
(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 June 30, 2020, 99% of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and $12.6 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 June 30, 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 June 30, 2020, 51% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 49% 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		1,240,642			—			1,240,642
Loan repayments		(953,069	)		—			(953,069	)
Unrealized (loss) gain on foreign currency translation		(130,285	)		1,232			(129,053	)
Deferred fees and other items		—			(11,969	)		(11,969	)
Amortization of fees and other items		—			28,051			28,051

Loans Receivable, as of June 30, 2020	$	16,434,631		$	(95,228	)	$	16,339,403

CECL reserve								(178,050	)

Loans Receivable, net, as of June 30, 2020							$	16,161,353


(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):


June 30, 2020
Property Type	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
Office		60	$	9,580,065		$	9,940,103		59%
Hospitality		14		2,220,051			2,295,799		13
Multifamily		36		1,881,529			1,947,388		11
Industrial		7		840,065			844,665		5
Retail		4		533,088			544,682		3
Self-Storage		2		289,329			289,441		2
Condominium		2		232,220			233,621		1
Other		3		763,056			1,078,545		6

Total loans receivable		128	$	16,339,403		$	17,174,244		100%

CECL reserve				(178,050	)

Loans receivable, net			$	16,161,353


Geographic Location	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
United States
Northeast		27	$	4,277,301		$	4,301,875		25%
West		28		2,924,455			3,304,345		19
Southeast		25		2,363,782			2,376,630		14
Midwest		9		1,044,542			1,048,537		6
Southwest		12		614,003			616,253		4
Northwest		1		15,515			15,530		—

Subtotal		102		11,239,598			11,663,170		68
International
United Kingdom		13		1,658,666			1,997,241		12
Ireland		1		1,323,243			1,333,139		8
Spain		2		1,208,597			1,214,209		7
Germany		1		198,675			250,803		1
Australia		2		232,376			233,425		1
Italy		1		186,671			188,510		1
Netherlands		1		96,634			97,731		1
Belgium		1		87,222			87,304		1
Canada		3		75,534			75,684		—
France		1		32,187			33,028		—

Subtotal		26		5,099,805			5,511,074		32

Total loans receivable		128	$	16,339,403		$	17,174,244		100%

CECL reserve				(178,050	)

Loans receivable, net			$	16,161,353


(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 $739.6 million of such non-consolidated senior interests as of June 30, 2020.
(2)		Excludes investment exposure to the $857.3 million 2018 Single Asset Securitization. See Note 4 for details of the subordinate position 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 subordinate position 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):


	June 30, 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		6	$	403,025		$	404,596		6	$	376,379	$	378,427
2		28		3,143,641			3,163,083		30		3,481,123		3,504,972
3		78		9,509,007			10,306,208		89		12,137,963		12,912,722
4		14		2,951,069			2,966,195		3		169,336		169,743
5		2		332,661			334,162		—		—		—

Total loans receivable		128	$	16,339,403		$	17,174,244		128	$	16,164,801	$	16,965,864

CECL reserve				(178,050	)						—

Loans receivable, net			$	16,161,353						$	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 $739.6 million and $688.5 million of such

non-consolidated

senior interests as of June 30, 2020 and December 31, 2019, respectively.

(2)

Excludes investment exposure to the 2018 Single Asset Securitization of $857.3 million and $930.0 million as of June 30, 2020 and December 31, 2019, respectively. See Note 4 for details of the subordinate

position

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 June 30, 2020 and December 31, 2019, respectively. The increase in the risk rating was primarily the result of loans with an aggregate principal balance of $3.1 billion that were downgraded to a

“4”

“5”

as of June 30, 2020 to reflect the higher risk in loans collateralized by hospitality assets and select other assets that are particularly negatively impacted by the COVID-19 pandemic.

