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

12 Months Ended

Dec. 31, 2021

Our loan portfolio was comprised of the following at December 31, 2021 and 2020 ($ in thousands):


Loan Type	December 31, 2021		December 31, 2020
Commercial mortgage loans, net (1)	$	7,012,312	$	5,451,084
Subordinate loans and other lending assets, net	844,948		1,045,893

Carrying value, net	$	7,857,260	$	6,496,977

———————

(1)Includes $97.8 million and $136.1 million in 2021 and 2020, respectively, of contiguous financing structured as subordinate loans.

Schedule of Activity Related to Loan Investment Portfolio

Activity relating to our loan portfolio, for the year ended December 31, 2021, was as follows ($ in thousands):


	Principal Balance		Deferred Fees/Other Items (1)		Specific CECL Allowance		Carrying Value, Net(2)
December 31, 2020	$	6,728,424	$	(18,345)	$	(175,000)	$	6,535,079
New loan fundings	2,812,087		—		—		2,812,087
Add-on loan fundings (3)	521,975		—		—		521,975
Loan repayments and sales	(1,881,211)		—		—		(1,881,211)
Gain (loss) on foreign currency translation	(94,205)		964		—		(93,241)
Reversal of Specific CECL Allowance	—		—		30,000		30,000
Realized loss on investment	(20,630)		(137)		—		(20,767)
Transfer to real estate owned	(45,448)		159		—		(45,289)
Deferred fees and other items	—		(42,911)		—		(42,911)
PIK interest and amortization of fees	51,385		23,741		—		75,126
December 31, 2021	$	8,072,377	$	(36,529)	$	(145,000)	$	7,890,848
General CECL Allowance (4)							(33,588)
Carrying value, net							$	7,857,260

———————

(1)Other items primarily consist of purchase discounts or premiums, cost recovery interest, exit fees, deferred origination expenses, and the activity of unconsolidated joint ventures.

(2)December 31, 2020 carrying value excludes General CECL Allowance.

(3)Represents fundings for loans closed prior to 2021.

(4)$3.1 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 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):


	December 31, 2021			December 31, 2020
Number of loans	67			67
Principal balance	$	8,072,377		$	6,728,424
Carrying value, net	$	7,857,260		$	6,496,977
Unfunded loan commitments (1)	$	1,357,122		$	1,399,989
Weighted-average cash coupon (2)	4.5		%	5.7		%
Weighted-average remaining fully-extended term (3)	2.9 years			2.8 years
Weighted-average expected term (4)	2.3 years			2.1 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 or cost recovery 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 5 loans.

Schedule of Mortgage Loans on Real Estate

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


	December 31, 2021				December 31, 2020
Property Type	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
Hotel	$	1,875,439	23.8	%	$	1,576,369	24.1	%
Office	1,700,779		21.6		1,911,145		29.2
Residential-for-sale	956,617		12.1		982,838		15.0
Urban Retail	711,592		9.0		655,456		10.0
Residential-for-rent	477,569		6.1		189,260		2.9
Retail Center	414,740		5.3		105,344		1.6
Industrial	377,068		4.8		228,918		3.5
Healthcare	316,321		4.0		369,676		5.7
Mixed Use	269,839		3.4		217,164		3.3
Other (2)	790,884		9.9		298,909		4.7
Total	$	7,890,848	100.0	%	$	6,535,079	100.0	%
General CECL Allowance (3)	(33,588)				(38,102)
Carrying value, net	$	7,857,260			$	6,496,977

———————

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

(2)Other property types include parking garages (3.3%), caravan parks (2.8%), multifamily development (2.2%), and urban predevelopment (1.6%) in 2021, and urban predevelopment (4.7%) in 2020.

(3)$3.1 million and $3.4 million of the General CECL Allowance for 2021 and 2020, 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 consolidated balance sheet.

