Loans (Tables)

3 Months Ended

Mar. 31, 2021

Loans

Summary of investments in mortgages and loans by subordination class

The following tables summarize our investments in mortgages and loans as of March 31, 2021 and December 31, 2020 (dollars in thousands):

							Weighted
					Weighted		Average Life
	Carrying		Face		Average		(“WAL”)
March 31, 2021	Value		Amount		Coupon (1)		(years)(2)
Loans held-for-investment:
Commercial loans:
First mortgages (3), (8)	$	9,955,674	$	10,003,057	5.1	%	1.7
Subordinated mortgages (4)		70,457		71,428	8.8	%	2.5
Mezzanine loans (3)		603,119		601,080	10.1	%	1.4
Other		18,200		20,267	8.2	%	2.6
Total commercial loans		10,647,450		10,695,832
Infrastructure first priority loans (5)		1,595,615		1,616,716	4.3	%	4.1
Residential loans, fair value option (6)		150,712		149,404	6.2	%	N/A	(7)
Total loans held-for-investment		12,393,777		12,461,952
Loans held-for-sale:
Residential, fair value option (6)		444,835		435,025	5.7	%	N/A	(7)
Commercial, $168,226 under fair value option (8)		310,428		314,917	4.3	%	5.7
Infrastructure, lower of cost or fair value (5)		89,368		89,601	2.9	%	2.6
Total loans held-for-sale		844,631		839,543
Total gross loans		13,238,408	$	13,301,495
Credit loss allowances:
Commercial loans held-for-investment		(63,477)
Infrastructure loans held-for-investment		(8,807)
Total allowances		(72,284)
Total net loans	$	13,166,124
December 31, 2020
Loans held-for-investment:
Commercial loans:
First mortgages (3)	$	8,931,772	$	8,978,373	5.3	%	1.5
Subordinated mortgages (4)		71,185		72,257	8.8	%	2.8
Mezzanine loans (3)		620,319		619,352	10.1	%	1.6
Other		30,284		33,626	8.9	%	1.8
Total commercial loans		9,653,560		9,703,608
Infrastructure first priority loans		1,420,273		1,439,940	4.4	%	4.3
Residential loans, fair value option		90,684		86,796	6.0	%	N/A	(7)
Total loans held-for-investment		11,164,517		11,230,344
Loans held-for-sale:
Residential, fair value option		841,963		820,807	6.0	%	N/A	(7)
Commercial, fair value option		90,332		90,789	3.9	%	10.0
Infrastructure, lower of cost or fair value		120,540		120,900	3.1	%	3.2
Total loans held-for-sale		1,052,835		1,032,496
Total gross loans		12,217,352	$	12,262,840
Credit loss allowances:
Commercial loans held-for-investment		(69,611)
Infrastructure loans held-for-investment		(7,833)
Total allowances		(77,444)
Total net loans	$	12,139,908

(1) Calculated using LIBOR or other applicable index rates as of March 31, 2021 and December 31, 2020 for variable rate loans.

(2) Represents the WAL of each respective group of loans as of the respective balance sheet date. The WAL of each individual loan is calculated using amounts and timing of future principal payments, as projected at origination or acquisition.

(3) First mortgages include first mortgage loans and any contiguous mezzanine loan components because as a whole, the expected credit quality of these loans is more similar to that of a first mortgage loan.  The application of this methodology resulted in mezzanine loans with carrying values of $917.8 million and $877.3 million being classified as first mortgages as of March 31, 2021 and December 31, 2020, respectively.

(4) Subordinated mortgages include B-Notes and junior participation in first mortgages where we do not own the senior A-Note or senior participation. If we own both the A-Note and B-Note, we categorize the loan as a first mortgage loan.

(5) During the three months ended March 31, 2021, $30.7 million of infrastructure loans held-for-sale were reclassified into loans held-for-investment.

(6) During the three months ended March 31, 2021, a net amount of $69.5 million of residential loans held-for-sale were reclassified into loans held-for-investment.

(7) Residential loans have a weighted average remaining contractual life of 28.9 years and 27.9 years as of March 31, 2021 and December 31, 2020, respectively.

(8) During the three months ended March 31, 2021, $142.2 million of commercial loans held-for-investment were reclassified into loans held-for-sale.

Summary of variable rate loans held-for-investment

As of March 31, 2021, our variable rate loans held-for-investment were as follows (dollars in thousands):

	Carrying		Weighted-average
March 31, 2021	Value		Spread Above Index
Commercial loans	$	9,969,387	4.3	%
Infrastructure loans		1,595,615	3.8	%
Total variable rate loans held-for-investment	$	11,565,002	4.2	%

Schedule of risk ratings by class of loan

The significant credit quality indicators for our loans measured at amortized cost, which excludes loans held-for-sale, were as follows as of March 31, 2021 (dollars in thousands):

