Our Structured Business loan and investment portfolio consists of ($ in thousands):

(1)

“Weighted Average Pay Rate” is a weighted average, based on the UPB of each loan in our portfolio, of the interest rate required to be paid monthly as stated in the individual loan agreements. Certain loans and investments that require an accrual rate to be paid at maturity are not included in the weighted average pay rate as shown in the table.

(2)	The “First Dollar Loan-to-Value (“LTV”) Ratio” is calculated by comparing the total of our senior most dollar and all senior lien positions within the capital stack to the fair value of the underlying collateral to determine the point at which we will absorb a total loss of our position.

(3)	The “Last Dollar LTV Ratio” is calculated by comparing the total of the carrying value of our loan and all senior lien positions within the capital stack to the fair value of the underlying collateral to determine the point at which we will initially absorb a loss.

(4)	As of December 31, 2021 and 2020, bridge loans included 120 and 38, respectively, of SFR loans with a total gross loan commitment amount of $804.6 million and $309.2 million, respectively, of which $408.2 million and $88.1 million, respectively, was funded.

(5)	As of December 31, 2021 and 2020, other loans included 2 variable rate SFR permanent loans and 22 SFR permanent loans, respectively.

During the first quarter of 2021, the Structured Business transferred 21 fixed rate SFR permanent loans with a UPB of $65.2 million to the Agency Business (all of which were outstanding as of December 31, 2020), which represented all fixed rate SFR permanent loans originated prior to such transfer. Fixed rate SFR permanent loans are reported through the Agency Business beginning in 2021 and classified as held-for-sale. See Note 4 for further details.

Concentration of Credit Risk

We are subject to concentration risk in that, at December 31, 2021, the UPB related to 31 loans with five different borrowers represented 11% of total assets. At December 31, 2020, the UPB related to 22 loans with five different borrowers represented 12% of total assets. During both 2021 and 2020, no single loan or investment represented more than 10% of our total assets and no single investor group generated over 10% of our revenue. See Note 18 for details on our concentration of related party loans and investments.

We assign a credit risk rating of pass, pass/watch, special mention, substandard or doubtful to each loan and investment, with a pass rating being the lowest risk and a doubtful rating being the highest risk. Each credit risk rating has benchmark guidelines that pertain to debt-service coverage ratios, LTV ratios, borrower strength, asset quality, and funded cash reserves. Other factors such as guarantees, market strength, and remaining loan term and borrower equity are also reviewed and factored into determining the credit risk rating assigned to each loan. This metric provides a helpful snapshot of portfolio quality and credit risk. All portfolio assets are subject to, at a minimum, a thorough quarterly financial evaluation in which historical operating performance and forward-looking projections are reviewed, however, we maintain a higher level of scrutiny and focus on loans that we consider “high risk” and that possess deteriorating credit quality.

Generally speaking, given our typical loan profile, risk ratings of pass, pass/watch and special mention suggest that we expect the loan to make both principal and interest payments according to the contractual terms of the loan agreement. A risk rating of substandard indicates we anticipate the loan may require a modification of some kind. A risk rating of doubtful indicates we expect the loan to underperform over its term, and there could be loss of interest and/or principal. Further, while the above are the primary guidelines used in determining a certain risk rating, subjective items such as borrower strength, market strength or asset quality may result in a rating that is higher or lower than might be indicated by any risk rating matrix.

A summary of the loan portfolio’s internal risk ratings and LTV ratios by asset class as of December 31, 2021 is as follows ($ in thousands):


