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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net
 3 Months Ended
Mar. 31, 2024
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, 2024 and December 31, 2023 ($ in thousands):
Loan TypeMarch 31, 2024December 31, 2023
Commercial mortgage loans, net(1)
$7,846,460 $7,925,359 
Commercial mortgage loan, held for sale135,465 — 
Subordinate loans, net303,965 432,734 
Carrying value, net$8,285,890 $8,358,093 
  ———————
(1)Includes $83.5 million and $95.5 million in 2024 and 2023, respectively, of contiguous financing structured as subordinate loans.

Our loan portfolio consisted of 99% floating rate loans, based on amortized cost, as of both March 31, 2024 and December 31, 2023.
Activity relating to our loan portfolio for the three months ended March 31, 2024 was as follows ($ in thousands):
Principal
Balance		Deferred Fees/Other ItemsSpecific CECL AllowanceCarrying Value, Net
December 31, 2023$8,610,110 $(32,535)$(193,000)$8,384,575 
Add-on loan fundings(1)
321,766 — — 321,766 
Loan repayments(175,731)— — (175,731)
Gain (loss) on foreign currency translation(72,337)289 — (72,048)
Increase in Specific CECL Allowance, net— — (142,000)(142,000)
Valuation allowance, loan held for sale(679)— — (679)
Deferred fees and other items(2)
— (4,936)— (4,936)
Amortization of fees— 7,501 — 7,501 
March 31, 2024$8,683,129 $(29,681)$(335,000)$8,318,448 
General CECL Allowance(3)
(32,558)
Carrying value, net$8,285,890 
———————
(1)Represents fundings committed prior to 2024.
(2)Other items primarily consist of purchase discounts or premiums, cost recovery interest, exit fees, deferred origination expenses, and the activity of unconsolidated joint ventures.
(3)$3.6 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, 2024December 31, 2023
Number of loans 49 50 
Principal balance$8,683,129 $8,610,110 
Carrying value, net$8,285,890 $8,358,093 
Unfunded loan commitments(1)
$555,596 $868,582 
Weighted-average cash coupon(2)
8.4 %8.3 %
Weighted-average remaining fully-extended term(3)
2.3 years2.3 years
Weighted-average expected term(4)
2.0 years1.8 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, 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, 2024December 31, 2023
Property TypeCarrying
Value
% of
Portfolio(1)
Carrying
Value
% of
Portfolio(1)
Hotel$1,978,794 23.7 %$2,128,256 25.4 %
Office1,635,450 19.7 1,593,320 19.0 
Retail1,394,228 16.8 1,407,764 16.8 
Residential1,099,134 13.2 1,247,238 14.9 
Mixed Use696,048 8.4 679,303 8.1 
Healthcare504,075 6.1 511,803 6.1 
Industrial276,350 3.3 293,133 3.5 
Other(2)
734,369 8.8 523,758 6.2 
Total$8,318,448 100.0 %$8,384,575 100.0 %
General CECL Allowance(3)
(32,558)(26,482)
Carrying value, net$8,285,890 $8,358,093 
———————
(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance.
(2)Other property types include pubs (2.5%), parking garages (2.3%), caravan parks (2.4%) and urban predevelopment (1.6%) in 2024, and parking garages (2.3%), caravan parks (2.4%) and urban predevelopment (1.5%) in 2023.
(3)$3.6 million and $4.0 million of the General CECL Allowance for 2024 and 2023, 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 sheets.

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, 2024December 31, 2023
Geographic LocationCarrying
Value
% of
Portfolio(1)
Carrying
Value
% of
Portfolio(1)
United Kingdom$2,937,602 35.3 %$2,675,097 31.9 %
New York City1,597,081 19.2 1,736,856 20.7 
Other Europe(2)
1,509,453 18.2 1,686,425 20.1 
Southeast537,333 6.5 535,054 6.4 
Midwest519,395 6.2 522,137 6.2 
West484,581 5.8 484,842 5.8 
Other(3)
733,003 8.8 744,164 8.9 
Total$8,318,448 100.0 %$8,384,575 100.0 %
General CECL Allowance(4)
(32,558)(26,482)
Carrying value, net$8,285,890 $8,358,093 
———————
(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance.
