What changed in this filing

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Item 2. Management’s Discussion and Analysis

2022-10-26 compared with 2022-07-27 · 202 added, 199 removed, 671 unchanged (37% of the section changed)

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Recent Developments

As the novel coronavirus, or COVID-19, pandemic has evolved from its emergence in early 2020, so has its global impact.

Many countries have at times re-instituted, or strongly encouraged, varying levels of quarantines and restrictions on travel and in some cases have at times limited operations of certain businesses and taken other restrictive measures designed to help slow the spread of COVID-19 and its variants.

Governments and businesses have also instituted vaccine mandates and testing requirements for employees.

While vaccine availability and uptake has increased, the longer-term macro-economic effects on global supply chains, inflation, labor shortages and wage increases continue to impact many industries, including the collateral underlying certain of our loans.

Moreover, with the potential for new strains of COVID-19 or outbreaks of other infectious diseases, governments and businesses may re-impose aggressive measures to help slow the spread of infectious diseases in the future.

For this reason, among others, as the COVID-19 pandemic continues, the potential global impacts are uncertain and difficult to assess.

Macroeconomic Environment

This year has been characterized by steep declines and significant volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth and geopolitical uncertainty.

Inflation across many key economies reached generational highs, prompting central banks to take monetary policy tightening actions that are likely to create headwinds to economic growth.

The ongoing war between Russia and Ukraine is also contributing to mounting inflationary pressure.

Inflation continues to rise and has caused the Federal Reserve to continue raising interest rates, which has created further uncertainty for the economy and for our borrowers.

Although our business model is such that rising interest rates will, all else being equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers.

Additionally, rising rates and increasing costs may dampen consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans.

While there is debate among economists as to whether such factors, coupled with economic contraction in the U.S.

in 2022, indicate that the U.S.

entered, or in the near term will enter, a recession, it remains difficult to predict the full impact of recent changes and any future changes in interest rates or inflation.

Reference Rate Reform

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Treasury securities, as its preferred alternative rate for USD LIBOR.

As of June 30, 2022, one-month SOFR is utilized as the floating benchmark rate on 43 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, and certain borrowings under eight of our credit facilities.

As of June 30, 2022, the one-month SOFR was 1.69% and one-month USD LIBOR was 1.79%.

Additionally, market participants have started to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K.

As of June 30, 2022, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings.

As of September 30, 2022, one-month SOFR is utilized as the floating benchmark rate on 49 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under nine of our credit facilities, and our B-4 Term Loan.

As of September 30, 2022, the one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%.

Additionally, market participants have transitioned from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K.

As of September 30, 2022, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings.

At this time, it is not possible to predict how markets will respond to SOFR, SONIA, or other alternative reference rates as the transition away from USD LIBOR and GBP LIBOR proceeds.

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Risk Factors—Risks Related to Our Lending and Investment Activities—The recent and expected discontinuation of currently used financial reference rates and use of alternative replacement reference rates may adversely affect net interest income related to our loans and investments or otherwise adversely affect our results of operations, cash flows and the market value of our investments” of our Annual Report on Form 10-K filed with the SEC on February 9, 2022.

Macroeconomic Environment

Federal Reserve’s recent actions to increase interest rates in order to control inflation have created further uncertainty for the economy and for our borrowers.

It is difficult to predict the full impact of recent changes and any future changes in interest rates or inflation.

Key Financial Measures and Indicators

As a real estate finance company, we believe the key financial measures and indicators for our business are earnings per share, dividends declared, Distributable Earnings, and book value per share.

For the three months ended June 30, 2022, we recorded basic earnings per share of $0.55, declared a dividend of $0.62 per share, and reported $0.67 per share of Distributable Earnings.

In addition, our book value as of June 30, 2022 was $27.17 per share, which is net of an $0.83 per share cumulative CECL reserve.

For the three months ended September 30, 2022, we recorded basic earnings per share of $0.60, declared a dividend of $0.62 per share, and reported $0.71 per share of Distributable Earnings.

In addition, our book value as of September 30, 2022 was $27.20 per share, which is net of a $0.90 per share cumulative CECL reserve.

As further described below, Distributable Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, which helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations.

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Three Months Ended

June 30, 2022 March 31, 2022

Basic Earnings:

September 30, 2022 June 30, 2022

Net income (1)

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Three months ended

June 30, 2022 March 31, 2022

September 30, 2022 June 30, 2022

Net income (1)

$ 103,246 $ 93,250

Increase (decrease) in current expected credit loss reserve 12,983 (2,537)

Increase in current expected credit loss reserve 12,248 12,983

Non-cash compensation expense 8,219 8,418

Realized hedging and foreign currency loss, net (2)

Other items (65) (30)

(1,698) (829)

Adjustments attributable to non-controlling interests, net (43) (46)

Other items (10) (65)

Distributable Earnings $ 121,962 $ 113,711

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The following table calculates our book value per share ($ in thousands, except per share data):

June 30, 2022 March 31, 2022

September 30, 2022 June 30, 2022

Stockholders’ equity $ 4,658,406 $ 4,637,591

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Loan Portfolio

During the three months ended June 30, 2022, we originated or acquired $3.0 billion of loans.

Loan fundings during the quarter totaled $2.8 billion and loan repayments and sales during the quarter totaled $1.4 billion.

We generated interest income of $283.7 million and incurred interest expense of $136.6 million during the quarter, which resulted in $147.1 million of net interest income during the three months ended June 30, 2022.

During the three months ended September 30, 2022, we originated or acquired $438.5 million of loans.

Loan fundings during the quarter totaled $696.6 million and loan repayments and sales during the quarter totaled $443.0 million.

We generated interest income of $358.6 million and incurred interest expense of $202.4 million during the quarter, which resulted in $156.2 million of net interest income during the three months ended September 30, 2022.

Portfolio Overview

The following table details our loan origination activity ($ in thousands):

Three Months Ended June 30, 2022 Six Months Ended June 30, 2022

Three Months Ended September 30, 2022 Nine Months Ended September 30, 2022

Loan originations (1)

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(1) Includes new loan originations and additional commitments made under existing loans.

(2) Loan fundings during the three and six months ended June 30, 2022, include $101.1 million and $193.2 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three and six months ended June 30, 2022, include $390.5 million and $731.7 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests and the loan held by our non-consolidated securitized debt obligation.

