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Loans
 3 Months Ended
Mar. 31, 2022
Receivables [Abstract]  
Loans Loans
Our loans held-for-investment are accounted for at amortized cost and our loans held-for-sale are accounted for at the lower of cost or fair value, unless we have elected the fair value option for either. The following tables summarize our investments in mortgages and loans as of March 31, 2022 and December 31, 2021 (dollars in thousands):
March 31, 2022Carrying
Value		Face
Amount		Weighted
Average
Coupon (1)		Weighted
Average Life
(“WAL”)
(years)(2)
Loans held-for-investment:
Commercial loans:
First mortgages (3)$13,596,590 $13,684,558 4.6 %1.9
Subordinated mortgages (4)70,934 72,399 10.1 %2.6
Mezzanine loans (3)424,835 422,752 9.6 %1.3
Other17,138 18,599 8.2 %2.0
Total commercial loans14,109,497 14,198,308 
Infrastructure first priority loans 2,156,399 2,181,264 4.8 %4.3
Residential loans, fair value option (5)55,621 57,792 6.0 %N/A(6)
Total loans held-for-investment16,321,517 16,437,364 
Loans held-for-sale:
Residential, fair value option (5)2,299,153 2,331,997 4.3 %N/A(6)
Commercial, fair value option 385,359 392,505 4.9 %9.6
Total loans held-for-sale2,684,512 2,724,502 
Total gross loans19,006,029 $19,161,866 
Credit loss allowances:
Commercial loans held-for-investment(47,979)
Infrastructure loans held-for-investment(20,281)
Total allowances(68,260)
Total net loans$18,937,769 
December 31, 2021
Loans held-for-investment:
Commercial loans:
First mortgages (3)$12,991,099 $13,067,524 4.5 %1.9
Subordinated mortgages (4)70,771 72,371 10.0 %2.8
Mezzanine loans (3)417,504 415,155 9.4 %1.4
Other17,424 19,029 8.2 %2.1
Total commercial loans13,496,798 13,574,079 
Infrastructure first priority loans2,048,096 2,071,912 4.4 %4.3
Residential loans, fair value option 59,225 60,133 6.0 %N/A(6)
Total loans held-for-investment15,604,119 15,706,124 
Loans held-for-sale:
Residential, fair value option 2,590,005 2,525,910 4.2 %N/A(6)
Commercial, fair value option286,795 289,761 4.0 %9.0
Total loans held-for-sale2,876,800 2,815,671 
Total gross loans18,480,919 $18,521,795 
Credit loss allowances:
Commercial loans held-for-investment(46,600)
Infrastructure loans held-for-investment(20,670)
Total allowances(67,270)
Total net loans$18,413,649 
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(1)Calculated using applicable index rates as of March 31, 2022 and December 31, 2021 for variable rate loans and excludes loans for which interest income is not recognized.
(2)Represents the WAL of each respective group of loans, excluding loans for which interest income is not recognized, 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 $1.3 billion and $1.4 billion being classified as first mortgages as of March 31, 2022 and December 31, 2021, 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, 2022, $0.3 million of residential loans held-for-investment were reclassified into loans held-for-sale.
(6)Residential loans have a weighted average remaining contractual life of 29.4 years as of both March 31, 2022 and December 31, 2021.
As of March 31, 2022, our variable rate loans held-for-investment, excluding loans for which interest income is not recognized, were as follows (dollars in thousands):
March 31, 2022Carrying
Value		Weighted-average
Spread Above Index
Commercial loans$13,419,816 4.0 %
Infrastructure loans2,123,111 3.9 %
Total variable rate loans held-for-investment$15,542,927 4.0 %
Credit Loss Allowances
As discussed in Note 2, we do not have a history of realized credit losses on our HFI loans and HTM securities, so we have subscribed to third party database services to provide us with industry losses for both commercial real estate and infrastructure loans. Using these losses as a benchmark, we determine expected credit losses for our loans and securities on a collective basis within our commercial real estate and infrastructure portfolios.
