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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net | 3 Months Ended
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Mar. 31, 2022
Receivables [Abstract] |
Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net | Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net Our loan portfolio was comprised of the following at March 31, 2022 and December 31, 2021 ($ in thousands):
Loan Type |  | March 31, 2022 |  | December 31, 2021
Commercial mortgage loans, net(1) |  | $ | 7,586,554 |  |  | $ | 7,012,312 |
Subordinate loans and other lending assets, net |  | 763,488 |  |  | 844,948 |
Carrying value, net |  | $ | 8,350,042 |  |  | $ | 7,857,260 |
——————— (1)Includes $85.5 million and $97.8 million in 2022 and 2021, respectively, of contiguous financing structured as subordinate loans. Our loan portfolio consisted of 98% floating rate loans, based on amortized cost, as of each of March 31, 2022 and December 31, 2021. Activity relating to our loan portfolio for the three months ended March 31, 2022 was as follows ($ in thousands):
|  | Principal Balance |  | Deferred Fees/Other Items (1) |  | Specific CECL Allowance |  | Carrying Value, Net(2)
December 31, 2021 |  | $ | 8,072,377 |  |  | $ | (36,529) |  |  | $ | (145,000) |  |  | $ | 7,890,848 |
New funding of loans |  | 1,196,111 |  |  | — |  |  | — |  |  | 1,196,111 |
Add-on loan fundings(3) |  | 145,888 |  |  | — |  |  | — |  |  | 145,888 |
Loan repayments and sales |  | (725,508) |  |  | — |  |  | — |  |  | (725,508) |
Gain (loss) on foreign currency translation |  | (101,297) |  |  | 1,036 |  |  | — |  |  | (100,261) |
Specific CECL Allowance |  | — |  |  | — |  |  | (30,000) |  |  | (30,000) |
Deferred fees and other items |  | — |  |  | (20,461) |  |  | — |  |  | (20,461) |
PIK interest and amortization of fees |  | 7,083 |  |  | 7,719 |  |  | — |  |  | 14,802 |
March 31, 2022 |  | $ | 8,594,654 |  |  | $ | (48,235) |  |  | $ | (175,000) |  |  | $ | 8,371,419 |
General CECL Allowance(4) |  |  |  |  |  |  |  | (21,377) |
Carrying value, net |  |  |  |  |  |  |  | $ | 8,350,042 |
——————— (1)Other items primarily consist of purchase discounts or premiums, cost recovery interest, exit fees, deferred origination expenses, and the activity of unconsolidated joint ventures. (2)December 31, 2021 carrying value excludes General CECL Allowance. (3)Represents fundings committed prior to 2022. (4)$3.9 million of the General CECL Allowance is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheet. The following table details overall statistics for our loan portfolio at the dates indicated ($ in thousands):
|  | March 31, 2022 |  | December 31, 2021
Number of loans |  | 67 |  |  | 67 |
Principal balance |  | $ | 8,594,654 |  |  | $ | 8,072,377 |
Carrying value, net |  | $ | 8,350,042 |  |  | $ | 7,857,260 |
Unfunded loan commitments(1) |  | $ | 1,800,235 |  |  | $ | 1,357,122 |
Weighted-average cash coupon(2) |  | 4.5 | % |  | 4.5 | %
Weighted-average remaining fully-extended term(3) |  | 3.0 years |  | 2.9 years
Weighted-average expected term(4) |  | 2.0 years |  | 2.3 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 the specified dates. Excludes risk-rated 5 loans. Property Type The table below details the property type of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):
|  | March 31, 2022 |  | December 31, 2021
Property Type |  | Carrying Value |  | % of Portfolio(1) |  | Carrying Value |  | % of Portfolio(1)
Office |  | $ | 1,980,780 |  |  | 23.7 | % |  | $ | 1,700,779 |  |  | 21.6 | %
Hotel |  | 1,949,106 |  |  | 23.3 |  |  | 1,875,439 |  |  | 23.8 |
Residential-for-sale |  | 896,714 |  |  | 10.7 |  |  | 956,617 |  |  | 12.1 |
Healthcare |  | 637,570 |  |  | 7.6 |  |  | 316,321 |  |  | 4.0 |
Retail Center |  | 508,117 |  |  | 6.1 |  |  | 414,740 |  |  | 5.3 |
Residential-for-rent |  | 470,861 |  |  | 5.6 |  |  | 477,569 |  |  | 6.1 |
Mixed Use |  | 417,967 |  |  | 5.0 |  |  | 269,839 |  |  | 3.4 |
Industrial |  | 364,953 |  |  | 4.4 |  |  | 377,068 |  |  | 4.8 |
Urban Retail |  | 358,221 |  |  | 4.3 |  |  | 711,592 |  |  | 9.0 |
Other(2) |  | 787,130 |  |  | 9.3 |  |  | 790,884 |  |  | 9.9 |
Total |  | $ | 8,371,419 |  |  | 100.0 | % |  | $ | 7,890,848 |  |  | 100.0 | %
General CECL Allowance(3) |  | (21,377) |  |  |  |  | (33,588) |  |  |
Carrying value, net |  | $ | 8,350,042 |  |  |  |  | $ | 7,857,260 |  |  |
(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance. (2)Other property types include parking garages (3.1%), caravan parks (2.6%), multifamily development (2.1%) and urban predevelopment (1.5%) in 2022, and parking garages (3.3%), caravan parks (2.8%), multifamily development (2.2%), and urban predevelopment (1.6%) in 2021. (3)$3.9 million and $3.1 million of the General CECL Allowance for 2022 and 2021, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheet. Geography The table below details the geographic distribution of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):
