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Commercial Mortgage, Subordinate Loans and Other Lending Assets, Net (Tables)
 3 Months Ended
Mar. 31, 2020
Receivables [Abstract]  
Schedule of Loan Portfolio
Our loan portfolio was comprised of the following at March 31, 2020 and December 31, 2019 ($ in thousands):
Loan Type
 
March 31, 2020
 
December 31, 2019
Commercial mortgage loans, net (1)
 
$
5,413,627

 
$
5,326,967

Subordinate loans and other lending assets, net
 
1,016,991

 
1,048,126

Total
 
$
6,430,618

 
$
6,375,093



  ———————
(1)
Includes $117.8 million and $126.7 million in 2020 and 2019, respectively, of contiguous financing structured as subordinate loans.
Activity Related to Loan Investment Portfolio
Activity relating to our loan portfolio, for the three months ended March 31, 2020, was as follows ($ in thousands):
 
 
Principal Balance
 
Deferred Fees/Other Items (1)
 
Provision for Loan Loss
 
Carrying Value
December 31, 2019
 
$
6,467,842

 
$
(35,768
)
 
$
(56,981
)
 
$
6,375,093

New loan fundings
 
439,936

 
—

 
—

 
439,936

Add-on loan fundings (2)
 
118,521

 
—

 
—

 
118,521

Loan repayments and sales
 
(210,745
)
 
—

 
—

 
(210,745
)
Gain (loss) on foreign currency translation
 
(99,009
)
 
1,428

 
—

 
(97,581
)
Specific CECL Allowance
 
—

 
—

 
(150,000
)
 
(150,000
)
Deferred fees
 
—

 
(5,053
)
 
—

 
(5,053
)
PIK interest and amortization of fees
 
12,008

 
6,712

 
—

 
18,720

March 31, 2020
 
$
6,728,553

 
$
(32,681
)
 
$
(206,981
)
 
$
6,488,891

General CECL Allowance (3)
 
 
 
 
 
 
 
(58,273
)
Carrying value net, as of March 31, 2020
 
 
 
 
 
 
 
6,430,618

———————
(1)
Other items primarily consist of purchase discounts or premiums, exit fees and deferred origination expenses.
(2)
Represents fundings for loans closed prior to 2020.
(3)
$6.1 million of the General CECL Allowance is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under Accounts Payable, Accrued Expenses and Other Liabilities in the condensed consolidated balance sheet.
Schedule of Overall Statistics for the Loan Portfolio
The following table details overall statistics for our loan portfolio at the dates indicated ($ in thousands):
 
 
March 31, 2020
 
December 31, 2019
Number of loans
 
75

 
72

Principal balance
 
$
6,728,553

 
$
6,467,842

Carrying value
 
$
6,430,618

 
$
6,375,093

Unfunded loan commitments (1)
 
$
1,822,967

 
$
1,952,887

Weighted-average cash coupon (2)
 
6.0
%
 
6.5
%
Weighted-average remaining fully-extended term (3)
 
3.3 years

 
3.3 years

Weighted-average expected term (4)
 
2.2 years

 
1.8 years

  ———————
(1)
Unfunded loan commitments are funded to finance construction costs, tenant improvements, leasing commissions, or carrying costs. These future commitments are funded over the term of each loan, subject in certain cases to an expiration date.
(2)
For floating rate loans, based on applicable benchmark rates as of the specified dates. For loans placed on non-accrual or cost recovery the interest rate used in calculating weighted-average cash coupon is 0%.
(3)
Assumes all extension options are exercised.
(4)
Expected term represents our estimated timing of repayments as of March 31, 2020 and December 31, 2019, respectively.
Schedule of Mortgage Loans on Real Estate
The table below details the property type of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):
 
 
March 31, 2020
 
December 31, 2019
Property Type
 
Carrying
Value
 
% of
Portfolio(1)
 
