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MORTGAGE LOAN RECEIVABLES | 3 Months Ended
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Mar. 31, 2023
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] |
MORTGAGE LOAN RECEIVABLES | 3. MORTGAGE LOAN RECEIVABLES March 31, 2023 ($ in thousands)
| Outstanding Face Amount |  | Carrying Value |  | Weighted Average Yield (1)(2) |  | Remaining Maturity (years)(2)(3)
Mortgage loan receivables held for investment, net, at amortized cost: |  |  |  |  |  |  |
First mortgage loans | $ | 3,766,258 |  |  | $ | 3,750,799 |  |  | 9.16 | % |  | 1.1
Mezzanine loans | 43,334 |  |  | 43,276 |  |  | 11.11 | % |  | 1.5
Total mortgage loans receivable | 3,809,592 |  |  | 3,794,075 |  |  | 9.18 | % |  | 1.1
Allowance for credit losses | N/A |  | (25,499) |  |  |  |  |
Total mortgage loan receivables held for investment, net, at amortized cost | 3,809,592 |  |  | 3,768,576 |  |  |  |  |
Mortgage loan receivables held for sale: |  |  |  |  |  |  |
First mortgage loans | 31,350 |  |  | 27,197 |  |  | 4.57 | % |  | 8.9
Total | $ | 3,840,942 |  |  | $ | 3,795,773 |  | (4) | 9.14 | % |  | 1.1
(1)Includes the impact from interest rate floors. March 31, 2023 LIBOR and SOFR rates are used to calculate weighted average yield for floating rate loans. (2)Excludes non-accrual loans of $53.6 million. Refer to “Non-Accrual Status” below for further details. (3)The remaining maturity is calculated based on the initial maturity. The weighted average extended maturity for all loans is 2.4 years. (4)Net of $15.5 million of deferred origination fees and other items as of March 31, 2023. As of March 31, 2023, $3.3 billion, or 87.2%, of the outstanding face amount of our mortgage loan receivables held for investment, net, at amortized cost, were at variable interest rates with $2.3 billion linked to LIBOR and $1.0 billion linked to SOFR. Of this $3.3 billion, 100% of these variable interest rate mortgage loan receivables were subject to interest rate floors. As of March 31, 2023, $31.4 million, or 100%, of the outstanding face amount of our mortgage loan receivables held for sale were at fixed interest rates. In February 2023, the Company modified a first mortgage loan with an amortized cost basis of $51.5 million. The modification included an extension of the contractual maturity to October 2026, a modification of the interest rate from LIBOR + 2.8% to a fixed rate of 7% (5% current pay, 2% deferred rate) as well as a principal paydown of $3.5 million and the funding of $6.5 million of reserves. As of March 31, 2023 the Company is not accruing the 2% deferred interest component. As of March 31, 2023 the loan is current and has an amortized cost basis of $48.0 million. December 31, 2022 ($ in thousands)
| Outstanding Face Amount |  | Carrying Value |  | Weighted Average Yield (1)(2)(3) |  | Remaining Maturity (years)(2)(3)
Mortgage loan receivables held for investment, net, at amortized cost: |  |  |  |  |  |  |
First mortgage loans | $ | 3,841,315 |  |  | $ | 3,819,860 |  |  | 8.83 | % |  | 1.3
Mezzanine loans | 65,950 |  |  | 65,886 |  |  | 10.62 | % |  | 1.6
Total mortgage loans receivable | 3,907,265 |  |  | 3,885,746 |  |  | 8.85 | % |  | 1.3
Allowance for credit losses | N/A |  | (20,755) |  |  |  |  |
Total mortgage loan receivables held for investment, net, at amortized cost | 3,907,265 |  |  | 3,864,991 |  |  |  |  |
Mortgage loan receivables held for sale: |  |  |  |  |  |  |
First mortgage loans | 31,350 |  |  | 27,391 |  |  | 4.57 | % |  | 9.2
Total | $ | 3,938,615 |  |  | $ | 3,892,382 |  | (4) | 8.82 | % |  | 1.3
