
September 30, 2023	Carrying Value		Face Amount		Weighted Average Coupon (1)		Weighted Average Life (“WAL”) (years)(2)
Loans held-for-investment:
Commercial loans:
First mortgages (3)	$	14,812,543	$	14,887,200	9.0	%	1.3
Subordinated mortgages (4)	75,097		75,617		14.8	%	1.1
Mezzanine loans (3)	246,968		248,518		13.5	%	1.6
Other	87,193		88,339		9.6	%	1.6
Total commercial loans	15,221,801		15,299,674
Infrastructure first priority loans	2,283,724		2,334,472		9.6	%	4.0

Total loans held-for-investment	17,505,525		17,634,146
Loans held-for-sale:
Residential, fair value option	2,499,681		2,954,536		4.5	%	N/A	(5)
Commercial, fair value option	102,584		107,997		7.0	%	6.1

Total loans held-for-sale	2,602,265		3,062,533
Total gross loans	20,107,790		$	20,696,679
Credit loss allowances:
Commercial loans held-for-investment	(261,914)
Infrastructure loans held-for-investment	(9,406)
Total allowances	(271,320)
Total net loans	$	19,836,470

December 31, 2022
Loans held-for-investment:
Commercial loans:
First mortgages (3)	$	15,562,452	$	15,648,358	7.9	%	1.7
Subordinated mortgages (4)	71,100		72,118		13.6	%	1.8
Mezzanine loans (3)	445,363		442,339		12.9	%	1.0
Other	58,393		59,393		8.2	%	1.4
Total commercial loans	16,137,308		16,222,208
Infrastructure first priority loans	2,363,544		2,395,762		8.6	%	3.9

Total loans held-for-investment	18,500,852		18,617,970
Loans held-for-sale:
Residential, fair value option	2,763,458		3,092,915		4.5	%	N/A	(5)
Commercial, fair value option	21,136		23,900		5.7	%	8.6

Total loans held-for-sale	2,784,594		3,116,815
Total gross loans	21,285,446		$	21,734,785
Credit loss allowances:
Commercial loans held-for-investment	(88,801)
Infrastructure loans held-for-investment	(10,612)
Total allowances	(99,413)
Total net loans	$	21,186,033

(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 $1.1 billion and $1.3 billion being classified as first mortgages as of September 30, 2023 and December 31, 2022, respectively.

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 conditions (i.e. Gross Domestic Product, employment and interest rates) which apply broadly across all assets. For instance, although the office sector has been adversely affected by the increase in remote working arrangements and the retail sector has been adversely affected by electronic commerce, the broad macroeconomic forecasts do not account for such differentiation. Accordingly, we have selected more adverse macroeconomic recovery forecasts related to office and retail properties than for other property types in determining our credit loss allowance. We have also selected a more adverse macroeconomic recovery forecast for those properties which are experiencing more challenges than their general property type or asset class.

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

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 September 30, 2023	2023		2022		2021		2020		2019		Prior
Commercial loans:
Credit quality indicator:
LTV < 60%	$	265,245	$	1,937,607	$	3,101,829	$	188,077	$	991,760	$	206,365	$	—	$	6,690,883	$	24,768
LTV 60% - 70%	85,019		1,911,675		3,526,879		94,397		102,782		386,971		—		6,107,723		73,696
LTV > 70%	40,008		102,433		653,348		440,349		433,034		637,766		—		2,306,938		158,525
Credit deteriorated	—		—		—		—		—		29,065		—		29,065		4,925
Defeased and other	30,374		41,543		—		—		—		15,275		—		87,192		—
Total commercial	$	420,646	$	3,993,258	$	7,282,056	$	722,823	$	1,527,576	$	1,275,442	$	—	$	15,221,801	$	261,914
Infrastructure loans:
Credit quality indicator:
Power	$	288,797	$	—	$	107,644	$	75,616	$	278,309	$	465,377	$	5,757	$	1,221,500	$	3,722
Oil and gas	216,509		123,212		346,269		—		188,682		134,959		2,048		1,011,679		5,483
Other	48,744		—		—		—		—		—		—		48,744		201
Credit deteriorated	—		—		—		—		—		1,801		—		1,801		—
Total infrastructure	$	554,050	$	123,212	$	453,913	$	75,616	$	466,991	$	602,137	$	7,805	$	2,283,724	$	9,406

