XML 40 R34.htm IDEA: XBRL DOCUMENT

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

6 Months Ended

Jun. 30, 2024

Our loan portfolio was comprised of the following at June 30, 2024 and December 31, 2023 ($ in thousands):


Loan Type	June 30, 2024		December 31, 2023
Commercial mortgage loans, net(1)	$	7,909,125	$	7,925,359
Subordinate loans, net		384,777		432,734
Carrying value, net	$	8,293,902	$	8,358,093

(1)

Includes $8.3 million and $95.5 million in 2024 and 2023, 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, 2024 was as follows ($ in thousands):


	Principal Balance			Deferred Fees/Other Items			Specific CECL Allowance			Carrying Value, Net
December 31, 2023	$	8,610,110		$	(32,535	)	$	(193,000	)	$	8,384,575
New loan fundings		495,280			—			—			495,280
Add-on loan fundings(1)		437,838			—			—			437,838
Loan repayments and sale		(758,889	)		—			—			(758,889	)
Gain (loss) on foreign currency translation		(76,324	)		221			—			(76,103	)
Increase in Specific CECL Allowance, net		—			—			(149,500	)		(149,500	)
Realized loss on investment		(679	)		—			—			(679	)
Deferred fees and other items(2)		—			(18,540	)		—			(18,540	)
Amortization of fees		—			15,239			—			15,239
June 30, 2024	$	8,707,336		$	(35,615	)	$	(342,500	)	$	8,329,221
General CECL Allowance(3)											(35,319	)
Carrying value, net										$	8,293,902

(1)

Represents fundings subsequent to loan closing.

(2)

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

(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.

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, 2024			December 31, 2023
Number of loans		50			50
Principal balance	$	8,707,336		$	8,610,110
Carrying value, net	$	8,293,902		$	8,358,093
Unfunded loan commitments(1)	$	436,628		$	868,582
Weighted-average cash coupon(2)		8.3	%		8.3	%
Weighted-average remaining fully-extended term(3)	2.3 years			2.3 years
Weighted-average expected term(4)	1.9 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, 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 five loans.

Schedule of Mortgage Loans on Real Estate

Property Type

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


	June 30, 2024				December 31, 2023
Property Type	Carrying Value			% of Portfolio(1)	Carrying Value			% of Portfolio(1)
Hotel	$	2,001,033		24.0%	$	2,128,256			25.4	%
Office		1,692,661		20.3		1,593,320			19.0
Retail		1,399,957		16.8		1,407,764			16.8
Residential		1,205,817		14.5		1,247,238			14.9
Mixed Use		512,937		6.2		679,303			8.1
Healthcare		500,563		6.0		511,803			6.1
Industrial		278,404		3.3		293,133			3.5
Other(2)		737,849		8.9		523,758			6.2
Total	$	8,329,221		100.0%	$	8,384,575			100.0	%
General CECL Allowance(3)		(35,319	)			(26,482	)
Carrying value, net	$	8,293,902			$	8,358,093

(1)

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

(2)

Other property types include pubs (2.6%), caravan parks (2.4%), parking garages (2.3%) and urban predevelopment (1.6%) in 2024, and caravan parks (2.4%), parking garages (2.3%) 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):


	June 30, 2024				December 31, 2023
Geographic Location	Carrying Value			% of Portfolio(1)	Carrying Value			% of Portfolio(1)
United Kingdom	$	2,818,068		33.8%	$	2,675,097			31.9	%
New York City		1,597,363		19.2		1,736,856			20.7
Other Europe(2)		1,432,136		17.2		1,686,425			20.1
Southeast		663,096		8.0		535,054			6.4
Midwest		506,226		6.1		522,137			6.2
West		509,774		6.1		484,842			5.8
Other(3)		802,558		9.6		744,164			8.9
Total	$	8,329,221		100.0%	$	8,384,575			100.0	%
General CECL Allowance(4)		(35,319	)			(26,482	)
Carrying value, net	$	8,293,902			$	8,358,093

(1)

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

(2)

Other Europe includes Germany (7.2%), Italy (3.3%), Spain (3.2%), 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 (4.6%), Mid-Atlantic (2.2%), Southwest (1.7%) and Other (1.1%) in 2024 and Northeast (5.0%), Mid-Atlantic (1.1%), Southwest (1.7%) and Other (1.1%) in 2023.

