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INVESTMENTS IN COMMERCIAL MORTGAGE LOANS, MEZZANINE LOANS AND PREFERRED EQUITY INTERESTS (Tables)

3 Months Ended

Mar. 31, 2019

The following table summarizes our investments in commercial mortgage loans, mezzanine loans and preferred equity interests held for investment as of March 31, 2019:

	Unpaid Principal Balance			Unamortized (Discounts) Premiums			Carrying Amount			Number of Loans		Weighted- Average Coupon (1)			Range of Maturity Dates
Commercial Real Estate (CRE)
Commercial mortgage loans	$	388,913		$	(64	)	$	388,849			30		6.9	%	Apr. 2019 to Jun. 2025
Mezzanine loans		21,114			164			21,278			3		13.3	%	Jun. 2020 to Mar. 2023
Preferred equity interests		28,515			(1	)		28,514			13		6.0	%	Mar. 2023 to Jun. 2029
Total CRE (2)		438,542			99			438,641			46		7.2	%
Deferred fees and costs, net (3)		(397	)		-			(397	)
Total	$	438,145		$	99		$	438,244

(1)	Weighted-average coupon is calculated on the unpaid principal balance, which does not necessarily correspond to the carrying amount.

(2)	Includes $53,128 of cash flow loans, of which $7,148 are commercial mortgage loans, $21,114 are mezzanine loans and $24,866 are preferred equity interests. See Note 2: Summary of Significant Accounting Policies, (j) Revenue Recognition, for further discussion of our cash flow loans.

(3)	Includes $1,703 of deferred fees, net of $1,306 of deferred costs.

The following table summarizes our investments in commercial mortgage loans, mezzanine loans and preferred equity interests as of December 31, 2018:

	Unpaid Principal Balance			Unamortized (Discounts) Premiums			Carrying Amount			Number of Loans		Weighted- Average Coupon (1)			Range of Maturity Dates
Commercial Real Estate (CRE)
Commercial mortgage loans	$	453,283		$	(66	)	$	453,217			35		6.9	%	Feb. 2019 to Jun. 2025
Mezzanine loans		21,114			164			21,278			3		13.3	%	Jun. 2020 to Mar. 2023
Preferred equity interests		28,577			(1	)		28,576			13		6.0	%	Mar. 2023 to Jun. 2029
Total CRE (2)		502,974			97			503,071			51		7.2	%
Deferred fees and costs, net (3)		(674	)		-			(674	)
Total	$	502,300		$	97		$	502,397

(1)	Weighted-average coupon is calculated on the unpaid principal balance, which does not necessarily correspond to the carrying amount.

(2)	Includes $54,621 of cash flow loans, of which $8,579 are commercial mortgage loans, $21,114 are mezzanine loans and $24,928 are preferred equity interests. See Note 2: Summary of Significant Accounting Policies, (j) Revenue Recognition, for further discussion of our cash flow loans.

(3)	Includes $2,558 of deferred fees, net of $1,884 of deferred costs.

Delinquency Statistics of Commercial Real Estate Loans

The following table summarizes the delinquency statistics of our commercial real estate loans as of March 31, 2019 and December 31, 2018:

	As of March 31, 2019
Delinquency Status	Current		30 to 59 days		60 to 89 days		90 days or more		Total		Non-accrual (1)
Commercial mortgage loans	$	351,906	$	—	$	—	$	37,007	$	388,913	$	65,952
Mezzanine loans		21,114		—		—		—		21,114		8,245
Preferred equity interests		28,515		—		—		—		28,515		7,770
Total	$	401,535	$	—	$	—	$	37,007	$	438,542	$	81,967

(1)	Includes five loans that are current but are on non-accrual status due to uncertainty over whether we will fully collect principal and interest. Also includes two loans that are 90 days or more past due in accordance with their terms.