Carrying
Value
 
% of
Portfolio
Office
 
$
1,803,605

 
27.8
%
 
$
1,401,400

 
22.0
%
Hotel
 
1,537,796

 
23.7

 
1,660,162

 
26.0

Residential-for-sale: construction
 
763,381

 
11.8

 
692,816

 
10.9

Residential-for-sale: inventory
 
283,909

 
4.4

 
321,673

 
5.1

Urban Retail
 
623,564

 
9.6

 
643,706

 
10.1

Healthcare
 
356,215

 
5.5

 
371,423

 
5.8

Urban Predevelopment
 
306,503

 
4.7

 
409,864

 
6.4

Other
 
813,918

 
12.5

 
874,049

 
13.7

Total
 
$
6,488,891

 
100.0
%
 
$
6,375,093

 
100.0
%
General CECL Allowance
 
(58,273
)
 
 
 
 
 
 
Total investments, net
 
$
6,430,618

 
 
 


 



  ———————
(1) Percentage of portfolio calculations are made prior to consideration of General CECL Allowance.
Geography

The table below details the geographic distribution of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):
 
 
March 31, 2020
 
December 31, 2019
Geographic Location
 
Carrying
Value
 
% of
Portfolio(1)
 
Carrying
Value
 
% of
Portfolio
New York City
 
$
2,319,325

 
35.8
%
 
$
2,167,487

 
34.0
%
Northeast
 
118,251

 
1.8

 
110,771

 
1.7

United Kingdom
 
1,347,897

 
20.8

 
1,274,390

 
20.0

West
 
747,515

 
11.5

 
728,182

 
11.4

Midwest
 
557,780

 
8.6

 
614,337

 
9.6

Southeast
 
512,469

 
7.9

 
564,166

 
8.9

Other
 
885,654

 
13.6

 
915,760

 
14.4

Total
 
$
6,488,891

 
100.0
%
 
$
6,375,093

 
100.0
%
General CECL Allowance
 
(58,273
)
 
 
 
 
 
 
Total investments, net
 
$
6,430,618

 
 
 
 
 
 

  ———————
(1) Percentage of portfolio calculations are made prior to consideration of the General CECL Allowance.
Carrying Value of Loan Portfolio Based on Internal Risk Ratings
The following tables allocate the carrying value of our loan portfolio based on our internal risk ratings and date of origination at the dates indicated ($ in thousands):
March 31, 2020
 
 
 
 
 
 
 
 
 
Year Originated
Risk Rating
 
Number of Loans
 
Total
 
% of Portfolio
 
 
2020
 
2019
 
2018
 
2017
 
2016
 
Prior
1
 
—

 
—
 
—
%
 
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

2
 
5

 
130,609
 
2.0
%
 
 
—

 
—

 
23,990
 
—

 
36,287
 
70,332

3
 
63

 
5,822,078
 
89.7
%
 
 
423,419

 
2,609,209

 
1,490,045
 
779,882

 
62,580
 
456,943

4
 
—

 
—

 
—
%
 
 
—

 
—

 
—

 
—

 
—

 
—

5
 
7

 
536,204

 
8.3
%
 
 
—

 
—

 
31,372
 
126,013

 
117,910
 
260,909

Total
 
75

 
$
6,488,891

 
100.0
%
 
 
$
423,419

 
$
2,609,209

 
$1,545,407
 
$
905,895

 
$216,777
 
$
788,184

General CECL Allowance
 
(58,273
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total investments, net
$
6,430,618

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
W.A. Risk Rating
3.1
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


December 31, 2019
 
 
 
 
 
 
 
 
 
Year Originated
Risk Rating
 
Number of Loans
 
Total
 
% of Portfolio
 
 
2019
 
2018
 
2017
 
2016
 
2015
 
Prior
1
 
—

 
$
—

 
—
%
 
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

2
 
8

 
348,324

 
5.5
%
 
 
—

 
241,676

 
—

 
36,250

 
24,546

 
45,852

3
 
61

 
5,707,555

 
89.5
%
 
 
2,736,825

 
1,355,014

 
912,636

 
72,540

 
499,700

 
130,840

4
 
1

 
182,910

 
2.9
%
 
 
—

 
—

 
—

 
182,910

 
—

 
—

5
 
2

 
136,304

 
2.1
%
 
 
—

 
—

 
—

 
—

 
—

 
136,304

Total
 
72

 
$
6,375,093

 
100.0
%
 
 
$
2,736,825

 
$
1,596,690

 
$
912,636

 
$
291,700

 
$
524,246

 
$
312,996

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
W.A. Risk Rating
 
3.0
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Schedule of CECL Reserves
Refer to the following roll forward schedule of the General CECL Allowance for the quarter ended March 31, 2020 ($ in thousands):
 
 
General CECL Allowance
General CECL Allowance as of January 1, 2020
 
$
30,867

Increase in General CECL Allowance
 
34,500

Transfer to Specific CECL Allowance
 
(1,035
)
General CECL Allowance as of March 31, 2020(1)
 
$
64,332


The following schedule illustrates the CECL Allowance as percentages of amortized cost and total commitment as of March 31, 2020, and as of the date of adoption, January 1, 2020 ($ in thousands):
CECL Allowances
 
CECL ($)
 
% of
Amortized Cost
General CECL Allowance(1)
 
 
 
 
January 1, 2020
 
$
30,867

 
0.49
%
March 31, 2020(2)
 
64,332

 
1.08
%
 
 
 
 
 
Total CECL Allowances(3)
 
 
 


March 31, 2020
 
$
271,313

 
4.05
%
  ———————
(1) Amortized Cost of the General CECL Allowance excludes amortized cost of loans evaluated for the Specific CECL Allowance
Refer to the following schedule of the General CECL Allowance as of March 31, 2020, and as of the date of adoption, January 1, 2020 ($ in thousands):

 
 
March 31, 2020
 
January 1, 2020(1)
Commercial mortgage loans, net
 
$
28,336

 
$
12,149

Subordinate loans and other lending assets, net
 
29,937

 
15,630

Unfunded commitments(2)
 
6,059

 
3,088

Total General CECL Allowance
 
$
64,332

 
$
30,867

  ———————
(1) As of January 1, 2020, we adopted the CECL Standard through a cumulative-effect adjustment to retained earnings
(2) The General CECL Allowance on Unfunded commitments is recorded as a liability on the condensed consolidated balance sheet within accounts payable, accrued expenses, and other liabilities
Schedule of Loans in Cost Recovery
The following table summarizes the specific provision for loan losses that has been recorded on our portfolio as of March 31, 2020 ($ in thousands):



Type
Property type
Location
Amortized cost(1)
Interest recognition status/ as of date
Mortgage
 
 
 
 
Hotel(2)
Manhattan, NY
$
144,295

Cost Recovery/ 3/31/2020
 
Urban Predevelopment(3)
Brooklyn, NY
126,013

Cost Recovery/ 3/1/2020
 
Urban Predevelopment(3)
Miami, FL
117,910

Cost Recovery/ 3/1/2020
 
Retail Center(4)(5)
Cincinnati, OH
103,921

 Cost Recovery/ 10/1/2019
 
Hotel(2)
Pittsburgh, PA
31,372

Cost Recovery/ 3/31/2020
 
Residential-for-sale: inventory(6)(7)
Bethesda, MD
2,695

 Cost Recovery/ 1/1/2018
Mortgage total:
 
$
526,206

 
Mezzanine
 
 
 
 
Hotel(2)
Washington, DC
$
10,000

 Cost Recovery/ 3/31/2020
Mezzanine total:
 
$
10,000

 
Grand total:
 
$
536,206

 
  ———————

(1)
Amortized cost is shown net of $207 million of provisions, $150 million of which were taken during the three months ended March 31, 2020 due to factors including COVID-19. See Note 2 for additional information regarding COVID-19.
(2)
The fair value of hotel collateral was determined by applying a discount and capitalization rate ranging from 8.3% to 11.0% and 6.6% to 9.0%, respectively.
(3)
The fair value of urban predevelopment collateral was determined by assuming rent per square foot and capitalization rate ranging from $48 to $225 and 5.0% to 5.5%, respectively.
(4)
The fair value of retail collateral was determined by applying a capitalization rate of 8.3%.
(5)
The entity in which we own an interest and which owns the underlying property was deemed to be a Variable Interest Entity ("VIE") and we determined that we are not the primary beneficiary of that VIE. During the three months ended March 31, 2020, $0.6 million of interest paid was applied towards reducing the carrying value of the loan.
(6)
The fair value of residential-for-sale: inventory was determined by assuming a sales price per square foot of $371.
(7)
A $3.0 million portion of this provision was recorded on an investment previously recorded under other assets on our condensed consolidated balance sheet.