For our commercial loans, we utilize a loan loss model that is widely used among banks and commercial mortgage REITs and is marketed by a leading CMBS data analytics provider. It employs logistic regression to forecast expected losses at the loan level based on a commercial real estate loan securitization database that contains activity dating back to 1998. We provide specific loan-level inputs which include loan-to-stabilized-value (“LTV”) and debt service coverage ratio (DSCR) metrics, as well as principal balances, property type, location, coupon, origination year, term, subordination, expected repayment dates and future fundings. We also select from a group of independent five-year macroeconomic forecasts included in the model that are updated regularly based on current economic trends. We categorize the results by LTV range, which we consider the most significant indicator of credit quality for our commercial loans, as set forth in the credit quality indicator table below. A lower LTV ratio typically indicates a lower credit loss risk.
The macroeconomic forecasts do not differentiate among property types or asset classes. Instead, these forecasts reference general macroeconomic growth factors which apply broadly across all assets. However, the COVID-19 pandemic has had a more negative impact on certain property types, principally retail and hospitality, which were initially impacted by lockdowns and partial reopenings and reduced consumer travel. The office sector has also been adversely affected due to the increase in remote working arrangements. The broad macroeconomic forecasts do not account for such differentiation. Accordingly, we have selected a more adverse macroeconomic recovery forecast related to these property types in determining our credit loss allowance.
For our infrastructure loans, we utilize a database of historical infrastructure loan performance that is shared among a consortium of banks and other lenders and compiled by a major bond credit rating agency. The database is representative of industry-wide project finance activity dating back to 1983. We derive historical loss rates from the database filtered by industry, sub-industry, term and construction status for each of our infrastructure loans. Those historical loss rates reflect global
economic cycles over a long period of time as well as average recovery rates. We categorize the results between the power and oil and gas industries, which we consider the most significant indicator of credit quality for our infrastructure loans, as set forth in the credit quality indicator table below.
As discussed in Note 2, we use a discounted cash flow or collateral value approach, rather than the industry loan loss approach described above, to determine credit loss allowances for any credit deteriorated loans.
We regularly evaluate the extent and impact of any credit deterioration associated with the performance and/or value of the underlying collateral, as well as the financial and operating capability of the borrower. Specifically, the collateral’s operating results and any cash reserves are analyzed and used to assess (i) whether cash flow from operations is sufficient to cover the debt service requirements currently and into the future, (ii) the ability of the borrower to refinance the loan and/or (iii) the collateral’s liquidation value. We also evaluate the financial wherewithal of any loan guarantors as well as the borrower’s competency in managing and operating the collateral. In addition, we consider the overall economic environment, real estate or industry sector, and geographic sub-market in which the borrower operates. Such analyses are completed and reviewed by asset management and finance personnel who utilize various data sources, including (i) periodic financial data such as property operating statements, occupancy, tenant profile, rental rates, operating expenses, the borrower’s exit plan, and capitalization and discount rates, (ii) site inspections and (iii) current credit spreads and discussions with market participants.
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, 2022 (dollars in thousands):
Term Loans
Amortized Cost Basis by Origination Year		Revolving Loans
Amortized Cost
Total		Total
Amortized
Cost Basis		Credit
Loss
Allowance
As of March 31, 202220222021202020192018Prior
Commercial loans:
Credit quality indicator:
LTV < 60%$234,534 $2,744,291 $505,166 $978,325 $558,782 $699,224 $— $5,720,322 $3,349 
LTV 60% - 70%667,690 3,901,356 288,906 1,166,327 392,003 82,385 — 6,498,667 7,458 
LTV > 70%53,705 561,838 265,996 415,062 310,158 261,686 — 1,868,445 32,247 
Credit deteriorated— — — — — 4,925 — 4,925 4,925 
Defeased and other— — — — — 17,138 — 17,138 — 
Total commercial$955,929 $7,207,485 $1,060,068 $2,559,714 $1,260,943 $1,065,358 $— $14,109,497 $47,979 
Infrastructure loans:
Credit quality indicator:
Power$89,110 $206,412 $86,988 $275,264 $373,959 $350,008 $5,112 $1,386,853 $5,192 
Oil and gas— 300,666 41,126 257,910 84,805 49,821 1,930 736,258 4,968 
Credit deteriorated— — — — — 33,288 — 33,288 10,121 
Total infrastructure$89,110 $507,078 $128,114 $533,174 $458,764 $433,117 $7,042 $2,156,399 $20,281 
Residential loans held-for-investment, fair value option55,621 — 
Loans held-for-sale2,684,512 — 
Total gross loans$19,006,029 $68,260 

Non-Credit Deteriorated Loans
As of March 31, 2022, we had the following loans with a combined amortized cost basis of $505.2 million that were 90 days or greater past due at March 31, 2022: (i) a $199.1 million senior loan on a retail and entertainment project in New Jersey, of which $7.3 million was converted into equity interests (see Note 8); (ii) a $219.8 million senior loan on an office building in California; (iii) a $46.8 million senior participating interest and mezzanine loan secured by an office building in Texas; (iv) $30.3 million of residential loans; and (v) a $9.2 million loan on a hospitality asset in New York that our Investing and Servicing Segment acquired as nonperforming in October 2021. Loans on nonaccrual as of March 31, 2022 include (i) - (iv) above. None of these loans are considered credit deteriorated as we presently expect to recover all amounts due.
