LOANS

12 Months Ended

Dec. 31, 2020

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

LOANS

6. LOANS

The Company invests in residential, commercial and corporate loans. Loans are classified as either held for investment or held for sale. Loans are also eligible to be accounted for under the fair value option. Excluding loans transferred or pledged to securitization vehicles, as of December 31, 2020 and 2019, the Company reported $0.3 billion and $1.6 billion, respectively, of loans for which the fair value option was elected. If loans are held for investment and the fair value option has not been elected, they are accounted for at amortized cost less impairment. If the Company intends to sell or securitize the loans and the securitization vehicle is not expected to be consolidated, the loans are classified as held for sale. If loans are held for sale and the fair value option was not elected, they are accounted for at the lower of cost or fair value. Any origination fees and costs or purchase premiums or discounts are deferred and recognized upon sale. The Company determines the fair value of loans held for sale on an individual loan basis.

Allowance for Losses – The Company evaluates the need for a loss reserve on each of its loans classified as held-for-investment where the fair value option is not elected. Allowance for loan losses are written off in the period the loans are deemed uncollectible.

Given the unique nature of each underlying borrower and any collateral, the Company assesses an allowance for each individual loan held-for-investment. A provision is established at origination or acquisition that reflects management’s estimate of the total expected credit loss over the expected life of the loan. In estimating the lifetime expected credit losses, management utilizes a probability of default and loss given default methodology (“Loss Given Default methodology”), which considers projected economic conditions over the reasonable and supportable forecast period. The forecast incorporates primarily market-based assumptions including, but not limited to, forward interest rate curves, unemployment rate estimates and certain indexes sourced from third party vendors. For any remaining period of the expected life of the loan after the reasonable and supportable period, the Company reverts to historical losses on a straight-line basis. Management uses third-party vendors’ loan pool data for loans with similar risk characteristics to estimate historical losses given the limited loss history of the Company’s loan portfolio. Changes in the lifetime expected credit loss are reflected in Loan loss provision in the Consolidated Statements of Comprehensive Income (Loss).

For loans experiencing credit deterioration, the Company may use a different methodology to determine the expected credit losses such as a discounted cash flow analysis. For collateral-dependent loans, if foreclosure is probable, expected credit losses are based on the fair value of the collateral at the reporting date, adjusted for any selling costs, if applicable. Additionally, the Company may elect the practical expedient for a financial asset for which the repayment is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty by measuring the allowance as the difference between the fair value of the collateral, less costs to sell, if applicable, and the amortized cost basis of the financial asset at the reporting date. The Company’s commercial loans are collateralized by commercial real estate including, but not limited to, multifamily real estate, office and retail space, hotels and industrial space. At origination, the fair value of the collateral generally exceeds the principal loan balance.

Management assesses the credit quality of the portfolio and adequacy of loan loss reserves on a quarterly basis, or more frequently as necessary. Significant judgment is required in this analysis. Depending on the expected recovery of its investment, the Company considers the estimated net recoverable value of the loans as well as other factors, including but not limited to the fair value of any collateral, the amount and the status of any senior debt, the prospects for the borrower and the competitive landscape where the borrower conducts business. To determine if loan loss allowances are required on investments in corporate debt, the Company reviews the monthly and/or quarterly financial statements of the borrowers, verifies loan compliance packages, if applicable, and analyzes current results relative to budgets and sensitivities performed at inception of the investment.  Because these determinations are based upon projections of future economic events, which are inherently subjective, the amounts ultimately realized may differ materially from the carrying value as of the reporting date.

The Company may be exposed to various levels of credit risk depending on the nature of its investments and credit enhancements, if any, supporting its assets. The Company’s core investment process includes procedures related to the initial approval and periodic monitoring of credit risk and other risks associated with each investment.  The Company’s investment underwriting procedures include evaluation of the underlying borrowers’ ability to manage and operate their respective properties or companies.  Management reviews loan-to-value metrics at origination or acquisition of a new investment and if events occur that trigger re-evaluation by management.

The Company recorded loan loss provisions of $147.6 million, $16.6 million and $3.5 million for the years ended December 31, 2020, 2019 and 2018, respectively. As of December 31, 2020 and 2019, the Company’s loan loss allowance was $169.5 million and $20.1 million, respectively.