																Wtd. Avg.		Wtd. Avg.
	UPB by Origination Year															First Dollar		Last Dollar
Asset Class / Risk Rating	2021		2020		2019		2018		2017		Prior		Total			LTV Ratio		LTV Ration
Multifamily:
Pass	$	6,025,731	$	562,885	$	176,281	$	6,305	$	20,300	$	214	$	6,791,716
Pass/Watch		2,120,458		587,820		194,698		120,950		32,500		28,800		3,085,226
Special Mention		270,813		321,031		452,980		42,500		—		350		1,087,674
Substandard		—		18,827		43,575		15,533		31,110		8,250		117,295
Total Multifamily	$	8,417,002	$	1,490,563	$	867,534	$	185,288	$	83,910	$	37,614	$	11,081,911		1	%	76	%
Single-Family Rental:												Percentage of portfolio		91	%
Pass	$	69,992	$	18,339	$	—	$	—	$	—	$	—	$	88,331
Pass/Watch		257,602		24,927		—		—		—		—		282,529
Special Mention		2,743		48,481		15,556		—		—		—		66,780
Total Single-Family Rental	$	330,337	$	91,747	$	15,556	$	—	$	—	$	—	$	437,640		0	%	65	%
Land:												Percentage of portfolio		4	%
Special Mention	$	—	$	8,100	$	—	$	—	$	—	$	—	$	8,100
Substandard		—		71,018		19,524		—		19,975		127,928		238,445
Total Land	$	—	$	79,118	$	19,524	$	—	$	19,975	$	127,928	$	246,545		0	%	96	%
Healthcare:												Percentage of portfolio		2	%
Pass/Watch	$	—	$	—	$	14,750	$	—	$	—	$	—	$	14,750
Special Mention		—		—		51,069		41,500		—		—		92,569
Substandard		—		—		—		—		39,650		—		39,650
Total Healthcare	$	—	$	—	$	65,819	$	41,500	$	39,650	$	—	$	146,969		0	%	74	%
Office:												Percentage of portfolio		1	%
Special Mention	$	—	$	35,410	$	—	$	43,199	$	—	$	1,980	$	80,589
Total Office	$	—	$	35,410	$	—	$	43,199	$	—	$	1,980	$	80,589		0	%	85	%
Student Housing:												Percentage of portfolio		1	%
Pass	$	25,700	$	—	$	—	$	—	$	—	$	—	$	25,700
Special Mention		—		—		31,100		—		—		—		31,100
Substandard		—		21,500		—		—		—		—		21,500
Total Student Housing	$	25,700	$	21,500	$	31,100	$	—	$	—	$	—	$	78,300		21	%	73	%
Hotel:												Percentage of portfolio		1	%
Pass/Watch	$	—	$	4,716	$	—	$	—	$	—	$	—	$	4,716
Special Mention		—		—		41,000		—		—		—		41,000
Total Hotel	$	—	$	4,716	$	41,000	$	—	$	—	$	—	$	45,716		0	%	66	%
Retail:												Percentage of portfolio		<1	%
Pass	$	—	$	—	$	4,000	$	—	$	—	$	—	$	4,000
Special Mention		—		—		—		18,600		—		—		18,600
Substandard		—		—		—		—		—		3,445		3,445
Total Retail	$	—	$	—	$	4,000	$	18,600	$	—	$	3,445	$	26,045		12	%	33	%
Other:												Percentage of portfolio		< 1	%
Pass/Watch	$	—	$	—	$	—	$	—	$	13,580	$	—	$	13,580
Doubtful		—		—		—		—		—		1,700		1,700
Total Other	$	—	$	—	$	—	$	—	$	13,580	$	1,700	$	15,280		7	%	51	%
												Percentage of portfolio		< 1	%

Grand Total	$	8,773,039	$	1,723,054	$	1,044,533	$	288,587	$	157,115	$	172,667	$	12,158,995		1	%	76	%

Geographic Concentration Risk

As of December 31, 2021, 19% and 12% of the outstanding balance of our loan and investment portfolio had underlying properties in Texas and Florida, respectively. As of December 31, 2020, 19% and 11% of the outstanding balance of our loan and investment portfolio had underlying properties in New York and Texas, respectively. No other states represented 10% or more of the total loan and investment portfolio.