Credit Deteriorated Loans
As of March 31, 2022, we had the following loans with a combined amortized cost basis of $38.2 million which were deemed credit deteriorated and are on nonaccrual status: (i) a $33.3 million senior loan participation secured by a natural gas-fired power plant in Massachusetts, for which we recorded a credit loss allowance of $10.1 million in 2021 based on our share
of the estimated fair value of the asset and for which interest collections were current as of March 31, 2022; and (ii) a $4.9 million subordinated loan secured by a department store in Chicago which is fully reserved.
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-InvestmentTotal
Funded Loans
Three Months Ended March 31, 2022
CommercialInfrastructure
Credit loss allowance at December 31, 2021$46,600 $20,670 $67,270 
Credit loss provision (reversal), net1,379 (389)990 
Credit loss allowance at March 31, 2022$47,979 $20,281 $68,260 
Unfunded Commitments Credit Loss Allowance (1)
Loans Held-for-InvestmentHTM Preferred
Three Months Ended March 31, 2022
CommercialInfrastructureInterests (2)Total
Credit loss allowance at December 31, 2021$6,692 $145 $— $6,837 
Credit loss provision (reversal), net271 (47)353 577 
Credit loss allowance at March 31, 2022$6,963 $98 $353 $7,414 
Memo: Unfunded commitments as of March 31, 2022 (3)
$2,822,554 $12,110 $12,500 $2,847,164 
______________________________________________________________________________________________________________________
(1)Included in accounts payable, accrued expenses and other liabilities in our consolidated balance sheets.
(2)See Note 5 for further details.
(3)Represents amounts expected to be funded (see Note 22).
Loan Portfolio Activity
The activity in our loan portfolio was as follows (amounts in thousands):
Held-for-Investment Loans
Three Months Ended March 31, 2022
CommercialInfrastructureResidentialHeld-for-Sale LoansTotal Loans
Balance at December 31, 2021$13,450,198 $2,027,426 $59,225 $2,876,800 $18,413,649 
Acquisitions/originations/additional funding1,359,483 198,338 — 2,266,699 3,824,520 
Capitalized interest (1)26,697 113 — 93 26,903 
Basis of loans sold (2)— — — (2,278,467)(2,278,467)
Loan maturities/principal repayments(715,665)(91,853)(1,995)(56,439)(865,952)
Discount accretion/premium amortization14,093 2,507 — — 16,600 
Changes in fair value— — (1,263)(124,520)(125,783)
Foreign currency translation gain/(loss), net(71,909)(802)— — (72,711)
Credit loss (provision) reversal, net(1,379)389 — — (990)
Transfer to/from other asset classifications or between segments— — (346)346 — 
Balance at March 31, 2022$14,061,518 $2,136,118 $55,621 $2,684,512 $18,937,769 
Held-for-Investment Loans
Three Months Ended March 31, 2021
CommercialInfrastructureResidentialHeld-for-Sale LoansTotal Loans
Balance at December 31, 2020$9,583,949 $1,412,440 $90,684 $1,052,835 $12,139,908 
Acquisitions/originations/additional funding2,196,813 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 amortization15,824 921 — — 16,745 
Changes in fair value— — (290)(9,188)(9,478)
Foreign currency translation loss, net(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 


______________________________________________________________________________________________________________________
(1)Represents accrued interest income on loans whose terms do not require current payment of interest.
(2)See Note 12 for additional disclosure on these transactions.