
December 31, 2023	Carrying Value		Face Amount		Weighted Average Coupon (1)		Weighted Average Life (“WAL”) (years)(2)
Loans held-for-investment:
Commercial loans:
First mortgages (3)	$	14,956,646	$	15,005,827	9.0	%	2.8
Subordinated mortgages (4)	76,560		76,882		14.8	%	2.2
Mezzanine loans (3)	273,146		274,899		13.7	%	2.7
Other	71,012		71,843		9.6	%	1.8
Total commercial loans	15,377,364		15,429,451
Infrastructure first priority loans	2,505,924		2,550,244		9.5	%	3.9

Total loans held-for-investment	17,883,288		17,979,695
Loans held-for-sale:
Residential, fair value option	2,604,594		2,909,126		4.5	%	N/A	(5)
Commercial, fair value option	41,043		45,400		5.5	%	5.2

Total loans held-for-sale	2,645,637		2,954,526
Total gross loans	20,528,925		$	20,934,221
Credit loss allowances:
Commercial loans held-for-investment	(298,775)
Infrastructure loans held-for-investment	(10,264)
Total allowances	(309,039)
Total net loans	$	20,219,886

December 31, 2022
Loans held-for-investment:
Commercial loans:
First mortgages (3)	$	15,562,452	$	15,648,358	7.9	%	3.3
Subordinated mortgages (4)	71,100		72,118		13.6	%	3.2
Mezzanine loans (3)	445,363		442,339		12.9	%	1.9
Other	58,393		59,393		8.2	%	1.7
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

(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. For commercial loans held-for-investment, the WAL is calculated assuming all extension options are exercised by the borrower, although our loans may be repaid prior to such date. For infrastructure loans, the WAL is calculated using the amounts and timing of future principal payments, as projected at origination or acquisition of each loan.

(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 $1.0 billion and $1.3 billion being classified as first mortgages as of December 31, 2023 and 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 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 economic cycles over a long period of time as well as average recovery rates. We categorize the results principally 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, 2023	2023		2022		2021		2020		2019		Prior
Commercial loans:
Credit quality indicator:
LTV < 60%	$	321,465	$	2,040,870	$	2,979,413	$	188,140	$	937,355	$	232,009	$	—	$	6,699,252	$	24,939
LTV 60% - 70%	518,912		1,937,799		3,522,841		97,805		85,287		318,432		—		6,481,076		78,495
LTV > 70%	60,905		102,732		483,506		451,471		433,448		589,037		—		2,121,099		190,416
Credit deteriorated	—		—		—		—		—		4,925		—		4,925		4,925
Defeased and other	14,374		41,705		—		—		—		14,933		—		71,012		—
Total commercial	$	915,656	$	4,123,106	$	6,985,760	$	737,416	$	1,456,090	$	1,159,336	$	—	$	15,377,364	$	298,775
Infrastructure loans:
Credit quality indicator:
Power	$	441,646	$	—	$	106,343	$	72,687	$	276,795	$	442,784	$	3,213	$	1,343,468	$	4,099
Oil and gas	410,674		136,704		211,136		—		218,129		135,075		2,068		1,113,786		6,009
Other	48,670		—		—		—		—		—		—		48,670		156

Total infrastructure	$	900,990	$	136,704	$	317,479	$	72,687	$	494,924	$	577,859	$	5,281	$	2,505,924	$	10,264

Loans held-for-sale															2,645,637		—
Total gross loans															$	20,528,925	$	309,039

As of December 31, 2023, we had the following loans with a combined amortized cost basis of $488.9 million that were 90 days or greater past due at December 31, 2023: (i) a $252.0 million senior mortgage loan on an office building in Houston, Texas; (ii) a $122.3 million senior mortgage loan on an office building in Washington, DC; (iii) a $37.8 million leasehold mortgage loan on a luxury resort in California destroyed by wildfire; (iv) $67.6 million of residential loans; and (v) 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 December 31, 2023 with the exception of (i).

We also had the following loans on nonaccrual that were not 90 days or greater past due as of December 31, 2023: (i) a $185.4 million senior loan on a retail and entertainment project in New Jersey, of which $7.3 million was previously converted into equity interests (in 2023, $54.9 million was received from the borrower which reduced the carrying values of both the senior loan and one of the equity interests (see Note 8)); and (ii) a $124.3 million senior mortgage loan on an office building in Arlington, Virginia. These loans were not considered credit deteriorated as we presently expect to recover all amounts due.

In December 2023, we obtained control over the pledged equity interests of a mezzanine borrower entity related to a multifamily property in the Pacific Northwest, which resulted in our consolidating the mezzanine borrower entity including the underlying property collateral. The net carrying value of our loans related to this property totaled $60.8 million and consisted of first mortgage and mezzanine loans which are now eliminated in consolidation. In connection with the consolidation of the mezzanine borrower entity, we recorded properties of $60.8 million in accordance with the asset acquisition provisions of ASC 805.

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. During the year ended December 31, 2023, we made modifications to three loans which are disclosable under ASU 2022-02, Troubled Debt Restructurings and Vintage Disclosures, as they involved an other-than-insignificant payment delay or an interest rate reduction for a borrower experiencing financial difficulty. For a $197.2 million first mortgage loan on an office park in California, we granted a 19-month term extension and provided a $25.1 million preferred equity commitment (of which $15.5 million was unfunded as of December 31, 2023), principally to fund property improvements and lease-up costs prior to the loan’s extended maturity. The other two modifications were as follows: (i) for a $95.5 million first mortgage loan on an office campus in Pennsylvania, the interest rate was reduced to a fixed rate of 6.00% (the reduction was partially recaptured in a new exit fee), with the borrower contributing $2.5 million; and (ii) for a $44.9 million first mortgage loan on a multifamily property in Arizona, the interest rate was reduced by 50 bps to SOFR plus 2.85%, with the borrower contributing $1.6 million. Each of the three loans has paid all contractual interest due as of December 31, 2023, and their modified terms were included in the determination of our general CECL reserve.