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 and

six months ended June 30, 2020 ($ in thousands):


	U.S. Loans			Non-U.S. Loans			Unique Loans		Impaired 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		52,449			16,114			25,884		69,661		164,108

CECL reserve as of June 30, 2020	$	61,404		$	19,745		$	27,240	$	69,661	$	178,050

CECL reserve as of March 31, 2020	$	64,861		$	21,825		$	26,008	$	—	$	112,694
(Decrease) increase in CECL reserve		(3,457	)		(2,080	)		1,232		69,661		65,356

CECL reserve as of June 30, 2020	$	61,404		$	19,745		$	27,240	$	69,661	$	178,050

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

(loss)

on our consolidated statements of operations. During the three and six months ended June 30, 2020, we recorded an increase of $65.4 million and $164.1 million, respectively, in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $178.1 million as of June 30, 2020. This CECL reserve reflects the macroeconomic impact of the

COVID-19

pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio. See Note 2 for further discussion of

COVID-19.

During the first quarter of 2020, we entered into a loan modification

related to a multifamily asset in New York City

which is classified as a troubled debt restructuring under GAAP. This modification included, among other changes, an additional borrower contribution of capital, a reduction in loan spread, and an extension of the loan’s maturity date to November 9, 2020. As of June 30, 2020, we recorded a

$14.8

million CECL reserve on this loan, which had an outstanding principal balance of

$52.8

million as of June 30, 2020. The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of June 30, 2020, and to reflect ongoing loan modification discussions. As of June 30, 2020, the borrower was current with all terms of the loan, including payments of interest.

As of June 30, 2020, we recorded a

$54.9

million CECL reserve on a loan

related to a ho

spitality

set in New York

City

with an outstanding principal balance of

$281.4

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 June 30, 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 June 30, 2020
	2020		2019		2018		2017		2016		Prior		Total
U.S. loans
1	$	20,362	$	199,351	$	—	$	43,979	$	22,153	$	—	$	285,845
2		—		86,727		1,907,488		758,791		79,947		223,466		3,056,419
3		586,916		2,404,636		1,625,490		1,116,969		229,517		228,698		6,192,226
4		65,860		165,782		1,042,967		63,212		110,158		—		1,447,979
5		—		—		—		—		—		—		—

Total U.S. loans	$	673,138	$	2,856,496	$	4,575,945	$	1,982,951	$	441,775	$	452,164	$	10,982,469

Non-U.S. loans
1	$	—	$	—	$	117,180	$	—	$	—	$	—	$	117,180
2		—		—		—		87,222		—		—		87,222
3		96,634		2,423,414		430,690		—		103,880		—		3,054,618
4		—		231,923		—		—		—		—		231,923
5		—		—		—		—		—		—		—

Total Non-U.S. loans	$	96,634	$	2,655,337	$	547,870	$	87,222	$	103,880	$	—	$	3,490,943

Unique loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		178,505		—		—		83,658		262,163
4		—		294,492		976,675		—		—		—		1,271,167
5		—		—		—		—		—		—		—

Total unique loans	$	—	$	294,492	$	1,155,180	$	—	$	—	$	83,658	$	1,533,330

Impaired loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		—		—		—		—		—
4		—		—		—		—		—		—		—
5		—		—		279,874		—		—		52,787		332,661

Total impaired loans	$	—	$	—	$	279,874	$	—	$	—	$	52,787	$	332,661

Total loans receivable
1	$	20,362	$	199,351	$	117,180	$	43,979	$	22,153	$	—	$	403,025
2		—		86,727		1,907,488		846,013		79,947		223,466		3,143,641
3		683,550		4,828,050		2,234,685		1,116,969		333,397		312,356		9,509,007
4		65,860		692,197		2,019,642		63,212		110,158		—		2,951,069
5		—		—		279,874		—		—		52,787		332,661

Total loans receivable	$	769,772	$	5,806,325	$	6,558,869	$	2,070,173	$	545,655	$	588,609	$	16,339,403

CECL reserve														(178,050	)

Loans receivable, net													$	16,161,353

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

(2)

Excludes the $75.8

million net book value of our held-to-maturity debt securities which represents our subordinate position we own in the 2018 Single Asset Securitization, and is included in other assets on our consolidated balance sheets. See Note 4 for details of the subordinate position 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 June 30, 2020 and December 31, 2019, our Multifamily Joint Venture held $624.1 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.