(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 December 31, 2020, 99% of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and $13.7 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 December 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. Excludes loans accounted for under the cost-recovery method.

(3)

Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date. As of December 31, 2020, 31% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 69% 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, 2018	$	14,293,970		$	(102,770	)	$	14,191,200
Loan fundings		6,890,249			—			6,890,249
Loan repayments and sales proceeds		(4,974,881	)		—			(4,974,881	)
Unrealized gain (loss) on foreign currency translation		68,005			(629	)		67,376
Deferred fees and other items		—			(66,558	)		(66,558	)
Amortization of fees and other items		—			57,415			57,415

Loans Receivable, as of December 31, 2019	$	16,277,343		$	(112,542	)	$	16,164,801

Loan fundings		1,896,276			—			1,896,276
Loan repayments and sales		(1,862,955	)		—			(1,862,955	)
Unrealized gain (loss) on foreign currency translation		342,160			(1,900	)		340,260
Deferred fees and other items		—			(21,946	)		(21,946	)
Amortization of fees and other items		—			56,279			56,279

Loans Receivable, as of December 31, 2020	$	16,652,824		$	(80,109	)	$	16,572,715

CECL reserve								(173,549	)

Loans Receivable, net, as of December 31, 2020							$	16,399,166

(1)	Other items primarily consist of purchase and sale 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):


December 31, 2020
Property Type	Number of Loans	Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
Office	59	$	9,980,799		$	10,451,658		59	%
Hospitality	14		2,295,255			2,369,454		14
Multifamily	31		1,788,149			1,862,667		11
Industrial	6		673,912			675,344		4
Retail	4		538,702			551,243		3
Self-Storage	2		301,566			301,491		2
Condominium	2		245,492			264,162		2
Other	2		748,840			978,602		5

Total loans receivable	120	$	16,572,715		$	17,454,621		100	%

CECL reserve			(173,549	)

Loans receivable, net		$	16,399,166


Geographic Location	Number of Loans	Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
United States
Northeast	24	$	4,050,732		$	4,069,712		23	%
West	27		2,942,126			3,413,089		20
Southeast	25		2,624,701			2,707,080		16
Midwest	8		973,702			976,693		6
Southwest	9		597,100			598,813		3
Northwest	1		15,404			15,413		—

Subtotal	94		11,203,765			11,780,800		68
International
United Kingdom	13		1,816,901			2,066,390		12
Ireland	1		1,309,443			1,317,846		8
Spain	2		1,247,162			1,252,080		7
Australia	2		259,126			259,788		1
Germany	1		214,795			252,816		1
Italy	1		203,982			205,514		1
Netherlands	1		105,300			106,274		1
Belgium	1		94,757			94,936		1
Canada	3		82,185			82,262		—
France	1		35,299			35,915		—

Subtotal	26		5,368,950			5,673,821		32

Total loans receivable	120	$	16,572,715		$	17,454,621		100	%

CECL reserve			(173,549	)

Loans receivable, net		$	16,399,166

(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 $801.8 million of such

non-consolidated

senior interests as of December 31, 2020.

(2)

Excludes investment exposure to the $735.5

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

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):


	December 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		8	$	777,163	$	778,283		6	$	376,379	$	378,427
2		17		2,513,848		2,528,835		30		3,481,123		3,504,972
3		79		9,911,914		10,763,496		89		12,137,963		12,912,722
4		14		3,032,593		3,045,309		3		169,336		169,743
5		2		337,197		338,698		—		—		—

Total loans receivable		120	$	16,572,715	$	17,454,621		128	$	16,164,801	$	16,965,864

CECL reserve				(173,549)						—

Loans receivable, net			$	16,399,166					$	16,164,801

(1)

In certain instances, we finance our loans through the

non-recourse

non-consolidated

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

(2)	Excludes investment exposure to the 2018 Single Asset Securitization of $735.5 million and $930.0 million as of December 31, 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 December 31, 2020 and 2019, respectively. The increase in the risk rating was primarily the result of loans with an aggregate principal balance of $3.2 billion that were downgraded to a “4” or “5” during the year ended December 31, 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 year ended December 31, 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		34,040		24,103		31,803		69,661		159,607