(2)Other Europe includes Germany (7.3%), Italy (3.3%), Spain (4.1%), Sweden (2.8%), Ireland (0.5%) and the Netherlands (0.2%) in 2024 and Germany (7.4%), Italy (4.9%), Spain (4.2%), Sweden (2.9%), Ireland (0.5%) and the Netherlands (0.2%) in 2023.
(3)Other includes Northeast (4.9%), Southwest (1.7%), Mid-Atlantic (1.1%) and Other (1.1%) in 2024 and Northeast (5.0%), Southwest (1.7%), Mid-Atlantic (1.1%) and Other (1.1%) in 2023.
(4)$3.6 million and $4.0 million of the General CECL Allowance for 2024 and 2023, 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 sheets.

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. We apply these various factors on a case-by-case basis depending on the facts and circumstances for each loan, and the different factors may be given different weightings in different situations. 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 present the carrying value of our loan portfolio by year of origination and internal risk rating and gross write-offs by year of origination as of March 31, 2024 and December 31, 2023, respectively ($ in thousands):

March 31, 2024
Amortized Cost by Year Originated
Risk RatingNumber of LoansTotal% of Portfolio20242023202220212020Prior
1—$— — %$— $— $— $— $— $— 
24447,202 5.4 %— — 332,059 49,729 — 65,414 
3417,658,452 92.1 %— 642,657 2,412,096 2,206,805 389,815 2,007,079 
4285,612 1.0 %— — — — — 85,612 
52127,182 1.5 %— — — — 27,881 99,301 
Total49$8,318,448 100.0 %$— $642,657 $2,744,155 $2,256,534 $417,696 $2,257,406 
General CECL Allowance(1)
(32,558)
Total carrying value, net$8,285,890 
Weighted-Average Risk Rating3.0
Gross write-offs$— $— $— $— $— $— $— 


December 31, 2023
Amortized Cost by Year Originated
Risk RatingNumber of LoansTotal% of Portfolio20232022202120202019Prior
1—$— — %$— $— $— $— $— $— 
24478,440 5.7 %— 280,572 — — 132,309 65,560 
3427,548,252 90.0 %440,720 2,426,511 2,285,902 387,323 1,465,618 542,177 
4288,112 1.1 %— — — — — 88,112 
52269,771 3.2 %— — — 169,881 — 99,890 
Total50$8,384,575 100.0 %$440,720 $2,707,083 $2,285,902 $557,204 $1,597,927 $795,739 
General CECL Allowance(1)
(26,482)
Total carrying value, net$8,358,093 
Weighted-Average Risk Rating3.0
Gross write-offs$81,890 $— $— $— $— $— $81,890 
———————
(1)$3.6 million and $4.0 million of the General CECL Allowance for 2024 and 2023, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.
CECL
In accordance with ASC Topic 326 "Financial Instruments – Credit Losses," which we refer to as the "CECL Standard", we record allowances for loans and held-to-maturity debt securities that are deducted from the carrying amount of the assets to present the net carrying value of the amounts expected to be collected on the assets. We record loan specific allowances as a practical expedient under the CECL Standard ("Specific CECL Allowance"), which we apply to assets that are collateral dependent and where the borrower or sponsor is experiencing financial difficulty. For the remainder of the portfolio, we record a general allowance ("General CECL Allowance", and together with the Specific CECL Allowance, "CECL Allowances") on a collective basis by assets with similar risk characteristics. We have elected to use the weighted-average remaining maturity ("WARM") method in determining a General CECL Allowance for a majority of our portfolio. In the future, we may use other acceptable methods, such as a probability-of-default/loss-given-default method.