The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the year ended December 31, 2020:

	Residential		Commercial		Corporate		Total
	(dollars in thousands)
Beginning balance January 1, 2020	$	1,647,787	$	669,713	$	2,144,850	$	4,462,350
Impact of adopting CECL	—		(3,599)		(29,653)		(33,252)
Purchases / originations	1,168,830		217,329		1,061,644		2,447,803
Sales and transfers (1)	(2,298,391)		(235,533)		(357,930)		(2,891,854)
Principal payments	(154,864)		(77,422)		(576,759)		(809,045)
Gains / (losses) (2)	(11,854)		(74,965)		(14,429)		(101,248)
(Amortization) / accretion	(5,698)		2,558		12,207		9,067
Ending balance December 31, 2020	$	345,810	$	498,081	$	2,239,930	$	3,083,821
(1)     Includes securitizations, syndications and transfers to securitization vehicles or REO. Includes transfer of residential loans to securitization vehicles with a carrying value of $1.9 billion during the year ended December 31, 2020.
(2)     Includes loan loss allowances.

The carrying value of the Company’s residential loans held for sale was $47.0 million and $66.7 million at December 31, 2020 and 2019, respectively.

The Company also has off-balance-sheet credit exposures related to unfunded loan commitments, including revolvers, delayed draw term loans and future funding commitments that are not unconditionally cancelable by the Company. The Company utilizes the same methodology in calculating the liability related to the expected credit losses on these exposures as it does for the calculation of the allowance for loan losses. In determining the estimate of credit losses for off-balance-sheet credit exposures, the Company will consider the contractual period in which the entity is exposed to credit risk and the likelihood that funding will occur, if material. Estimated credit losses for off-balance-sheet credit exposures are included in Other liabilities on the Company’s Consolidated Statements of Financial Condition.

Residential

The Company’s residential mortgage loans are primarily comprised of performing adjustable-rate and fixed-rate whole loans. The Company’s residential loans are accounted for under the fair value option with changes in fair value reflected in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Statements of Comprehensive Income. Additionally, the Company consolidates a collateralized financing entity that securitized prime adjustable-rate jumbo residential mortgage loans. The Company also consolidates securitization trusts in which it had purchased subordinated securities because it also has certain powers and rights to direct the activities of such trusts. Refer to the “Variable Interest Entities” Note for further information related to the Company’s consolidated residential mortgage loan trusts.

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at December 31, 2020 and 2019:

	December 31, 2020		December 31, 2019
	(dollars in thousands)
Fair value	$	3,595,061	$	4,246,161
Unpaid principal balance	$	3,482,865	$	4,133,149

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for December 31, 2020 and 2019 for these investments:

	For the Years Ended
	December 31, 2020		December 31, 2019
	(dollars in thousands)
Interest income	$	170,259	$	150,066
Net gains (losses) on disposal of investments	(38,372)		(18,619)
Net unrealized gains (losses) on instruments measured at fair value through earnings	37,693		51,290
Total included in net income (loss)	$	169,580	$	182,737

The following table provides the geographic concentrations based on the unpaid principal balances at December 31, 2020 and 2019 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

Geographic Concentrations of Residential Mortgage Loans
December 31, 2020		December 31, 2019
Property location	% of Balance	Property location	% of Balance
California	48.9%	California	52.1%
New York	14.0%	New York	10.5%
Florida	6.0%	Florida	5.3%
All other (none individually greater than 5%)	31.1%	All other (none individually greater than 5%)	32.1%
Total	100.0%		100.0%

The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at December 31, 2020 and 2019:

	December 31, 2020		December 31, 2019
	Portfolio Range	Portfolio Weighted Average	Portfolio Range	Portfolio Weighted Average
	(dollars in thousands)
Unpaid principal balance	$1 - $3,448	$473	$1 - $3,448	$459
Interest rate	0.50% - 9.24%	4.89%	2.00% - 8.38%	4.94%
Maturity	7/1/2029 - 1/1/2061	4/17/2046	1/1/2028 - 12/1/2059	12/29/2047
FICO score at loan origination	505 - 829	755	505 - 829	758
Loan-to-value ratio at loan origination	8% - 104%	67%	8% - 105%	67%

At December 31, 2020 and 2019, approximately 37% and 36%, respectively, of the carrying value of the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, were adjustable-rate.

Commercial

The Company’s commercial real estate loans are comprised of adjustable-rate and fixed-rate loans. The difference between the principal amount of a loan and proceeds at acquisition is recorded as either a discount or premium. Commercial real estate loans and preferred equity interests that are designated as held for investment and are originated or purchased by the Company are carried at their outstanding principal balance, net of unamortized origination fees and costs, premiums or discounts, less an allowance for losses, if necessary. Origination fees and costs, premiums or discounts are amortized into interest income over the life of the loan.

