
	Principal Balance		Deferred Fees/Other Items (1)		Specific CECL Allowance		Carrying Value, Net(2)
December 31, 2020	$	6,728,424	$	(18,345)	$	(175,000)	$	6,535,079
New loan fundings	1,322,016		—		—		1,322,016
Add-on loan fundings (3)	264,486		—		—		264,486
Loan repayments and sales	(552,651)		—		—		(552,651)
Gain (loss) on foreign currency translation	(5,027)		166		—		(4,861)
Specific CECL Allowance	—		—		30,000		30,000
Realized loss on investment	(20,000)		—		—		(20,000)


Transfer to real estate owned	(45,448)		159		—		(45,289)
Deferred fees	—		(17,061)		—		(17,061)
PIK interest and amortization of fees	34,502		12,083		—		46,585
June 30, 2021	$	7,726,302	$	(22,998)	$	(145,000)	$	7,558,304
General CECL Allowance (4)							(38,199)
Carrying value, net							$	7,520,105

(4)$2.4 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 our condensed consolidated balance sheet.


	June 30, 2021			December 31, 2020
Number of loans	68			67
Principal balance	$	7,726,302		$	6,728,424
Carrying value, net	$	7,520,105		$	6,496,977
Unfunded loan commitments (1)	$	1,258,306		$	1,399,989
Weighted-average cash coupon (2)	5.4		%	5.7		%
Weighted-average remaining fully-extended term (3)	2.8 years			2.8 years
Weighted-average expected term (4)	2.1 years			2.1 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.


	June 30, 2021				December 31, 2020
Property Type	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
Office	$	1,969,597	26.1	%	$	1,911,145	29.2	%
Hotel	1,520,275		20.1		1,576,369		24.1
Residential-for-sale	835,187		11.0		982,838		15.0
Urban Retail	820,466		10.9		655,456		10.0
Industrial	672,537		8.9		228,918		3.5
Mixed Use	238,702		3.2		217,160		3.3
Healthcare	367,120		4.9		369,676		5.7
Urban Predevelopment	52,520		0.7		298,909		4.6
Other	1,081,900		14.2		294,608		4.6
Total	$	7,558,304	100.0	%	$	6,535,079	100.0	%
General CECL Allowance (2)	(38,199)				(38,102)
Carrying value, net	$	7,520,105			$	6,496,977

(2)$2.4 million and $3.4 million of the General CECL Allowance for 2021 and 2020, respectively, 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 our condensed consolidated balance sheet.


	June 30, 2021				December 31, 2020
Geographic Location	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
New York City	$	2,355,270	31.2	%	$	2,370,337	36.3	%
United Kingdom	1,637,480		21.7		1,263,264		19.3
Midwest	737,492		9.8		552,537		8.5
Southeast	655,490		8.7		581,301		8.9
West	552,475		7.3		749,985		11.5
Northeast	138,952		1.8		103,567		1.6
Other	1,481,145		19.5		914,088		13.9
Total	$	7,558,304	100.0	%	$	6,535,079	100.0	%
General CECL Allowance (2)	(38,199)				(38,102)
Carrying value, net	$	7,520,105			$	6,496,977

We assess the risk factors of each loan and assign a risk rating based on a variety of factors, including, without limitation, loan to value ("LTV") ratio, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship. This review is performed quarterly. Based on a 5-point scale, our loans are rated "1" through "5," from less risk to greater risk, which ratings are defined as follows:


June 30, 2021
						Year Originated
Risk Rating	Number of Loans	Total		% of Portfolio		2021		2020		2019		2018		2017		Prior
1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	1	32,000		0.4	%	—		—		—		—		—		32,000
3	63	7,048,000		93.2	%	1,309,620		486,189		2,680,262		1,202,436		672,655		696,838
4	1	81,060		1.1	%	—		—		—		—		81,060		—
5	3	397,244		5.3	%	—		—		—		—		172,652		224,592


December 31, 2020
						Year Originated
Risk Rating	Number of Loans	Total		% of Portfolio		2020		2019		2018		2017		2016		Prior
1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	1	32,000		0.5	%	—		—		—		—		—		32,000
3	62	6,129,541		93.8	%	469,586		2,661,017		1,398,479		868,514		88,710		643,235
4	—	—		—	%	—		—		—		—		—		—
5	4	373,538		5.7	%	—		—		—		131,050		115,419		127,069
Total	67	$	6,535,079	100.0	%	$	469,586	$	2,661,017	$	1,398,479	$	999,564	$	204,129	$	802,304
General CECL Allowance		(38,102)
Total carrying value, net		$	6,496,977

Weighted Average Risk Rating				3.1

In accordance with ASU 2016-13 "Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments" ("ASU 2016-13"), which we refer to as the "CECL Standard," we record allowances for held-to-maturity debt securities that are deducted from the carrying amount of the assets to preset the net carrying value of the amounts expected to be collected on the assets. We record loan specific allowances as a practical expedient under the CECL Standard ("Specific CECL Allowance"), which we apply to assets that are collateral dependent and where the borrower or sponsor is experiencing financial difficulty. For the remainder of the portfolio, we record a general allowance ("General CECL Allowance", and together with the Specific CECL Allowance, "CECL Allowances") in accordance with the CECL Standard on a collective basis by assets with similar risk characteristics. We have elected to use the weighted average remaining maturity ("WARM") method in determining a General CECL Allowance for a majority of our portfolio. In the future, we may use other acceptable methods, such as a probability-of-default/loss-given-default method.

For loans where we have deemed the borrower/sponsor to be experiencing financial difficulty, we have elected to apply a practical expedient in accordance with the CECL Standard in which the fair value of the underlying collateral is compared to the amortized cost of the loan in determining a Specific CECL Allowance. The Specific CECL Allowance is determined as the difference between the fair value of the underlying collateral and the carrying value of the loan (prior to the Specific CECL Allowance). When the repayment or satisfaction of a loan is dependent on a sale, rather than operations, of the collateral, the fair value is adjusted for the estimated cost to sell the collateral. The fair value of the underlying collateral is determined by using method(s) such as discounted cash flow, the market approach, or direct capitalization approach. The key unobservable inputs used to determine the fair value of the underlying collateral may vary depending on the information available to us and market conditions as of the valuation date.

We regularly evaluate the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower/sponsor on a loan by loan basis. Specifically, a property’s operating results and any cash reserves are analyzed and used to assess (i) whether cash from operations is sufficient to cover the debt service requirements currently and into the future, (ii) the ability of the borrower to refinance the loan and/or (iii) the liquidation value of the underlying collateral. We also evaluate the financial wherewithal of any loan guarantors as well as the borrower’s competency in managing and operating the properties. In addition, we consider the overall economic environment, real estate sector and geographic sub-market in which the borrower operates. Such impairment analysis is completed and reviewed by asset management and finance personnel who utilize various data sources, including (i) periodic financial data such as debt service coverage ratio, property occupancy, tenant profile, rental rates,


Type	Property type	Location	Amortized cost prior to Specific CECL Allowance	Specific CECL Allowance(1)	Amortized cost	Interest recognition status/ as of date
Mortgage
	Multifamily Development(2)(3)	Brooklyn, NY	$182,652	$10,000	$172,652	Cost Recovery/ 3/1/2020
	Urban Predevelopment(2)(4)	Miami, FL	187,135	68,000	119,135	Cost Recovery/ 3/1/2020
	Retail Center(5)(6)	Cincinnati, OH	172,457	67,000	105,457	Cost Recovery/ 10/1/2019
Mortgage total:			$542,244	$145,000	$397,244

(1)During the three and six months ended June 30, 2021 we reversed $30.0 million of previously recorded Specific CECL Allowances. This is comprised of a $20.0 million reversal as discussed below and the realization of $10.0 million that was a previously recorded Specific CECL Allowance.

(3)During the three months ended June 30, 2021, $20.0 million of previously recorded Specific CECL Allowance was reversed primarily related to a more favorable market outlook as compared to when the Specific CECL Allowance was first recorded with respect to the loan.

(4)In October 2020, we entered into a joint venture which owns the underlying properties that secure our $180.5 million first mortgage loan. The entity in which we own an interest, and which owns the underlying properties was deemed to be a variable interest entity ("VIE") and we determined that we are not the primary beneficiary of that VIE. The related profit and loss from the joint venture was immaterial for the three and six months ended June 30, 2021.

(6)The entity, in which we own an interest and which owns the underlying property, was deemed to be a VIE and we determined that we are not the primary beneficiary of that VIE. As of June 30, 2021 we had recorded $67.0 million of Specific CECL Allowance. During the three and six months ended June 30, 2021, $0.4 million and $0.8 million, respectively, of interest paid was applied towards reducing the carrying value of the loan.

In determining the General CECL Allowance using the WARM method, an annual historical loss rate, adjusted for macroeconomic estimates, is applied to the amortized cost of an asset, or pool of assets, over each subsequent period for the assets' remaining expected life. We considered various factors including (i) historical loss experience in the commercial real estate lending market, (ii) timing of expected repayments and satisfactions, (iii) expected future funding, (iv) capital subordinate to us when we are the senior lender, (v) capital senior to us when we are the subordinate lender, and (vi) our current and future view of the macroeconomic environment for a reasonable and supportable forecast period. The CECL Standard requires the use of significant judgment to arrive at an estimated credit loss. There is significant uncertainty related to future macroeconomic conditions as the result of COVID-19.

We derived an annual historical loss rate based on a commercial mortgage backed securities ("CMBS") database with historical losses from 1998 through the second quarter of 2021 provided by a third party, Trepp LLC. We applied various filters to arrive at a CMBS dataset most analogous to our current portfolio from which to determine an appropriate historical loss rate. The annual historical loss rate was further adjusted to reflect our expectations of the macroeconomic environment for a reasonable and supportable forecast period which we have determined to be one year. In assessing the macroeconomic environment, we consider macroeconomic factors, including unemployment rate, commercial real estate prices, and market liquidity. We compared the historical data for each metric to historical commercial real estate losses in order to determine the correlation of the data. We used projections, obtained from third-party service providers, of each factor to approximate the impact the macroeconomic outlook may have on our loss rate.

The General CECL Allowance on subordinate loans is calculated by incorporating both the loan balance of the position(s) of the structurally senior third-party lender(s) and the balance of our subordinate loan(s). The subordinate loans, by virtue of being the first loss position, are required to absorb losses prior to the senior position(s) being impacted, resulting in a higher percentage allowance attributable to the subordinate loan. The General CECL Allowance on unfunded loan commitments is time-weighted based on our expected commitment to fund such obligations. The General CECL Allowance on unfunded commitments is recorded as a liability on our condensed consolidated balance sheet within accounts payable, accrued expenses and other liabilities.

Although our secured debt obligations and senior secured term loan financing have a minimum tangible net worth maintenance covenant, the General CECL Allowance has no impact on these covenants as we are permitted to add back the General CECL Allowance for the computation of tangible net worth as defined in the respective agreements.

We have made an accounting policy election to exclude $39.4 million accrued interest receivable, included in Other Assets on our condensed consolidated balance sheet, from the amortized cost basis of the related commercial mortgage loans and subordinate loans and other lending assets in determining the General CECL Allowance as any uncollectible accrued interest receivable is written off in a timely manner. We discontinue accruing interest on loans if we deem the interest to be uncollectible with any previously accrued uncollected interest on the loan charged to interest income in the same period. Under certain circumstances, we may apply the cost recovery method under which interest collected on a loan reduces the loan's amortized cost. The amortized cost basis for loans on cost recovery was $397.2 million and $373.5 million as of June 30, 2021 and December 31, 2020, respectively. For the three and six months ended June 30, 2021 and 2020, we received $0.4 million and $0.8 million and $0.6 million and $1.2 million, respectively, in interest that reduced amortized cost under the cost recovery method.

In November 2020, the borrower under a £309.2 million commercial mortgage loan ($422.7 million assuming conversion into U.S. Dollars ("USD")), of which we own £247.5 million ($338.4 million assuming conversion into USD), secured by an urban retail property located in London, United Kingdom, entered into administration triggering an event of default. In accordance with the loan agreement, we are entitled to collect default interest in addition to the contractual interest we had been earning. We evaluated the loan for collectability and determined that, as of June 30, 2021, no Specific CECL Allowance was warranted and have continued to accrue all interest owed to us, including default interest. As of June 30, 2021, the loan had an amortized cost basis of £256.1 million ($354.2 million assuming conversion into USD).