The following schedule illustrates changes in CECL Allowances for the three months ended March 31, 2024 ($ in thousands):
Specific CECL Allowance(1)
General CECL AllowanceTotal CECL AllowanceCECL Allowance as % of Amortized Cost
FundedUnfundedTotal
General(1)
Total
December 31, 2023$193,000 $26,482 $4,017 $30,499 $223,499 0.38 %2.61 %
Changes:
Allowances (Reversals), net142,000 6,076 (392)5,684 147,684 
March 31, 2024$335,000 $32,558 $3,625 $36,183 $371,183 0.44 %4.29 %
(1)Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.

The following schedule illustrates changes in CECL Allowances for the three months ended March 31, 2023 ($ in thousands):
Specific CECL Allowance(1)
General CECL AllowanceTotal CECL AllowanceCECL Allowance as % of Amortized Cost
FundedUnfundedTotal
General(1)
Total
December 31, 2022$133,500 $26,224 $4,347 $30,571 $164,071 0.36 %1.86 %
Changes:
Allowances— 4,043 348 4,391 4,391 
March 31, 2023$133,500 $30,267 $4,695 $34,962 $168,462 0.42 %1.95 %
(1)Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.


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, including inflation, labor shortages and interest rates.

We derive an annual historical loss rate based on a commercial mortgage-backed securities ("CMBS") database with historical losses from 1998 through the first quarter of 2024 provided by a third party, Trepp LLC ("Trepp"). We apply 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 is further adjusted to reflect our expectations of the macroeconomic environment for a reasonable and supportable forecast period of eight quarters. In assessing the macroeconomic environment, we consider macroeconomic factors, including unemployment rate, commercial real estate prices, and market liquidity. We compare the historical data for each metric to historical commercial real estate losses in order to determine the correlation of the data. We use 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 sheets within accounts payable, accrued expenses and other liabilities.
Additionally, we have made an accounting policy election to exclude accrued interest 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. As of March 31, 2024 and December 31, 2023, accrued interest receivable was $85.1 million and $72.4 million, respectively, and included within other assets on our condensed consolidated balance sheets.
Although our secured debt obligations and senior secured term loan financing have a minimum tangible net worth
maintenance covenant, the General CECL Allowance has no impact on these covenants as we are permitted to add back the General CECL Allowance for the computation of tangible net worth as defined in the respective agreements.
The following schedule sets forth our General CECL Allowance as of March 31, 2024 and December 31, 2023 ($ in thousands):
March 31, 2024December 31, 2023
Commercial mortgage loans, net$31,397 $25,723 
Subordinate loans, net1,161 759 
Unfunded commitments(1)
3,625 4,017 
Total General CECL Allowance$36,183 $30,499 
 ———————
(1)The General CECL Allowance on unfunded commitments is recorded as a liability on our condensed consolidated balance sheets within accounts payable, accrued expenses and other liabilities.
Our General CECL Allowance increased by $5.7 million during the quarter ended March 31, 2024. The increase was
primarily related to extending our expected loan repayment dates as well as an increase to the historical loss rate derived from Trepp's data. The increase was partially offset by the favorable impacts of portfolio seasoning.
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. Collateral-dependent loans evaluated for a Specific CECL Allowance are removed from the General CECL Allowance pool. 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.
The following table summarizes our risk rated 5 loans as of March 31, 2024, which were analyzed for Specific CECL Allowances ($ in thousands):
TypeProperty typeLocationAmortized cost prior to Specific CECL AllowanceSpecific CECL AllowanceAmortized costInterest recognition status/ as of dateRisk rating
Mortgage
Retail(1)(2)
Cincinnati, OH$166,301$67,000$99,301 Non-Accrual/ 10/1/20195
Mortgage total:$166,301$67,000$99,301
Mezzanine
Residential(3)
Manhattan, NY$295,881$268,000$27,881Non-Accrual/ 7/1/20215
Mezzanine total:$295,881$268,000$27,881
Total:$462,182$335,000$127,182
———————
(1)The fair value of retail collateral was determined by applying a capitalization rate of 9.0%.