|  | March 31, 2022 |  | December 31, 2021
Geographic Location |  | Carrying Value |  | % of Portfolio(1) |  | Carrying Value |  | % of Portfolio(1)
New York City |  | $ | 2,295,383 |  |  | 27.4 | % |  | $ | 2,000,661 |  |  | 25.4 | %
United Kingdom |  | 1,989,250 |  |  | 23.8 |  |  | 2,297,286 |  |  | 29.1 |
Other Europe(2) |  | 1,494,435 |  |  | 17.9 |  |  | 1,295,870 |  |  | 16.4 |
Southeast |  | 769,205 |  |  | 9.2 |  |  | 708,920 |  |  | 9.0 |
Midwest |  | 681,237 |  |  | 8.1 |  |  | 689,274 |  |  | 8.7 |
West |  | 341,569 |  |  | 4.1 |  |  | 356,097 |  |  | 4.5 |
Other(3) |  | 800,340 |  |  | 9.5 |  |  | 542,740 |  |  | 6.9 |
Total |  | $ | 8,371,419 |  |  | 100.0 | % |  | $ | 7,890,848 |  |  | 100.0 | %
General CECL Allowance(4) |  | (21,377) |  |  |  |  | (33,588) |  |  |
Carrying value, net |  | $ | 8,350,042 |  |  |  |  | $ | 7,857,260 |  |  |
(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance. (2)Other Europe includes Germany (5.6%), Italy (4.3%), Spain (3.9%), Sweden (3.3%), and Ireland (0.8%) in 2022 and Germany (6.1%), Sweden (3.6%), Spain (3.3%), Italy (2.6%), and Ireland (0.8%) in 2021. (3)Other includes Northeast (5.9%), Southwest (1.9%), Mid-Atlantic (1.4%) and Other (0.3%) in 2022 and Southwest (3.5%), Northeast (1.5%), Mid-Atlantic (1.6%), and Other (0.3%) in 2021. (4)$3.9 million and $3.1 million of the General CECL Allowance for 2022 and 2021, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheet. Risk Rating We assess the risk factors of each loan and assign a risk rating based on a variety of factors, including, without limitation, loan to value ("LTV") ratio, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship. This review is performed quarterly. Based on a 5-point scale, our loans are rated "1" through "5," from less risk to greater risk, which ratings are defined as follows: 1. Very low risk 2. Low risk 3. Moderate/average risk 4. High risk/potential for loss: a loan that has a risk of realizing a principal loss 5. Impaired/loss likely: a loan that has a high risk of realizing principal loss, has incurred principal loss or an impairment has been recorded The following tables allocate the carrying value of our loan portfolio based on our internal risk ratings and date of origination at the dates indicated ($ in thousands):
March 31, 2022
|  |  |  |  |  |  |  |  | Year Originated
Risk Rating |  | Number of Loans |  | Total |  | % of Portfolio |  |  | 2022 |  | 2021 |  | 2020 |  | 2019 |  | 2018 |  | Prior
1 |  | — |  |  | $ | — |  |  | — | % |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
2 |  | 1 |  |  | 32,000 |  |  | 0.4 | % |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 32,000 |
3 |  | 61 |  |  | 7,774,143 |  |  | 92.8 | % |  |  | 994,971 |  |  | 2,636,290 |  |  | 669,291 |  |  | 1,822,835 |  |  | 796,136 |  |  | 854,620 |
4 |  | 1 |  |  | 106,313 |  |  | 1.3 | % |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 106,313 |
5 |  | 4 |  |  | 458,963 |  |  | 5.5 | % |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 458,963 |
Total |  | 67 |  |  | $ | 8,371,419 |  |  | 100.0 | % |  |  | $ | 994,971 |  |  | $ | 2,636,290 |  |  | $ | 669,291 |  |  | $ | 1,822,835 |  |  | $ | 796,136 |  |  | $ | 1,451,896 |
General CECL Allowance(1) |  | (21,377) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total carrying value, net | $ | 8,350,042 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Weighted Average Risk Rating |  | 3.1 |  |  |  |  |  |  |  |  |  |  |  |  |
December 31, 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 |  | 62 |  |  | 7,372,081 |  |  | 93.5 | % |  |  | 2,622,248 |  |  | 644,404 |  |  | 2,307,948 |  |  | 828,270 |  |  | 389,264 |  |  | 579,947 |
4 |  | 1 |  |  | 81,980 |  |  | 1.0 | % |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 81,980 |  |  | — |
5 |  | 3 |  |  | 404,787 |  |  | 5.1 | % |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 177,483 |  |  | 227,304 |
Total |  | 67 |  |  | $ | 7,890,848 |  |  | 100.0 | % |  |  | $ | 2,622,248 |  |  | $ | 644,404 |  |  | $ | 2,307,948 |  |  | $ | 828,270 |  |  | $ | 648,727 |  |  | $ | 839,251 |
General CECL Allowance(1) |  | (33,588) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total carrying value, net | $ | 7,857,260 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Weighted Average Risk Rating |  | 3.1 |  |  |  |  |  |  |  |  |  |  |  |  |