The following table details overall statistics for our loan portfolio as of June 30, 2022 ($ in thousands):

(2) Loan fundings during the three and nine months ended September 30, 2022, include $61.1 million and $254.4 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three and nine months ended September 30, 2022, include $10.0 million and $741.7 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests and the loan held by our non-consolidated securitized debt obligation.

The following table details overall statistics for our loan portfolio as of September 30, 2022 ($ in thousands):

Balance Sheet

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(3) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each investment.

As of June 30, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

As of September 30, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

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(4) Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date.

As of June 30, 2022, 61% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 39% were open to repayment by the borrower without penalty.

As of September 30, 2022, 63% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 37% were open to repayment by the borrower without penalty.

(5) Based on LTV as of the dates loans were originated or acquired by us.

The following table details the index rate floors for our loans receivable portfolio as of June 30, 2022 ($ in thousands):

Loans Receivable Principal Balance

The following table details the index rate floors for our loan portfolio based on total loan exposure as of September 30, 2022 ($ in thousands):

Total Loan Exposure (1)

Index Rate Floors USD Non-USD (2)

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$ 18,298,255 $ 7,837,752 $ 26,136,007

(1) Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies.

(2) Includes a $286.3 million loan accounted for under the cost-recovery method.

(1) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

Total loan exposure encompasses the entire loan we originated and financed, including $1.6 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

(4) As of June 30, 2022, the weighted-average index rate floor of our loan portfolio was 0.35%.

(2) Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies.

(3) Includes a $286.3 million loan accounted for under the cost-recovery method.

(4) As of September 30, 2022, the weighted-average index rate floor of our loan portfolio was 0.37%.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.63%.

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Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.70%.

The following table details the floating benchmark rates for our loan portfolio as of June 30, 2022 (total investment portfolio amounts in thousands):

Currency Total Loan

Portfolio Floating Rate Index (1)

The following table details the floating benchmark rates for our loan portfolio based on total loan exposure as of September 30, 2022 (total investment portfolio amounts in thousands):

Currency Total Loan Exposure (1)

Floating Rate Index (2)

Cash Coupon (3)

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205 $ 26,136,007 Applicable Index + 3.31% + 3.68%

(1) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

Total loan exposure encompasses the entire loan we originated and financed, including $1.6 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

(2) We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S.

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Excludes one loan accounted for under the cost-recovery method.

(3) As of June 30, 2022, $14.2 billion and $4.0 billion of loans were indexed to USD LIBOR and SOFR, respectively.

As of June 30, 2022, one-month USD LIBOR was 1.79% and SOFR was 1.69%.

(4) As of September 30, 2022, $13.5 billion and $4.8 billion of loans were indexed to USD LIBOR and SOFR, respectively.

As of September 30, 2022, one-month USD LIBOR was 3.14% and SOFR was 3.04%.

(5) Includes floating rate loans indexed to STIBOR, BBSY, CDOR, SARON, and CIBOR indices.

The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of June 30, 2022:

The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of September 30, 2022:

Refer to section VI of this Item 7 for details of our loan portfolio, on a loan-by-loan basis.

Portfolio Management

During the three months ended June 30, 2022, we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.

During the three months ended September 30, 2022, we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.

We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility.

We believe that we will benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors.

Our loan portfolio’s low weighted-average origination LTV of 63.9% as of June 30, 2022 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption.

Our loan portfolio’s low weighted-average origination LTV of 63.8% as of September 30, 2022 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption.

While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments.

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As discussed in Note 2 to our consolidated financial statements, we perform a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk.

The weighted-average risk rating of our total loan exposure was 2.8 as of both June 30, 2022 and December 31, 2021, respectively.

The weighted-average risk rating of our total loan exposure was 2.8 as of both September 30, 2022 and December 31, 2021, respectively.

The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands):

June 30, 2022

Rating Number

September 30, 2022

Risk Rating Number

of Loans Net Book Value Total Loan

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See Note 2 to our consolidated financial statements for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $1.5 billion of such non-consolidated senior interests as of June 30, 2022.

Total loan exposure encompasses the entire loan we originated and financed, including $1.6 billion of such non-consolidated senior interests as of September 30, 2022.

Current Expected Credit Loss Reserve

The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets.

Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principal underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

During the three months ended June 30, 2022, we recorded an aggregate $13.0 million increase in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $141.5 million as of June 30, 2022.

Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principle underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

During the three months ended September 30, 2022, we recorded an aggregate $12.2 million increase in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $153.7 million as of September 30, 2022.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Previously, we entered into loan modifications related to a multifamily asset in New York City, which were classified as troubled debt restructurings under GAAP.

During the three months ended December 31, 2021, the borrower committed significant additional capital to the property and engaged new management to oversee property operations, and we reduced the loan's outstanding principal balance to $37.5 million, which remains unchanged as of June 30, 2022.

As a result of the modification, during the three months ended December 31, 2021, we charged-off $14.4 million of the $14.8 million asset-specific CECL reserve we recorded on this loan, and reversed the remaining $360,000 CECL reserve.

We have no remaining asset-specific CECL reserve against this loan as of June 30, 2022.

We have no remaining asset-specific CECL reserve against this loan as of September 30, 2022.

The loan is paying interest income current and we resumed income accrual for this loan as of December 31, 2021.

Previously, we entered into a loan modification related to a hospitality asset in New York City, which is classified as a troubled debt restructuring under GAAP.

As of June 30, 2022, this loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, and a CECL reserve of $54.9 million, which was recorded based on our estimation of the fair value of the loan’s underlying collateral as of June 30, 2022.

No income was recorded on this loan during the six months ended June 30, 2022.

As of September 30, 2022, this loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, and a CECL reserve of $54.9 million, which was recorded based on our estimation of the fair value of the loan’s underlying collateral as of September 30, 2022.

No income was recorded on this loan during the nine months ended September 30, 2022.

Multifamily Joint Venture

As of June 30, 2022, our Multifamily Joint Venture held $802.2 million of loans, which are included in the loan disclosures above.

As of September 30, 2022, our Multifamily Joint Venture held $802.9 million of loans, which are included in the loan disclosures above.

Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture.