Allowance for Credit Losses

A summary of the changes in the allowance for credit losses is as follows (in thousands):


	Year Ended December 31, 2021
	Land		Multifamily		Office		Retail		Student Housing		Hotel		Healthcare		Other		Total
Allowance for credit losses:
Beginning balance	$	78,150	$	36,468	$	1,846	$	13,861	$	4,078	$	7,759	$	3,880	$	2,287	$	148,329
Provision for credit losses (net of recoveries)		(180)		(17,761)		6,227		(42)		(3,442)		(7,751)		(1,099)		(267)		(24,315)
Charge-offs		—		—		—		(8,000)		—		—		(2,773)		—		(10,773)
Ending balance	$	77,970	$	18,707	$	8,073	$	5,819	$	636	$	8	$	8	$	2,020	$	113,241


	Year Ended December 31, 2020
Allowance for credit losses:
Beginning balance, prior to adoption of CECL	$	67,869	$	—	$	1,500	$	—	$	—	$	—	$	—	$	1,700	$	71,069
Impact of adopting CECL - January 1, 2020		77		16,322		287		335		68		29		64		112		17,294
Provision for credit losses (net of recoveries)		10,204		20,146		59		13,526		4,010		7,730		3,816		475		59,966
Ending balance	$	78,150	$	36,468	$	1,846	$	13,861	$	4,078	$	7,759	$	3,880	$	2,287	$	148,329

	Year Ended December 31, 2019
Allowance for credit losses	$	67,869	$	—	$	1,500	$	—	$	—	$	—	$	—	$	1,700	$	71,069

Our estimate of allowance for credit losses on our structured loans and investments, including related unfunded loan commitments, was based on a reasonable and supportable forecast period that reflects an improving macroeconomic outlook based on recent observable data, including increasing property values, decreases in unemployment rates, low interest rates and other market factors, including continued optimism in the COVID-19 pandemic, partially offset by rising inflation.

The expected credit losses over the contractual period of our loans also include the obligation to extend credit through our unfunded loan commitments. Our current expected credit loss (“CECL”) allowance for unfunded loan commitments are adjusted quarterly and correspond with the associated outstanding loans. As of December 31, 2021 and 2020, we had outstanding unfunded commitments of $975.2 million and $353.8 million, respectively, that we are obligated to fund as borrowers meet certain requirements.

As of December 31, 2021 and 2020, accrued interest receivable related to our loans totaling $58.3 million and $41.6 million, respectively, was excluded from the estimate of credit losses and is included in other assets on the consolidated balance sheets.

All of our structured loans and investments are secured by real estate assets or by interests in real estate assets, and, as such, the measurement of credit losses may be based on the difference between the fair value of the underlying collateral and the carrying value of the assets as of the period end. A summary of our specific loans considered impaired by asset class is as follows (in thousands):


	December 31, 2021
							Wtd. Avg. First			Wtd. Avg. Last
			Carrying		Allowance for		Dollar LTV			Dollar LTV
Asset Class	UPB (1)		Value		Credit Losses		Ratio			Ratio
Land	$	134,215	$	127,868	$	77,869		0	%		99	%
Retail		22,045		17,291		5,817		14	%		33	%
Office		1,980		1,980		1,500		0	%		51	%
Commercial		1,700		1,700		1,700		63	%		63	%
Total	$	159,940	$	148,839	$	86,886		3	%		89	%


	December 31, 2020
Land	$	134,215	$	127,829	$	77,869	0	%	99	%
Hotel		110,000		89,613		7,500	0	%	94	%
Retail		30,079		28,957		13,851	10	%	75	%
Healthcare		4,625		4,673		3,845	0	%	83	%
Office		2,166		2,166		1,500	0	%	71	%
Commercial		1,700		1,700		1,700	63	%	63	%
Total	$	282,785	$	254,938	$	106,265	1	%	94	%

(1)	Represents the UPB of eight and ten impaired loans (less unearned revenue and other holdbacks and adjustments) by asset class at December 31, 2021 and 2020, respectively.

There were no loans for which the fair value of the collateral securing the loan was less than the carrying value of the loan for which we had not recorded a provision for credit loss as of December 31, 2021, 2020 and 2019.

At December 31, 2021, three loans with an aggregate net carrying value of $20.1 million, net of related loan loss reserves of $2.6 million, were classified as non-performing and, at December 31, 2020, seven loans with an aggregate net carrying value of $53.8 million, net of related loan loss reserves of $6.5 million, were classified as non-performing. Income from non-performing loans is generally recognized on a cash basis when it is received. Full income recognition will resume when the loan becomes contractually current and performance has recommenced.