(2)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 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. During the three months ended March 31, 2024 and 2023, $0.6 million and $0.7 million, respectively, of interest paid was applied towards reducing the carrying value of the loan. During the second quarter of 2023, the loan's maturity was extended from September 2023 to September 2024.
(3)The fair value of the residential collateral was determined by making certain projections and assumptions with respect to future performance and a discount rate of 10%.
During the three months ended March 31, 2024, we recorded an additional $142.0 million Specific CECL Allowance on our Junior Mezzanine A Loan (as defined below).
We cease 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. The amortized cost basis for loans on non-accrual was $556.0 million and $693.7 million as of March 31, 2024 and December 31, 2023, respectively. Under certain circumstances, we may apply the cost recovery method under which interest collected on a loan reduces the loan's amortized cost. For the three months ended March 31, 2024 and 2023, we received $0.6 million and $0.7 million, respectively, in interest that reduced amortized cost under the cost recovery method.
As of March 31, 2024 and December 31, 2023, the amortized cost basis for loans with accrued interest past due 90 or more days was $556.0 million and $693.7 million, respectively. As of March 31, 2024 and December 31, 2023, there were no loans with accrued interest between 30 and 89 days past due.
Loan Modifications Pursuant to ASC 326
ASC 326, "Financial Instruments – Credit Losses," requires disclosure of loan modifications made to borrowers experiencing financial difficulty in the form of principal forgiveness, interest rate reductions, other-than-insignificant payment delays, or term extensions in the current reporting period. As of March 31, 2024 and December 31, 2023, the aggregate amortized cost basis of such modified receivables was $534.8 million and $674.5 million, respectively, or 6.4% and 8.0% of our aggregate commercial mortgage loans and subordinate loans by amortized cost, respectively. There were no unfunded commitments as of both March 31, 2024 and December 31, 2023 related to these loans.
Chicago Office
In March 2018, we originated a first mortgage loan secured by an office property in Chicago, IL. In July 2023, we deemed the borrower to be experiencing financial difficulty and modified our loan to provide a two year term extension (and a six-month extension option) in exchange for a partial repayment. These modified terms are included in the determination of our general CECL reserve for the quarter ended March 31, 2024. The loan is performing pursuant to its contractual terms and its risk rating remains a four as of March 31, 2024.
Manhattan Residential
In August 2022, we refinanced three of our mezzanine loans (a senior mezzanine loan ("Senior Mezzanine Loan") and two junior mezzanine loans ("Junior Mezzanine A Loan" and "Junior Mezzanine B Loan" collectively referred to as "Junior Mezzanine Loan")), and originated a commercial mortgage loan ("Senior Loan") as part of an overall recapitalization. All of the loans are secured by an ultra-luxury residential property in Manhattan, NY.
In refinancing the Senior Mezzanine Loan and Junior Mezzanine Loan, we modified the loan terms with the borrower to include an interest rate reduction and two year extension of the term on all three loans. Based on our analysis under ASC 310-20 "Receivables – Nonrefundable Fees and Other Costs" ("ASC 310-20"), we have deemed this refinance to be a continuation of our existing loans.
The modified loan terms as discussed above have been reflected in our calculation of CECL for the quarter ended March 31, 2024. Refer to "CECL" section above for additional information regarding our calculation of CECL Allowances.
During 2022, sales velocity on the underlying property lagged behind the borrower's business plan and management's expectations. Based on this information and broader uncertainty across the ultra-luxury residential property market, we recorded a total loan Specific CECL Allowance of $66.5 million on the Junior Mezzanine B Loan and downgraded its risk rating to a five.