	As of December 31, 2018
Delinquency Status	Current		30 to 59 days		60 to 89 days		90 days or more		Total		Non-Accrual (1)
Commercial mortgage loans	$	414,735	$	—	$	—	$	47,440	$	453,283	$	46,793
Mezzanine loans		12,222		—		—		—		21,114		8,892
Preferred equity interests		28,577		—		—		—		28,577		37,308
Total	$	455,534	$	—	$	—	$	47,440	$	502,974	$	92,993

(1)	Includes five loans that are current but are on non-accrual status due to uncertainty over whether we will fully collect principal and interest. Also includes three loans that are 90 days or more past due in accordance with their terms.

Investment in Loans by Credit Risk Category

We have classified our investment in loans by credit risk category as of March 31, 2019 and December 31, 2018 as follows:

	As of March 31, 2019
Credit Status	Commercial Mortgage Loans		Mezzanine Loans		Preferred Equity		Total
Satisfactory	$	257,796	$	—	$	5,063	$	262,859
Watchlist (1)		131,117		21,114		23,452		175,683
Total	$	388,913	$	21,114	$	28,515	$	438,542

(1)	Includes $115,618 of loans that are considered to be impaired and $60,065 of loans that are not considered to be impaired.

	As of December 31, 2018
Credit Status	Commercial Mortgage Loans		Mezzanine Loans		Preferred Equity		Total
Satisfactory	$	314,104	$	—	$	5,063	$	319,167
Watchlist (1)		139,179		21,114		23,514		183,807
Total	$	453,283	$	21,114	$	28,577	$	502,974

(1)

Includes $126,645 of loans that are considered to be impaired and $57,162 of loans that are not considered to be impaired.

Roll-Forwards of Allowance for Loan Losses for Commercial Mortgage Loans, Mezzanine Loans and Preferred Equity Interests

The following tables provide a roll-forward of our allowance for loan losses for our commercial mortgage loans, mezzanine loans and preferred equity interests for the three months ended March 31, 2019 and 2018:

	For the Three Months Ended March 31, 2019
	Commercial Mortgage Loans			Mezzanine Loans		Preferred Equity			Total
Beginning balance	$	11,912		$	6,496	$	3,928		$	22,336
Provision (benefit) for loan losses		(485	)		—		(98	)		(583	)
Charge-offs, net of recoveries		(1,026	)		—		—			(1,026	)
Ending balance	$	10,401		$	6,496	$	3,830		$	20,727

	For the Three Months Ended March 31, 2018
	Commercial Mortgage Loans			Mezzanine Loans			Preferred Equity		Total
Beginning balance	$	9,019		$	5,622		$	242	$	14,883
Provision (benefit) for loan losses		5,248			2,784			—		8,032
Charge-offs, net of recoveries (1)		(6,008	)		(3,175	)		—		(9,183	)
Ending balance	$	8,259		$	5,231		$	242	$	13,732

(1)	Includes $3,908 of charge-offs related to loans transferred to held for sale during the three months ended March 31, 2018.

Loans Considered to be Impaired

Information on those loans considered to be impaired as of March 31, 2019 and December 31, 2018 was as follows:

	As of March 31, 2019
Impaired Loans	Commercial Mortgage Loans		Mezzanine Loans		Preferred Equity		Total
Impaired loans expecting full recovery	$	7,148	$	12,869	$	19,332	$	39,349
Impaired loans with reserves		63,904		8,245		4,120		76,269
Total Impaired Loans (1)		71,052		21,114		23,452		115,618
Allowance for loan losses	$	10,401	$	6,496	$	3,830	$	20,727

(1)	As of March 31, 2019, there was no unpaid principal relating to previously identified TDRs that are on accrual status.

	As of December 31, 2018
Impaired Loans	Commercial Mortgage Loans		Mezzanine Loans		Preferred Equity		Total
Impaired loans expecting full recovery	$	8,579	$	12,869	$	19,334	$	40,782
Impaired loans with reserves		73,438		8,245		4,180		85,863
Total Impaired Loans (1)		82,017		21,114		23,514		126,645
Allowance for loan losses	$	11,912	$	6,496	$	3,928	$	22,336

(1)

As of December 31, 2018, there was no unpaid principal relating to previously identified TDRs that are on accrual status.