Loan Portfolio

12 Months Ended

Dec. 31, 2023

Note 3. Loan Portfolio

Loans Receivable

Our loan portfolio as of December 31, 2023 was comprised of the following loans ($ in thousands, except for number of loans):


	Number of Loans	Loan Commitment(1)		Unpaid Principal Balance		Carrying Value (2)			Weighted Average Spread(3)		Weighted Average Interest Rate(4)
Loans receivable held-for-investment
Variable:
Senior loans(5)	60	$	7,952,806	$	6,875,894	$	6,779,899			+ 3.87%		8.67	%
Subordinate loans	1		30,200		30,200		30,313			+ 12.86%		18.21	%
	61		7,983,006		6,906,094		6,810,212			+ 3.91%		8.71	%
Fixed:
Senior loans(5)	2		12,544		12,544		12,767		N/A			8.49	%
Subordinate loans	2		125,886		125,886		124,817		N/A			8.44	%
	4		138,430		138,430		137,584					8.44	%
Total/Weighted Average	65	$	8,121,436	$	7,044,524	$	6,947,796		N/A			9.00	%
General CECL reserve							(70,371	)
Loans receivable held-for-investment, net						$	6,877,425

(1)

Loan commitment represents principal outstanding plus remaining unfunded loan commitments.

(2)

Net of specific CECL reserves of $72.6 million.

(3)

The weighted average spread is expressed as a spread over the relevant floating benchmark rates. One-month term Secured Overnight Financing Rate (“SOFR”) as of December 31, 2023 was 5.35%. Weighted average is based on outstanding principal as of December 31, 2023. For loans placed on non-accrual, the spread used in calculating the weighted average spread is 0%.

(4)

Reflects the weighted average interest rate based on the floating benchmark rate (if applicable), including SOFR floors (if applicable). Weighted average is based on outstanding principal as of December 31, 2023 and includes loans on non-accrual status. For loans placed on non-accrual, the interest rate used in calculating the weighted average interest rate is 0%.

(5)

Senior loans include senior mortgages and similar credit quality loans, including related contiguous subordinate loans (if any), and pari passu participations in senior mortgage loans. During the year ended December 31, 2023, we acquired the senior mortgage for a subordinate loan with a then unpaid principal balance of $32.9 million at December 31, 2022 and now classify the subordinate loan as a senior loan.

Our loan portfolio as of December 31, 2022 was comprised of the following loans ($ in thousands, except for number of loans):


	Number of Loans	Loan Commitment(1)		Unpaid Principal Balance		Carrying Value (2)			Weighted Average Spread(3)		Weighted Average Interest Rate(4)
Loans receivable held-for-investment
Variable:
Senior loans(5)	71	$	9,221,549	$	7,327,462	$	7,217,564			+ 3.92%		8.05	%
Subordinate loans	2		63,102		61,763		61,947			+ 11.55%		15.95	%
	73		9,284,651		7,389,225		7,279,511			+ 3.98%		8.11	%
Fixed:
Senior loans(5)	2		23,373		23,373		23,595		N/A			8.50	%
Subordinate loans	2		125,927		125,927		125,668		N/A			8.49	%
	4		149,300		149,300		149,263					8.49	%
Total/Weighted Average	77	$	9,433,951	$	7,538,525	$	7,428,774		N/A			8.12	%
General CECL reserve							(68,347	)
Loans receivable held-for-investment, net						$	7,360,427

(1)

Loan commitment represents principal outstanding plus remaining unfunded loan commitments.

(2)

Net of specific CECL reserves of $60.3 million.

(3)

The weighted average is expressed as a spread over the relevant floating benchmark rates. One-month London Interbank Offered Rate (“LIBOR”) and SOFR as of December 31, 2022 were 4.39% and 4.36%, respectively. Weighted average is based on unpaid principal balance as of December 31, 2022. For loans placed on non-accrual, the spread used in calculating the weighted average spread is 0%.