(1)Includes the impact from interest rate floors. December 31, 2022 LIBOR rates are used to calculate weighted average yield for floating rate loans. (2)Excludes non-accrual loans of $53.8 million. (3)Includes the impact of one loan with a principal balance of $51.5 million, which was extended through 2026 in January 2023. (4)Net of $21.5 million of deferred origination fees and other items as of December 31, 2022. As of December 31, 2022, $3.4 billion, or 87.2%, of the outstanding face amount of our mortgage loan receivables held for investment, net, at amortized cost, were at variable interest rates with $2.3 billion linked to LIBOR and $1.1 billion linked to SOFR. Of this $3.4 billion, 99% of these variable rate mortgage loan receivables were subject to interest rate floors. As of December 31, 2022, $31.4 million, or 100%, of the outstanding face amount of our mortgage loan receivables held for sale were at fixed interest rates. For the three months ended March 31, 2023 and 2022, the activity in our loan portfolio was as follows ($ in thousands):
| Mortgage loan receivables held for investment, net, at amortized cost: |  |
| Mortgage loans receivable |  |  |  | Allowance for credit losses |  | Mortgage loan receivables held for sale
Balance, December 31, 2022 | $ | 3,885,746 |  |  |  |  | $ | (20,755) |  |  | $ | 27,391 |
Origination of mortgage loan receivables | 32,616 |  |  |  |  | — |  |  | — |
Repayment of mortgage loan receivables | (131,272) |  |  |  |  | — |  |  | — |
Net result from mortgage loan receivables held for sale (1) | — |  |  |  |  | — |  |  | (194) |
Accretion/amortization of discount, premium and other fees | 6,985 |  |  |  |  | — |  |  | — |
Release (addition) of provision for current expected credit loss, net (2) | — |  |  |  |  | (4,744) |  |  | — |
Balance, March 31, 2023 | $ | 3,794,075 |  |  |  |  | $ | (25,499) |  |  | $ | 27,197 |
(1)Includes unrealized lower of cost or market adjustment and realized gain/loss on loans held for sale. (2)Refer to “Allowance for Credit Losses” table below for further detail.
| Mortgage loan receivables held for investment, net, at amortized cost: |  |
| Mortgage loans receivable |  |  |  | Allowance for credit losses |  | Mortgage loan receivables held for sale
Balance, December 31, 2021 | $ | 3,553,737 |  |  |  |  | $ | (31,752) |  |  | $ | — |
Origination of mortgage loan receivables | 648,507 |  |  |  |  | — |  |  | 54,850 |
Repayment of mortgage loan receivables | (349,935) |  |  |  |  | — |  |  | — |
Net result from mortgage loan receivables held for sale (2) | — |  |  |  |  | — |  |  | (949) |
Accretion/amortization of discount, premium and other fees | 5,162 |  |  |  |  | — |  |  | — |
Release (addition) of provision for current expected credit loss, net (3) | — |  |  |  |  | (580) |  |  | — |
Balance, March 31, 2022 | $ | 3,857,471 |  |  |  |  | $ | (32,332) |  |  | $ | 53,901 |
(1)Refer to Note 5 Real Estate and Related Lease Intangibles, Net for further detail on additions to real estate. (2)Represents unrealized lower of cost or market adjustment on loans held for sale. (3)Refer to “Allowance for Credit Losses” table below for further detail. Allowance for Credit Losses and Non-Accrual Status ($ in thousands)
| Three Months Ended March 31, |  |  |  |  |  |
Allowance for Credit Losses | 2023 |  | 2022 |  |  |  |  |  |  |  |  |  |  |  |
Allowance for credit losses at beginning of period | $ | 20,755 |  |  | $ | 31,752 |  |  |  |  |  |  |  |  |  |  |  |  |
Provision for (release of) current expected credit loss, net (1) | 4,744 |  |  | 580 |  |  |  |  |  |  |  |  |  |  |  |  |
Allowance for credit losses at end of period | $ | 25,499 |  |  | $ | 32,332 |  |  |  |  |  |  |  |  |  |  |  |  |
(1) There were no asset specific reserves recorded for the three months ended March 31, 2023 or 2022.
