,221

(1) September 30, 2016 London Interbank Offered Rate (“LIBOR”) rates are used to calculate weighted average yield for floating rate loans.

As of September 30, 2016, $207.6 million, or 12.6%, of the carrying value of our mortgage loan receivables held for investment, at amortized cost, were at fixed interest rates and $1.4 billion, or 87.4%, of the carrying value of our mortgage loan receivables held for investment, at amortized cost, were at variable interest rates, linked to LIBOR, some of which include interest rate floors. As of September 30, 2016, $784.2 million, or 100.0%, of the carrying value of our mortgage loan receivables held for sale were at fixed interest rates.

December 31, 2015 ($ in thousands)



	Outstanding Face Amount		Carrying Value			Weighted Average Yield (1)		Remaining Maturity (years)

Mortgage loan receivables held for investment, at amortized cost	$	1,749,556	$	1,742,345		7.56	%	1.38
Provision for loan losses	N/A		(3,700		)
Total mortgage loan receivables held for investment, at amortized cost	1,749,556		1,738,645
Mortgage loan receivables held for sale	571,638		571,764			4.56	%	6.20
Total	2,321,194		2,310,409

(1) December 31, 2015 LIBOR rates are used to calculate weighted average yield for floating rate loans.

As of December 31, 2015, $343.2 million, or 19.7%, of the carrying value of our mortgage loan receivables held for investment, at amortized cost, were at fixed interest rates and $1.4 billion, or 80.3%, of the carrying value of our mortgage loan receivables held for investment, at amortized cost, were at variable interest rates, linked to LIBOR, some of which include interest rate floors. As of December 31, 2015, $571.8 million, or 100%, of the carrying value of our mortgage loan receivables held for sale were at fixed interest rates.

The following table summarizes mortgage loan receivables by loan type ($ in thousands):



	September 30, 2016					December 31, 2015
	Outstanding Face Amount		Carrying Value			Outstanding Face Amount		Carrying Value

Mortgage loan receivables held for investment, at amortized cost
First mortgage loans	$	1,484,063	$	1,477,440		$	1,462,228	$	1,456,212
Mezzanine loans	170,491		169,595			287,328		286,133
Total mortgage loan receivables held for investment, at amortized cost	1,654,554		1,647,035			1,749,556		1,742,345
Mortgage loan receivables held for sale
First mortgage loans	783,441		784,186			571,638		571,764
Total mortgage loan receivables held for sale	783,441		784,186			571,638		571,764

Provision for loan losses	N/A		(4,000		)	N/A		(3,700		)
Total	$	2,437,995	$	2,427,221		$	2,321,194	$	2,310,409

For the nine months ended September 30, 2016 and 2015, the activity in our loan portfolio was as follows ($ in thousands):



	Mortgage loan receivables held for investment, at amortized cost				Mortgage loan receivables held for sale

Balance, December 31, 2015	$	1,738,645			$	571,764
Origination of mortgage loan receivables	531,000			(1)	887,164
Repayment of mortgage loan receivables	(632,825		)	(1)	(1,161		)
Proceeds from sales of mortgage loan receivables	—				(703,846		)
Realized gain on sale of mortgage loan receivables	—				30,265
Accretion/amortization of discount, premium and other fees	6,515				—
Loan loss provision	(300		)		—
Balance, September 30, 2016	$	1,643,035			$	784,186

(1) Includes $50.4 million of non-cash originations and repayments.



	Mortgage loan receivables held for investment, at amortized cost			Mortgage loan receivables held for sale

Balance, December 31, 2014	$	1,521,054		$	417,955
Origination of mortgage loan receivables	840,652			1,781,355
Repayment of mortgage loan receivables	(575,028		)	(1,613		)
Proceeds from sales of mortgage loan receivables	—			(1,923,883		)
Realized gain on sale of mortgage loan receivables	—			59,717
Accretion/amortization of discount, premium and other fees	8,584			—
Loan loss provision	(450		)	—
Balance, September 30, 2015	$	1,794,812		$	333,531

During the three months ended September 30, 2016, $324.4 million of financial assets (loans) have been treated as sales in accordance with ASC Topic 860 — Transfers and Servicing, in connection with a securitization transaction. In addition, during the three months ended September 30, 2016, of the three assets (loans), with a combined principal balance of $137.6 million, $61.6 million, non-controlling, pari passu interests were also transferred as part of a securitization transaction. Since effective control continued to reside with the retained portions of the loans the transfers of any of these assets are considered nonrecourse secured borrowings in which the full loan assets remain on the Company’s consolidated balance sheets in mortgage loan receivables held for investment, net, at amortized cost and the sale proceeds of $63.2 million are recognized in debt obligations. The Company expects to sell the retained portions of the loans in a future securitization and relinquish control. During the three months ended September 30, 2015, the transfers of financial assets via sales of loans were treated as sales under ASC Topic 860 — Transfers and Servicing.

At September 30, 2016 and December 31, 2015, there was $0.6 million and $0.7 million, respectively, of unamortized discounts included in our mortgage loan receivables held for investment, at amortized cost, on our combined consolidated balance sheets.

The Company evaluates each of its loans for potential losses at least quarterly. Its loans are typically collateralized by real estate directly or indirectly. As a result, the Company regularly evaluates the extent and impact of any credit deterioration associated with the performance and/or value of the underlying collateral property, as well as the financial and operating capability of the borrower. Specifically, a property’s operating results and any cash reserves are analyzed and used to assess (i) whether cash flow from operations is sufficient to cover the debt service requirements currently and into the future, (ii) the ability of the borrower to refinance the loan at maturity, and/or (iii) the property’s liquidation value. The Company also evaluates the financial wherewithal of any loan guarantors as well as the borrower’s competency in managing and operating the properties. In addition, the Company considers the overall economic environment, real estate sector, and geographic sub-market in which the collateral property is located. Such impairment analyses are completed and reviewed by asset management personnel, who utilize various data sources, including (i) periodic financial data such as property occupancy, tenant profile, rental rates, operating expenses, the borrowers’ business plan, and capitalization and discount rates, (ii) site inspections, and (iii) current credit spreads and other market data. As a result of this analysis, the Company has concluded that none of its loans are individually impaired as of September 30, 2016 and December 31, 2015.

However, based on the inherent risks shared among the loans as a group, it is probable that the loans had incurred an impairment due to common characteristics and inherent risks in the portfolio. Therefore, the Company has recorded a reserve, based on a targeted percentage level which it seeks to maintain over the life of the portfolio, as disclosed in the tables below. Historically, the Company has not incurred losses on any originated loans.

As of September 30, 2016, two of the Company’s loans, which were originated simultaneously as part of a single transaction, and had a carrying value of $26.9 million, were in default. The Company determined that no impairment was necessary and continues to accrue interest on these loans because the loans’ collateral value was in excess of the outstanding balances. As of September 30, 2016, accrued but unpaid interest totaled $2.3 million, which includes $1.5 million of default interest.

At September 30, 2016 and December 31, 2015 there were no loans on non-accrual status.

Provision for Loan Losses ($ in thousands)



	Three Months Ended September 30,				Nine Months Ended September 30,
	2016		2015		2016		2015

Provision for loan losses at beginning of period	$	4,000	$	3,400	$	3,700	$	3,100
Provision for loan losses	—		150		300		450
Provision for loan losses at end of period	$	4,000	$	3,550	$	4,000	$	3,550