
(1)		Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date.
(2)		The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan. As of March 31, 2020, 99% of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and $11.1 billion of such loans earned interest based on floors that are above the applicable index. The other 1% of our loans earned a fixed rate of interest. We reflect our fixed rate loans as a spread over the relevant floating benchmark rates, as of March 31, 2020 and December 31, 2019, respectively, for purposes of the weighted-averages. As of December 31, 2019, 99% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $6.1 billion of such loans earned interest based on floors that are above the applicable index. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.


(3)		Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date. As of March 31, 2020, 57% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 43% were open to repayment by the borrower without penalty. As of December 31, 2019, 61% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 39% were open to repayment by the borrower without penalty.

Activity relating to our loans receivable portfolio was as follows ($ in thousands):


	Principal Balance			Deferred Fees / Other Items (1)			Net Book Value
Loans Receivable, as of December 31, 2019	$	16,277,343		$	(112,542	)	$	16,164,801
Loan fundings		971,322			—			971,322
Loan repayments		(567,352	)		—			(567,352	)
Unrealized (loss) gain on foreign currency translation		(212,546	)		1,728			(210,818	)
Deferred fees and other items		—			(8,610	)		(8,610	)
Amortization of fees and other items		—			14,265			14,265

Loans Receivable, as of March 31, 2020	$	16,468,767		$	(105,159	)	$	16,363,608


CECL reserve								(112,694	)

Loans Receivable, net, as of March 31, 2020							$	16,250,914


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

The tables below detail the property type and geographic distribution of the properties securing the loans in our portfolio ($ in thousands):


March 31, 2020
Property Type	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
Office		60	$	9,481,796		$	9,814,730		57%
Hospitality		14		2,194,116			2,271,536		13
Multifamily		39		1,957,101			2,010,565		12
Industrial		7		826,694			832,082		5
Retail		4		520,279			529,997		3
Self-Storage		2		285,471			285,788		2
Condominium		2		228,912			230,466		1
Other		4		869,239			1,185,871		7

Total loans receivable		132	$	16,363,608		$	17,161,035		100%

CECL reserve				(112,694	)

Loans receivable, net			$	16,250,914


Geographic Location	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
United States
Northeast		27	$	4,222,778		$	4,249,684		25%
West		28		2,853,616			3,188,319		19
Southeast		26		2,481,003			2,493,980		15
Midwest		9		1,014,714			1,019,402		6
Southwest		12		648,949			651,714		4
Northwest		3		53,124			53,187		—

Subtotal		105		11,274,184			11,656,286		69
International
United Kingdom		13		1,631,711			1,971,765		11
Ireland		1		1,298,062			1,309,049		8
Spain		2		1,182,830			1,188,897		7
Australia		3		319,160			320,514		2
Germany		1		195,109			247,447		1
Italy		1		178,606			180,582		1
Netherlands		1		94,791			95,965		1
Belgium		1		85,551			85,786		—
Canada		3		72,103			72,313		—
France		1		31,501			32,431		—

Subtotal		27		5,089,424			5,504,749		31

Total loans receivable		132	$	16,363,608		$	17,161,035		100%

CECL reserve				(112,694	)

Loans receivable, net			$	16,250,914


(1)		In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $692.3 million of such non-consolidated senior interests as of March 31, 2020.
(2)		Excludes investment exposure to the $880.7 million 2018 Single Asset Securitization. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.


December 31, 2019
Property Type	Number of Loans		Net Book Value		Total Loan Exposure (1)(2)		Percentage of Portfolio
Office		63	$	9,946,055	$	10,266,567		61%
Hospitality		14		2,199,220		2,281,718		13
Multifamily		36		1,596,333		1,642,664		10
Industrial		5		603,917		607,423		4
Retail		3		373,045		381,040		2
Self-Storage		2		291,994		292,496		2
Condominium		1		232,778		234,260		1
Other		4		921,459		1,259,696		7

		128	$	16,164,801	$	16,965,864		100%


Geographic Location	Number of Loans		Net Book Value		Total Loan Exposure (1)(2)		Percentage of Portfolio
United States
Northeast		25	$	3,789,477	$	3,815,580		22%
West		30		3,143,323		3,451,914		20
Southeast		23		2,321,444		2,334,852		14
Midwest		10		1,174,581		1,180,240		7
Southwest		11		464,989		467,532		3
Northwest		3		52,891		52,989		—

Subtotal		102		10,946,705		11,303,107		66
International
United Kingdom		13		1,738,536		2,102,501		12
Ireland		1		1,318,196		1,330,647		8
Spain		2		1,231,061		1,237,809		7
Australia		3		360,047		361,763		2
Germany		1		195,081		251,020		1
Italy		1		178,740		180,897		1
Belgium		1		86,807		87,201		1
Canada		3		77,656		77,953		1
France		1		31,972		32,966		1

Subtotal		26		5,218,096		5,662,757		34

Total		128	$	16,164,801	$	16,965,864		100%


(1)		In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $688.5 million of such non-consolidated senior interests as of December 31, 2019.
(2)		Excludes investment exposure to the $930.0 million 2018 Single Asset Securitization. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

Loan Risk Ratings

As further described in Note 2, our Manager evaluates our loan portfolio on a quarterly basis. In conjunction with our quarterly loan portfolio review, our Manager assesses the risk factors of each loan, and assigns a risk rating based on several factors. Factors considered in the assessment include, but are not limited to, risk of loss, current LTV, debt yield, collateral performance, structure, exit plan, and sponsorship. Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined in Note 2.