Management generally reviews the most recent financial information and metrics derived therefrom produced by the borrower, which may include, but is not limited to, net operating income (“NOI”), debt service coverage ratios, property debt yields (net cash flow or NOI divided by the amount of outstanding indebtedness), loan per unit and rent rolls relating to each of the Company’s commercial real estate loans and preferred equity interests (“CRE Debt and Preferred Equity Investments”), and may consider other factors management deems important. Management also reviews market pricing to assess each borrower’s ability to refinance their respective assets at the maturity of each loan, in addition to economic trends (both macro and those affecting the property specifically), and the supply and demand of competing projects in the sub-market in which each subject

property is located.  Management monitors the financial condition and operating results of its borrowers and continually assesses the future outlook of the borrower’s financial performance in light of industry developments, management changes and company-specific considerations.

The Company’s internal loan risk ratings are based on the guidance provided by the Office of the Comptroller of the Currency for commercial real estate lending. The Company’s internal risk rating rubric for commercial loans has nine categories as depicted below:

Risk Rating - Commercial Loans	Description
1-4 / Performing	Meets all present contractual obligations.
5 / Performing - Closely Monitored	Meets all present contractual obligations, but are transitional or could be exhibiting some weaknesses in both leverage and liquidity.
6 / Performing - Special Mention	Meets all present contractual obligations, but exhibit potential weakness that deserves management’s close attention and, if uncorrected, may result in deterioration of repayment prospects.
7 / Substandard	Inadequately protected by sound worth and paying capacity of the obligor or of the collateral pledged with a distinct possibility that loss will be sustained if some of the deficiencies are not corrected.
8 / Doubtful	Substandard loans whereby collection of all contractual principal and interest is highly questionable or improbable.
9 / Loss	Considered uncollectible.

Management assesses each loan at least quarterly and assigns an internal risk rating based on its evaluation of the most recent financial information produced by the borrower and consideration of economic conditions. See below for a tabular disclosure of the amortized cost basis of the Company’s commercial loans by year of origination and internal risk rating.

The Company’s commercial loans are collateral-dependent and, as such, for loans experiencing credit deterioration, the Company is required to record an allowance based upon the fair value of the underlying collateral if foreclosure is probable or if the practical expedient is elected. For the year ended December 31, 2020, the Company recorded a loan loss provision on impaired commercial loans of $78.4 million with a principal balance and carrying value, net of allowances of $181.2 million and $113.6 million, respectively, based upon the fair value of the underlying collateral. The Company uses a discounted cash flow or market based valuation technique based upon the underlying property to project property cash flows. In projecting these cash flows, the Company reviewed the borrower financial statements, rent rolls, economic trends and other factors management deems important. These nonrecurring fair value measurements are considered to be in level three of the fair value measurement hierarchy as there are unobservable inputs, which are significant to the overall fair value. For the year ended December 31, 2019, the Company recorded a loan loss provision of $9.2 million on commercial loans with a principal balance and carrying value, net of allowances of $43.6 million and $30.9 million, respectively.

As a result of the implementation of the Loss Given Default methodology under the modified retrospective method, a cumulative effect loan loss allowance of $7.8 million was recorded on January 1, 2020. For the year ended December 31, 2020, the Company recorded a net loan loss provision of $54.8 million based upon its Loss Given Default methodology recorded in Loan loss provision in the Consolidated Statements of Comprehensive Income (Loss).

During the year ended December 31, 2020, the Company modified five commercial loans with a carrying value of $243.8 million at December 31, 2020. The maturity dates on four commercial loans were extended and one commercial loan was granted a 120 day forbearance. Additionally, as part of the restructuring two loans had partial paydowns totaling $4.5 million. The loan loss allowance recorded for these commercial loans was $23.6 million at December 31, 2020. Future funding commitments on the restructured loans total $4.1 million.

At December 31, 2020 and December 31, 2019, the amortized cost basis of commercial loans on nonaccrual status was $46.8 million and $175.2 million, respectively. For the years ended December 31, 2020 and 2019, the Company recognized interest income on commercial loans on nonaccrual status of $2.1 million and ($0.1) million, respectively.