	Funded Commitments Credit Loss Allowance
	Loans Held-for-Investment						Total Funded Loans
	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)

Transfers	(257)			257			—
Credit loss allowance at December 31, 2021	46,600			20,670			67,270
Credit loss provision, net	42,201			6,848			49,049
Charge-offs	—			(16,906)		(2)	(16,906)


Credit loss allowance at December 31, 2022	88,801			10,612			99,413
Credit loss provision, net	222,266			10,446			232,712
Charge-offs (3)	(12,292)			(10,794)			(23,086)


Credit loss allowance at December 31, 2023	$	298,775		$	10,264		$	309,039

(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.

(3)Represents the net charge-off of (i) a $12.3 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) a $10.8 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 then nearly completed acquisition of the power plants. 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
	Commercial		Infrastructure		Interests (2)		CMBS (2)		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
Credit loss provision (reversal), net	3,057		(73)		—		52		3,036
Credit loss allowance at December 31, 2022	9,749		72		—		52		9,873
Credit loss (reversal) provision, net	(1,007)		492		1,548		22		1,055
Credit loss allowance at December 31, 2023	$	8,742	$	564	$	1,548	$	74	$	10,928
Memo: Unfunded commitments as of December 31, 2023 (3)	$	1,237,874	$	65,546	$	8,282	$	34,743	$	1,346,445


	Held-for-Investment Loans
Year Ended December 31, 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	1,713,979		1,002,908		—		757,355		3,474,242
Capitalized interest (1)	125,057		518		—		172		125,747
Basis of loans sold (2)	(53,000)		—		—		(813,104)		(866,104)
Loan maturities/principal repayments	(2,596,738)		(864,549)		—		(185,884)		(3,647,171)
Discount accretion/premium amortization	53,418		13,694		—		—		67,112
Changes in fair value	—		—		—		62,702		62,702
Foreign currency translation gain, net	152,869		603		—		—		153,472
Credit loss provision, net	(222,266)		(10,446)		—		—		(232,712)
Loan foreclosure and equity control	(101,845)		—		—		(929)		(102,774)		(3)
Transfer to/from other asset/liability classifications or between segments	(41,392)		—		—		40,731		(661)
Balance at December 31, 2023	$	15,078,589	$	2,495,660	$	—	$	2,645,637	$	20,219,886


	Held-for-Investment Loans
Year Ended December 31, 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	4,882,414		661,598		—		4,634,722		10,178,734
Capitalized interest (1)	121,500		503		1,639		508		124,150
Basis of loans sold (2)	(10,109)		(26,824)		—		(4,216,618)		(4,253,551)
Loan maturities/principal repayments	(1,764,638)		(293,264)		(7,623)		(193,105)		(2,258,630)
Discount accretion/premium amortization	52,939		9,618		—		—		62,557
Changes in fair value	—		—		(3,169)		(343,053)		(346,222)
Foreign currency translation loss, net	(304,051)		(2,895)		—		—		(306,946)
Credit loss provision, net	(42,201)		(6,848)		—		—		(49,049)
Loan foreclosure, equity control and conversion to equity interest	(273,929)		(16,382)		—		—		(290,311)		(4)
Transfer to/from other asset classifications or between segments	(63,616)		—		(50,072)		25,340		(88,348)		(5)
Balance at December 31, 2022	$	16,048,507	$	2,352,932	$	—	$	2,784,594	$	21,186,033



	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 loss, net	(71,419)		(711)		—		—		(72,130)
Credit loss (provision) reversal, net	7,947		(12,580)		—		—		(4,633)
Loan foreclosure and conversion to equity interest	(36,308)		—		—		—		(36,308)		(6)
Transfer to/from other asset classifications	(204,583)		123,701		(5,702)		611,360		524,776		(7)
Balance at December 31, 2021	$	13,450,198	$	2,027,426	$	59,225	$	2,876,800	$	18,413,649

(3)Represents (i) the $41.1 million carrying value of a mortgage loan on the retail portion of a hotel located in Chicago foreclosed in May 2023, (ii) the $60.8 million carrying value of a first mortgage and mezzanine loan on a multifamily property in the Pacific Northwest consolidated upon obtaining equity control in December 2023 and (iii) $0.9 million in residential mortgage loans foreclosed.

(4)Represents (i) the $50.2 million net carrying value of first mortgage and contiguous mezzanine loans related to an office building in Texas that is eliminated as a result of consolidating the net assets of the mezzanine borrower entity upon obtaining control over its pledged equity interests in May 2022, (ii) the $223.8 million principal amount of a senior loan secured by an office building in California foreclosed in December 2022 and (iii) the $16.4 million net carrying value of a senior loan participation in a natural gas-fired power plant in Massachusetts that was converted to an equity interest in December 2022.

(5)During the year ended December 2022, we repurchased at par $745.0 million of agency-eligible residential loans that were previously sold. The repurchase was subject to a contingency for which we recorded a contingency loss of $88.4 million within other loss, net in the consolidated statement of operations. At the time the loans were repurchased, this loss was utilized to reduce the carrying value of the loans to their estimated fair value.