(4)

Reflects the weighted average interest rate based on the applicable floating benchmark rate (if applicable), including LIBOR/SOFR floors (if applicable). Weighted average is based on unpaid principal balance as of December 31, 2022 and includes loans on non-accrual status. For loans placed on non-accrual, the interest rate used in calculating the weighted average interest rate is 0%.

(5)

Senior loans include senior mortgages and similar credit quality loans, including related contiguous subordinate loans (if any), and pari passu participations in senior mortgage loans.

Activity relating to our loans receivable held-for-investment for the years ended December 31, 2023 and 2022 is as follows ($ in thousands):


	Unpaid Principal Balance			Deferred Fees			Specific CECL Reserve			Carrying Value (1)
Balance at December 31, 2022	$	7,538,525		$	(49,451	)	$	(60,300	)	$	7,428,774
Initial funding of new loan originations and acquisitions		101,059			-			-			101,059
Advances on existing loans		668,651			-			-			668,651
Non-cash advances in lieu of interest		61,699			1,933			-			63,632
Origination fees, extension fees and exit fees (2)		-			(2,833	)		-			(2,833	)
Repayments of loans receivable		(561,060	)		-			-			(561,060	)
Repayments of non-cash advances in lieu of interest		(23,910	)		-			-			(23,910	)
Accretion of fees		-			22,809			-			22,809
Specific CECL reserve		-			-			(159,648	)		(159,648	)
Sales of loans receivable		(260,110	)		1,045			72,958			(186,107	)
Transfer to real estate owned (See Note 5)		(208,797	)		-			66,935			(141,862	)
Transfer to loans held-for-sale		(271,533	)		2,356			7,468			(261,709	)
Balance at December 31, 2023	$	7,044,524		$	(24,141	)	$	(72,587	)	$	6,947,796
General CECL reserve											(70,371	)
Carrying Value										$	6,877,425

(1)

Balance at December 31, 2022 does not include general CECL reserve.

(2)

Includes $341,000 of extension fees earned prior to December 31, 2023 which were received in January 2024.


	Unpaid Principal Balance			Deferred Fees			Specific CECL Reserve			Carrying Value (1)
Balance at December 31, 2021	$	6,441,238		$	(33,933	)	$	(6,333	)	$	6,400,972
Initial funding of new loan originations and acquisitions		2,030,456			-			-			2,030,456
Advances on existing loans		602,254			-			-			602,254
Non-cash advances in lieu of interest		77,004			1,447			-			78,451
Origination fees, extension fees and exit fees		-			(41,537	)		-			(41,537	)
Repayments of loans receivable		(1,463,271	)		-			-			(1,463,271	)
Repayments of non-cash advances in lieu of interest		(21,609	)		-			-			(21,609	)
Accretion of fees		-			24,763			-			24,763
Specific CECL reserve		-			-			(65,494	)		(65,494	)
Sale of loan receivable		(146,912	)		-			-			(146,912	)
Gain (loss) on sale of loans receivable		30,892			(191	)		-			30,701
Principal charge-offs		(11,527	)		-			11,527			-
Balance at December 31, 2022	$	7,538,525		$	(49,451	)	$	(60,300	)	$	7,428,774
General CECL reserve							.				(68,347	)
Carrying Value										$	7,360,427

(1)

Balance at December 31, 2021 does not include general CECL reserve.

During the three months ended September 30, 2023, we sold a senior loan secured by a hospitality property in Austin, TX, with a carrying value of $121.9 million and an unpaid principal balance of $122.5 million, resulting in gross proceeds of $122.5 million and a realized gain of $0.6 million. Prior to the sale, the loan was ascribed a risk rating of 3. The financial asset was legally isolated, control of the financial asset has been transferred to the transferee, the transfer imposed no condition that would constrain the transferee from pledging the financial asset received, and we have no continuing involvement with the transferred financial asset. We have determined the transaction constituted a sale.