At December 31, 2020 and December 31, 2019, the Company had unfunded commercial real estate loan commitments of $99.3 million and $181.4 million respectively. At December 31, 2020, the liability related to the expected credit losses on the unfunded commercial loan commitments was $5.1 million.

At December 31, 2020 and 2019, approximately 94% and 92%, respectively, of the carrying value of the Company’s CRE Debt and Preferred Equity Investments, including loans transferred or pledged to securitization vehicles and excluding commercial loans held for sale, were adjustable-rate.

The sector attributes of the Company’s commercial real estate investments held for investment, including loans transferred or pledged to securitization vehicles, at December 31, 2020 and December 31, 2019 were as follows:

	Sector Dispersion
	December 31, 2020				December 31, 2019
	Carrying Value		% of Loan Portfolio		Carrying Value		% of Loan Portfolio
	(dollars in thousands)
Office	$	650,034	47.4	%	$	681,129	42.4	%
Retail	256,493		18.7	%	389,076		24.2	%
Multifamily	250,095		18.2	%	262,302		16.3	%
Hotel	115,536		8.4	%	135,681		8.4	%
Industrial	60,097		4.4	%	82,441		5.1	%
Other	20,302		1.5	%	36,589		2.3	%
Healthcare	19,873		1.4	%	18,873		1.3	%
Total	$	1,372,430	100.0	%	$	1,606,091	100.0	%

At December 31, 2020 and 2019, commercial real estate investments held for investment were comprised of the following:

	December 31, 2020						December 31, 2019
	Outstanding Principal		Carrying Value (1)		Percentage of Loan Portfolio (2)		Outstanding Principal		Carrying Value (1)		Percentage of Loan Portfolio (2)
	(dollars in thousands)
Senior mortgages	$	387,124	$	373,925	25.7	%	$	503,499	$	499,690	30.9	%
Senior securitized mortgages (3)	938,859		874,349		62.3	%	940,546		936,378		57.8	%
Mezzanine loans	181,261		124,156		12.0	%	183,064		170,023		11.3	%
Total	$	1,507,244	$	1,372,430	100.0	%	$	1,627,109	$	1,606,091	100.0	%

(1)     Carrying value includes unamortized origination fees of $4.9 million and $8.3 million at December 31, 2020 and 2019, respectively.

(2)      Based on outstanding principal.

(3)      Assets of consolidated VIEs.

The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for investment at December 31, 2020 and 2019:

December 31, 2020
	Senior Mortgages		Senior Securitized Mortgages (1)		Mezzanine Loans		Total
	(dollars in thousands)
Beginning balance (January 1, 2020) (2)	$	499,690	$	936,378	$	182,726	$	1,618,794
Originations & advances (principal)	206,090		—		12,374		218,464
Principal payments	(77,344)		(144,308)		(78)		(221,730)
Principal write off	—		—		(7,000)		(7,000)
Transfers (3)	(245,120)		142,621		(7,100)		(109,599)
Net (increase) decrease in origination fees	(1,055)		(653)		(80)		(1,788)
Realized gain	204		—		—		204
Amortization of net origination fees	2,371		2,460		187		5,018
Allowance for loan losses
Beginning allowance, prior to CECL adoption	—		—		(12,703)		(12,703)
Impact of adopting CECL	(2,263)		(4,166)		(1,336)		(7,765)
Current period allowance	(8,648)		(57,983)		(66,521)		(133,152)
Write offs	—		—		23,687		23,687
Ending allowance	(10,911)		(62,149)		(56,873)		(129,933)
Net carrying value (December 31, 2020)	$	373,925	$	874,349	$	124,156	$	1,372,430

December 31, 2019
	Senior Mortgages		Senior Securitized Mortgages (1)		Mezzanine Loans		Total
	(dollars in thousands)
Net carrying value (January 1, 2019)	$	981,202	$	—	$	315,601	$	1,296,803
Originations & advances (principal)	572,204		—		21,709		593,913
Principal payments	(16,785)		(150,245)		(149,633)		(316,663)
Transfers (3)	(1,034,754)		1,083,487		(8,675)		40,058
Net (increase) decrease in origination fees	(4,200)		—		(184)		(4,384)
Amortization of net origination fees	2,023		3,136		412		5,571
Net (increase) decrease in allowance	—		—		$	(9,207)	(9,207)
Net carrying value (December 31, 2019)	$	499,690	$	936,378	$	170,023	$	1,606,091
(1)     Represents assets of consolidated VIEs.
(2)     Excludes loan loss allowances.
(3)    Includes transfers to securitization vehicles or REO.