Accrued interest is past due 90 or more days for loans with an amortized cost basis of $751.5 million as of June 30, 2021. As of December 31, 2020, the amortized cost basis for loans with interest between 30 and 59 days past due was $19.0 million and the amortized cost basis for loans with 90 or more days past due was $711.9 million.


		Specific CECL Allowance		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost
				Funded		Unfunded		Total				General		Total















December 31, 2020		$	175,000	$	38,102	$	3,365	$	41,467	$	216,467	0.67	%	3.23	%
Changes:
	Q1 Allowance (Reversals)	—		(1,667)		429		(1,238)		(1,238)
March 31, 2021		$	175,000	$	36,435	$	3,794	$	40,229	$	215,229	0.62	%	3.06	%
Changes:
	Q2 Allowance (Reversals)	(20,000)		1,764		(1,350)		414		(19,586)
	Write-offs	(10,000)		—		—		—		(10,000)
June 30, 2021		$	145,000	$	38,199	$	2,444	$	40,643	$	185,643	0.57	%	2.41	%


		Specific CECL Allowance(1)		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost
				Funded		Unfunded		Total				General		Total
December 31, 2019		$	56,981	$	—	$	—	$	—	$	56,981	—	%	—	%
Changes:
	January 1, 2020 - Adoption of CECL Standard	—		27,779		3,088		30,867		30,867
	Q1 Allowances	150,000		30,494		2,971		33,465		183,465
March 31, 2020		$	206,981	$	58,273	$	6,059	$	64,332	$	271,313	1.08	%	4.05	%
Changes:
	Q2 Allowances (Reversals)	5,500		(13,729)		(1,940)		(15,669)		(10,169)
	Write-offs	(15,000)		—		—		—		(15,000)
June 30, 2020		$	197,481	$	44,544	$	4,119	$	48,663	$	246,144	0.81	%	3.71	%

(1)As of December 31, 2019, amount represents specific loan loss provisions recorded on assets before the adoption of the CECL Standard. After the adoption of the CECL Standard on January 1, 2020, amounts represent Specific CECL Allowances.

The General CECL Allowance increased by $0.4 million during the three months ended June 30, 2021. The increase is primarily related to new loan originations, which were partially offset by the seasoning of our loan portfolio and improved macroeconomic outlook.

We recognized payment-in-kind ("PIK") interest of $13.7 million and $30.6 million for the three and six months ended June 30, 2021, respectively, and $12.4 million and $24.8 million for the three and six months ended June 30, 2020, respectively.

We recognized $0.7 million in pre-payment penalties and accelerated fees for the three and six months ended June 30, 2021. We recognized $0 and $0.2 million in pre-payment penalties and accelerated fees for the three and six months ended June 30, 2020.

Our portfolio includes two other lending assets, which are subordinate risk retention interests in securitization vehicles. The underlying mortgages related to our subordinate risk retention interests are secured by a portfolio of properties located throughout the United States. Our maximum exposure to loss from the subordinate risk retention interests is limited to the book value of such interests of $68.3 million as of June 30, 2021. These interests have a weighted average maturity of 5.3 years. We are not obligated to provide, and do not intend to provide financial support to these subordinate risk retention interests. Both interests are accounted for as held-to-maturity and recorded at carrying value on our condensed consolidated balance sheet.

In the first quarter of 2020, we sold £62.2 million ($81.3 million assuming conversion into USD) in a mezzanine loan and £50.0 million ($65.3 million assuming conversion into USD) unfunded commitment of a senior mortgage secured by a mixed-use property in London, United Kingdom to a fund managed by an affiliate of the Manager, that was originated by us in December 2019. We recorded no gain or loss related to this sale.

In the second quarter of 2020, we sold interests in three construction loans, with aggregate commitments of $376.9 million (of which approximately $127.0 million was funded at the time of sale). The sales were made to entities managed by affiliates of the Manager. We recorded a loss of approximately $1.4 million in connection with these sales.