CECL reserve as of December 31, 2020	$	42,995	$	27,734	$	33,159	$	69,661	$	173,549

Our initial CECL reserve of $13.9 million against our loans receivable portfolio, 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 year ended December 31, 2020, we recorded an increase of $159.6 million in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $173.5 million as of December 31, 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 and fourth quarters of 2020, we entered into loan modifications related to a multifamily asset in New York City, which is classified as a troubled debt restructuring under GAAP. These modifications included, among other changes, a reduction in the loan’s contractual interest payments and an extension of the loan’s maturity date. During the three months ended June 30, 2020, we recorded a $14.8 million CECL reserve on this loan, which was unchanged as of December 31, 2020. This loan has an outstanding principal balance of $52.4 million, net of cost-recovery proceeds, as of December 31, 2020. The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of December 31, 2020.

During the third quarter of 2020, we entered into a loan modification related to a hospitality asset in New York City, which is classified as a troubled debt restructuring under GAAP. This modification included, among other changes, a reduction in the loan’s contractual interest payments and an extension of the loan’s maturity date. During the three months ended June 30, 2020, we recorded a $54.9 million CECL reserve on this loan, which was unchanged as of December 31, 2020. This loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, as of December 31, 2020. The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of December 31, 2020.

As of July 1, 2020, the income accrual was suspended on the two loans detailed above, which had an aggregate outstanding principal balance of $338.7 million, as of December 31, 2020. No income was recorded on these loans subsequent to July 1, 2020.

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 December 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 December 31, 2020
Risk Rating	2020		2019		2018		2017		2016		Prior		Total
U.S. loans
1	$	—	$	231,796	$	253,674	$	43,906	$	17,009	$	—	$	546,385
2		—		282,017		1,172,168		757,138		79,848		222,677		2,513,848
3		781,595		2,391,297		1,672,897		1,134,288		227,466		220,644		6,428,187
4		65,978		170,541		1,055,142		63,293		105,380		—		1,460,334
5		—		—		—		—		—		—		—

Total U.S. loans	$	847,573	$	3,075,651	$	4,153,881	$	1,998,625	$	429,703	$	443,321	$	10,948,754

Non-U.S. loans
1	$	—	$	—	$	136,021	$	94,757	$	—	$	—	$	230,778
2		—		—		—		—		—		—		—
3		105,300		2,526,225		479,512		—		113,653		—		3,224,690
4		—		256,494		—		—		—		—		256,494
5		—		—		—		—		—		—		—

Total Non-U.S. loans	$	105,300	$	2,782,719	$	615,533	$	94,757	$	113,653	$	—	$	3,711,962

Unique loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		198,433		—		—		60,604		259,037
4		—		325,097		990,668		—		—		—		1,315,765
5		—		—		—		—		—		—		—

Total unique loans	$	—	$	325,097	$	1,189,101	$	—	$	—	$	60,604	$	1,574,802

Impaired loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		—		—		—		—		—
4		—		—		—		—		—		—		—
5		—		—		284,809		—		—		52,388		337,197

Total impaired loans	$	—	$	—	$	284,809	$	—	$	—	$	52,388	$	337,197

Total loans receivable
1	$	—	$	231,796	$	389,695	$	138,663	$	17,009	$	—	$	777,163
2		—		282,017		1,172,168		757,138		79,848		222,677		2,513,848
3		886,895		4,917,522		2,350,842		1,134,288		341,119		281,248		9,911,914
4		65,978		752,132		2,045,810		63,293		105,380		—		3,032,593
5		—		—		284,809		—		—		52,388		337,197

Total loans receivable	$	952,873	$	6,183,467	$	6,243,324	$	2,093,382	$	543,356	$	556,313	$	16,572,715

CECL reserve														(173,549	)

Loans receivable, net													$	16,399,166

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

(2)

Excludes the $

75.7

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 December 31, 2020 and December 31, 2019, our Multifamily Joint Venture held $484.8 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.