
March 31, 2024	Carrying Value		Face Amount		Weighted Average Coupon (1)		Weighted Average Life (“WAL”) (years)(2)
Loans held-for-investment:
Commercial loans:
First mortgages (3)	$	14,107,898	$	14,142,331	9.0	%	2.7
Subordinated mortgages (4)	77,495		77,619		14.8	%	2.1
Mezzanine loans (3)	296,699		298,400		13.9	%	2.4
Other	70,666		71,187		9.6	%	1.6
Total commercial loans	14,552,758		14,589,537
Infrastructure first priority loans (5)	2,385,750		2,429,790		9.4	%	3.7

Total loans held-for-investment	16,938,508		17,019,327
Loans held-for-sale:
Residential, fair value option	2,518,600		2,863,512		4.5	%	N/A	(6)
Commercial, fair value option	123,619		126,955		6.8	%	6.4
Infrastructure, lower of cost or fair value (5)	47,149		49,500		11.5	%	N/A
Total loans held-for-sale	2,689,368		3,039,967
Total gross loans	19,627,876		$	20,059,294
Credit loss allowances:
Commercial loans held-for-investment	(322,087)
Infrastructure loans held-for-investment	(9,559)
Total allowances	(331,646)
Total net loans	$	19,296,230

December 31, 2023
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	(6)
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

(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 being classified as first mortgages as of both March 31, 2024 and December 31, 2023.

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.

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 March 31, 2024	2024		2023		2022		2021		2020		Prior
Commercial loans:
Credit quality indicator:
LTV < 60%	$	—	$	39,940	$	2,030,997	$	2,722,811	$	188,168	$	1,082,498	$	—	$	6,064,414	$	18,658
LTV 60% - 70%	—		797,229		1,951,080		3,429,617		96,804		317,598		—		6,592,328		127,080
LTV > 70%	—		61,805		103,050		400,086		223,480		1,032,003		—		1,820,424		171,424
Credit deteriorated	—		—		—		—		—		4,925		—		4,925		4,925
Defeased and other	—		14,224		41,868		—		—		14,575		—		70,667		—
Total commercial	$	—	$	913,198	$	4,126,995	$	6,552,514	$	508,452	$	2,451,599	$	—	$	14,552,758	$	322,087
Infrastructure loans:
Credit quality indicator:
Power	$	—	$	390,601	$	—	$	104,679	$	68,445	$	734,584	$	13,506	$	1,311,815	$	3,674
Oil and gas	—		410,029		141,259		183,794		36,101		302,752		—		1,073,935		5,885


Total infrastructure	$	—	$	800,630	$	141,259	$	288,473	$	104,546	$	1,037,336	$	13,506	$	2,385,750	$	9,559

Loans held-for-sale															2,689,368		—
Total gross loans															$	19,627,876	$	331,646

As of March 31, 2024, we had the following loans with a combined amortized cost basis of $427.9 million that were 90 days or greater past due at March 31, 2024: (i) a $125.1 million senior mortgage loan on an office building in Arlington, Virginia; (ii) a $123.9 million senior mortgage loan on an office building in Washington, DC; (iii) a $51.5 million first mortgage and mezzanine loan on a multifamily property in Nashville, Tennessee; (iv) a $37.8 million leasehold mortgage loan on a luxury resort in California destroyed by wildfire; (v) $80.4 million of residential loans; and (vi) 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 March 31, 2024.

We also had the following loans on nonaccrual that were not 90 days or greater past due as of March 31, 2024: (i) a $185.4 million senior loan on a retail and entertainment project in New Jersey; and (ii) a $6.4 million junior mezzanine loan (commitment of $18.2 million) issued during the three months ended March 31, 2024 in connection with a loan modification on two connected office buildings in Washington, DC (see related discussion below). These loans were not considered credit deteriorated as we presently expect to recover all amounts due.