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Outstanding Principal Balance

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Secured debt $ 13,213,212 $ 12,299,580

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Total portfolio financing $ 18,795,766 $ 17,368,681

(1) Includes our consolidated securitized debt obligations of $2.9 billion as of June 30, 2022.

(1) Includes our consolidated securitized debt obligations of $2.9 billion as of September 30, 2022.

Includes our consolidated securitized debt obligations of $2.9 billion and non-consolidated securitized debt of $300.1 million as of December 31, 2021.

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We owned the related subordinate position, which was classified as a held-to-maturity debt security on our balance sheet.

During the six months ended June 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

(2) Includes our consolidated asset-specific debt of $870.7 million, our loan participations sold of $226.5 million, and our non-consolidated senior interests of $1.5 billion, as of June 30, 2022.

Includes our consolidated asset-specific debt of $400.7 million and our non-consolidated senior interests of $1.5 billion, as of December 31, 2021.

The loan participations sold and non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.

(2) Includes our asset-specific debt of $959.8 million, our loan participations sold of $207.8 million, and our non-consolidated senior interests of $1.6 billion, as of September 30, 2022.

Includes our asset-specific debt of $400.7 million and our non-consolidated senior interests of $1.5 billion, as of December 31, 2021.

The loan participations sold and non-consolidated senior interests are non-debt financings that provide structural leverage for our whole loan investments.

The following table details our outstanding secured debt ($ in thousands):

Borrowings Outstanding

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Secured credit facilities $ 13,213,212 $ 12,299,580

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Secured Credit Facilities

The following table details our secured credit facilities by spread over the applicable base rates as of June 30, 2022 ($ in thousands):

Six Months Ended June 30, 2022 June 30, 2022

The following table details our secured credit facilities by spread over the applicable base rates as of September 30, 2022 ($ in thousands):

Nine Months Ended September 30, 2022 September 30, 2022

New Financings (2)

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(1) The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable.

(2) Represents borrowings outstanding as of June 30, 2022 for new financings during the six months ended June 30, 2022, based on the date collateral was initially pledged to each credit facility.

(2) Represents borrowings outstanding as of September 30, 2022 for new financings during the nine months ended September 30, 2022, based on the date collateral was initially pledged to each credit facility.

(3) In addition to spread, the cost includes the associated deferred fees and expenses related to the respective borrowings.

(4) Represents the weighted-average all-in cost as of June 30, 2022 and is not necessarily indicative of the spread applicable to recent or future borrowings.

(5) Represents the principal balance of the collateral assets.

In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

(4) Represents the weighted-average all-in cost as of September 30, 2022 and is not necessarily indicative of the spread applicable to recent or future borrowings.

(5) Represents the principal balance of the collateral assets.

(6) Represents the difference between the weighted-average all-in yield and weighted-average all-in cost.

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The maturity date of the facility is April 4, 2023.

As of June 30, 2022, we had no assets pledged to our acquisition facility.

As of September 30, 2022, we had no assets pledged to our acquisition facility.

Securitizations

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Securitizations Outstanding

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Securitized debt obligations $ 2,855,625 2,855,625

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We owned the related subordinate position, which was classified as a held-to-maturity debt security on our balance sheet.

During the six months ended June 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

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The following table details our securitized debt obligations ($ in thousands):

June 30, 2022

September 30, 2022

Securitized Debt Obligations Count Principal

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2021 FL4 Collateralized Loan Obligation

Collateral assets 32 $ 1,000,000 $ 1,000,000 + 3.51 % April 2025

Collateral assets 31 $ 1,000,000 $ 1,000,000 + 3.51 % May 2025

Financing provided 1 803,750 799,063 + 1.57 % May 2038

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(2) The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and SOFR, as applicable to each securitized debt obligation.

As of June 30, 2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%.

As of June 30, 2022, the one-month SOFR was 1.69% and one-month USD LIBOR was 1.79%.

As of September 30, 2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%.

As of September 30, 2022, the one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%.

(3) Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower.

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The term of these obligations represents the rated final distribution date of the securitizations.

(4) During the three and six months ended June 30, 2022, we recorded $15.5 million and $26.5 million, respectively, of interest expense related to our securitized debt obligations.

(4) During the three and nine months ended September 30, 2022, we recorded $26.1 million and $52.6 million, respectively, of interest expense related to our securitized debt obligations.

Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations.

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Outstanding Principal Balance

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Asset-specific debt $ 959,762 $ 400,699

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The following table details our asset-specific debt ($ in thousands):

June 30, 2022

September 30, 2022

Asset-Specific Debt Count Principal

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(1) These floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement.

In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.

In addition to cash coupon, yield/cost includes the amortization of deferred origination fees and financing costs.

(2) The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower.

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The following table details our loan participations sold ($ in thousands):

June 30, 2022

September 30, 2022

Loan Participations Sold Count Principal

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(1) This non-debt participation sold structure is inherently matched in terms of currency and interest rate.

In addition to cash coupon, yield/cost includes the amortization of deferred fees / financing costs.

In addition to cash coupon, yield/cost includes the amortization of deferred fees and financing costs.

(2) The term is determined based on the on maximum maturity of the loan, assuming all extension options are exercised by the borrower.

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The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests ($ in thousands):

June 30, 2022

September 30, 2022

Non-Consolidated Senior Interests Count Principal

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This non-debt participation sold structure is inherently matched in terms of currency and interest rate.

In addition to cash coupon, yield/cost includes the amortization of deferred fees / financing costs.

In addition to cash coupon, yield/cost includes the amortization of deferred fees and financing costs.

Corporate Financing

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Outstanding Principal Balance

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Term loans $ 1,837,717 $ 1,349,271

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Total corporate financing $ 2,757,717 $ 2,371,771

As of June 30, 2022, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

As of September 30, 2022, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans Face Value Interest Rate (1)

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(1) The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of 0.50%.

The B-1 Term Loan and B-3 Term Loan are indexed to one-month USD LIBOR and the B-4 Term Loan is indexed to one-month SOFR.

(2) Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Term Loans.

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Senior Secured Notes

As of June 30, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):

As of September 30, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):

Senior Secured Notes Face Value Interest Rate All-in Cost (1)

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Convertible Notes

As of June 30, 2022 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

As of September 30, 2022 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes Issuance Face Value Interest Rate

All-in Cost (1)

Conversion Rate (2)

Conversion Price (2)

March 2018 $ 220,000 4.75 % 5.33 % $36.23 March 15, 2023

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The conversion rate represents the number of shares of class A common stock issuable per $1,000 principal amount of Convertible Notes.