Geography

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


	December 31, 2021				December 31, 2020
Geographic Location	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
United Kingdom	$	2,297,286	29.1	%	$	1,263,264	19.3	%
New York City	2,000,661		25.4		2,370,337		36.3
Other Europe(3)	1,295,870		16.4		635,831		9.7


Southeast	708,920		9.0		581,301		8.9
Midwest	689,274		8.7		552,537		8.5
West	356,097		4.5		749,985		11.5
Other(4)	542,740		6.9		381,824		5.8
Total	$	7,890,848	100.0	%	$	6,535,079	100.0	%
General CECL Allowance (2)	(33,588)				(38,102)
Carrying value, net	$	7,857,260			$	6,496,977

———————

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

(2)$3.1 million and $3.4 million of the General CECL Allowance for 2021 and 2020, 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 consolidated balance sheet.

(3)Other Europe includes Germany (6.1%), Sweden (3.6%), Spain (3.3%), Italy (2.6%), and Ireland (0.8%) in 2021 and Germany (3.3%), Spain (4.2%), and Italy (2.2%) in 2020.

(4)Other includes Southwest (3.5%), Northeast (1.5%), Mid-Atlantic (1.6%), and Other (0.3%) in 2021 and Southwest (2.8%), Northeast (1.6%), Mid-Atlantic (1.0%), and Other (0.4%) in 2020.

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

The following tables allocate the carrying value of our loan portfolio based on our internal risk ratings and date of origination at the dates indicated ($ in thousands):


December 31, 2021
						Year Originated
Risk Rating	Number of Loans	Total		% of Portfolio		2021		2020		2019		2018		2017		Prior
1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	1	32,000		0.4	%	—		—		—		—		—		32,000
3	62	7,372,081		93.5	%	2,622,248		644,404		2,307,948		828,270		389,264		579,947
4	1	81,980		1.0	%	—		—		—		—		81,980		—
5	3	404,787		5.1	%	—		—		—		—		177,483		227,304
Total	67	$	7,890,848	100.0	%	$	2,622,248	$	644,404	$	2,307,948	$	828,270	$	648,727	$	839,251
General CECL Allowance		(33,588)
Total carrying value, net		$	7,857,260

Weighted Average Risk Rating				3.1


December 31, 2020
				Year Originated
Risk Rating	Number of Loans	Total	% of Portfolio	2020	2019	2018	2017	2016	Prior


1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	1	32,000		0.5	%	—		—		—		—		—		32,000
3	62	6,129,541		93.8	%	469,586		2,661,017		1,398,479		868,514		88,710		643,235
4	—	—		—	%	—		—		—		—		—		—
5	4	373,538		5.7	%	—		—		—		131,050		115,419		127,069
Total	67	$	6,535,079	100.0	%	$	469,586	$	2,661,017	$	1,398,479	$	999,564	$	204,129	$	802,304
General CECL Allowance		(38,102)
Total carrying value, net		$	6,496,977

Weighted Average Risk Rating				3.1

Financing Receivable Cost Recovery

The following table summarizes the loans with Specific CECL Allowances that have been recorded on our portfolio as of December 31, 2021 ($ in thousands):


Type	Property type	Location	Amortized cost prior to Specific CECL Allowance	Specific CECL Allowance(1)	Amortized cost	Interest recognition status/ as of date
Mortgage
	Multifamily Development(2)(3)	Brooklyn, NY	$187,483	$10,000	$177,483	Cost Recovery/ 3/1/2020
	Urban Predevelopment(2)(4)	Miami, FL	190,492	68,000	122,492	Cost Recovery/ 3/1/2020
	Retail Center(5)(6)	Cincinnati, OH	171,812	67,000	104,812	Cost Recovery/ 10/1/2019
Mortgage total:			$549,787	$145,000	$404,787

———————

(1)During the year ended December 31, 2021 we reversed $30.0 million of previously recorded Specific CECL Allowances. This is comprised of $20.0 million of CECL reversals as discussed below and the realization of $10.0 million of previously recorded Specific CECL Allowance as a realized loss.

(2)The fair value of this collateral was determined by assuming rent per square foot ranging from $48 to $215 and a capitalization rate ranging from 5.0% to 5.5%.

(3)During the year ended December 31, 2021, $20.0 million of previously recorded Specific CECL Allowance was reversed primarily related to a more favorable market outlook as compared to when the Specific CECL Allowance was first recorded with respect to the loan.