As property sales continued to trail behind the borrower's business plan during the first half of 2023, we ceased accruing interest on the Senior Loan and the Senior Mezzanine Loan as of May 1, 2023. During the second quarter of 2023, we deemed the $82.0 million Junior Mezzanine B Loan to be unrecoverable and therefore wrote off our mezzanine loan and recorded a realized loss of $82.0 million within net realized loss on investments in our condensed consolidated statement of operations. We also recorded a $126.0 million Specific CECL Allowance on the Junior Mezzanine A Loan and downgraded its risk rating to a
five.
During the three months ended March 31, 2024, we recorded an additional $142.0 million Specific CECL Allowance on our Junior Mezzanine A Loan. The additional Specific CECL Allowance was primarily attributable to a reduction in list pricing of remaining units and slower sales pace at the property. The slower sales velocity coincided with the continued overall softening in the midtown Manhattan ultra-luxury submarket. Any future change to the Specific CECL Allowance will be based upon a number of factors, including but not limited to the continued assessment of both the potential nominal value of remaining inventory as well as the expected sales velocity.
Subsequent to the quarter ended March 31, 2024, our Senior Loan was refinanced by a third party lender, and we received a $108.3 million repayment. Refer to "Note 21 – Subsequent Events" for additional information.
Other Loan Activity
During the three months ended March 31, 2023, we recorded $1.2 million of interest income related to a subordinate risk retention interest in a securitization vehicle. During the third quarter of 2023, this subordinate risk retention interest was repaid in full.
We recognized $0.1 million in pre-payment penalties and accelerated fees for the three months ended March 31, 2024 and none for the three months ended March 31, 2023.
During the three months ended March 31, 2023, we received £72.2 million ($88.4 million assuming conversion into U.S.
Dollars ("USD")) full repayment of one of our commercial mortgage loans secured by an office property in London, UK,
including all default interest accrued to date, which was approximately $0.7 million. In conjunction with the repayment, the related participation interest sold was also fully satisfied. Refer to "Note 12 – Participations Sold" for additional detail.
Loan Sales
From time to time, we may enter into sale transactions with other parties. All sale transactions are evaluated in accordance with ASC 860, "Transfers and Servicing" ("ASC 860").
During the first quarter of 2023, we sold our entire interests in three commercial mortgage loans secured by various properties in Europe, with aggregate commitments of €205.7 million ($219.0 million assuming conversion into USD, of which €115.0 million or $122.4 million assuming conversion into USD, was funded at the time of sale). Additionally, we sold a partial interest of £15.0 million ($18.2 million assuming conversion into USD) in a commercial mortgage loan secured by a mixed-use property located in London, United Kingdom. These sales were made to entities managed by affiliates of the Manager. We evaluated the transaction under ASC 860 and determined the sale of our entire interests and the sale of the partial interest met the criteria for sale accounting. We recorded a net gain of approximately $0.2 million in connection with these sales during the first quarter of 2023 within net realized loss on investments in our condensed consolidated statement of operations. Refer to "Note 12 – Participations Sold" for additional detail related to the subordinate interest.
Held for Sale
Loans are classified as held for sale if there is an intent to sell them in the short-term following the reporting date. Loans classified as held for sale are carried at the lower of amortized cost or fair value less costs to sell, unless the fair value option is elected at origination. Additionally, held for sale loans are not subject to the General CECL Allowance.
During the three months ended March 31, 2024, we entered into an agreement to sell a commercial mortgage loan collateralized by a hotel property located in Honolulu, HI at a price of 99.5%. We recorded a fair value adjustment of $0.7 million (representing the difference between the loan's amortized cost and the loan's fair value at the agreed upon price of 99.5%), which is included within valuation allowance, commercial mortgage loan held for sale on our condensed consolidated statement of operations. The loan is carried at fair value of $135.5 million and has a risk rating of a three as of March 31, 2024. The sale subsequently closed in April 2024. Refer to "Note 21 – Subsequent Events" for additional detail.