Non-Accrual Status | March 31, 2023 |  | December 31, 2022
Carrying value of loans on non-accrual status, net of asset-specific reserve (1)(2) | $ | 53,624 |  |  | $ | 53,809 |
(1) Includes one loan with an amortized cost basis of $30.5 million, for which the Company determined no asset specific reserve was necessary. (2) As of March 31, 2023 and December 31, 2022 the loans on non-accrual status were greater than 90 days past due. Current Expected Credit Loss (“CECL”) As of March 31, 2023, the Company has a $26.2 million allowance for current expected credit losses, of which $25.5 million pertains to mortgage loan receivables and $0.7 million relates to unfunded commitments. This allowance includes $2.7 million of asset-specific reserves relating to two loans with an amortized cost basis of $25.8 million as of March 31, 2023. The Company concluded that none of its other loans are individually impaired as of March 31, 2023. As of December 31, 2022, the Company had a $21.5 million allowance for current expected credit losses, of which $20.8 million pertained to mortgage loan receivables and $0.7 million related to unfunded commitments. This allowance included $2.7 million of asset-specific reserves relating to two loans with an amortized cost basis of $26.0 million as of December 31, 2022. The Company concluded that none of its other loans are individually impaired as of December 31, 2022. The total change in provision for loan loss reserves for the three months ended March 31, 2023 was an increase of the provision of $4.7 million. The net increase represents an increase in the general reserve of loans held for investment of $4.7 million and a decrease related to unfunded loan commitments of $8.0 thousand. The increase in provision associated with the general reserve during the three months ended March 31, 2023 is primarily due to adverse changes in macroeconomic scenarios. The total change in provision for loan loss reserves for the three months ended March 31, 2022 was an increase of $0.9 million. The addition represented an increase in the general reserve of loans held for investment of $0.6 million and an increase on unfunded loan commitments of $0.3 million. The increase during the three months ended March 31, 2022 was primarily due to a net increase in originations quarter over quarter. Loan Portfolio by Geographic Region, Collateral Type and Vintage (amortized cost $ in thousands)
|  | March 31, |  | December 31, |  |  |  |  |  |  |  |
Geographic Region |  | 2023 |  | 2022 |  |  |  |  |  |  |  |
Northeast |  | $ | 1,163,181 |  |  | $ | 1,191,337 |  |  |  |  |  |  |  |  |
South |  | 1,101,731 |  |  | 1,080,132 |  |  |  |  |  |  |  |  |
Southwest |  | 650,167 |  |  | 675,069 |  |  |  |  |  |  |  |  |
Midwest |  | 488,728 |  |  | 496,640 |  |  |  |  |  |  |  |  |
West |  | 364,441 |  |  | 416,556 |  |  |  |  |  |  |  |  |
Subtotal mortgage loans receivable |  | 3,768,248 |  |  | 3,859,734 |  |  |  |  |  |  |  |  |
Individually impaired loans |  | 25,827 |  |  | 26,012 |  |  |  |  |  |  |  |  |
Total mortgage loans receivable |  | $ | 3,794,075 |  |  | $ | 3,885,746 |  |  |  |  |  |  |  |  |
Management’s method for monitoring credit is the performance of a loan. The primary credit quality indicator management utilizes to assess its current expected credit loss reserve is by viewing the Company’s mortgage loan portfolio by collateral type. The following tables summarize the amortized cost of the mortgage loan portfolio by collateral type as of March 31, 2023 and December 31, 2022, respectively ($ in thousands):