Loans held-for-sale															2,602,265		—
Total gross loans															$	20,107,790	$	271,320

As of September 30, 2023, we had the following loans with a combined amortized cost basis of $229.9 million that were 90 days or greater past due at September 30, 2023: (i) a $122.2 million senior mortgage loan on an office building in Washington, DC; (ii) a $37.8 million leasehold mortgage loan on a luxury resort in California destroyed by wildfire; (iii) $60.7 million of residential loans; and (iv) a $9.2 million loan on a hospitality asset in New York City that our Investing and Servicing Segment acquired as nonperforming in October 2021. All of these loans were on nonaccrual as of September 30, 2023.

We also had the following loans on nonaccrual that were not 90 days or greater past due as of September 30, 2023: (i) a $220.1 million senior loan on a retail and entertainment project in New Jersey, of which $7.3 million was previously converted into equity interests (see Note 8); and (ii) a $60.8 million mortgage and mezzanine loan on a multifamily property in Portland, Oregon. The loans were not considered credit deteriorated as we presently expect to recover all amounts due.

As of September 30, 2023, we had the following loans that were deemed credit deteriorated: (i) a $38.8 million commercial mortgage loan on an office and retail complex in Arizona for which we provided a $14.7 million specific credit loss allowance during the three months ended June 30, 2023, which was charged off in the same period; (ii) a $12.9 million infrastructure loan participation collateralized by a first priority lien on two natural gas fired power plants near Chicago for which we provided an $11.1 million specific credit loss allowance during the six months ended June 30, 2023, which was charged off during the three months ended September 30, 2023; and (iii) a $4.9 million commercial subordinated loan secured by a department store in Chicago which was fully reserved in prior years. All of these loans are on nonaccrual under the cost recovery method as of September 30, 2023.

In May 2023, we obtained a deed in lieu of foreclosure on a mortgage loan on the retail portion of a hotel located in Chicago, which resulted in our obtaining physical possession of the underlying collateral. The carrying value of the loan was $41.1 million. In connection therewith, we reclassified the carrying value of the loan (representing our acquisition cost of the underlying land, building and in-place leases) to properties ($36.8 million) and lease intangible assets ($4.3 million) in accordance with the asset acquisition provisions of ASC 805.

We may amend or modify a loan based on its specific facts and circumstances. These modifications are often in the form of a term extension to provide the borrower additional time to refinance or sell the collateral property in order to repay the principal balance of the loan. Such extensions are generally made at the loan’s contractual interest rate and may require an extension fee be paid to us. During the three and nine months ended September 30, 2023, we made one such modification which is disclosable under ASU 2022-02, Troubled Debt Restructurings and Vintage Disclosures, as it was considered an other-than-insignificant payment delay for a borrower experiencing financial difficulty. In this instance we granted a 19-month term extension for a fully funded mortgage loan on an office park in Irvine, CA which had an amortized cost basis of $197.2 million, representing 1.3% of our commercial loans as of September 30, 2023. In connection therewith, we also provided a $25.1 million preferred equity commitment (of which $19.6 million was unfunded as of September 30, 2023), principally to fund property improvements and lease-up costs prior to the loan’s extended maturity. The loan has paid all contractual interest due as of September 30, 2023 and its modified terms, including the preferred equity commitment, were included in the determination of our general CECL reserve.