During the three months ended September 30, 2023, we sold a senior loan with a carrying value prior to any specific CECL reserves of $137.2 million and an unpaid principal balance of $137.6 million, resulting in gross proceeds of $65.0 million and a principal

charge-off of $73.0 million. The loan, which was comprised of a portfolio of uncrossed loans, was collateralized by a portfolio of multifamily properties located in San Francisco, CA. Prior to this sale, we had recorded a $37.1 million specific CECL reserve against this loan based upon the estimated fair value of the loan’s collateral portfolio. The $73.0 million principal charge-off follows the recognition of an incremental specific CECL reserve of $35.9 million. During 2023 and through the date of sale, this loan was ascribed a risk rating of 5, was on non-accrual status, and we received $1.1 million which was treated as a reduction of our carrying value. The financial asset was legally isolated, control of the financial asset has been transferred to the transferee and the transfer imposed no condition that would constrain the transferee from pledging the financial asset received. Concurrent with the sale, we entered into an agreement with the transferee which provides for a share of cash flows from the senior loan upon the transferee meeting certain financial metrics. As of December 31, 2023, we have not recognized any value to this interest on our consolidated financial statements. We have obtained a true-sale-at-law opinion and have determined the transaction constituted a sale.

Through CMTG/TT, a previously consolidated joint venture, we held a 51% interest in a $78.5 million subordinate loan secured by land in New York, NY which had been on non-accrual status since October 2021. During the third quarter of 2022, we directly acquired the $73.5 million senior position of the loan and converted the whole loan from a land loan into a construction loan to finance the development of a hotel. The borrower simultaneously committed additional equity to the project. Immediately following the conversion of the loan, we hold $115.3 million of total loan commitments, of which $78.5 million has been funded and is included in loans receivable held-for-investment on our consolidated balance sheet as of December 31, 2023, as well as 51% of the $78.5 million subordinate loan held through CMTG/TT which is accounted for under the equity method of accounting on our consolidated financial statements. See Note 4 - Equity Method Investment for further detail.

During the three months ended December 31, 2023, we modified a loan with a borrower that was experiencing financial difficulties, resulting in a maturity extension to June 10, 2024. As of December 31, 2023, the loan had total commitments and an amortized cost basis of $76.4 million, respectively, represents approximately 1.1% of total loans receivable held-for-investment and is current on interest payments. The loan is considered in determining our general CECL reserve.

During the three months ended June 30, 2022, we modified a loan with a borrower that was experiencing financial difficulties, resulting in a decrease in the index rate floor from 1.57% to 1.00% and modified extension requirements. During the year ended December 31, 2022, we further modified this loan to provide for a maturity extension to September 18, 2023. As of December 31, 2023, the loan had total commitments and an amortized cost basis of $87.8 million, respectively, represents approximately 1.3% of total loans receivable held-for-investment, is current on interest payments, and is in maturity default. The loan is considered in determining our general CECL reserve.

Our loans receivable held-for-sale as of December 31, 2023 were comprised of the following loans ($ in thousands):


Property Type	Location	Loan Commitment		Unpaid Principal Balance		Carrying Value Before Principal Charge-Off		Principal Charge-Off			Held-For-Sale Carrying Value
For Sale Condo	FL	$	160,000	$	158,180	$	157,346	$	-		$	157,346
Multifamily	FL		77,115		76,580		76,275		-			76,275
Mixed-Use	FL		141,791		36,773		35,556		(7,468	)		28,088
Total		$	378,906	$	271,533	$	269,177	$	(7,468	)	$	261,709

In January of 2024, we sold these three senior loans to an unaffiliated purchaser. The principal charge-off follows the recognition of an incremental specific CECL reserve in the same amount and is allocated and attributable to the construction status of one loan’s collateral asset and such loan’s $105.0 million of remaining unfunded commitments. As of September 30, 2023, the loans were ascribed loan risk ratings ranging from 2 to 3. As of December 31, 2023, we determined that these loans met the held-for-sale criteria and were not considered in determining our general CECL reserve.