The cumulative dividend threshold as defined in the respective March 2018 and March 2022 convertible notes supplemental indentures have not been exceeded as of June 30, 2022.

The cumulative dividend threshold as defined in the respective March 2018 and March 2022 convertible notes supplemental indentures have not been exceeded as of September 30, 2022.

Refer to Note 2 and Note 11 to our consolidated financial statements for additional discussion of our Convertible Notes.

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Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income.

As of June 30, 2022, substantially all of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments.

As of September 30, 2022, substantially all of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments.

Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities.

The following table details our investment portfolio’s net exposure to interest rates by currency as of June 30, 2022 (amounts in thousands):

The following table details our investment portfolio’s net exposure to interest rates by currency as of September 30, 2022 (amounts in thousands):

All Other (5)

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(1) Our floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement.

(2) As of June 30, 2022, $14.2 billion and $4.0 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively.

As of June 30, 2022, $9.4 billion and $5.6 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively.

As of June 30, 2022, one-month SOFR was 1.69% and one-month USD LIBOR was 1.79%.

(2) As of September 30, 2022, $13.5 billion and $4.8 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively.

As of September 30, 2022, $8.5 billion and $6.2 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively.

As of September 30, 2022, one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%.

(3) Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans.

(4) Represents the U.S.

Dollar equivalent as of June 30, 2022.

Dollar equivalent as of September 30, 2022.

(5) Includes Australian Dollar, Canadian Dollar, Danish Krone, Swedish Krona, and Swiss Franc currencies.

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Operating Results

The following table sets forth information regarding our consolidated results of operations for the three months ended June 30, 2022 and March 31, 2022 ($ in thousands, except per share data):

The following table sets forth information regarding our consolidated results of operations for the three months ended September 30, 2022 and June 30, 2022 ($ in thousands, except per share data):

Three Months Ended Change

June 30, 2022 March 31, 2022 $

September 30, 2022 June 30, 2022 $

Income from loans and other investments

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Total other expenses 38,843 39,474 (631)

(Increase) decrease in current expected credit loss reserve (12,983) 2,537 (15,520)

Increase in current expected credit loss reserve (12,248) (12,983) 735

Income before income taxes 105,091 94,611 10,480

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Income from loans and other investments, net

Income from loans and other investments, net increased $13.4 million during the three months ended June 30, 2022 compared to the three months ended March 31, 2022.

The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices, (ii) an increase in the weighted-average principal balance of our loan portfolio by $1.5 billion for the three months ended June 30, 2022, as compared to the three months ended March 31, 2022, and (iii) an increase in prepayment fee income.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $1.4 billion for the three months ended June 30, 2022, as compared to the three months ended March 31, 2022.

Income from loans and other investments, net increased $9.1 million during the three months ended September 30, 2022 compared to the three months ended June 30, 2022.

The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices and (ii) an increase in the weighted-average principal balance of our loan portfolio by $764.1 million for the three months ended September 30, 2022, as compared to the three months ended June 30, 2022.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $681.8 million for the three months ended September 30, 2022, as compared to the three months ended June 30, 2022.

Other expenses

Other expenses include management and incentive fees payable to our Manager and general and administrative expenses.

Other expenses increased by $3.6 million during the three months ended June 30, 2022 compared to the three months ended March 31, 2022 due to an increase of (i) $3.4 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii) $280,000 of other general operating expenses, and (iii) $152,000 of management fees payable to our Manager.

This was offset by a decrease of non-cash restricted stock amortization of $231,000 related to shares awarded under our long-term incentive plans.

Other expenses decreased by $631,000 during the three months ended September 30, 2022 compared to the three months ended June 30, 2022 due to a decrease of (i) $1.2 million of incentive fees payable to our Manager and (ii) non-cash restricted stock amortization of $199,000 related to shares awarded under our long-term incentive plans.

This was offset by an increase of (i) $723,000 of general operating expenses, and (iii) $70,000 of management fees payable to our Manager.

Changes in current expected credit loss reserve

During the three months ended June 30, 2022, we recorded a $13.0 million increase in the CECL reserve, as compared to a $2.5 million decrease during the three months ended March 31, 2022.

During the three months ended September 30, 2022, we recorded a $12.2 million increase in the CECL reserve, as compared to a $13.0 million increase during the three months ended June 30, 2022.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling interests

During the three months ended June 30, 2022 and March 31, 2022, we recorded $615,000 and $576,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

During the three months ended September 30, 2022 and June 30, 2022, we recorded $673,000 and $615,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

During the three months ended September 30, 2022, we declared aggregate dividends of $0.62 per share, or $106.0 million.

During the three months ended June 30, 2022, we declared aggregate dividends of $0.62 per share, or $105.6 million.

During the three months ended March 31, 2022, we declared aggregate dividends of $0.62 per share, or $105.6 million.

The following table sets forth information regarding our consolidated results of operations for the six months ended June 30, 2022 and June 30, 2021 ($ in thousands, except per share data):

Six Months Ended Change

June 30, 2022 June 30, 2021 $

The following table sets forth information regarding our consolidated results of operations for the nine months ended September 30, 2022 and September 30, 2021 ($ in thousands, except per share data):

Nine Months Ended Change

September 30, 2022 September 30, 2021 $

Income from loans and other investments

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Income from loans and other investments, net

Income from loans and other investments, net increased $57.7 million during the six months ended June 30, 2022 compared to the six months ended June 30, 2021.

The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices during 2022 and (ii) an increase in the weighted-average principal balance of our loan portfolio by $6.4 billion for the six months ended June 30, 2022, as compared to the six months ended June 30, 2021.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $5.6 billion for the six months ended June 30, 2022, as compared to the six months ended June 30, 2021.

Income from loans and other investments, net increased $96.4 million during the nine months ended September 30, 2022 compared to the nine months ended September 30, 2021.

The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices during 2022, (ii) an increase in the weighted-average principal balance of our loan portfolio by $6.4 billion for the nine months ended September 30, 2022, as compared to the nine months ended September 30, 2021, and (iii) an increase in prepayment fee income.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $5.7 billion for the nine months ended September 30, 2022, as compared to the nine months ended September 30, 2021.