A summary of our non-performing loans by asset class is as follows (in thousands):


	December 31, 2021						December 31, 2020
			Less Than		Greater Than				Less Than		Greater Than
			90 Days		90 Days				90 Days		90 Days
	UPB		Past Due		Past Due		UPB		Past Due		Past Due
Student Housing	$	21,500	$	—	$	21,500	$	36,500	$	—	$	36,500
Commercial		1,700		—		1,700		1,700		—		1,700
Retail		920		—		920		920		—		920
Multifamily		—		—		—		17,700		—		17,700
Office		—		—		—		880		—		880
Healthcare		—		—		—		4,625		—		4,625
Total	$	24,120	$	—	$	24,120	$	62,325	$	—	$	62,325

In addition, we have six loans with a carrying value totaling $121.4 million at December 31, 2021, that are collateralized by a land development project. The loans do not carry a current pay rate of interest, however, five of the loans with a carrying value totaling $112.0 million entitle us to a weighted average accrual rate of interest of 7.91%. In 2008, we suspended the recording of the accrual rate of interest on these loans, as they were impaired and we deemed the collection of this interest to be doubtful. At both

December 31, 2021 and 2020, we had a cumulative allowance for credit losses of $71.4 million related to these loans. The loans are subject to certain risks associated with a development project including, but not limited to, availability of construction financing, increases in projected construction costs, demand for the development's outputs upon completion of the project, and litigation risk. Additionally, these loans were not classified as non-performing as the borrower is in compliance with all of the terms and conditions of the loans.

At both December 31, 2021 and 2020, we had no loans contractually past due 90 days or more that are still accruing interest. During 2021, there was no interest income recognized on nonaccrual loans, and in 2020 the amount was de minimis.

In 2020, we entered into a loan modification agreement on a $26.5 million bridge loan with an interest rate of LIBOR plus 6.00% with a 2.375% LIBOR floor and a $6.1 million mezzanine loan with a fixed rate of 12% collateralized by a retail property to: (1) reduce the interest rate on both loans to the greater of: (i) LIBOR plus 5.50% and (ii) 6.50%, and (2) to extend the maturity three years to December 2024. A portion of the foregoing interest equal to 2.00% will be deferred to payoff and will be waived if the loan is paid off by December 31, 2022. The loan modification agreement also included a $6.0 million required principal paydown, which occurred at the closing of the modification transaction, and an $8.0 million principal reduction once the borrower deposited an additional reserve of $4.6 million in December 31, 2021, which was charged-off against the previously recorded allowance for credit losses.

In 2019, we purchased $50.0 million of a $110.0 million bridge loan, which was collateralized by a hotel property and scheduled to mature in December 2022. In 2020, we recorded a $7.5 million allowance for credit losses due to a reduction in the appraised value of the property. In 2020, we purchased the remaining $60.0 million bridge loan at a discount for $39.9 million, which we determined had experienced a more than insignificant deterioration in credit quality since origination and, therefore, deemed to be a purchased loan with credit deterioration. The $20.1 million discount was classified as a noncredit discount and no portion of the discount was allocated to allowance for credit losses at the date of purchase since the appraised value of the property was greater than the purchase price. Shortly after the purchase, we entered into a forbearance agreement with the borrower to temporarily reduce the interest rate from LIBOR plus 3.00% with a 1.50% LIBOR floor to a pay rate of 1.00% and to include a $10.0 million principal reduction if the loan is paid off by March 2, 2021. In January 2021, we entered into a second forbearance agreement which temporarily eliminated the pay rate, extended the principal reduction payoff deadline to June 30, 2021 and increased the interest rate to an unaccrued default rate of 9.50%, which was deferred till payoff. In June 2021, we received $95.0 million for full satisfaction of these loans, reversed the $7.5 million allowance for credit losses and recorded interest income of $3.5 million.

These two loan modifications were deemed troubled debt restructurings. There were no other loan modifications, refinancing’s and/or extensions during 2021 or 2020 that were considered troubled debt restructurings.

Given the transitional nature of some of our real estate loans, we may require funds to be placed into an interest reserve, based on contractual requirements, to cover debt service costs. At December 31, 2021 and 2020, we had total interest reserves of $87.4 million and $78.3 million, respectively, on 328 loans and 186 loans, respectively, with an aggregate UPB of $5.75 billion and $3.60 billion, respectively.