(4)

Schedule of Carrying Value of Loan Portfolio Based on Internal Risk Ratings

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 June 30, 2024 and December 31, 2023, respectively ($ in thousands):


June 30, 2024
							Amortized Cost(1) by Year Originated
Risk Rating	Number of Loans		Total			% of Portfolio	2024		2023		2022		2021		2020		Prior
1		—	$	—		— %	$	—	$	—	$	—	$	—	$	—	$	—
2		4		479,843		5.8%		—		—		390,038		24,471		—		65,334
3		41		7,302,939		87.7%		490,664		639,886		1,849,832		2,199,747		394,094		1,728,716
4		2		420,049		5.0%		—		—		341,937		—		—		78,112
5		3		126,390		1.5%		—		—		—		—		27,881		98,509
Total		50	$	8,329,221		100.0%	$	490,664	$	639,886	$	2,581,807	$	2,224,218	$	421,975	$	1,970,671
General CECL Allowance(2)				(35,319	)
Total carrying value, net			$	8,293,902
Weighted-Average Risk Rating				3.0
Gross write-offs			$	—			$	—	$	—	$	—	$	—	$	—	$	—


December 31, 2023
									Amortized Cost(1) by Year Originated
Risk Rating	Number of Loans		Total			% of Portfolio			2023		2022		2021		2020		2019		Prior
1		—	$	—			—	%	$	—	$	—	$	—	$	—	$	—	$	—
2		4		478,440			5.7	%		—		280,572		—		—		132,309		65,560
3		42		7,548,252			90.0	%		440,720		2,426,511		2,285,902		387,323		1,465,618		542,177
4		2		88,112			1.1	%		—		—		—		—		—		88,112
5		2		269,771			3.2	%		—		—		—		169,881		—		99,890
Total		50	$	8,384,575			100.0	%	$	440,720	$	2,707,083	$	2,285,902	$	557,204	$	1,597,927	$	795,739
General CECL Allowance(2)				(26,482	)
Total carrying value, net			$	8,358,093
Weighted-Average Risk Rating				3.0
Gross write-offs			$	81,890					$	—	$	—	$	—	$	—	$	—	$	81,890

(1)

Net of Specific CECL Allowance.

(2)

Schedule of CECL Reserves

The following schedule illustrates changes in CECL Allowances for the six months ended June 30, 2024 ($ in thousands):


	Specific CECL		General CECL Allowance							Total CECL		CECL Allowance as % of Amortized Cost
	Allowance(1)		Funded		Unfunded			Total		Allowance		General(1)			Total
December 31, 2023	$	193,000	$	26,482	$	4,017		$	30,499	$	223,499		0.38	%		2.61	%
Changes:
Allowances (Reversals), net(2)		142,000		6,076		(392	)		5,684		147,684
March 31, 2024	$	335,000	$	32,558	$	3,625		$	36,183	$	371,183		0.44	%		4.29	%
Changes:
Allowances (Reversals), net(3)		7,500		2,761		(3	)		2,758		10,258
June 30, 2024	$	342,500	$	35,319	$	3,622		$	38,941	$	381,441		0.47	%		4.40	%

(1)

Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.

(2)

During the three months ended March 31, 2024, our General CECL Allowance increased by $5.7 million. 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. Additionally, during the three months ended March 31, 2024, we recorded an increase of $142.0 million to our Specific CECL Allowance. The increase was related to a mezzanine loan secured by the ultra-luxury residential property. Refer to discussion below.