Other expenses

Other expenses include management and incentive fees payable to our Manager and general and administrative expenses.

Other expenses increased by $13.3 million during the six months ended June 30, 2022 compared to the six months ended June 30, 2021 due to an increase of (i) $5.1 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021, (ii) $4.7 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (iii) $2.5 million of other general operating expenses, and (iv) $961,000 of non-cash restricted stock amortization related to shares issued under our long-term incentive plans.

Other expenses increased by $22.0 million during the nine months ended September 30, 2022 compared to the nine months ended September 30, 2021 due to an increase of (i) $8.7 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii) $7.7 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021, (iii) $4.5 million of general operating expenses, and (iv) $1.0 million of non-cash restricted stock amortization related to shares issued under our long-term incentive plans.

Changes in current expected credit loss reserve

During the six months ended June 30, 2022, we recorded a $10.4 million increase in the CECL reserve, as compared to a $52.2 million decrease during the six months ended June 30, 2021.

During the nine months ended September 30, 2022, we recorded a $22.7 million increase in the CECL reserve, as compared to a $49.4 million decrease during the nine months ended September 30, 2021.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling interests

During the six months ended June 30, 2022 and June 30, 2021, we recorded $1.2 million and $1.5 million, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

During the nine months ended September 30, 2022 and September 30, 2021, we recorded $1.9 million and $2.2 million, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

During the six months ended June 30, 2022, we declared aggregate dividends of $1.24 per share, or $211.2 million.

During the six months ended June 30, 2021, we declared aggregate dividends of $1.24 per share, or $182.3 million.

During the nine months ended September 30, 2022, we declared aggregate dividends of $1.86 per share, or $317.1 million.

During the nine months ended September 30, 2021, we declared aggregate dividends of $1.86 per share, or $279.7 million.

Liquidity and Capital Resources

Capitalization

We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, corporate debt, and asset-level financing.

As of June 30, 2022, our capitalization structure included $4.6 billion of common equity, $2.8 billion of corporate debt, and $19.4 billion of asset-level financing.

We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, corporate debt, and asset-level financings.

As of September 30, 2022, our capitalization structure included $4.7 billion of common equity, $2.8 billion of corporate debt, and $18.8 billion of asset-level financings.

Our $2.8 billion of corporate debt includes $1.8 billion of term loan borrowings, $400.0 million of senior secured notes, and $520.0 million of convertible notes.

Our $19.4 billion of asset-level financing includes $13.9 billion of secured debt, $2.9 billion of securitizations, and $2.6 billion of asset-specific financings all of which are structured to produce term, currency and index matched funding with no margin call provisions based upon capital markets events.

As of June 30, 2022, we have $1.5 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business.

Our $18.8 billion of asset-level financings includes $13.2 billion of secured debt, $2.9 billion of securitizations, and $2.7 billion of asset-specific financings all of which are structured to produce term, currency, and index matched funding with no margin call provisions based upon capital markets events.

As of September 30, 2022, we have $1.7 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business.

See Notes 5, 6, 7, 8, 9, 10, and 11 to our co nsolidated financial statements for additional details regarding our secured debt, securitized debt obligations, asset-specific debt, loan participations sold, Term Loans, Senior Secured Notes, and Convertible Notes, respectively.

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The following table presents our debt-to-equity ratio and total leverage ratio:

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Debt-to-equity ratio (1)

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Our primary sources of liquidity include cash and cash equivalents, available borrowings under our secured debt facilities, and net receivables from servicers related to loan repayments, which are set forth in the following table ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Cash and cash equivalents $ 271,899 $ 551,154

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$ 1,671,859 $ 1,323,582

$ 1,508,313 $ 1,323,582

(1) Represents loan principal payments held by our third-party servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle, net of the related secured debt balance.

During the six months ended June 30, 2022, we generated cash flow from operating activities of $183.6 million and received (i) $2.1 billion of net proceeds from secured debt borrowings, (ii) $2.0 billion from loan principal collections and sales proceeds, (iii) $551.9 million of proceeds from asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $245.3 million from the sale of a senior loan participation, and (vii) $52.2 million of net proceeds from the issuance of shares of class A common stock.

During the nine months ended September 30, 2022, we generated cash flow from operating activities of $266.6 million and received (i) $2.7 billion from loan principal collections and sales proceeds, (ii) $1.8 billion of net proceeds from secured debt borrowings, (iii) $575.9 million of net proceeds from asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $272.0 million of net cash settlements on our foreign currency forward contracts, (vii) $245.3 million from the sale of a senior loan participation, and (viii) $70.7 million of net proceeds from the issuance of shares of class A common stock.

Furthermore, we are able to generate incremental liquidity through the replenishment provisions of our CLOs, which allow us to replace a repaid loan in the CLO by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

We have access to liquidity through public offerings of debt and equity securities.

To facilitate such offerings, in July 2019, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires at the end of July 2022.

We have access to further liquidity through public offerings of debt and equity securities.

To facilitate such offerings, in July 2022, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires in July 2025.

The amount of securities to be issued pursuant to this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of securities we may issue.

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(ii) preferred stock;

(iii) debt securities;

(iv) depositary shares representing preferred stock;

(iii) depositary shares representing preferred stock;

(iv) debt securities;

(v) warrants;

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The specifics of any future offerings, along with the use of proceeds of any securities offered, will be described in detail in a prospectus supplement, or other offering materials, at the time of any offering.

We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,986,370 shares of class A common stock were available for issuance as of June 30, 2022, and our at-the-market stock offering program, pursuant to which we may sell, from time to time, up to $300.9 million of additional shares of our class A common stock as of June 30, 2022.

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,984,370 shares of class A common stock were available for issuance as of September 30, 2022, and our at the market stock offering program, pursuant to which we may sell, from time to time, up to $480.9 million of additional shares of our class A common stock as of September 30, 2022.

Refer to Note 13 to our consolidated financial statements for additional details.

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In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $13.2 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes.

As of June 30, 2022, we had unfunded commitments of $4.6 billion related to 125 loans receivable and $2.7 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.9 billion.

As of September 30, 2022, we had unfunded commitments of $4.1 billion related to 122 loans receivable and $2.7 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.4 billion.