The following table provides the internal loan risk ratings of commercial real estate investments held for investment as of December 31, 2020.

Amortized Cost Basis by Risk Rating and Vintage (1)
Risk Rating	Vintage
	Total		2020		2019		2018		2017		2016		Prior
(dollars in thousands)
1-4 / Performing	$	300,623	$	111,177	$	134,923	$	—	$	12,972	$	—	$	41,551
5 / Performing - Closely Monitored	145,231		—		145,231		—		—		—		—
6 / Performing - Special Mention	628,224		58,648		135,868		267,555		96,982		69,171		—
7 / Substandard	205,026		9,368		78,407		66,294		—		—		50,957
8 / Doubtful	93,326		—		—		39,704		53,622		—		—
9 / Loss (2)	—		—		—		—		—		—		—
Total	$	1,372,430	$	179,193	$	494,429	$	373,553	$	163,576	$	69,171	$	92,508

(1) The amortized cost basis excludes accrued interest. As of December 31, 2020, the Company had $3.8 million of accrued interest receivable on

commercial loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition.

(2) Includes two commercial mezzanine loans for which the Company recorded a full loan loss allowance of $46.6 million.

Corporate Debt  

The Company’s investments in corporate loans typically take the form of senior secured loans primarily in first or second lien positions. The Company’s senior secured loans generally have stated maturities of five to seven years. In connection with these senior secured loans, the Company receives a security interest in certain assets of the borrower and such assets support repayment of such loans. Senior secured loans are generally exposed to less credit risk than more junior loans given their seniority to scheduled principal and interest and priority of security in the assets of the borrower. Interest income from coupon payments is accrued based upon the outstanding principal amounts of the debt and its contractual terms. Premiums and discounts are amortized or accreted into interest income using the effective interest method.

The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below:

Risk Rating - Corporate Debt	Description
1-5 / Performing	Meets all present contractual obligations.
6 / Performing - Closely Monitored	Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal.
7 / Substandard	A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible.
8 / Doubtful	A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues.
9 / Loss	Considered uncollectible.

Management assesses each loan at least quarterly and assigns an internal risk rating based on its evaluation of the most recent financial information produced by the borrower and consideration of economic conditions. See below for a tabular disclosure of the amortized cost basis of the Company’s corporate debt held for investment by year of origination and internal risk rating.

For the year ended December 31, 2020, the Company recorded a loan loss provision of $4.5 million on impaired corporate loans using a discounted cash flow methodology. During the year ended December 31, 2020, the loan was restructured and the Company received $2.8 million of second lien debt and $4.8 million of equity. As a result of the restructuring, $19.6 million of first lien debt was written off and the related allowance of $11.9 million was charged off. For the year ended December 31, 2019, the Company recorded a loan loss provision of $7.4 million on a corporate loan with a principal balance and carrying value of $19.6 million and $12.2 million, respectively. There was no provision for loan loss recorded for the year ended December 31, 2018.

As a result of the implementation of the Loss Given Default methodology under the modified retrospective method, a cumulative effect loan loss allowance on corporate loans of $29.7 million was recorded on January 1, 2020. For the year ended December 31, 2020, the Company recorded a net loan loss provision on corporate loans of $9.9 million, based upon its Loss Given Default methodology.

As of December 31, 2020 and December 31, 2019, the amortized cost basis of corporate loans on nonaccrual status was $0.0 and $12.2 million, respectively. For the years ended December 31, 2020 and 2019, the Company recognized interest income on corporate loans on nonaccrual status of $0.0 million and $1.5 million, respectively.

At December 31, 2020 and December 31, 2019, the Company had unfunded corporate loan commitments of $87.3 million and $81.2 million, respectively. At December 31, 2020, the liability related to the expected credit losses on the unfunded corporate loan commitments was $0.7 million.

