COMMERCIAL REAL ESTATE INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2015

Commercial Real Estate Investments Held for Investment

CRE Debt and Preferred Equity Investments

	September 30, 2015							December 31, 2014
	Outstanding Principal		Carrying Value(1)		Percentage of Loan Portfolio(2)			Outstanding Principal		Carrying Value(1)		Percentage of Loan Portfolio(2)
	(dollars in thousands)
Senior mortgages		322,564		321,350		24.4	%		384,304		383,895		25.2	%
Senior securitized mortgages (3)		315,172		314,921		23.9	%		399,541		398,634		26.3	%
Mezzanine loans		560,800		558,613		42.4	%		522,474		522,731		34.4	%
Preferred equity		122,444		121,711		9.3	%		214,653		212,905		14.1	%
Total (4)	$	1,320,980	$	1,316,595		100.0	%	$	1,520,972	$	1,518,165		100.0	%
(1) Carrying value includes unamortized origination fees of $4.8 million and $3.0 million as of September 30, 2015 and December 31, 2014, respectively.
(2) Based on outstanding principal.
(3) Assets of consolidated VIEs.
(4) Excludes Loans held for sale.

	September 30, 2015
	Senior Mortgages			Senior Securitized Mortgages(1)			Mezzanine Loans			Preferred Equity			Total
	(dollars in thousands)
Beginning balance	$	383,895		$	398,634		$	522,731		$	212,905		$	1,518,165
Originations & advances (principal)		216,125			-			140,106			-			356,231
Principal payments		(230,220	)		(84,369	)		(101,781	)		(92,210	)		(508,580	)
Sales (principal)		(46,945	)		-			-			-			(46,945	)
Amortization & accretion of (premium) discounts		(107	)		-			(164	)		516			245
Net (increase) decrease in origination fees		(3,200	)		-			(2,556	)		-			(5,756	)
Amortization of net origination fees		1,802			656			277			500			3,235
Transfers		-			-			-			-			-
Allowance for loan losses		-			-			-			-			-
Net carrying value (2)	$	321,350		$	314,921		$	558,613		$	121,711		$	1,316,595
(1) Assets of consolidated VIE.
(2) Excludes Loans held for sale.

	December 31, 2014
	Senior Mortgages			Senior Securitized Mortgages(1)			Subordinate Notes			Mezzanine Loans			Preferred Equity			Total
	(dollars in thousands)
Beginning balance	$	667,299		$	-		$	41,408		$	628,102		$	247,160		$	1,583,969
Originations & advances (principal)		127,112			-			-			122,742			-			249,854
Principal payments		(12,756	)		-			(41,059	)		(227,151	)		(35,116	)		(316,082	)
Sales (principal)		-			-			-			-			-			-
Amortization & accretion of (premium) discounts		(138	)		-			(349	)		(1,093	)		108			(1,472	)
Net (increase) decrease in origination fees		(2,427	)		(116	)		-			(478	)		-			(3,021	)
Amortization of net origination fees		2,783			772			-			609			753			4,917
Transfers		(397,978	)		397,978			-			-			-			-
Allowance for loan losses		-			-			-			-			-			-
Net carrying value	$	383,895		$	398,634		$	-		$	522,731		$	212,905		$	1,518,165
(1) Assets of consolidated VIE.

Internal Loan and Preferred Equity Ratings

Internal CRE Debt and Preferred Equity Investment Ratings

	September 30, 2015
						Internal Ratings
Investment Type	Outstanding Principal (1)		Percentage of CRE Debt and Preferred Equity Portfolio			Performing		Watch List		Defaulted- Recovery (2)		Impaired
	(dollars in thousands)
Senior mortgages	$	322,564		24.4	%	$	309,591	$	-	$	12,973	$	-
Senior securitized mortgages (3)		315,172		23.9	%		305,922		9,250		-		-
Mezzanine loans		560,800		42.4	%		560,800		-		-		-
Preferred equity		122,444		9.3	%		122,444		-		-		-
	$	1,320,980		100.0	%	$	1,298,757	$	9,250	$	12,973	$	-
(1) Excludes Loans held for sale.
(2) Related to one loan on non-accrual status.
(3) Assets of consolidated VIE.