The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability varies depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans.

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Contractual Obligations and Commitments

Our contractual obligations and commitments as of June 30, 2022 were as follows ($ in thousands):

Our contractual obligations and commitments as of September 30, 2022 were as follows ($ in thousands):

Payment Timing

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(6) Represents interest payments on our secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes.

Future interest payment obligations are estimated assuming the interest rates in effect as of June 30, 2022 will remain constant into the future.

Future interest payment obligations are estimated assuming the interest rates in effect as of September 30, 2022 will remain constant into the future.

This is only an estimate as actual amounts borrowed and interest rates will vary over time.

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The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands):

Six Months Ended June 30,

Nine Months Ended September 30,

Cash flows provided by operating activities $ 266,610 $ 255,022

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Cash flows provided by financing activities 2,671,630 3,616,649

Net (decrease) increase in cash and cash equivalents $ (256,629) $ 46,519

We experienced a net decrease in cash and cash equivalents of $256.6 million for the six months ended June 30, 2022, compared to a net increase of $46.5 million for the six months ended June 30, 2021.

During the six months ended June 30, 2022, we (i) funded $5.6 billion of loans, (ii) repaid $402.5 million of convertible notes, and (iii) paid $209.8 million of dividends on our class A common stock.

During the six months ended June 30, 2022, we received (i) $2.1 billion of net proceeds from secured debt borrowings, (ii) $2.0 billion from loan principal collections and sales proceeds, (iii) $551.9 million of proceeds from asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $245.3 million from the sale of a senior loan participation, and (vii) $52.2 million of net proceeds from the issuance of shares of class A common stock.

Net decrease in cash and cash equivalents $ (261,830) $ (54,369)

We experienced a net decrease in cash and cash equivalents of $261.8 million for the nine months ended September 30, 2022, compared to a net decrease of $54.4 million for the nine months ended September 30, 2021.

During the nine months ended September 30, 2022, we (i) funded $6.2 billion of loans, (ii) repaid $402.5 million of convertible notes, and (iii) paid $315.4 million of dividends on our class A common stock.

During the nine months ended September 30, 2022, we received (i) $2.7 billion from loan principal collections and sales proceeds, (ii) $1.8 billion of net proceeds from secured debt borrowings, (iii) $575.9 million of net proceeds from asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $272.0 million of net cash settlements on our foreign currency forward contracts, (vii) $245.3 million from the sale of a senior loan participation, and (viii) $70.7 million of net proceeds from the issuance of shares of class A common stock.

Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity.

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If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years.

As of June 30, 2022 and December 31, 2021, we were in compliance with all REIT requirements.

Furthermore, our taxable REIT subsidiaries, or TRSs, are subject to federal, state, and local income tax on their net taxable income.

As of September 30, 2022 and December 31, 2021, we were in compliance with all REIT requirements.

Furthermore, our taxable REIT subsidiaries are subject to federal, state, and local income tax on their net taxable income.

Refer to Note 15 to our consolidated financial statements for additional discussion of our income taxes.

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To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance with market loan loss data licensed from Trepp LLC.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through May 31, 2022.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through August 31, 2022.

Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and origination loan-to-value, or LTV.

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In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance.

These estimations require significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of June 30, 2022.

We may also incorporate information from other sources, including information and opinions available to our Manager, to further inform these estimations.

This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of September 30, 2022.

• Impairment:

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The sensitivity of each assumption and its impact on the CECL reserve may change over time and from period to period.

During the six months ended June 30, 2022, we recorded an aggregate $13.0 million increase in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $141.5 million as of June 30, 2022.

During the three months ended September 30, 2022, we recorded an aggregate $12.2 million increase in the CECL reserve related to our loans receivable and unfunded loan commitments, bringing our total reserve to $153.7 million as of September 30, 2022.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

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Loan Portfolio Details

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of June 30, 2022 ($ in millions):

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of September 30, 2022 ($ in millions):

Loan Type (1)

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12/9/2021 770 702 403 +2.65 % +2.81 % 12/9/2026 New York Mixed-Use $232 / sqft 50 % 2

5 Senior Loan 3/22/2018 683 683 682 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4

5 Senior Loan (4)

8/7/2019 746 630 127 +3.12 % +3.61 % 9/9/2025 Los Angeles Office $426 / sqft 59 % 3

6 Senior Loan 3/22/2018 616 616 616 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4

7 Senior Loan 3/30/2021 448 448 445 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $83 / sqft 76 % 2

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12/17/2021 448 440 88 +3.95 % +4.35 % 1/9/2026 Diversified - US Other $13,716 / unit 61 % 2

9 Senior Loan 8/22/2018 363 363 363 +3.15 % +3.28 % 8/9/2023 Maui Hospitality $471,391 / key 61 % 2

9 Senior Loan 7/23/2021 500 372 367 +4.00 % +4.42 % 8/9/2027 New York Multi $498,816 / unit 58 % 3

10 Senior Loan 8/22/2018 363 363 363 +3.40 % +3.40 % 8/9/2023 Maui Hospitality $471,391 / key 61 % 1

11 Senior Loan 4/11/2018 355 345 344 +2.85 % +3.10 % 5/1/2023 New York Office $437 / sqft 71 % 3

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13 Senior Loan 9/23/2019 343 314 312 +3.00 % +3.20 % 11/15/2024 Diversified - Spain Hospitality $171,617 / key 62 % 4

