Loans Receivable, Net

6 Months Ended

Jun. 30, 2021

Receivables [Abstract]

Loans Receivable, Net

3. LOANS RECEIVABLE, NET

The following table details overall statistics for our loans receivable portfolio ($ in thousands):

	June 30, 2021			December 31, 2020
Number of loans		124			120
Principal balance	$	17,529,542		$	16,652,824
Net book value	$	17,307,898		$	16,399,166
Unfunded loan commitments(1)	$	3,353,259		$	3,160,084
Weighted-average spread(2)		+ 3.19	%		+ 3.18	%
Weighted-average all-in yield(2)		+ 3.52	%		+ 3.53	%
Weighted-average maximum maturity (years)(3)		3.1			3.1

(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 spread and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, STIBOR, BBSY, and CDOR, as applicable to each loan. As of June 30, 2021, 99.5% of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR. The other 0.5% 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, 2021 and December 31, 2020, for purposes of the weighted-averages. As of December 31, 2020, 99.4% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR. In addition to spread, 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 June 30, 2021, 35% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 65% were open to repayment by the borrower without penalty. 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.

The following table details the index rate floors for our loans receivable portfolio as of June 30, 2021 ($ in thousands):

	Loans Receivable Principal Balance
Index rate floors	USD		Non-USD(1)		Total
Fixed rate	$	—	$	80,748	$	80,748
0.00% or no floor(2)		2,525,760		4,769,140		7,294,900
0.01% to 0.24% floor		1,720,348		110,492		1,830,840
0.25% to 0.99% floor		1,031,763		262,548		1,294,311
1.00% or more floor		6,406,031		622,712		7,028,743
Total(3)(4)	$	11,683,902	$	5,845,640	$	17,529,542

(1)	Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, and Canadian Dollar Currencies.
(2)	Includes $338.7 million of loans accounted for under the cost-recovery method.
(3)	Excludes investment exposure to the $79.2 million subordinate position we own in the $623.1 million 2018 Single Asset Securitization. Refer to Notes 4 and 16 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.
(4)	As of June 30, 2021, the weighted-average index rate floor of our loan portfolio was 0.67%. Excluding 0.0% index rate floors, the weighted-average index rate floor was 1.12%.

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, 2020	$	16,652,824		$	(80,109	)	$	16,572,715
Loan fundings		3,636,063			—			3,636,063
Loan repayments and sales		(2,678,348	)		—			(2,678,348	)
Unrealized (loss) gain on foreign currency translation		(80,997	)		308			(80,689	)
Deferred fees and other items		—			(41,262	)		(41,262	)
Amortization of fees and other items		—			28,364			28,364
Loans receivable, as of June 30, 2021	$	17,529,542		$	(92,699	)	$	17,436,843
CECL reserve								(128,945	)
Loans receivable, net, as of June 30, 2021							$	17,307,898

(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): 

June 30, 2021
Property Type	Number of Loans		Net Book Value			Total Loan Exposure(1)(2)		Percentage of Portfolio
Office		58	$	9,183,532		$	9,799,741		53%
Hospitality		15		2,497,689			2,593,256		14
Multifamily		34		2,458,186			2,542,024		14
Industrial		5		989,199			996,475		5
Life Sciences		3		559,794			566,806		3
Retail		4		538,439			551,221		3
Self-Storage		1		285,505			285,523		2
Condominium		2		226,698			265,484		1
Other		2		697,801			928,243		5
Total loans receivable		124	$	17,436,843		$	18,528,773		100%
CECL reserve				(128,945	)
Loans receivable, net			$	17,307,898

Geographic Location	Number of Loans		Net Book Value			Total Loan Exposure(1)(2)		Percentage of Portfolio
United States
Northeast		25	$	4,428,506		$	4,452,355		25%
West		25		2,788,728			3,373,399		18
Southeast		27		2,656,280			2,825,388		15
Midwest		8		964,681			967,089		5
Southwest		12		772,307			775,897		4
Northwest		1		15,412			15,413		—
Subtotal		98		11,625,914			12,409,541		67
International
United Kingdom		12		1,669,873			1,919,945		11
Spain		3		1,314,315			1,320,266		7
Ireland		1		1,289,458			1,295,372		7
Australia		2		242,987			243,797		1
Canada		2		68,430			68,486		—
Other Europe		6		1,225,866			1,271,366		7
Subtotal		26		5,810,929			6,119,232		33
Total loans receivable		124	$	17,436,843		$	18,528,773		100%
CECL reserve				(128,945	)
Loans receivable, net			$	17,307,898

(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 $999.2 million of such non-consolidated senior interests as of June 30, 2021.
(2)	Excludes investment exposure to the $623.1 million 2018 Single Asset Securitization. See Note 4 for details of the subordinate position we own in the 2018 Single Asset Securitization.

December 31, 2020
Property Type	Number of Loans		Net Book Value		Total Loan Exposure(1)(2)		Percentage of Portfolio
Office		58		$9,834,509		$10,303,895		58%
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
Life Sciences		1		146,290		147,763		1
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
Canada		3		82,185		82,262		—
Other Europe		5		654,133		695,455		4
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.