The following table allocates the principal balance and net book value of our loans receivable based on our internal risk ratings ($ in thousands):


	March 31, 2020							December 31, 2019
Risk Rating	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Number of Loans		Net Book Value		Total Loan Exposure (1)(2)
1		5	$	353,112		$	354,879		6	$	376,379	$	378,427
2		26		3,095,443			3,115,300		30		3,481,123		3,504,972
3		85		9,659,154			10,416,291		89		12,137,963		12,912,722
4		16		3,255,899			3,274,565		3		169,336		169,743
5		—		—			—		—		—		—

Total loans receivable		132	$	16,363,608		$	17,161,035		128	$	16,164,801	$	16,965,864

CECL reserve				(112,694	)						—

Loans receivable, net			$	16,250,914						$	16,164,801



	(1)			In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $692.3 million and $688.5 million of such non-consolidated senior interests as of March 31, 2020 and December 31, 2019, respectively.
	(2)			Excludes investment exposure to the 2018 Single Asset Securitization of $880.7 million and $930.0 million as of March 31, 2020 and December 31, 2019, respectively. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

The weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of March 31, 2020 and December 31, 2019, respectively.

The increase

in the risk rating was primarily the result of $

3.1

billion aggregate principal amount of loans that were downgraded to a risk rating of “4” to reflect the higher risk in loans collateralized by hospitality and select other asset classes that are particularly negatively impacted by the

COVID-19

pandemic.

During the three months ended March 31, 2020, we entered into a loan modification, which is classified as a troubled debt restructuring under GAAP, for one of our loans with a net book value of

$52.8

million. This modification includes, among other changes, an additional borrower contribution of capital, a reduction in loan spread, and an extension of the maturity date to November 9, 2020. As of March 31, 2020, we had no commitments to lend additional funds to the borrower, the borrower was current with all terms of the loan, and we expect to collect all contractual amounts due thereunder.

We did not have any impaired loans, nonaccrual loans, or loans in maturity default as of March 31, 2020 or December 31, 2019.

Current Expected Credit Loss Reserve

The CECL reserve required under GAAP reflects our current estimate of potential credit losses related to the loans and debt securities included in our consolidated balance sheets. Refer to Note 2 for further discussion of our CECL reserve.

The following table presents the activity in our loans receivable CECL reserve by investment pool for the three months ended March 31, 2020 ($ in thousands):


	U.S. Loans		Non-U.S. Loans		Unique Loans		Total
Loans Receivable, Net
CECL reserve as of December 31, 2019	$	—	$	—	$	—	$	—
Initial CECL reserve on January 1, 2020		8,955		3,631		1,356		13,942
Increase in CECL reserve		55,906		18,194		24,652		98,752

CECL reserve as of March 31, 2020	$	64,861	$	21,825	$	26,008	$	112,694

Our initial CECL reserve against our loans receivable portfolio of $13.9 million recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity; however subsequent changes to the CECL reserve are recognized through net income on our consolidated statements of operations. During the three months ended March 31, 2020, we recorded a $98.8 million increase in expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $112.7 million as of March 31, 2020. This CECL reserve reflects the macroeconomic impact of the

COVID-19

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio. See Note 2 for further discussion of

COVID-19.

Our primary credit quality indicator is our risk ratings, which are

further discussed above.

The following table presents the net book value of our loan portfolio as of March 31, 2020 by year of origination, investment pool, and risk rating ($ in thousands):


	Net Book Value of Loans Receivable by Year of Origination (1)(2)
	As of March 31, 2020
	2020		2019		2018		2017		2016		Prior		Total
U.S. loans
1	$	—	$	195,684	$	—	$	43,964	$	24,001	$	—	$	263,649
2		—		93,895		1,879,598		732,338		79,668		224,393		3,009,892
3		591,842		2,352,919		1,668,359		1,224,994		227,892		228,405		6,294,411
4		65,806		174,541		1,311,942		63,173		110,089		52,784		1,778,335
5		—		—		—		—		—		—		—

Total U.S. loans	$	657,648	$	2,817,039	$	4,859,899	$	2,064,469	$	441,650	$	505,582	$	11,346,287

Non-U.S. loans
1	$	—	$	—	$	89,463	$	—	$	—	$	—	$	89,463
2		—		—		—		85,551		—		—		85,551
3		94,791		2,386,534		403,821		—		104,431		—		2,989,577
4		—		224,225		—		—		—		—		224,225
5		—		—		—		—		—		—		—

Total Non-U.S. loans	$	94,791	$	2,610,759	$	493,284	$	85,551	$	104,431	$	—	$	3,388,816

Unique loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		291,681		—		—		83,485		375,166
4		—		294,734		958,605		—		—		—		1,253,339
5		—		—		—		—		—		—		—

Total unique loans	$	—	$	294,734	$	1,250,286	$	—	$	—	$	83,485	$	1,628,505

Total loans receivable
1	$	—	$	195,684	$	89,463	$	43,964	$	24,001	$	—	$	353,112
2		—		93,895		1,879,598		817,889		79,668		224,393		3,095,443
3		686,633		4,739,453		2,363,861		1,224,994		332,323		311,890		9,659,154
4		65,806		693,500		2,270,547		63,173		110,089		52,784		3,255,899
5		—		—		—		—		—		—		—

Total loans receivable	$	752,439	$	5,722,532	$	6,603,469	$	2,150,020	$	546,081	$	589,067	$	16,363,608

CECL reserve														(112,694	)

Loans receivable, net													$	16,250,914

(1)	Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications.

(2)

Excludes the $76.9 million net book value of our

held-to-maturity

debt securities which represents our subordinated risk retention position related to the 2018 Single Asset Securitization, and is included in other assets on our consolidated balance sheets. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

Multifamily Joint Venture

As discussed in Note 2, we entered into a Multifamily Joint Venture in April 2017. As of March 31, 2020 and December 31, 2019, our Multifamily Joint Venture held $731.4

million and $670.5 million of loans, respectively, which are included in the loan disclosures above. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.