14 Senior Loan 10/25/2021 311 311 308 +4.30 % +4.62 % 10/25/2024 Diversified - AU Hospitality $153,098 / key 56 % 3

15 Senior Loan 5/6/2022 305 305 302 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $95 / sqft 53 % 3

14 Senior Loan 2/27/2020 303 302 302 +2.70 % +3.04 % 3/9/2025 New York Multi $948 / sqft 59 % 2

17 Senior Loan 1/11/2019 292 292 291 +4.35 % +4.70 % 1/11/2026 Diversified - UK Other $289 / sqft 74 % 4

15 Senior Loan 10/25/2021 288 288 286 +4.30 % +4.62 % 10/25/2024 Diversified - AU Hospitality $141,942 / key 56 % 3

16 Senior Loan 11/30/2018 286 286 285 n/m (7)

% 8/9/2025 New York Hospitality $306,870 / key 73 % 5

19 Senior Loan 3/25/2022 283 283 281 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $129,257 / key 65 % 3

17 Senior Loan 9/29/2021 312 284 282 +2.70 % +2.91 % 10/9/2026 Washington, DC Office $370 / sqft 66 % 2

18 Senior Loan 12/11/2018 310 280 281 +2.55 % +2.77 % 12/9/2023 Chicago Office $236 / sqft 78 % 4

19 Senior Loan 10/23/2018 290 279 279 +2.80 % +3.04 % 11/9/2024 Atlanta Office $260 / sqft 64 % 2

22 Senior Loan 9/29/2021 312 272 270 +2.70 % +2.92 % 10/9/2026 Washington, DC Office $355 / sqft 66 % 2

20 Senior Loan 5/6/2022 277 277 275 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $86 / sqft 53 % 2

21 Senior Loan 9/30/2021 280 271 269 +2.50 % +2.77 % 9/30/2026 Dallas Multi $142,933 / unit 74 % 3

22 Senior Loan 1/11/2019 268 268 267 +4.35 % +4.70 % 1/11/2026 Diversified - UK Other $265 / sqft 74 % 4

23 Senior Loan 4/26/2021 264 264 262 +2.45 % +2.63 % 5/9/2026 Diversified - US Multi $156,393 / unit 75 % 3

24 Senior Loan 3/25/2022 260 260 258 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $118,559 / key 65 % 3

25 Senior Loan 11/30/2018 263 259 259 +2.80 % +3.03 % 12/9/2024 San Francisco Hospitality $377,489 / key 73 % 4

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27 Senior Loan 7/15/2021 278 232 229 +4.25 % +4.74 % 7/15/2026 Diversified - EUR Hospitality $177,004 / key 53 % 3

28 Senior Loan 4/29/2022 228 228 226 +3.45 % +3.68 % 3/3/2027 Diversified - UK Hospitality n / a 41 % 3

28 Senior Loan 2/23/2022 245 227 225 +2.60 % +2.84 % 3/9/2027 Reno Multi $210,655 / unit 74 % 3

29 Senior Loan 9/16/2021 247 225 224 +3.80 % +4.49 % 4/9/2024 San Francisco Office $273 / sqft 53 % 3

30 Senior Loan 6/8/2022 272 225 223 +3.35 % +3.70 % 6/9/2027 New York Office $1,259 / sqft 75 % 3

Loan Type (1)

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SQFT / Unit / Key Origination