	December 31, 2014
						Internal Ratings
Investment Type	Outstanding Principal		Percentage of CRE Debt and Preferred Equity Portfolio			Performing		Watch List		Defaulted- Recovery (1)		Impaired
	(dollars in thousands)
Senior mortgages	$	384,304		25.2	%	$	371,331	$	-	$	12,973	$	-
Senior securitized mortgages (2)		399,541		26.3	%		390,291		9,250		-		-
Mezzanine loans		522,474		34.4	%		522,474		-		-		-
Preferred equity		214,653		14.1	%		214,653		-		-		-
	$	1,520,972		100.0	%	$	1,498,749	$	9,250	$	12,973	$	-
(1) Related to one loan on non-accrual status.
(2) Assets of consolidated VIE.

Summary of Acquisitions of Real Estate Held for Investment

The following table summarizes acquisitions of real estate held for investment during 2015:

Date of Acquisition	Type	Location	Purchase Price		Remaining Lease Term (Years) (1)
(dollars in thousands)
July 2015	Multi Tenant Retail	Ohio	$	11,000		5.1
August 2015	Multi Tenant Retail	Florida	$	18,900		4.4
(1) Does not include extension options.

The following table summarizes acquisitions of real estate held for investment in 2014:

Date of Acquisition	Type	Location	Purchase Price		Remaining Lease Term (Years) (1)
(dollars in thousands)
April 2014	Single-tenant retail	Tennessee	$	19,000		8
June 2014	Multi-tenant retail	Virginia	$	17,743		7
November 2014	Multi-tenant retail	New York, Ohio, Georgia	$	154,000		4.6
(1) Does not include extension options.

Aggregate Allocation of Purchase Price

The following table presents the aggregate preliminary allocation of the purchase price for acquisitions during the nine months ended September 30, 2015:

	Location
	Ohio			Florida		Total
	(dollars in thousands)
Purchase Price Allocation:
Land	$	2,282		$	3,780	$	6,062
Buildings		8,256			15,120		23,376
Site improvements		639			-		639
Tenant Improvements		671			-		671
Real estate held for investment		11,848			18,900		30,748
Intangible assets (liabilities):
Leasehold intangible assets		1,269			-		1,269
Above market lease		-			-		-
Below market lease value		(2,117	)		-		(2,117	)
Total purchase price	$	11,000		$	18,900	$	29,900

The following table presents the aggregate final allocation of the purchase price for 2014 acquisitions:

	Location
	Tennessee			Virginia			Joint Venture			Total
	(dollars in thousands)
Purchase Price Allocation:
Land	$	3,503		$	6,394		$	21,441		$	31,338
Buildings		11,960			10,862			97,680			120,502
Site improvements		1,349			1,184			12,705			15,238
Tenant Improvements		-			-			9,365			9,365
Real estate held for investment		16,812			18,440			141,191			176,443
Intangible assets (liabilities):
Leasehold intangible assets		4,288			3,218			22,297			29,803
Above market lease		-			-			5,458			5,458
Below market lease value		(2,100	)		(3,915	)		(14,946	)		(20,961	)
Total purchase price	$	19,000		$	17,743		$	154,000		$	190,743

Total Commercial Real Estate Held for Investments

Investments in Commercial Real Estate

	September 30, 2015			December 31, 2014
	(dollars in thousands)
Real estate held for investment, at amortized cost
Land	$	44,039		$	38,117
Buildings and improvements		200,218			176,139
Subtotal		244,257			214,256
Less: accumulated depreciation		(12,997	)		(4,224	)
Total real estate held for investment, at amortized cost, net		231,260			210,032
Equity in unconsolidated joint venture		70,187			-
Investments in commercial real estate, net	$	301,447		$	210,032

Minimum Future Rentals on Noncancelable Leases

Approximate future minimum rents to be received over the next five years and thereafter for non-cancelable operating leases in effect at September 30, 2015 for the consolidated properties, including consolidated joint venture properties are as follows:

	September 30, 2015
	(dollars in thousands)
2015 (remaining)	$	5,672
2016		20,529
2017		17,713
2018		15,333
2019		12,998
Later years		52,875
	$	125,120

Mortgage loans payable

Mortgage loans payable as of September 30, 2015 and December 31, 2014, were as follows:

September 30, 2015
Property	Mortgage Carrying Value		Mortgage Principal		Interest Rate			Fixed/Floating Rate	Maturity Date	Priority
	(dollars in thousands)
Joint Ventures	$	124,400	$	124,400	4.03% to 4.44%			Fixed	2024 and 2025	First liens
Tennessee		12,350		12,350		4.01	%	Fixed	6/6/2019	First liens
Virginia		11,025		11,025		3.58	%	Fixed	9/6/2019	First liens
Arizona		16,460		16,389		3.50	%	Fixed	1/1/2017	First liens
Nevada		2,462		2,453		3.45	%	Floating (1)	3/29/2017	First liens
	$	166,697	$	166,617
(1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).

December 31, 2014
Property	Mortgage Carrying Value		Mortgage Principal		Interest Rate			Fixed/Floating Rate	Maturity Date	Priority
	(dollars in thousands)
Joint Venture	$	103,950	$	103,950		4.03	%	Fixed	12/6/2024	First liens
Tennessee		12,350		12,350		4.01	%	Fixed	6/6/2019	First liens
Virginia		11,025		11,025		3.58	%	Fixed	9/6/2019	First liens
Arizona		16,709		16,600		3.50	%	Fixed	1/1/2017	First liens
Nevada		2,519		2,505		3.45	%	Floating (1)	3/29/2017	First liens
	$	146,553	$	146,430
(1) Rate is fixed via an interest rate swap (pay fixed 3.45%, receive floating rate of L+200).

Future Mortgage Loan Principal Payments

The following table details future mortgage loan principal payments as of September 30, 2015:

	Mortgage Loan Principal Payments
	(dollars in thousands)
2015 (remaining)	$	98
2016		400
2017		18,344
2018		-
2019		23,375
Later years		124,400
	$	166,617

Geographic Concentrations of Credit Risk Exceeding 5% of Total Loan Balances

The geographic concentrations of credit risk exceeding 5% of the total loan balances related to the FREMF Trusts as of September 30, 2015 are as follows:

Securitized Loans at Fair Value Geographic Concentration of Credit Risk
Property Location	Principal Balance		% of Balance
	(dollars in thousands)
Texas	$	749,569		29.4	%
North Carolina		537,375		21.0	%
Florida		391,215		15.3	%
Ohio		197,455		7.7	%

FREMF Trust

Statement of financial condition of FREMF Trust Reflected the Consolidated Statements of Financial Condition

The statement of financial condition of the FREMF Trusts, that is reflected in the Company’s Consolidated Statements of Financial Condition at September 30, 2015 is as follows:

	September 30, 2015
	(dollars in thousands)
Senior securitized commercial mortgages carried at fair value	$	2,565,909
Accrued interest receivable		4,703
Total assets	$	2,570,612
Liabilities and equity
Securitized debt (non-recourse) at fair value	$	2,377,067
Accrued interest payable		4,068
	$	2,381,135
Equity		189,477
Total liabilities and equity	$	2,570,612

Statement of Comprehensive Income (Loss) of FREMF Trusts Reflected the Consolidated Statements of Comprehensive Income (Loss)

The statement of comprehensive income (loss) of the FREMF Trusts that is reflected in the Company’s Consolidated Statements of Comprehensive Income (Loss) at September 30, 2015 is as follows:

	For the period February 25, 2015 to September 30, 2015
	(dollars in thousands)
Net interest income:
Interest income	$	26,634
Interest expense		9,051
Net interest income		17,583
Other income (loss):
Unrealized gain (loss) on financial instruments at fair value (1)		(2,691	)
Guarantee fees and servicing costs		9,579
Other income (loss)		(12,270	)
General and administration expenses		58
Net income	$	5,255
(1) Included in Net unrealized gains (losses) on financial instruments measured at fair value through earnings.