	Funded Commitments Credit Loss Allowance
	Loans Held-for-Investment				Total Funded Loans
Nine Months Ended September 30, 2023	Commercial		Infrastructure
Credit loss allowance at December 31, 2022	$	88,801	$	10,612	$	99,413
Credit loss provision, net	187,775		9,900		197,675
Charge-offs (1)	(14,662)		(11,106)		(25,768)


Credit loss allowance at September 30, 2023	$	261,914	$	9,406	$	271,320

_____________________________________________________________________________________________________________________

(1)Represents the charge-off of (i) a $14.7 million credit loss allowance related to the portion of a credit deteriorated commercial mortgage loan on an office and retail complex in Arizona deemed uncollectible and (ii) an $11.1 million credit loss allowance related to the portion of a credit deteriorated infrastructure loan participation collateralized by a first priority lien on two natural gas fired power plants near Chicago, which was deemed uncollectible due to a third party’s nearly complete acquisition of the power plants (see discussion of both above). Such loans were originated in 2015 and 2017, respectively, with the infrastructure loan acquired as part of the Infrastructure Lending Segment acquisition in 2018.


	Unfunded Commitments Credit Loss Allowance (1)
	Loans Held-for-Investment				HTM Preferred
Nine Months Ended September 30, 2023	Commercial		Infrastructure		Interests (2)		CMBS (2)		Total
Credit loss allowance at December 31, 2022	$	9,749	$	72	$	—	$	52	$	9,873
Credit loss provision, net	3,141		342		6,695		88		10,266
Credit loss allowance at September 30, 2023	$	12,890	$	414	$	6,695	$	140	$	20,139
Memo: Unfunded commitments as of September 30, 2023 (3)	$	1,362,554	$	46,183	$	19,543	$	33,806	$	1,462,086


	Held-for-Investment Loans
Nine Months Ended September 30, 2023	Commercial		Infrastructure		Residential		Held-for-Sale Loans		Total Loans
Balance at December 31, 2022	$	16,048,507	$	2,352,932	$	—	$	2,784,594	$	21,186,033
Acquisitions/originations/additional funding	1,053,627		605,397		—		363,520		2,022,544
Capitalized interest (1)	91,641		389		—		172		92,202
Basis of loans sold (2)	(53,000)		—		—		(337,321)		(390,321)
Loan maturities/principal repayments	(1,903,021)		(683,053)		—		(137,916)		(2,723,990)
Discount accretion/premium amortization	40,733		10,298		—		—		51,031
Changes in fair value	—		—		—		(111,247)		(111,247)
Foreign currency translation loss, net	(48,362)		(1,745)		—		—		(50,107)
Credit loss provision, net	(187,775)		(9,900)		—		—		(197,675)
Loan foreclosure	(41,071)		—		—		(929)		(42,000)		(3)
Transfer to/from other asset classifications or between segments	(41,392)		—		—		41,392		—
Balance at September 30, 2023	$	14,959,887	$	2,274,318	$	—	$	2,602,265	$	19,836,470


	Held-for-Investment Loans
Nine Months Ended September 30, 2022	Commercial		Infrastructure		Residential		Held-for-Sale Loans		Total Loans
Balance at December 31, 2021	$	13,450,198	$	2,027,426	$	59,225	$	2,876,800	$	18,413,649
Acquisitions/originations/additional funding	4,410,306		597,092		—		3,793,467		8,800,865
Capitalized interest (1)	85,454		373		1,445		402		87,674
Basis of loans sold (2)	(6,330)		—		—		(4,056,511)		(4,062,841)
Loan maturities/principal repayments	(1,558,907)		(246,127)		(6,663)		(146,184)		(1,957,881)
Discount accretion/premium amortization	40,179		7,289		—		—		47,468
Changes in fair value	—		—		(485)		(326,252)		(326,737)
Foreign currency translation loss, net	(612,669)		(4,530)		—		—		(617,199)
Credit loss provision, net	(18,262)		(7,079)		—		—		(25,341)
Loan foreclosure and equity control	(50,151)		—		—		—		(50,151)		(4)
Transfer to/from other asset classifications or between segments	(63,616)		—		(346)		63,962		—
Balance at September 30, 2022	$	15,676,202	$	2,374,444	$	53,176	$	2,205,684	$	20,309,506