Concentration of Risk

The following table presents our loans receivable held-for-investment by loan type, as well as property type and geographic location of the properties collateralizing these loans as of December 31, 2023 and 2022 ($ in thousands):


	December 31, 2023						December 31, 2022
Loan Type	Carrying Value (1)			Percentage			Carrying Value (2)			Percentage
Senior loans(3)	$	6,792,666			98	%	$	7,241,159			97	%
Subordinate loans		155,130			2	%		187,615			3	%
	$	6,947,796			100	%	$	7,428,774			100	%
General CECL reserve	$	(70,371	)				$	(68,347	)
	$	6,877,425					$	7,360,427

Property Type	Carrying Value (1)			Percentage			Carrying Value (2)			Percentage
Multifamily	$	2,829,436			41	%	$	3,044,892			41	%
Hospitality		1,339,067			19	%		1,551,946			20	%
Office		961,744			14	%		1,086,018			15	%
Mixed-Use(4)		596,919			9	%		615,599			8	%
Land		518,252			7	%		426,645			6	%
Other		482,582			7	%		269,464			4	%
For Sale Condo		219,796			3	%		434,210			6	%
	$	6,947,796			100	%	$	7,428,774			100	%
General CECL reserve	$	(70,371	)				$	(68,347	)
	$	6,877,425					$	7,360,427

Geographic Location	Carrying Value (1)			Percentage			Carrying Value (2)			Percentage
United States
West	$	2,518,716			35	%	$	2,450,710			33	%
Northeast		1,861,239			27	%		1,999,648			27	%
Mid Atlantic		761,588			11	%		809,908			11	%
Southeast		735,011			11	%		1,008,590			14	%
Southwest		592,324			9	%		694,887			9	%
Midwest		477,019			7	%		461,531			6	%
Other		1,899			0	%		3,500			0	%
	$	6,947,796			100	%	$	7,428,774			100	%
General CECL reserve	$	(70,371	)				$	(68,347	)
	$	6,877,425					$	7,360,427

(1)

Net of specific CECL reserves of $72.6 million at December 31, 2023.

(2)

Net of specific CECL reserves of $60.3 million at December 31, 2022.

(3)

Senior loans include senior mortgages and similar credit quality loans, including related contiguous subordinate loans (if any) and pari passu participations in senior mortgage loans.

(4)

At December 31, 2023, mixed-use comprises of 3% office, 2% retail, 2% multifamily, 1% hospitality, and immaterial amounts of for sale condo. At December 31, 2022, mixed-use comprises of 4% office, 2% retail, 1% for sale condo, 1% multifamily, and immaterial amounts of hospitality and signage components.

Interest Income and Accretion

The following table summarizes our interest and accretion income from our loan portfolio and interest on cash balances for the years ended December 31, 2023, 2022 and 2021 ($ in thousands):


	Year Ended
	December 31, 2023		December 31, 2022		December 31, 2021
Coupon interest	$	662,789	$	441,320	$	386,731
Accretion of fees		22,809		24,967		26,487
Interest on cash, cash equivalents, and other income		12,276		4,381		2,045
Total interest and related income(1)	$	697,874	$	470,668	$	415,263

(1)

We recognized $1.6 million, $5.1 million, and $7.3 million in pre-payment penalties and accelerated fees during the years ended December 31, 2023, 2022, and 2021, respectively.

Loan Risk Ratings

As further described in Note 2 – Summary of Significant Accounting Policies, we evaluate the credit quality of our loan portfolio on a quarterly basis. In conjunction with our quarterly loan portfolio review, we assess the risk factors of each loan and assign a risk rating based on several factors, including current loan-to-value, debt yield, structure, cash flow volatility, exit plan, current market conditions and sponsorship level. While evaluating the credit quality of each loan within our portfolio, we assess these quantitative and qualitative factors as a whole and with no pre-prescribed weight on their impact to our determination of a loan’s risk rating. However, based upon the facts and circumstances for each loan and the current market conditions, we may consider certain previously mentioned factors more or less relevant than others. Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined in Note 2 – Summary of Significant Accounting Policies.