We may amend or modify a loan based on its specific facts and circumstances. During the three months ended March 31, 2024, we made modifications to three commercial loans described below, which are disclosable under ASU 2022-02, Troubled Debt Restructurings and Vintage Disclosures, as they involved an other-than-insignificant payment delay and/or an interest rate reduction for a borrower experiencing financial difficulty. The three loans had a combined amortized cost basis of $650.8 million, representing 4.5% of our commercial loans as of March 31, 2024. These types of modifications generally provide a borrower additional time to refinance or sell the collateral property in order to repay the principal balance of the loan and/or provide some interest payment relief to a borrower experiencing operating cash shortfalls.

For a $322.2 million first mortgage and mezzanine loan on two connected office buildings in Washington, D.C., we granted a 24-month term extension and a 285 bps reduction in the interest rate to SOFR (floor of 5.0%) plus 1.0%. In addition, we provided an $18.2 million junior mezzanine loan (of which $6.4 million was funded as of March 31, 2024), principally to fund new leasing costs prior to the loan’s extended maturity. As part of this modification, we will receive a percentage of net sales proceeds in excess of the loan amount if the underlying collateral is sold, or a percentage of the equity if the collateral is refinanced. For a $252.0 million senior mortgage loan on an office building in Houston, Texas, we granted a 28-month term extension plus two additional one-year extension options, and provided a $30.0 million preferred equity commitment (of which $22.9 million was unfunded as of March 31, 2024), principally to fund new leasing costs prior to the loan’s extended maturity. For a $76.6 million first mortgage loan on a multifamily property in Birmingham, Alabama, the interest rate was reduced 55 bps for 24 months (which reduction is recaptured in a new exit fee), with the borrower contributing $3.4 million of additional equity. Each of these loans have paid all contractual interest due as of March 31, 2024. The modified terms of the loans were included in the determination of our general CECL reserve.


	Unfunded Commitments Credit Loss Allowance (1)
	Loans Held-for-Investment				HTM Preferred
Three Months Ended March 31, 2024	Commercial		Infrastructure		Interests (2)		CMBS (2)		Total
Credit loss allowance at December 31, 2023	$	8,742	$	564	$	1,548	$	74	$	10,928
Credit loss provision, net	571		23		6,645		1		7,240
Credit loss allowance at March 31, 2024	$	9,313	$	587	$	8,193	$	75	$	18,168
Memo: Unfunded commitments as of March 31, 2024 (3)	$	1,035,180	$	66,090	$	30,686	$	31,916	$	1,163,872


	Held-for-Investment Loans
Three Months Ended March 31, 2024	Commercial		Infrastructure		Residential		Held-for-Sale Loans		Total Loans
Balance at December 31, 2023	$	15,078,589	$	2,495,660	$	—	$	2,645,637	$	20,219,886
Acquisitions/originations/additional funding	131,886		133,299		—		289,508		554,693
Capitalized interest (1)	20,418		—		—		—		20,418
Basis of loans sold (2)	—		—		—		(218,597)		(218,597)
Loan maturities/principal repayments	(892,855)		(209,131)		—		(45,316)		(1,147,302)
Discount accretion/premium amortization	15,090		4,801		—		—		19,891
Changes in fair value	—		—		—		(29,013)		(29,013)
Foreign currency translation loss, net	(99,145)		(448)		—		—		(99,593)
Credit loss provision, net	(23,312)		705		—		(1,546)		(24,153)

Transfer to/from other asset classifications or between segments	—		(48,695)		—		48,695		—
Balance at March 31, 2024	$	14,230,671	$	2,376,191	$	—	$	2,689,368	$	19,296,230


	Held-for-Investment Loans
Three Months Ended March 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	259,113		172,502		—		69,200		500,815
Capitalized interest (1)	27,924		130		—		—		28,054
Basis of loans sold (2)	—		—		—		(13,439)		(13,439)
Loan maturities/principal repayments	(256,644)		(165,323)		—		(38,367)		(460,334)
Discount accretion/premium amortization	12,551		2,629		—		—		15,180
Changes in fair value	—		—		—		8,901		8,901
Foreign currency translation loss, net	32,820		300		—		—		33,120
Credit loss provision, net	(29,678)		(5,339)		—		—		(35,017)


Balance at March 31, 2023	$	16,094,593	$	2,357,831	$	—	$	2,810,889	$	21,263,313