	Term Loans												Revolving Loans		Total		Credit
	Amortized Cost Basis by Origination Year												Amortized Cost		Amortized		Loss
As of March 31, 2021	2021		2020		2019		2018		2017		Prior		Total		Cost Basis		Allowance
Commercial loans:
Credit quality indicator:
LTV < 60%	$	1,152,309	$	709,735	$	1,314,912	$	1,225,605	$	729,227	$	425,570	$	—	$	5,557,358	$	7,015
LTV 60% - 70%		859,035		480,542		1,530,002		825,212		39,916		82,088		—		3,816,795		31,535
LTV > 70%		—		240,217		599,518		312,972		—		61,426		—		1,214,133		16,661
Credit deteriorated		—		—		—		28,986		—		11,977		—		40,963		8,266
Defeased and other		—		—		—		—		—		18,201		—		18,201		—
Total commercial	$	2,011,344	$	1,430,494	$	3,444,432	$	2,392,775	$	769,143	$	599,262	$	—	$	10,647,450	$	63,477
Infrastructure loans:
Credit quality indicator:
Power	$	—	$	77,525	$	220,901	$	397,619	$	124,959	$	371,072	$	10,057	$	1,202,133	$	5,074
Oil and gas		—		19,902		267,727		100,803		—		—		5,050		393,482		3,733
Total infrastructure	$	—	$	97,427	$	488,628	$	498,422	$	124,959	$	371,072	$	15,107	$	1,595,615	$	8,807
Residential loans held-for-investment, fair value option																150,712		—
Loans held-for-sale																844,631		—
Total gross loans															$	13,238,408	$	72,284

Schedule of activity in allowance for loan losses

The following tables present the activity in our credit loss allowance for funded loans and unfunded commitments (amounts in thousands):

	Funded Commitments Credit Loss Allowance
	Loans Held-for-Investment					Total
Three Months Ended March 31, 2021	Commercial			Infrastructure		Funded Loans
Credit loss allowance at December 31, 2020	$	69,611		$	7,833	$	77,444
Credit loss provision (reversal), net		1,880			717		2,597
Charge-offs		(7,757)	(1)		—		(7,757)
Recoveries		—			—		—
Transfers		(257)			257		—
Credit loss allowance at March 31, 2021	$	63,477		$	8,807	$	72,284

	Unfunded Commitments Credit Loss Allowance (2)
	Loans Held-for-Investment
Three Months Ended March 31, 2021	Commercial		Infrastructure		Total
Credit loss allowance at December 31, 2020	$	5,258	$	812	$	6,070
Credit loss reversal, net		(2,122)		(143)		(2,265)
Credit loss allowance at March 31, 2021	$	3,136	$	669	$	3,805
Memo: Unfunded commitments as of March 31, 2021 (3)	$	1,291,304	$	65,791	$	1,357,095

(1) Relates to an unsecured promissory note deemed uncollectible in connection with a residential conversion project located in New York City. The note was previously considered credit deteriorated and was fully reserved.

(2) Included in accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

(3) Represents amounts expected to be funded (see Note 21).

Schedule of activity in loan portfolio

The activity in our loan portfolio was as follows (amounts in thousands):

	Held-for-Investment Loans
Three Months Ended March 31, 2021	Commercial		Infrastructure		Residential		Held-for-Sale Loans		Total Loans
Balance at December 31, 2020	$	9,583,949	$	1,412,440	$	90,684	$	1,052,835	$	12,139,908
Acquisitions/originations/additional funding		2,196,813		99,311		—		375,270		2,671,394
Capitalized interest (1)		36,646		—		—		—		36,646
Basis of loans sold (2)		—		—		—		(571,927)		(571,927)
Loan maturities/principal repayments		(1,021,393)		(18,055)		(9,210)		(44,326)		(1,092,984)
Discount accretion/premium amortization		15,824		921		—		—		16,745
Changes in fair value		—		—		(290)		(9,188)		(9,478)
Unrealized foreign currency translation loss		(14,082)		(181)		—		—		(14,263)
Credit loss provision, net		(1,880)		(717)		—		—		(2,597)
Transfer to/from other asset classifications or between segments		(211,904)		93,089		69,528		41,967		(7,320)
Balance at March 31, 2021	$	10,583,973	$	1,586,808	$	150,712	$	844,631	$	13,166,124

	Held-for-Investment Loans
Three Months Ended March 31, 2020	Commercial		Infrastructure		Residential		Held-for-Sale Loans		Total Loans
Balance at December 31, 2019	$	8,517,054	$	1,397,448	$	671,572	$	884,150	$	11,470,224
Cumulative effect of ASC 326 effective January 1, 2020		(10,112)		(10,328)		—		—		(20,440)
Acquisitions/originations/additional funding		1,089,096		62,929		100,720		646,160		1,898,905
Capitalized interest (1)		36,072		—		—		—		36,072
Basis of loans sold (2)		—		—		(604)		(789,259)		(789,863)
Loan maturities/principal repayments		(689,972)		(37,051)		(48,620)		(20,680)		(796,323)
Discount accretion/premium amortization		11,559		411		—		110		12,080
Changes in fair value		—		—		(25,619)		9,485		(16,134)
Unrealized foreign currency translation loss		(83,263)		—		—		(4,056)		(87,319)
Credit loss provision, net		(37,527)		(5,805)		—		—		(43,332)
Transfer to/from other asset classifications		—		(26,333)		(422,691)		449,024		—
Balance at March 31, 2020	$	8,832,907	$	1,381,271	$	274,758	$	1,174,934	$	11,663,870

(1)     Represents accrued interest income on loans whose terms do not require current payment of interest.

(2)     See Note 11 for additional disclosure on these transactions.