The following tables allocate the principal balance and carrying value of our loans receivable held-for-investment based on our internal risk ratings as of December 31, 2023 and 2022 ($ in thousands):


December 31, 2023
Risk Rating	Number of Loans	Unpaid Principal Balance		Carrying Value (1)			% of Total of Carrying Value
1	-	$	-	$	-			0	%
2	-	-		-				0	%
3	45		5,169,731		5,148,188			74	%
4	15		1,536,748		1,534,829			22	%
5	5		338,045		264,779			4	%
	65	$	7,044,524	$	6,947,796			100	%
General CECL reserve					(70,371	)
				$	6,877,425

(1)

Net of specific CECL reserves of $72.6 million.


December 31, 2022
Risk Rating	Number of Loans	Unpaid Principal Balance		Carrying Value (1)			% of Total of Carrying Value
1	-	$	-	$	-			0	%
2	1		927		913			0	%
3	63		6,181,207		6,136,300			83	%
4	10		1,005,345		1,001,235			13	%
5	3		351,046		290,326			4	%
	77	$	7,538,525	$	7,428,774			100	%
General CECL reserve					(68,347	)
				$	7,360,427

(1)

Net of specific CECL reserves of $60.3 million.

As of December 31, 2023 and 2022, the average risk rating of our portfolio was 3.3 and 3.2, respectively, weighted by unpaid principal balance.

The following table presents the carrying value and significant characteristics of our loans receivable held-for-investment on non-accrual status as of December 31, 2023 ($ in thousands):


Property Type	Location	Risk Rating	Unpaid Principal Balance		Carrying Value Before Specific CECL Reserve		Specific CECL Reserve			Net Carrying Value		Interest Recognition Method / as of Date
Multifamily	CA	4	$	214,479	$	212,877	$	-		$	212,877	Cost recovery/ 10/1/2023
Land(1)	VA	5		151,326		151,326		(31,226	)		120,100	Cost recovery/ 1/1/2023
Office(2)	CA	5		112,442		112,163		(20,523	)		91,640	Cash basis/ 4/1/2023
Office	CA	4		98,214		97,827		-			97,827	Cost recovery/ 9/1/2023
Office	GA	5		71,492		71,094		(19,954	)		51,140	Cost recovery/ 9/1/2023
Land	NY	4		67,000		67,000		-			67,000	Cash basis/ 11/1/2021
Other	Other	5		1,899		1,899		-			1,899	Cost recovery/ 7/1/2020
Other	NY	5		886		884		(884	)		-	Cost recovery/ 6/30/2023
Total non-accrual (3)(4)			$	717,738	$	715,070	$	(72,587	)	$	642,483

(1)

During the quarter ended June 30, 2023, this loan was reclassified from a hospitality loan to a land loan based on the state of the collateral.

(2)

Interest income of $0.3 million was recognized on a cash basis for this loan while on non-accrual status during the year ended December 31, 2023.

(3)

Loans classified as non-accrual represented 9.2% of our total loans receivable held-for-investment at December 31, 2023, based on carrying value net of any specific CECL reserves. Excludes four loans with an aggregate carrying value of $490.2 million that are in maturity default but remain on accrual status as the borrower is either current on interest payments or interest is deemed collectible based on the underlying collateral value. Additionally, as of December 31, 2023, we have one loan with an aggregate carrying value of $78.4 million that is delinquent on interest payments but remains on accrual status as the interest is deemed collectible based on the underlying collateral value.

(4)

As of December 31, 2023, loans on non-accrual status had aggregate unfunded loan commitments of $75.1 million.