(3)

During the three months ended June 30, 2024, our General CECL Allowance increased by $2.8 million primarily due to new loan originations as well as a more adverse outlook on our office portfolio. The increase was partially offset by the favorable impacts of portfolio seasoning. Additionally, during the three months ended June 30, 2024, we recorded an increase of $7.5 million to our Specific CECL Allowance. The increase was related to a mezzanine loan secured by an office building in Troy, MI. Refer to discussion below.

The following schedule illustrates changes in CECL Allowances for the six months ended June 30, 2023 ($ in thousands):


	Specific CECL			General CECL Allowance						Total CECL			CECL Allowance as % of Amortized Cost
	Allowance(1)			Funded		Unfunded		Total		Allowance			General(1)			Total
December 31, 2022	$	133,500		$	26,224	$	4,347	$	30,571	$	164,071			0.36	%		1.86	%
Changes:
Allowances(2)		—			4,043		348		4,391		4,391
March 31, 2023	$	133,500		$	30,267	$	4,695	$	34,962	$	168,462			0.42	%		1.95	%
Changes:
Allowances(3)		141,480			2,009		139		2,148		143,628
Write-offs(4)		(81,980	)		—		—		—		(81,980	)
June 30, 2023	$	193,000		$	32,276	$	4,834	$	37,110	$	230,110			0.46	%		2.70	%

(1)

Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.

(2)

During the three months ended March 31, 2023, our General CECL Allowance increased by $4.4 million primarily due to an increase in our view of the remaining expected term of our loan portfolio. This increase was partially offset by the impact of portfolio seasoning and loan repayments and sales.

(3)

During the three months ended June 30, 2023, our General CECL Allowance increased by $2.1 million primarily due to a more adverse macroeconomic outlook and an increase in our view of the remaining expected term of certain of our loans. This increase was partially offset by the impact of portfolio seasoning. Additionally, during the three months ended June 30, 2023, we recorded an increase of $141.5 million to our Specific CECL Allowance. The increase was related to two mezzanine loans secured by the same ultra-luxury property. Refer to discussion below.

(4)

As of June 30, 2023, $82.0 million related to the most junior mezzanine loan secured by the ultra-luxury residential property was deemed unrecoverable. Accordingly, $82.0 million of previously recorded Specific CECL was written-off and recorded as a realized loss within net realized loss on investments in our June 30, 2023 condensed consolidated statement of operations. Refer to "Specific CECL Allowance" section below for further detail.

The following schedule sets forth our General CECL Allowance as of June 30, 2024 and December 31, 2023 ($ in thousands):


	June 30, 2024		December 31, 2023
Commercial mortgage loans, net	$	34,234	$	25,723
Subordinate loans, net		1,085		759
Unfunded commitments(1)		3,622		4,017
Total General CECL Allowance	$	38,941	$	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.

Financing Receivable Cost Recovery

The following table summarizes our risk rated five loans as of June 30, 2024, which were analyzed for Specific CECL Allowances ($ in thousands):


Type	Property type	Location	Amortized cost prior to Specific CECL Allowance		Specific CECL Allowance		Amortized cost		Interest recognition status/ as of date	Risk Rating
Mortgage	Retail(1)(2)	Cincinnati, OH	$	165,509	$	67,000	$	98,509	Non-Accrual/ 10/1/2019	5
Mezzanine	Residential(3)	Manhattan, NY		295,881		268,000		27,881	Non-Accrual/ 7/1/2021	5
Mezzanine	Office(4)	Troy, MI		7,500		7,500		-	Non-Accrual/ 6/30/2024	5
Total			$	468,890	$	342,500	$	126,390

(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 second quarter of 2024, the loan's maturity was extended from September 2024 to September 2025.

(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%.

(4)

The fair value of the office collateral was determined by applying an exit capitalization rate of 10% and a discount rate of 20%