The Company invests in corporate loans through its Annaly Middle Market Lending Group. The industry and rate attributes of the portfolio at December 31, 2020 and 2019 are as follows:

	Industry Dispersion
	December 31, 2020			December 31, 2019
		Total (1)			Total (1)
	(dollars in thousands)
Computer programming, data processing & other computer related services		483,142			394,193
Management and public relations services		300,869			339,179
Industrial Inorganic Chemical		156,391			—
Public warehousing and storage		132,397			107,029
Metal cans & shipping containers		115,670			118,456
Offices and clinics of doctors of medicine		104,781			106,993
Surgical, medical, and dental instruments and supplies		83,161			102,182
Electronic components & accessories		78,129			24,000
Engineering, architectural & surveying		77,308			124,201
Miscellaneous Industrial & Commercial		77,163			78,908
Insurance agents, brokers and services		67,193			75,410
Research, development and testing services		62,008			45,610
Miscellaneous Food Preparations		58,857			—
Telephone communications		58,450			61,210
Miscellaneous equipment rental and leasing		49,587			49,776
Electrical work		41,128			43,175
Petroleum and petroleum products		33,890			24,923
Medical and dental laboratories		30,711			41,344
Schools and educational services, not elsewhere classified		29,040			19,586
Home health care services		28,587			29,361
Metal Forgings and Stampings		27,523			—
Legal Services		26,399			—
Grocery stores		22,895			23,248
Coating, engraving and allied services		19,484			47,249
Chemicals & Allied Products		14,686			15,002
Miscellaneous business services		12,980			164,033
Drugs		12,942			15,923
Mailing, reproduction, commercial art and photography, and stenographic		12,733			14,755
Machinery, Equipment & Supplies		12,096			—
Offices of clinics and other health practitioners		9,730			10,098
Nonferrous foundries (castings)		—			30,191
Motor vehicles and motor vehicle parts and supplies		—			28,815
Miscellaneous plastic products		—			10,000
Total		$	2,239,930		$	2,144,850
(1) All middle market lending positions are floating rate.

The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at December 31, 2020 and 2019.

	December 31, 2020		December 31, 2019
	(dollars in thousands)
First lien loans	$	1,489,125	$	1,396,140
Second lien loans	750,805		748,710
Total	$	2,239,930	$	2,144,850

The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at December 31, 2020 and December 31, 2019:

December 31, 2020
	First Lien		Second Lien		Total
	(dollars in thousands)
Beginning balance (January 1, 2020) (1)	$	1,403,503	$	748,710	$	2,152,213
Originations & advances	834,211		227,433		1,061,644
Principal payments	(444,759)		(132,000)		(576,759)
Amortization & accretion of (premium) discounts	8,374		3,832		12,206
Loan restructuring	(19,550)		2,818		(16,732)
Sales (2)	(273,887)		(79,203)		(353,090)
Allowance for loan losses
Beginning allowance, prior to CECL adoption	(7,363)		—		(7,363)
Impact of adopting CECL	(10,787)		(18,866)		(29,653)
Current period allowance	(12,510)		(1,919)		(14,429)
Write offs	11,893		—		11,893
Ending allowance	(18,767)		(20,785)		(39,552)
Net carrying value (December 31, 2020)	$	1,489,125	$	750,805	$	2,239,930

(1) Excludes loan loss allowances.

(2) Includes syndications.

December 31, 2019
	First Lien		Second Lien		Total
	(dollars in thousands)
Net carrying value (January 1, 2019)	$	1,346,356	$	540,826	$	1,887,182
Originations & advances	542,463		345,573		888,036
Principal payments	(228,302)		(140,625)		(368,927)
Amortization & accretion of (premium) discounts	5,960		2,936		8,896
Sales	(262,974)		—		(262,974)
Net (increase) decrease in allowance	(7,363)		—		(7,363)
Net carrying value (December 31, 2019)	1,396,140		748,710		2,144,850

The following table provides the amortized cost basis of corporate debt held for investment as of December 31, 2020 by vintage year and internal risk rating.

Amortized Cost Basis by Risk Rating and Vintage (1)
Risk Rating	Vintage
	Total		2020		2019		2018		2017		2016		2015
(dollars in thousands)
1-5 / Performing	$	1,760,669	$	499,186	$	400,873	$	402,712	$	355,369	$	68,191	$	34,338
6 / Performing - Closely Monitored	$	337,386	38,495		—		283,464		15,427		—		—
7 / Substandard	$	141,875	—		47,742		43,206		50,927		—		—
8 / Doubtful	$	—	—		—		—		—		—		—
9 / Loss	$	—	—		—		—		—		—		—
Total	$	2,239,930	$	537,681	$	448,615	$	729,382	$	421,723	$	68,191	$	34,338

(1) The amortized cost basis excludes accrued interest and includes deferred loan fees on unfunded loans. As of December 31, 2020, the Company had $11.0 million of accrued interest receivable on corporate loans, which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition, and $1.4 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition.