Commercial Mortgage Loans

12 Months Ended

Dec. 31, 2016

Mortgage Loans on Real Estate [Line Items]

Loans

Schedule IV — Mortgage Loans on Real Estate

December 31, 2016

Property Type

Location

Contractual Interest
Rate

Final
Extended Maturity
Date (1)

Periodic
Payment Terms

Face
amount of
loans

Carrying
amount of
loans

Commercial mortgage loans

Condo Construction

Maryland

L+15.00%

Apr-17

Interest only

$51,695

$52,476

Vacation Home Portfolio

Various

7.50%

Apr-19

Principal and interest

88,876

88,195

Hotel

Pennsylvania

L+4.55%

May-19

Interest only

34,000

33,987

Mixed Use

Ohio

L+9.00%

May-20

Interest only

165,000

163,987

Multifamily

North Dakota

L+5.90%

Nov-19

Interest only

49,706

39,713

Vacation Home Portfolio

Various US cities

7.00%

Nov-21

Interest only

59,500

59,193

Mixed Use

New York

L+7.00%

Mar-17

Interest only

85,770

86,142

Retail redevelopment

Florida

L+6.00%

Jan-18

Interest only

45,000

45,415

Retail

New York

L+7.00%

Mar-17

Interest only

23,000

23,012

Hotel

New York

L+5.25%

Sept-20

Interest only

108,857

108,768

Retail

New York

L+7.00%

Mar-17

Interest only

5,910

5,921

Hotel

U.S. Virgin Islands

L+4.95%

Jan-21

Interest only

42,000

41,795

Office

Virginia

L+5.15%

Jan-20

Interest only

54,000

53,849

Retail redevelopment

Florida

L+6.25%

Jan-19

Interest only

220,000

218,771

Office

Massachusetts

L+6.25%

Sept-18

Interest only

28,659

28,543

Mixed Use

New York

L+6.00%

Dec-18

Interest only

45,789

45,541

Condo Conversion

New York

L+6.50%

Jun-18

Interest only

41,016

40,825

Hotel

New York

L+6.30%

Aug-21

Interest only

78,140

77,297

Mixed Use

Illinois

L+5.50%

Oct-20

Interest only

129,397

128,271

Retail

New York

L+7.00%

Mar-17

Interest only

7,500

7,489

Data Center

Virginia

8.00%

Aug-19

Interest only

80,000

79,634

Retail

New York

L+5.75%

Dec-18

Interest only

60,300

59,775

Office

New York

L+4.70%

Dec-18

Interest only

105,000

104,005

Mixed Use Pre-development

California

L+6.75%

Dec-20

Interest only

50,000

49,252

Total commercial mortgage loans

$1,659,115

$1,641,856

Subordinate loans (2)

Mixed Use

North Carolina

11.10%

Aug - 22

Interest only

$6,525

Office Complex

Missouri

11.75%

Oct - 22

Principal and interest

9,414

Hotel Portfolio

Missouri

11.00%

Feb - 18

Principal and interest

23,863

Warehouse Portfolio

Various US cities

11.50%

May - 23

Interest only

32,000

Office Condo

New York

11.25%

Jul - 22

Interest only

14,000

13,679

Ski Resort

Montana

14.00%

Sept - 20

Interest only

15,000

14,773

Mixed Use

New York

L+10.50%

Dec - 19

Interest only

99,581

99,660

Senior Housing

United Kingdom

3ML+8.25%

Dec - 19

Principal and interest

41,693

Hotel

California

10.40%

Jan-20

Interest only

20,000

Multifamily Portfolio

Florida

L+11.50%

May-20

Interest only

22,000

21,967

Multifamily Portfolio

Florida

L+11.50%

May-20

Interest only

15,500

15,477

Mixed Use

Various US

L+9.05%

May-20

Interest only

45,000

45,174

Hotel

Arizona

11.50%

Jul-25

Interest only

25,000

Hotel

Washington, DC

L+9.60%

Jul-19

Interest only

20,000

19,978

Condo Development

New York

L+12.75%

Jul-20

Interest only

56,925

56,693

Condo Conversion

New York

L+12.25%

Aug-20

Interest only

59,636

59,442

Mixed Use

New York

L+10.00%

Oct-19

Interest only

30,000

29,926

Hotel

New York

L+5.25%

Sept-20

Interest only

7,573

7,513

Destination Resort

Various US cities

L+8.90%

May-22

Interest only

75,000

72,877

Multifamily

New York

L+10.50%

May-19

Interest only

55,000

54,775

Hotel

New York

L+12.00%

Mar-17

Interest only

50,000

50,228

Condo Pre-development

United Kingdom

3ML+12.50%

Dec-17

Interest only

123,400

Multifamily

North Dakota

L+5.90%

Nov-19

Interest only

5,000

—

Condo Conversion

New York

L+10.75%

Jul-20

Interest only

48,944

48,399

Healthcare Portfolio

Various US

L+10.00%

Oct-21

Interest only

130,000

128,856

Mixed Use

New York

L+12.00%

Oct-20

Interest only

30,175

29,924

Total subordinate loans

$1,061,229

$1,051,236

Total

$2,720,344

$2,693,092

)


(1)	Assumes all extension options are exercised.


(2)	Subject to prior liens.


(3)	The aggregate cost for federal income tax purposes is $2,708,092.

The following table summarizes the changes in the carrying amounts of mortgage loans during 2016 and 2015.

Reconciliation of Carrying Amount of Loans



	2016			2015
Balance at beginning of year	$	1,925,652		$	1,019,702
Funding of loans	1,127,039			1,366,062
Sales	—			(136,573		)
Collections of principal	(331,189		)	(348,516		)
Participation sold	(24,051		)
Discount accretion	13,656			9,096
Provision for loan losses	(15,000		)	—
Foreign currency loss	(33,383		)	(6,116		)
Payment-in-kind	30,368			21,997
Balance at the close of year	$	2,693,092		$	1,925,652

Commercial Mortgage Portfolio Segment [Member]

Mortgage Loans on Real Estate [Line Items]

Loans

Commercial Mortgage Loans

The Company’s commercial mortgage loan portfolio was comprised of the following at December 31, 2016:



Description	Maturity Date (2)	Current Principal Balance		Carrying Value		Unfunded Commitment		Fixed / Floating	Property Size
Condominium - Bethesda, MD	Apr-17	$	51,695	$	52,476	—		Floating	50 units
Vacation Home Portfolio - Various (1)	Apr-19	88,876		88,195		—		Fixed	229 properties
Hotel - Philadelphia, PA (1)	May-17	34,000		33,987		—		Floating	301 keys
Mixed Use - Cincinnati, OH (1)	May-18	165,000		163,987		—		Floating	65 acres
Multifamily - Williston, ND	Nov-17	49,706		39,713		—		Floating	366 units/homes
Vacation Home Portfolio - Various U.S. (1)	Nov-19	59,500		59,193		—		Fixed	29 properties
Mixed Use - Brooklyn, NY (1)	Mar-17	85,770		86,142		6,730		Floating	330,000 sq. ft.
Retail redevelopment - Miami, FL (1)	Jun-17	45,000		45,415		—		Floating	63,300 sq. ft.
Retail - Brooklyn, NY (1)	Mar-17	23,000		23,012		—		Floating	10,500 sq. ft.
Hotel - New York, NY (1)	Sept-18	108,857		108,768		29,549		Floating	317 keys
Retail - Brooklyn, NY (1)	Mar-17	5,910		5,921		—		Floating	5,500 sq. ft.
Hotel - U.S. Virgin Islands (1)	Jan-18	42,000		41,795		1,500		Floating	180 keys
Office - Richmond, VA (1)	Jan-18	54,000		53,849		1,000		Floating	262,000 sq. ft.
Retail redevelopment - Miami, FL (1)	Jan-18	220,000		218,771		—		Floating	113,000 sq. ft.
Office - Boston, MA (1)	Mar-18	28,659		28,543		2,341		Floating	114,000 sq. ft.
Mixed Use - New York, NY (1)	Jun-18	45,789		45,541		4,211		Floating	91,584 sq. ft.
Condo Conversion - Brooklyn, NY (1)	Jun-18	41,016		40,825		4,484		Floating	133,550 sq. ft.
Hotel - New York, NY (1)	Aug-18	78,140		77,297		26,860		Floating	612 keys
Mixed Use - Chicago, IL (1)	Oct-18	129,397		128,271		3,603		Floating	737,382 sq. ft.
Retail - Brooklyn, NY (1)	Mar-17	7,500		7,489		—		Floating	6,500 sq. ft.
Data Center - Manassas, VA	Aug-19	80,000		79,634		—		Fixed	460,000 sq. ft.
Retail - New York, NY (1)	Jun-18	60,300		59,775		4,700		Floating	84,374 sq. ft.
Office - New York, NY (1)	Jun-18	105,000		104,005		—		Floating	419,190 sq. ft.
Mixed Use Pre-development - Los Angeles, CA	Dec-18	50,000		49,252		30,000		Floating	75,000 sq. ft.
Total		$	1,659,115	$	1,641,856	$	114,978

(1)

At December 31, 2016, this loan was pledged to secure borrowings under the Company’s master repurchase facility entered into with JPMorgan Chase Bank, N.A. (the “JPMorgan Facility”), the Company's repurchase agreement with Goldman Sachs Bank USA (the “Goldman Loan”) or Company's master repurchase agreement with Deutsche Bank AG (the "DB Repurchase Facility"). See "Note 8 – Borrowings" for a description of this agreements.


