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Commercial Mortgage, Subordinate Loans and Other Lending Assets, Net (Tables)

6 Months Ended

Jun. 30, 2021

Our loan portfolio was comprised of the following at June 30, 2021 and December 31, 2020 ($ in thousands):


Loan Type	June 30, 2021		December 31, 2020
Commercial mortgage loans, net (1)	$	6,653,197	$	5,451,084
Subordinate loans and other lending assets, net	866,908		1,045,893
Carrying value, net	$	7,520,105	$	6,496,977

———————

(1)Includes $146.5 million and $136.1 million in 2021 and 2020, respectively, of contiguous financing structured as subordinate loans.

Schedule of Activity Related to Loan Investment Portfolio

Activity relating to our loan portfolio, for the six months ended June 30, 2021, was as follows ($ in thousands):


	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

———————

(1)Other items primarily consist of purchase discounts or premiums, cost recovery interest, exit fees and deferred origination expenses.

(2)December 31, 2020 carrying value excludes General CECL Allowance.

(3)Represents fundings for loans closed prior to 2021.

(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.

Schedule of Overall Statistics for the Loan Portfolio

The following table details overall statistics for our loan portfolio at the dates indicated ($ in thousands):


	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.

(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 June 30, 2021 and December 31, 2020, respectively. Excludes risk-rated 5 loans.

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):


	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

———————

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

(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.

Geography

The table below details the geographic distribution of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):


	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

———————

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

Schedule of 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):


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


Total	68	$	7,558,304	100.0	%	$	1,309,620	$	486,189	$	2,680,262	$	1,202,436	$	926,367	$	953,430
General CECL Allowance		(38,199)
Total carrying value, net		$	7,520,105

Weighted Average Risk Rating				3.1


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

Financing Receivable Cost Recovery

The following table summarizes the loans with Specific CECL Allowances that have been recorded on our portfolio as of June 30, 2021 ($ in thousands):


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.

(2)The fair value of this collateral was determined by assuming rent per square foot ranging from $50 to $215 and a capitalization rate ranging from 5.5% to 5.0%.

(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.

(5)The fair value of retail collateral was determined by applying a capitalization rate of 8.3%.

(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.

Schedule of CECL Reserves

The following schedule sets out our General CECL Allowance as of June 30, 2021 and December 31, 2020 ($ in thousands):


	June 30, 2021		December 31, 2020
Commercial mortgage loans, net	$	20,191	$	17,012
Subordinate loans and other lending assets, net	18,008		21,090
Unfunded commitments(1)	2,444		3,365
Total General CECL Allowance	$	40,643	$	41,467

———————

(1)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

The following schedule illustrates the quarterly changes in CECL Allowances for the six months ended June 30, 2021 and 2020, respectively ($ in thousands):


		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.