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, 2021			December 31, 2020
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	$876,895	$877,690	8	$777,163	$778,283
2	19	3,820,471	3,848,997	17	2,513,848	2,528,835
3	86	10,064,659	11,116,911	79	9,911,914	10,763,496
4	9	2,337,583	2,346,439	14	3,032,593	3,045,309
5	2	337,235	338,736	2	337,197	338,698
Total loans receivable	124	$17,436,843	$18,528,773	120	$16,572,715	$17,454,621
CECL reserve		(128,945)			(173,549)
Loans receivable, net		$17,307,898			$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 $999.2 million and $801.8 million of such non-consolidated senior interests as of June 30, 2021 and December 31, 2020, respectively.

(2) Excludes investment exposure to the 2018 Single Asset Securitization of $623.1 million and $735.5 million as of June 30, 2021 and December 31, 2020, 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 2.9 and 3.0 as of June 30, 2021 and December 31, 2020, respectively. The decrease in risk rating reflects the ongoing market recovery from COVID-19 and the resulting improvement in the performance of the collateral assets underlying our portfolio, which resulted in several risk rating upgrades in our portfolio during the quarter ended June 30, 2021.

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, 2021 and 2020 ($ in thousands):

	U.S. Loans			Non-U.S. Loans			Unique Loans			Impaired Loans		Total
Loans Receivable, Net
CECL reserve as of December 31, 2020	$	42,995		$	27,734		$	33,159		$	69,661	$	173,549
Increase (decrease) in CECL reserve		1,539			(3,134	)		146			—		(1,449	)
CECL reserve as of March 31, 2021	$	44,534		$	24,600		$	33,305		$	69,661	$	172,100
Decrease in CECL reserve		(26,861	)		(15,771	)		(523	)		—		(43,155	)
CECL reserve as of June 30, 2021	$	17,673		$	8,829		$	32,782		$	69,661	$	128,945
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
(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 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 three and six months ended June 30, 2021, we recorded a decrease of $43.2 million and $44.6 million, respectively, in the CECL reserve against our loans receivable portfolio, bringing our total reserve to $128.9 million as of June 30, 2021. The decrease in the CECL reserve during the three and six months ended June 30, 2021 reflects the ongoing market recovery from COVID-19 and the resulting improvement in the performance of the collateral assets underlying our portfolio. 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 CECL reserve against our loans receivable portfolio, bringing our total 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 2020, we entered into loan modifications related to a multifamily asset in New York City, which are classified as troubled debt restructurings 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 June 30, 2021. This loan has an outstanding principal balance of $52.4 million, net of cost-recovery proceeds, as of June 30, 2021. 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, 2021.

During 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 June 30, 2021. This loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, as of June 30, 2021. 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, 2021.

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 June 30, 2021. 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 tables present the net book value of our loan portfolio as of June 30, 2021 and December 31, 2020, respectively, 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, 2021
Risk Rating	2021		2020		2019		2018		2017		Prior		Total
U.S. loans
1	$	—	$	—	$	683,911	$	—	$	65,932	$	—	$	749,843
2		493,446		—		181,927		1,167,271		391,388		80,427		2,314,459
3		1,879,638		863,419		2,168,732		1,730,283		629,933		268,839		7,540,844
4		—		—		96,461		540,224		63,372		51,906		751,963
5		—		—		—		—		—		—		—
Total U.S. loans	$	2,373,084	$	863,419	$	3,131,031	$	3,437,778	$	1,150,625	$	401,172	$	11,357,109
Non-U.S. loans
1	$	—	$	—	$	34,935	$	—	$	92,117	$	—	$	127,052
2		—		102,423		1,289,458		—		—		114,131		1,506,012
3		744,823		—		1,054,402		466,265		—		—		2,265,490
4		—		—		352,604		—		—		—		352,604
5		—		—		—		—		—		—		—
Total Non-U.S. loans	$	744,823	$	102,423	$	2,731,399	$	466,265	$	92,117	$	114,131	$	4,251,158
Unique loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		—		197,701		—		60,624		258,325
4		—		—		329,415		903,601		—		—		1,233,016
5		—		—		—		—		—		—		—
Total unique loans	$	—	$	—	$	329,415	$	1,101,302	$	—	$	60,624	$	1,491,341
Impaired loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		—		—		—		—		—
4		—		—		—		—		—		—		—
5		—		—		—		284,808		—		52,427		337,235
Total impaired loans	$	—	$	—	$	—	$	284,808	$	—	$	52,427	$	337,235
Total loans receivable
1	$	—	$	—	$	718,846	$	—	$	158,049	$	—	$	876,895
2		493,446		102,423		1,471,385		1,167,271		391,388		194,558		3,820,471
3		2,624,461		863,419		3,223,134		2,394,249		629,933		329,463		10,064,659
4		—		—		778,480		1,443,825		63,372		51,906		2,337,583
5		—		—		—		284,808		—		52,427		337,235
Total loans receivable	$	3,117,907	$	965,842	$	6,191,845	$	5,290,153	$	1,242,742	$	628,354	$	17,436,843
CECL reserve														(128,945	)
Loans receivable, net													$	17,307,898

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

(2) Excludes the $77.6 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.

	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 June 30, 2021 and December 31, 2020, our Multifamily Joint Venture held $520.5 million and $484.8 million of loans, respectively, which are included in the loan disclosures above. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.