(2)	Represents contractual maturity date excluding extension options.

The Company’s commercial mortgage loan portfolio was comprised of the following as of December 31, 2015:



Description	Maturity Date (2)	Current Principal Balance		Carrying Value		Unfunded Commitment		Fixed / Floating	Property Size
Condo Conversion – New York, NY (1)	Sept-16	$	24,114	$	24,289	$	—	Floating	40,000 sq. ft.
Condo Construction - Potomac, MD	Sept-16	65,125		65,087		—		Floating	50 units
Vacation Home Portfolio - Various (1)	Apr-19	94,147		93,277		—		Fixed	229 properties
Hotel - Philadelphia, PA (1)	May-17	34,000		33,994		—		Floating	301 rooms
Condo Construction - Bethesda, MD	Dec-16	50,000		49,960		15,100		Floating	40 units
Multifamily - Brooklyn, NY (1)	Aug-16	34,500		34,886		—		Floating	63 units
Mixed Use - Cincinnati, OH (1)	May-18	165,000		163,173		—		Floating	65 acres
Condo Conversion - New York, NY (1)	Jun-16	67,300		67,038		—		Floating	86,000 sq. ft.
Multifamily - Williston, ND (1)	Nov-17	49,691		49,665		—		Floating	366 units/homes
Vacation Home Portfolio - Various U.S. (1)	Nov-19	50,000		49,595		—		Fixed	24 properties
Mixed Use - Brooklyn, NY (1)	Mar-17	85,770		85,658		6,730		Floating	330,000 sq. ft.
Retail redevelopment - Miami, FL (1)	Jan-17	45,000		44,925		—		Floating	63,300 sq. ft.
Retail redevelopment - Miami, FL (1)	Jul-17	33,000		32,804		—		Floating	16,600 sq. ft.
Retail - Brooklyn, NY (1)	Mar-17	1,653		1,636		9,000		Floating	10,500 sq. ft.
Hotel - New York, NY (1)	Sept-18	98,373		97,381		40,034		Floating	317 rooms
Retail - Brooklyn, NY (1)	Mar-17	5,910		5,858		—		Floating	5,500 sq. ft.
Hotel - U.S. Virgin Islands	Jan-18	42,000		41,600		1,500		Floating	180 rooms
Office - Richmond, VA	Jan-18	54,000		53,475		1,000		Floating	262,000 sq. ft.
Total		$	999,583	$	994,301	$	73,364


(1)	At December 31, 2015, this loan was pledged to secure borrowings under the JPMorgan Facility or the Goldman Loan. See "Note 8 – Borrowings" for a description of this agreements.


(2)	Represents contractual maturity date excluding extension options.

The Company evaluates each loan for possible impairment on a quarterly basis. 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/sponsor on a loan by loan basis. Specifically, a property’s operating results and any cash reserves are analyzed and used to assess (i) whether cash from operations are sufficient to cover the debt service requirements currently and into the future, (ii) the ability of the borrower to refinance the loan, 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 borrower operates. Such loan loss analyses are completed and reviewed by asset management and finance personnel, who utilize various data sources, including (i) periodic financial data such as debt service coverage ratio, property occupancy, tenant profile, rental rates, operating expenses, the borrower’s exit plan, and capitalization and discount rates, (ii) site inspections, and (iii) current credit spreads and discussions with market participants. An allowance for loan loss is established when it is deemed probable that the Company will not be able to collect all amounts due according to the contractual terms of the loan.

During the year ended December 31, 2016, the Company recorded a loan loss provision of $10,000 on a multifamily commercial mortgage loan in Williston, ND, which was based on the difference between the fair value of the underlying collateral, and the carrying value of the loan (prior to the loan loss provision). Fair value of the collateral was determined using a discounted cash flow analysis. The significant unobservable inputs used in determining the collateral value are the terminal capitalization rate and discount rate which are 11% and 10% respectively. As of December 31, 2016, the aggregate loan loss provision was $10,000. The Company has ceased accruing interest associated with the loan. As of December 31, 2015, there were no provision for loan loss.