|  | Amortized Cost Basis by Origination Year as of March 31, 2023 |  |  |  |  |  |
Collateral Type |  | 2023 |  | 2022 |  | 2021 |  | 2020 |  | 2019 and Earlier |  | Total |  |  |  |  |  |  |
Multifamily |  | $ | 14,339 |  |  | $ | 677,833 |  |  | $ | 730,370 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,422,542 |  |  |  |  |  |  |  |  |
Office |  | — |  |  | 78,871 |  |  | 672,894 |  |  | — |  |  | 168,387 |  |  | 920,152 |  |  |  |  |  |  |  |  |
Mixed Use |  | — |  |  | 202,526 |  |  | 356,226 |  |  | 26,500 |  |  | 92,005 |  |  | 677,257 |  |  |  |  |  |  |  |  |
Industrial |  | — |  |  | 37,690 |  |  | 96,952 |  |  | — |  |  | 115,275 |  |  | 249,917 |  |  |  |  |  |  |  |  |
Retail |  | — |  |  | 60,250 |  |  | 107,783 |  |  | — |  |  | 22,098 |  |  | 190,131 |  |  |  |  |  |  |  |  |
Hospitality |  | — |  |  | — |  |  | 45,485 |  |  | — |  |  | 92,221 |  |  | 137,706 |  |  |  |  |  |  |  |  |
Manufactured Housing |  | — |  |  | 32,559 |  |  | 82,724 |  |  | — |  |  | 2,924 |  |  | 118,207 |  |  |  |  |  |  |  |  |
Other |  | — |  |  | 32,457 |  |  | 19,879 |  |  | — |  |  | — |  |  | 52,336 |  |  |  |  |  |  |  |  |
Self-Storage |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  |  |  |
Subtotal mortgage loans receivable |  | 14,339 |  |  | 1,122,186 |  |  | 2,112,313 |  |  | 26,500 |  |  | 492,910 |  |  | 3,768,248 |  |  |  |  |  |  |  |  |
Individually Impaired loans |  | — |  |  | — |  |  | — |  |  | — |  |  | 25,827 |  |  | 25,827 |  |  |  |  |  |  |  |  |
Total mortgage loans receivable (1) |  | $ | 14,339 |  |  | $ | 1,122,186 |  |  | $ | 2,112,313 |  |  | $ | 26,500 |  |  | $ | 518,737 |  |  | $ | 3,794,075 |  |  |  |  |  |  |  |  |
|  | Amortized Cost Basis by Origination Year as of December 31, 2022 |  |  |  |  |  |
Collateral Type |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | 2018 and Earlier |  | Total |  |  |  |  |  |  |
Multifamily |  | $ | 702,125 |  |  | $ | 722,862 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,424,987 |  |  |  |  |  |  |  |  |
Office |  | 78,754 |  |  | 676,431 |  |  | 29,650 |  |  | 58,684 |  |  | 136,512 |  |  | 980,031 |  |  |  |  |  |  |  |  |
Mixed Use |  | 201,777 |  |  | 351,291 |  |  | 26,500 |  |  | 120,300 |  |  | — |  |  | 699,868 |  |  |  |  |  |  |  |  |
Industrial |  | 37,616 |  |  | 96,486 |  |  | — |  |  | 115,545 |  |  | — |  |  | 249,647 |  |  |  |  |  |  |  |  |
Retail |  | 60,089 |  |  | 107,305 |  |  | — |  |  | 12,953 |  |  | 9,126 |  |  | 189,473 |  |  |  |  |  |  |  |  |
Hospitality |  | — |  |  | 45,416 |  |  | — |  |  | 13,843 |  |  | 78,364 |  |  | 137,623 |  |  |  |  |  |  |  |  |
Manufactured Housing |  | 32,515 |  |  | 82,618 |  |  | — |  |  | 2,921 |  |  | — |  |  | 118,054 |  |  |  |  |  |  |  |  |
Other |  | 32,353 |  |  | 19,898 |  |  | — |  |  | 7,800 |  |  | — |  |  | 60,051 |  |  |  |  |  |  |  |  |
Self-Storage |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  |  |  |
Subtotal mortgage loans receivable |  | 1,145,229 |  |  | 2,102,307 |  |  | 56,150 |  |  | 332,046 |  |  | 224,002 |  |  | 3,859,734 |  |  |  |  |  |  |  |  |
Individually Impaired loans |  | — |  |  | — |  |  | — |  |  | — |  |  | 26,012 |  |  | 26,012 |  |  |  |  |  |  |  |  |
Total mortgage loans receivable (2) |  | $ | 1,145,229 |  |  | $ | 2,102,307 |  |  | $ | 56,150 |  |  | $ | 332,046 |  |  | $ | 250,014 |  |  | $ | 3,885,746 |  |  |  |  |  |  |  |  |
(1)Not included above is $23.9 million of accrued interest receivable on all loans at March 31, 2023. (2)Not included above is $23.2 million of accrued interest receivable on all loans at December 31, 2022.

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