(4)In October 2020, we entered a joint venture with CCOF Design Venture, LLC ("CCOF"), which owns the underlying properties that secure our $187.7 million first mortgage loan. The entity in which we own an interest, and which owns the underlying properties was deemed to be a 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. The related profit and loss from the joint venture was immaterial for the years ended December 31, 2021 and 2020.

(5)The fair value of retail collateral was determined by applying a capitalization rate of 8.0%.

(6)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 venture’s equity and we contributed 90%. The entity was deemed to be a 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 years ended December 31, 2021 and 2020, $1.4 million and $1.6 million, respectively, of interest paid was applied towards reducing the carrying value of the loan.

Schedule of CECL Reserves

The following schedule sets out our General CECL Allowance as of December 31, 2021 and 2020 ($ in thousands):


	December 31, 2021		December 31, 2020
Commercial mortgage loans, net	$	22,554	$	17,012
Subordinate loans and other lending assets, net	11,034		21,090
Unfunded commitments(1)	3,106		3,365
Total General CECL Allowance	$	36,694	$	41,467

———————

(1)The General CECL Allowance on unfunded commitments is recorded as a liability on our consolidated balance sheet within accounts payable, accrued expenses and other liabilities

The following schedule illustrates the quarterly changes in CECL Allowances for the years ended December 31, 2021 and 2020, respectively ($ in thousands):


		Specific CECL Allowance		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost
				Funded		Unfunded		Total				General		Total















December 31, 2020		$	175,000	$	38,102	$	3,365	$	41,467	$	216,467	0.67	%	3.23	%
Changes:
	Q1 Allowance (Reversals)	—		(1,667)		429		(1,238)		(1,238)
March 31, 2021		$	175,000	$	36,435	$	3,794	$	40,229	$	215,229	0.62	%	3.06	%
Changes:
	Q2 Allowance (Reversals)	(20,000)		1,764		(1,350)		414		(19,586)
	Write-offs	(10,000)		—		—		—		(10,000)
June 30, 2021		$	145,000	$	38,199	$	2,444	$	40,643	$	185,643	0.57	%	2.41	%
Changes:
	Q3 Allowance (Reversals)	—		(5,515)		(251)		(5,766)		(5,766)

September 30, 2021		$	145,000	$	32,684	$	2,193	$	34,877	$	179,877	0.51	%	2.43	%
Changes:
	Q4 Allowance (Reversals)	—		904		913		1,817		1,817

December 31, 2021		$	145,000	$	33,588	$	3,106	$	36,694	$	181,694	0.49	%	2.26	%


		Specific CECL Allowance(1)		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost
				Funded		Unfunded		Total				General		Total
December 31, 2019		$	56,981	$	—	$	—	$	—	$	56,981	—	%	—	%
Changes:
	January 1, 2020 - Adoption of CECL Standard	—		27,779		3,088		30,867		30,867
	Q1 Allowances	150,000		30,494		2,971		33,465		183,465
March 31, 2020		$	206,981	$	58,273	$	6,059	$	64,332	$	271,313	1.08	%	4.05	%
Changes:
	Q2 Allowances (Reversals)	5,500		(13,729)		(1,940)		(15,669)		(10,169)
	Write-offs	(15,000)		—		—		—		(15,000)
June 30, 2020		$	197,481	$	44,544	$	4,119	$	48,663	$	246,144	0.81	%	3.71	%
Changes:
	Q3 Reversals, net of Allowances	(550)		(5,268)		(524)		(5,792)		(6,342)
September 30, 2020		$	196,931	$	39,276	$	3,595	$	42,871	$	239,802	0.71	%	3.59	%
Changes:
	Q4 Allowances (Reversals)	—		(1,174)		(230)		(1,404)		(1,404)
	Write-offs	(21,931)		—		—		—		(21,931)
December 31, 2020		$	175,000	$	38,102	$	3,365	$	41,467	$	216,467	0.67	%	3.23	%

———————

(1)As of December 31, 2019, amount represents specific loan loss provisions recorded on assets before the adoption of the CECL Standard. After the adoption of the CECL Standard on January 1, 2020, amounts represent Specific CECL Allowances.