
December 31, 2021	Carrying Value		Face Amount		Weighted Average Coupon (1)		Weighted Average Life (“WAL”) (years)(2)
Loans held-for-investment:
Commercial loans:
First mortgages (3)	$	12,991,099	$	13,067,524	4.6	%	1.9
Subordinated mortgages (4)	70,771		72,371		9.8	%	2.8
Mezzanine loans (3)	417,504		415,155		9.4	%	1.4
Other	17,424		19,029		8.2	%	2.1
Total commercial loans	13,496,798		13,574,079
Infrastructure first priority loans (5)	2,048,096		2,071,912		4.4	%	4.3
Residential loans, fair value option (6)	59,225		60,133		6.0	%	N/A	(7)
Total loans held-for-investment	15,604,119		15,706,124
Loans held-for-sale:
Residential, fair value option (6)	2,590,005		2,525,910		4.2	%	N/A	(7)
Commercial, fair value option	286,795		289,761		4.0	%	9.0

Total loans held-for-sale	2,876,800		2,815,671
Total gross loans	18,480,919		$	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

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 (5)	1,420,273		1,439,940		4.4	%	4.3
Residential loans, fair value option (6)	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 (6)	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 (5)	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

(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 $1.4 billion and $877.3 million being classified as first mortgages as of December 31, 2021 and 2020, respectively.

(5)During the year ended December 31, 2021, $61.3 million of infrastructure loans held-for-sale were reclassified into loans held-for-investment. During the year ended December 31, 2020, $104.3 million of infrastructure loans held-for-sale were reclassified into loans held-for-investment and $174.6 million of infrastructure loans held-for-investment were reclassified into loans held-for-sale.

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.

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.


	Term Loans Amortized Cost Basis by Origination Year												Revolving Loans Amortized Cost Total		Total Amortized Cost Basis		Credit Loss Allowance
As of December 31, 2021	2021		2020		2019		2018		2017		Prior
Commercial loans:
Credit quality indicator:
LTV < 60%	$	2,270,678	$	778,838	$	1,294,515	$	534,351	$	639,455	$	313,089	$	—	$	5,830,926	$	11,831
LTV 60% - 70%	3,766,294		248,021		1,127,493		571,726		—		82,329		—		5,795,863		21,502
LTV > 70%	737,069		273,417		379,452		395,793		—		61,929		—		1,847,660		8,342
Credit deteriorated	—		—		—		—		—		4,925		—		4,925		4,925
Defeased and other	—		—		—		—		—		17,424		—		17,424		—
Total commercial	$	6,774,041	$	1,300,276	$	2,801,460	$	1,501,870	$	639,455	$	479,696	$	—	$	13,496,798	$	46,600
Infrastructure loans:
Credit quality indicator:
Power	$	211,788	$	82,103	$	228,634	$	427,794	$	120,348	$	235,177	$	8,529	$	1,314,373	$	4,705
Oil and gas	297,588		15,442		241,866		97,471		45,068		—		1,903		699,338		5,844
Credit deteriorated	—		—		—		—		—		34,385		—		34,385		10,121
Total infrastructure	$	509,376	$	97,545	$	470,500	$	525,265	$	165,416	$	269,562	$	10,432	$	2,048,096	$	20,670
Residential loans held-for-investment, fair value option															59,225		—
Loans held-for-sale															2,876,800		—
Total gross loans															$	18,480,919	$	67,270

As of December 31, 2021, we had the following loans with a combined amortized cost basis of $456.5 million that were 90 days or greater past due at December 31, 2021: (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 9); (ii) a $219.8 million senior loan on an office building in California; (iii) a $9.2 million loan on a hospitality asset in New York that our Investing and Servicing Segment acquired as nonperforming in October 2021; and (iv) $28.4 million of residential loans. Loans on nonaccrual as of December 31, 2021 include (i) above and a $32.7 million mezzanine loan secured by an office building in Texas. We also own a participating interest in the senior mortgage loan which was current as of December 31, 2021. None of these loans are considered credit deteriorated as we presently expect to recover all amounts due.

As of December 31, 2021, we had the following loans with a combined amortized cost basis of $39.3 million which were deemed credit deteriorated and are on nonaccrual status: (i) a $34.4 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 December 31, 2021; and (ii) a $4.9 million subordinated loan secured by a department store in Chicago.

In April 2021, we foreclosed on certain credit deteriorated loans related to a residential conversion project located in New York City, which resulted in our obtaining physical possession of the underlying collateral. The net carrying value of the loans related to this project totaled $100.5 million and consisted of: (i) a first mortgage and mezzanine loan with a net carrying value of $71.5 million, for which we consolidated the underlying property collateral in October 2020 when we obtained control over certain pledged equity interests of the borrower; and (ii) a first mortgage loan with a net carrying value of $29.0 million that was not subject to the pledged equity interests and thus continued to be reflected as a loan on our consolidated balance sheet until the April 2021 foreclosure. See Note 7 for further detail.