The following table presents the carrying value and significant characteristics of our loans receivable held-for-investment on non-accrual status as of December 31, 2022 ($ in thousands):


Property Type	Location	Risk Rating	Unpaid Principal Balance		Carrying Value Before Specific CECL Reserve		Specific CECL Reserve			Net Carrying Value		Interest Recognition Method / as of Date
Mixed-Use (1)	NY	5	$	208,797	$	208,797	$	(42,007	)	$	166,790	Cash basis/ 11/1/2022
Multifamily (2)	CA	5		138,749		138,329		(18,293	)		120,036	Cost recovery/ 12/1/2022
Land	NY	4		67,000		67,000		-			67,000	Cash basis/ 11/1/2021
Other	Other	5		3,500		3,500		-			3,500	Cost recovery/ 7/1/2020
Total non-accrual (3)(4)			$	418,046	$	417,626	$	(60,300	)	$	357,326

(1)

Interest income of $1.1 million was recognized on a cash basis for this loan while on non-accrual status during the year ended December 31, 2022. On June 30 2023, we obtained legal title to the collateral property of this loan through an assignment-in-lieu of foreclosure. See Note 5 - Real Estate Owned for further detail.

(2)

During the three months ended September 30, 2023, we sold this loan resulting in gross proceeds of $65.0 million and a principal charge-off of $73.0 million.

(3)

Loans classified as non-accrual represented 4.8% of the total loans receivable held-for-investment at December 31, 2022, based on carrying value. Excludes three loans with an aggregate carrying value of $360.0 million that remain on accrual status but are in maturity default.

(4)

As of December 31, 2022, loans on non-accrual status had aggregate unfunded loan commitments of $17.5 million.

Current Expected Credit Losses

The current expected credit loss reserve required under GAAP reflects our current estimate of potential credit losses related to our loan commitments. See Note 2 for further detail of our current expected credit loss reserve methodology.

The following table illustrates the changes in the current expected credit loss reserve for our loans receivable held-for-investment for the years ended December 31, 2023 and 2022, respectively ($ in thousands):


				General CECL Reserve
	Specific CECL Reserve			Loans Receivable Held-for-Investment		Interests in Loans Receivable Held-for-Investment			Accrued Interest Receivable			Unfunded Loan Commitments (1)			Total General CECL Reserve			Total CECL Reserve
Total reserve, December 31, 2021	$	6,333		$	60,677	$	14		$	218		$	6,286		$	67,195		$	73,528
Increase (reversal)		65,494			7,670		(14	)		(218	)		11,429			18,867			84,361
Principal charge-offs		(11,527	)		-		-			-			-			-			(11,527	)
Total reserve, December 31, 2022	$	60,300		$	68,347	$	-		$	-		$	17,715		$	86,062		$	146,362
Increase (reversal)		159,648			2,024		-			-			(7,989	)		(5,965	)		153,683
Principal charge-offs		(147,361	)		-		-			-			-			-			(147,361	)
Total reserve, December 31, 2023	$	72,587		$	70,371	$	-		$	-		$	9,726		$	80,097		$	152,684
Reserve at, December 31, 2023 (2)		1.0	%													1.2	%		2.2	%

(1)

The CECL reserve for unfunded commitments is included in other liabilities on the consolidated balance sheets.

(2)

Represents CECL reserve as a percent of total unpaid principal balance of loans receivable held-for-investment as of December 31, 2023.

During the year ended December 31, 2023, we recorded a provision for current expected credit losses of $153.7 million, which consisted of a $159.6 million increase in our specific CECL reserve prior to principal charge-offs, and a reversal of $6.0 million of general CECL reserves. The reversal of general CECL reserves was primarily attributable to the seasoning of our portfolio and a reduction in the size of our loan portfolio subject to determination of the general CECL reserve, partially offset by deteriorating macroeconomic conditions. As of December 31, 2023, our total current expected credit loss reserve was $152.7 million. See discussion above regarding principal charge-offs related to loans classified as held-for-sale as of December 31, 2023.