——————— (1)$3.9 million and $3.1 million of the General CECL Allowance for 2022 and 2021, respectively, is excluded from the tables above 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 CECL In accordance with ASU 2016-13 "Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments", which we refer to as the "CECL Standard", we record allowances for loans and held-to-maturity debt securities that are deducted from the carrying amount of the assets to present 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. Specific CECL Allowance For collateral dependent 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. The Specific CECL Allowance is evaluated on a quarterly 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, operating expenses, the borrower’s exit plan, and capitalization and discount rates, (ii) site inspections and (iii) current credit spreads and discussions with market participants. We evaluate modifications to our loan portfolio to determine if the modifications constitute a TDR and/or substantial modification, under ASC Topic 310 "Receivables". The following table summarizes the loans with Specific CECL Allowances that have been recorded on our portfolio as of March 31, 2022 ($ 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 |  |  |  |  |
| Urban Predevelopment(2)(3) | Miami, FL | $190,610 | $68,000 | $122,610 | Cost Recovery/ 3/1/2020
| Multifamily Development(2) | Brooklyn, NY | 189,775 | 10,000 | 179,775 | Cost Recovery/ 3/1/2020
| Retail Center(4)(5) | Cincinnati, OH | 171,598 | 67,000 | 104,598 | Cost Recovery/ 10/1/2019
Mortgage total: |  | $551,983 | $145,000 | $406,983 |
Mezzanine |  |  |  |  |
| Residential-for-Sale(6) | Manhattan, NY | $81,980 | $30,000 | $51,980 | Non-accrual/ 7/1/2021
Mezzanine total: |  | $81,980 | $30,000 | $51,980 |
Total: |  | $633,963 | $175,000 | $458,963 |
——————— (1)During the three months ended March 31, 2022, we recorded $30.0 million of Specific CECL Allowance. (2)The fair value of this collateral was determined by assuming rent per square foot ranging from $48 to $215 and a capitalization rate ranging from 5.0% to 5.5%. (3)In October 2020, we entered a joint venture with CCOF Design Venture, LLC, which owns the underlying properties that secure our $187.9 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 as we do not have the power to direct the entity's activities. The related profit and loss from the joint venture was immaterial for the three months ended March 31, 2022 and 2021. (4)The fair value of retail collateral was determined by applying a capitalization rate of 8.0%. (5)In September 2018, we entered a joint venture with Turner Consulting II, LLC ("Turner Consulting"), through an entity which owns the underlying property that secures our loan. Turner Consulting contributed 10% of the venture’s equity and we contributed 90%. The entity was deemed to be a VIE and we determined that we are not the primary beneficiary of that VIE as we do not have the power to direct the entity's activities. During the three months ended March 31, 2022 and 2021, $0.2 million and $0.3 million, respectively, of interest paid was applied towards reducing the carrying value of the loan. The related profit and loss from the joint venture was immaterial for the three months ended March 31, 2022 and 2021. (6)The fair value of the residential-for-sale collateral was determined by making certain projections and assumptions with respect to future performance and a discount rate of 10%. We own three mezzanine loans which had an aggregate amortized cost at March 31, 2022 of $474.9 million (inclusive of $138.6 million of payment- in-kind ("PIK") interest) and are secured by the same residential-for-sale property currently under construction in Manhattan, NY. These loans include (i) a $242.6 million senior mezzanine loan ("Senior Mezzanine Loan"), (ii) a $180.3 million junior mezzanine loan ("Junior Mezzanine A Loan"), and (iii) a $52.0 million (net of $30.0 million Specific CECL Allowance) junior mezzanine loan ("Junior Mezzanine B Loan" together with the Junior Mezzanine A Loan collectively referred to as "Junior Mezzanine Loan"). During the third quarter of 2021, a vehicle (the "Seller") managed by an affiliate of the Manager transferred its Junior Mezzanine B Loan position to the Company and in connection with this transfer, one of the property’s subordinate capital providers paid the Seller a price representing the Seller’s original principal balance on the Junior Mezzanine B Loan position with the Seller agreeing to forego its accrued interest on the Junior Mezzanine B Loan based on a change in the estimated sales velocity of the collateral. In conjunction with this transaction, the Company and the subordinate capital provider have agreed to a waterfall sharing arrangement pursuant to which, rather than the Company receiving interest it otherwise would have been entitled to after July 1, 2021 on the Junior Mezzanine Loan, proceeds received from the sale or refinance of the underlying collateral, after repayment to priority lenders under the waterfall, will be shared between the Company and the subordinate capital provider at an agreed upon allocation. As such, we opted to cease accruing interest on the Junior Mezzanine Loan as of July 1, 2021 and will resume doing so when we deem appropriate. As of March 31, 2022, sales velocity on the underlying property lagged behind the borrower's business plan and management's expectations. Based on this information as of March 31, 2022, we deemed the borrower to be experiencing financial difficulty and accordingly changed the risk rating to a 5 and recorded $30.0 million of Specific CECL Allowance on the Junior Mezzanine B Loan. An extension to May 1, 2022 was executed with the borrower. General CECL Allowance 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 first quarter of 2022 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. The following schedule sets forth our General CECL Allowance as of March 31, 2022 and December 31, 2021 ($ in thousands):
|  | March 31, 2022 |  | December 31, 2021
Commercial mortgage loans, net |  | $ | 16,663 |  |  | $ | 22,554 |
Subordinate loans and other lending assets, net |  | 4,714 |  |  | 11,034 |
Unfunded commitments(1) |  | 3,928 |  |  | 3,106 |
Total General CECL Allowance |  | $ | 25,305 |  |  | $ | 36,694 |
——————— (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. We have made an accounting policy election to exclude accrued interest receivable, ($44.4 million and $41.2 million, as of March 31, 2022 and December 31, 2021, respectively) 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 wa s $407.0 million an d $404.8 million as of March 31, 2022 and December 31, 2021, respectively. For the three months ended March 31, 2022 and 2021, we receive d $0.2 million and $0.3 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. During the first quarter of 2022, our commercial mortgage loan was fully satisfied and all accrued contractual and default interest was collected. As of March 31, 2022 and December 31, 2021, the amortized cost basis for loans with accrued interest past due 90 or more days was $407.0 million and $757.6 million, respectively. The following schedule illustrates the quarterly changes in CECL Allowances f or the three months ended March 31, 2022 and 2021, respectively ($ in thousands):
|  | Specific CECL Allowance |  | General CECL Allowance |  | Total CECL Allowance |  | CECL Allowance as % of Amortized Cost
|  |  | Funded | Unfunded | Total |  |  | General | Total
December 31, 2021 | $145,000 |  | $33,588 | $3,106 | $36,694 |  | $181,694 |  | 0.49% | 2.26%
Changes: |  |  |  |  |  |  |  |  |  |
| Q1 Allowance (Reversals) | 30,000 |  | (12,211) | 822 | (11,389) |  | 18,611 |  |  |
March 31, 2022 | $175,000 |  | $21,377 | $3,928 | $25,305 |  | $200,305 |  | 0.32% | 2.34%
|  | 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 | %
The General CECL Allowance decreased by $11.4 million during the three months ended March 31, 2022. The decrease is primarily related to changes to expected loan repayment dates as well as portfolio seasoning and improved macroeconomic outlook. The decrease was partially offset by new loan originations. Other Loan and Lending Assets Activity We recognized PIK interest of $1.2 million and $16.8 million for the three months ended March 31, 2022 and 2021 respectively. We recognized $2.1 million in pre-payment penalties and accelerated fees for the three months ended March 31, 2022 and none for the three months ended March 31, 2021. As of March 31, 2022 and December 31, 2021 our portfolio included 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. The book value as of March 31, 2022 was $51.1 million, consisting of one interest with a weighted average maturity of 2.2 years and $64.6 million as of December 31, 2021 consisting of two interests with weighted average maturity of 5.8 years. We are not obligated to provide, and do not intend to provide financial support to these subordinate risk retention interests. These interests are accounted for as held-to-maturity and recorded at carrying value on our condensed consolidated balance sheet.

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- Definition The entire disclosure for claims held for amounts due a entity, excluding financing receivables. Examples include, but are not limited to, trade accounts receivables, notes receivables, loans receivables. Includes disclosure for allowance for credit losses. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 10 -URI http://asc.fasb.org/subtopic&trid=2196772 + Details
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