	Funded Commitments Credit Loss Allowance
	Loans Held-for-Investment					Total Funded Loans
Year Ended December 31, 2021	Commercial			Infrastructure
Credit loss allowance at December 31, 2020	$	69,611		$	7,833	$	77,444
Credit loss (reversal) provision, net	(7,947)			12,580		4,633
Charge-offs	(14,807)		(1)	—		(14,807)
Recoveries	—			—		—
Transfers	(257)			257		—
Credit loss allowance at December 31, 2021	$	46,600		$	20,670	$	67,270


	Unfunded Commitments Credit Loss Allowance (2)
	Loans Held-for-Investment
Year Ended December 31, 2021	Commercial		Infrastructure		Total
Credit loss allowance at December 31, 2020	$	5,258	$	812	$	6,070
Credit loss provision (reversal), net	1,434		(667)		767
Credit loss allowance at December 31, 2021	$	6,692	$	145	$	6,837
Memo: Unfunded commitments as of December 31, 2021 (3)	$	2,236,598	$	15,430	$	2,252,028

(1)Relates to a $7.8 million unsecured promissory note deemed uncollectible in connection with a residential conversion project located in New York City and a $7.0 million subordinated mortgage note deemed uncollectible in connection with a vacant department store in the Chicago area. Both notes were previously considered credit deteriorated and were fully reserved at or prior to write-off.


	Held-for-Investment Loans
Year Ended December 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	7,822,441		817,104		—		5,351,034		13,990,579
Capitalized interest (1)	112,178		—		4,308		2,650		119,136
Basis of loans sold (2)	(307,454)		(12,678)		—		(3,856,736)		(4,176,868)
Loan maturities/principal repayments	(3,508,969)		(304,878)		(31,251)		(352,711)		(4,197,809)
Discount accretion/premium amortization	52,416		5,028		—		504		57,948
Changes in fair value	—		—		1,186		67,864		69,050
Foreign currency translation gain/(loss), net	(71,419)		(711)		—		—		(72,130)
Credit loss reversal (provision), net	7,947		(12,580)		—		—		(4,633)
Loan foreclosure and conversion to equity interest	(36,308)		—		—		—		(36,308)		(3)
Transfer to/from other asset classifications or between segments	(204,583)		123,701		(5,702)		611,360		524,776		(4)
Balance at December 31, 2021	$	13,450,198	$	2,027,426	$	59,225	$	2,876,800	$	18,413,649


	Held-for-Investment Loans
Year Ended December 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	2,753,782			278,694		100,720		2,204,203			5,337,399
Capitalized interest (1)	143,818			195		—		—			144,013
Basis of loans sold (2)	(443,793)			—		(604)		(2,862,606)			(3,307,003)
Loan maturities/principal repayments	(1,398,991)			(189,288)		(90,273)		(142,644)			(1,821,196)
Discount accretion/premium amortization	39,642			2,447		—		110			42,199
Changes in fair value	—			—		(15,382)		148,506			133,124
Foreign currency translation gain/(loss), net	102,748			1,096		—		(1,291)			102,553
Credit loss (provision) reversal, net	(48,711)			2,495		—		125			(46,091)
Transfer to/from other asset classifications	(71,488)		(5)	(70,319)		(575,349)		822,282		(6)	105,126
Balance at December 31, 2020	$	9,583,949		$	1,412,440	$	90,684	$	1,052,835		$	12,139,908


									Loans Transferred As Secured Borrowings
	Held-for-Investment Loans
Year Ended December 31, 2019	Commercial		Infrastructure		Residential		Held-for-Sale Loans				Total Loans
Balance at December 31, 2018	$	7,075,577	$	1,456,779	$	—	$	1,187,552	$	74,346	$	9,794,254
Acquisitions/originations/additional funding	4,161,584		902,053		394,697		3,636,380		—		9,094,714
Capitalized interest (1)	110,632		—		—		—		—		110,632
Basis of loans sold (2)	(743,425)		—		(106)		(3,567,859)		—		(4,311,390)
Loan maturities/principal repayments	(2,172,068)		(832,998)		(62,704)		(162,376)		(74,692)		(3,304,838)
Discount accretion/premium amortization	30,128		2,072		—		2,841		346		35,387
Changes in fair value	—		—		(1,314)		72,915		—		71,601
Foreign currency translation gain/(loss), net	38,050		—		—		2,105		—		40,155
Credit loss provision, net	(2,616)		(3,314)		—		(1,196)		—		(7,126)
Loan foreclosures	(27,303)		—		—		—		—		(27,303)
Transfer to/from other asset classifications	46,495		(127,144)		340,999		(286,212)		—		(25,862)
Balance at December 31, 2019	$	8,517,054	$	1,397,448	$	671,572	$	884,150	$	—	$	11,470,224