During the year ended December 31, 2022, we recorded a provision for current expected credit losses of $84.4 million, which consisted of a $65.5 million increase in our specific CECL reserve prior to a principal charge-off, and an increase of $18.9 million in our general CECL reserve. The increase in the total current expected credit loss reserve was primarily attributable to additional specific CECL reserves, an increase in the size of the portfolio and deteriorating macroeconomic conditions. As of December 31, 2022, our total current expected credit loss reserve was $146.4 million.

Specific CECL Reserves

The following table presents a summary of our loans receivable held-for-investment with specific CECL reserves as of December 31, 2023 ($ in thousands):


Property Type	Location	Unpaid Principal Balance		Carrying Value Before Specific CECL Reserve		Specific CECL Reserve		Net Carrying Value
Land	VA	$	151,326	$	151,326	$	31,226	$	120,100
Office	CA		112,442		112,163		20,523		91,640
Office	GA		71,492		71,094		19,954		51,140
Other	NY		886		884		884		-
Total		$	336,146	$	335,467	$	72,587	$	262,880

During the three months ended September 30, 2023, we recorded a specific CECL reserve of $30.6 million in connection with a senior loan with a borrower that is experiencing financial difficulty and the loan is in maturity default. During the three months ended December 31, 2023, we recorded additional specific CECL reserves totaling $0.6 million as a result of protective advances made during the quarter, resulting in a total specific CECL reserve of $31.2 million. The loan is secured by land in Arlington, VA and as of December 31, 2023, has an unpaid principal balance and carrying value prior to any specific CECL reserve of $151.3 million and is in maturity default. Effective January 1, 2023, this loan was placed on non-accrual status.

During the three months ended September 30, 2023, we recorded a specific CECL reserve of $20.6 million in connection with a senior loan with a borrower that is experiencing financial difficulty. During the three months ended December 31, 2023, we reduced the specific CECL reserve based on changes to the collateral value, resulting in a total specific CECL reserve of $20.5 million. The loan is secured by an office building in San Francisco, CA and a pledge of equity interests therein. As of December 31, 2023, this loan has an unpaid principal balance and carrying value prior to any specific CECL reserve of $112.4 million and $112.2 million, respectively, and an initial maturity date of February 13, 2024. Effective September 1, 2023, this loan was placed on non-accrual status.

During the three months ended September 30, 2023, we recorded a specific CECL reserve of $19.8 million in connection with a senior loan with a borrower that is experiencing financial difficulty. During the three months ended December 31, 2023, we reduced the specific CECL reserve based on changes to the collateral value, resulting in a total specific CECL reserve of $20.0 million. The loan is secured by an office building in Atlanta, GA and a pledge of equity interests therein. As of December 31, 2023, this loan has an unpaid principal balance and carrying value prior to any specific CECL reserve of $71.5 million and $71.1 million, respectively, and an initial maturity date of August 27, 2024. Effective September 1, 2023, this loan was placed on non-accrual status.

During the three months ended June 30, 2023, we recorded a specific CECL reserve of $0.9 million in connection with a subordinate loan with a borrower that is experiencing financial difficulty and the loan is in maturity default. The loan is secured by the equity interests in a retail condo in Brooklyn, NY and, as of December 31, 2023, has an unpaid principal balance and carrying value prior to any specific CECL reserve of $0.9 million and is in maturity default. Effective June 30, 2023, the loan was placed on non-accrual status.

During the three months ended December 31, 2022, we recorded a specific CECL reserve of $18.3 million in connection with a senior loan with a borrower that was experiencing financial difficulty. The loan had a then unpaid principal balance of $138.8 million,

a carrying value prior to any specific CECL reserve of $138.3 million and an initial maturity date of August 8, 2024. The loan, which was comprised of a portfolio of uncrossed loans, was collateralized by a portfolio of multifamily properties located in San Francisco, CA. During the three months ended June 30, 2023, we recorded an additional specific CECL reserve of $18.8 million due to a revised valuation of the collateral properties. During the three months ended September 30, 2023, we sold the loan and recorded a principal charge-off of $73.0 million following the recognition of an incremental specific CECL reserve of $35.9 million due to a further decline in the value of the collateral properties. Effective December 1, 2022 and through the date of the loan sale, the loan was placed on non-accrual status. Prior to the loan sale and while the loan was on non-accrual status during 2023, we received payments of $1.1 million which were treated as a reduction in our carrying value.

During the three months ended December 31, 2022, we recorded a specific CECL reserve of $42.0 million in connection with a senior loan with a borrower that was experiencing financial difficulty. The loan was secured by a mixed-use building in New York, NY and a pledge of equity interests therein with an unpaid principal balance and carrying value prior to any specific CECL reserve of $208.8 million and an initial maturity date of February 1, 2023. On June 30, 2023, we obtained legal title to the collateral through an assignment-in-lieu of foreclosure and during the three months ended June 30, 2023 we recorded an additional specific CECL reserve of $24.9 million prior to a principal charge-off of $66.9 million. See Note 5 - Real Estate Owned for further detail. Effective November 1, 2022 and through the date of the assignment-in-lieu of foreclosure, this loan was on placed non-accrual status. Prior to obtaining legal title to the collateral and while the loan was on non-accrual status during 2023, we recognized $8.3 million of interest income.

Fair market values used to determine specific CECL reserves are calculated using a discounted cash flow model, a sales comparison approach, or a market capitalization approach. Estimates of fair market values used to determine specific CECL reserves as of December 31, 2023 include assumptions of property specific cash flows over estimated holding periods, assumptions of property redevelopment costs, discount rates ranging from 7.5% to 9.5%, and market and terminal capitalization rates ranging from 6.0% to 8.3%. These assumptions are based upon the nature of the properties, recent sales and lease comparables, and anticipated real estate and capital market conditions.

Our primary credit quality indicator for our current loan portfolio is our internal risk rating, which is discussed in detail above. The following table presents the carrying value of our loans receivable held-for-investment as of December 31, 2023 by year of origination and risk rating ($ in thousands):


				Carrying Value by Origination Year as of December 31, 2023
Risk Rating	Number of Loans	Carrying Value (1)		2023		2022		2021		2020		2019		2018
1	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-
2	-		-		-		-		-		-		-		-
3	45		5,148,188		100,886		2,091,992		1,483,191		-		1,023,046		449,073
4	15		1,534,829		-		498,306		165,266		87,750		513,629		269,878
5	5		264,779		-		-		51,140		91,640		1,899		120,100
	65	$	6,947,796	$	100,886	$	2,590,298	$	1,699,597	$	179,390	$	1,538,574	$	839,051
Charge-Offs(2)		$	-	$	-	$	-	$	7,468	$	-	$	72,958	$	66,935

(1) Net of specific CECL reserves of $72.6 million.

(2) Principal charge-offs recognized in connection with an anticipated sale of three senior loans receivable as of December 31, 2023, a sale of a senior loan receivable during the three months ended September 30, 2023 and an assignment-in-lieu of foreclosure of a mixed-use property during the three months ended June 30, 2023. See prior discussion of loan sales and Note 5 - Real Estate Owned for further detail.

The following table details overall statistics for our loans receivable held-for-investment:


	December 31, 2023			December 31, 2022
Weighted average yield to maturity(1)		9.1	%		8.6	%
Weighted average term to initial maturity	1.2 years			1.6 years
Weighted average term to fully extended maturity(2)	2.6 years			3.2 years

(1)

Represents the weighted average annualized yield to initial maturity of each loan, inclusive of coupon, and fees received, based on the applicable floating benchmark rate/floors (if applicable), in place as of December 31, 2023. For loans placed on non-accrual, the annualized yield to initial maturity used in calculating the weighted average annualized yield to initial maturity is 0%.

(2)

Term to fully extended maturity is determined based on the maximum maturity of each of the corresponding loans, assuming all extension options are exercised by the borrower; provided, however, that our loans may be repaid prior to such date.