31 Senior Loan 6/8/2022 $ 272 $ 217 $ 214 +3.35 % +3.70 % 6/9/2027 New York Office $1,223 / sqft 75 % 3

31 Senior Loan 4/29/2022 $ 210 $ 210 $ 208 +3.45 % +3.68 % 3/3/2027 Diversified - UK Hospitality n / a 41 % 2

32 Senior Loan 4/23/2021 219 209 209 +3.65 % +3.77 % 5/9/2024 Washington, DC Office $234 / sqft 57 % 4

33 Senior Loan 7/16/2021 222 207 205 +3.25 % +3.81 % 2/15/2027 London - UK Multi $234,410 / unit 69 % 3

33 Senior Loan 8/31/2017 203 203 203 +2.50 % +2.74 % 9/9/2023 Orange County Office $236 / sqft 64 % 3

35 Senior Loan 6/28/2019 199 199 198 +3.70 % +4.37 % 6/27/2024 London - UK Office $652 / sqft 71 % 3

36 Senior Loan 9/30/2021 195 195 194 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3

34 Senior Loan 10/1/2019 248 197 196 +3.75 % +4.28 % 10/9/2025 Atlanta Office $369 / sqft 68 % 1

35 Senior Loan 9/30/2021 195 195 194 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3

36 Senior Loan 12/22/2016 202 191 192 +3.90 % +4.65 % 12/9/2023 New York Office $268 / sqft 64 % 4

37 Senior Loan 7/16/2021 204 189 188 +3.25 % +3.81 % 2/15/2027 London - UK Multi $215,007 / unit 69 % 3

38 Senior Loan 6/28/2019 183 183 182 +3.70 % +4.37 % 6/27/2024 London - UK Office $598 / sqft 71 % 3

39 Senior Loan 6/4/2018 183 183 182 +3.50 % +3.76 % 6/9/2024 New York Hospitality $301,071 / key 52 % 4

40 Senior Loan 2/15/2022 191 177 176 +2.90 % +3.14 % 3/9/2027 Denver Office $353 / sqft 61 % 3

41 Senior Loan 6/27/2019 188 175 175 +2.80 % +2.80 % 8/15/2026 Berlin - DEU Office $184 / sqft 62 % 3

42 Senior Loan 9/30/2021 217 172 170 +4.00 % +4.49 % 9/30/2026 Diversified - Spain Hospitality $155,064 / key 60 % 3

41 Senior Loan 6/4/2018 183 183 182 +3.50 % +3.76 % 6/9/2024 New York Hospitality $301,071 / key 52 % 4

43 Senior Loan 9/30/2021 256 172 170 +3.00 % +3.35 % 10/9/2028 Chicago Office $190 / sqft 74 % 3

44 Senior Loan 9/26/2019 165 165 165 +3.10 % +3.34 % 7/9/2023 New York Office $241 / sqft 65 % 3

45 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,680 / unit 48 % 2

46 Senior Loan 9/25/2019 164 164 164 +4.35 % +4.87 % 9/26/2024 London - UK Office $749 / sqft 72 % 3

47 Senior Loan 11/23/2018 164 164 163 +2.62 % +2.87 % 2/15/2024 Diversified - UK Office $486 / sqft 50 % 3

44 Senior Loan 2/15/2022 191 177 175 +2.90 % +3.14 % 3/9/2027 Denver Office $353 / sqft 61 % 3

48 Senior Loan 12/21/2021 168 162 160 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $332 / sqft 67 % 3

46 Senior Loan 9/30/2021 256 172 170 +3.00 % +3.35 % 10/9/2028 Chicago Office $190 / sqft 74 % 3

49 Senior Loan 7/23/2021 244 160 158 +5.00 % +5.39 % 8/9/2027 New York Office $519 / sqft 53 % 3

48 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,680 / unit 48 % 2

49 Senior Loan 3/9/2022 164 164 163 +2.95 % +3.17 % 8/15/2027 Various Retail $141 / sqft 55 % 2

50 Senior Loan 9/4/2018 173 159 159 +3.00 % +3.39 % 9/9/2023 Las Vegas Hospitality $192,600 / key 70 % 3

50 Senior Loan 10/7/2021 165 159 159 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $325 / sqft 68 % 3

52 Senior Loan 3/7/2022 156 156 155 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 3

51 Senior Loan 5/27/2021 205 159 158 +2.70 % +2.99 % 6/9/2026 Atlanta Office $134 / sqft 66 % 3

52 Senior Loan 3/7/2022 156 156 155 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 3

53 Senior Loan 8/24/2021 179 154 153 +3.10 % +3.41 % 9/9/2026 San Jose Office $367 / sqft 65 % 3

55 Senior Loan 7/23/2021 244 153 151 +5.00 % +5.39 % 8/9/2027 New York Office $494 / sqft 53 % 3

54 Senior Loan 1/27/2022 178 154 153 +3.10 % +3.44 % 2/9/2027 Dallas Multi $100,663 / unit 71 % 3

55 Senior Loan 3/9/2022 151 151 150 +2.95 % +3.17 % 8/15/2027 Various Retail $129 / sqft 55 % 2

56 Senior Loan 8/31/2021 150 150 149 +3.15 % +3.42 % 9/9/2026 Diversified - US Retail $299 / sqft 65 % 2

57 Senior Loan 9/4/2018 163 150 149 +4.25 % +4.50 % 9/9/2024 Las Vegas Hospitality $181,054 / key 70 % 3

58 Senior Loan 5/13/2021 199 145 143 +3.55 % +3.94 % 6/9/2026 Boston Office $733 / sqft 64 % 3

59 Senior Loan 1/17/2020 203 144 144 +2.75 % +3.16 % 2/9/2025 New York Mixed-Use $119 / sqft 43 % 3

59 Senior Loan 11/18/2021 138 138 137 +3.25 % +3.51 % 10/21/2026 London - UK Other $188 / sqft 65 % 2

60 Senior Loan 12/20/2019 137 137 136 +3.10 % +3.32 % 12/18/2026 London - UK Office $693 / sqft 75 % 2

60 Senior Loan 7/29/2022 246 143 139 +4.60 % +5.78 % 7/27/2027 London - UK Industrial $201 / sqft 52 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

61 Senior Loan 11/5/2019 $ 146 $ 136 $ 136 +3.85 % +3.90 % 2/21/2025 Diversified - IT Office $3,639 / sqft 66 % 3

62 Senior Loan 5/13/2021 199 133 131 +3.55 % +3.94 % 6/9/2026 Boston Office $672 / sqft 64 % 3

63 Senior Loan 6/30/2022 131 131 131 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $493 / sqft 60 % 3

61 Senior Loan 3/10/2020 $ 140 $ 132 $ 132 +2.50 % +2.50 % 10/11/2024 New York Mixed-Use $805 / sqft 53 % 2

62 Senior Loan 9/14/2021 132 128 127 +2.70 % +2.95 % 10/9/2026 San Bernardino Multi $257,631 / unit 75 % 3

63 Senior Loan 1/7/2022 155 127 126 +3.70 % +3.96 % 1/9/2027 Fort Lauderdale Office $327 / sqft 55 % 1

64 Senior Loan 11/27/2019 146 127 127 +2.75 % +3.13 % 12/9/2024 Minneapolis Office $127 / sqft 64 % 3

65 Senior Loan 11/18/2021 126 126 126 +3.25 % +3.51 % 10/21/2026 London - UK Other $173 / sqft 65 % 2

66 Senior Loan 12/20/2019 126 126 125 +3.10 % +3.32 % 12/18/2026 London - UK Office $636 / sqft 75 % 2

67 Senior Loan 4/3/2018 126 125 125 +2.75 % +2.92 % 4/9/2024 Dallas Retail $761 / sqft 64 % 3

68 Senior Loan 3/28/2022 150 124 123 +3.05 % +3.35 % 4/9/2027 Miami Office $341 / sqft 69 % 3

69 Senior Loan 6/30/2022 122 122 121 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $493 / sqft 60 % 3

70 Senior Loan 6/1/2021 120 120 120 +2.85 % +3.05 % 6/9/2026 Miami Multi $298,507 / unit 61 % 2

1 unchanged sentence

72 Senior Loan 4/29/2022 118 118 117 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,235,602 / key 66 % 2

72 Senior Loan 2/25/2022 118 118 117 +4.00 % +4.31 % 2/25/2027 Copenhagen - DK Industrial $83 / sqft 69 % 3

73 Senior Loan 6/28/2019 125 117 117 +2.75 % +2.91 % 2/1/2024 Los Angeles Office $591 / sqft 48 % 3

74 Senior Loan 7/15/2019 138 117 116 +3.01 % +3.43 % 8/9/2024 Houston Office $211 / sqft 58 % 3

75 Senior Loan 1/7/2022 155 116 115 +3.70 % +3.70 % 1/9/2027 Fort Lauderdale Office $299 / sqft 55 % 1

76 Senior Loan 3/29/2021 124 116 115 +3.90 % +4.49 % 3/29/2026 Diversified - UK Multi $50,660 / unit 61 % 3

75 Senior Loan 5/20/2021 148 115 114 +3.60 % +4.00 % 6/9/2026 San Jose Office $295 / sqft 65 % 3

76 Senior Loan 8/27/2021 122 115 114 +3.00 % +3.29 % 9/9/2026 San Diego Retail $434 / sqft 58 % 3

77 Senior Loan 10/21/2021 114 114 114 +2.90 % +3.15 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 1

79 Senior Loan 5/20/2021 148 112 111 +3.60 % +4.00 % 6/9/2026 San Jose Office $287 / sqft 65 % 3

80 Senior Loan 3/17/2022 264 111 109 +3.75 % +4.51 % 6/30/2025 London - UK Office $497 / sqft 62 % 3

78 Senior Loan 12/21/2021 120 111 110 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $380 / sqft 68 % 3

79 Senior Loan 2/25/2022 110 110 109 +4.00 % +4.31 % 2/25/2027 Copenhagen - DK Industrial $78 / sqft 69 % 2

80 Senior Loan 3/29/2021 114 109 108 +3.90 % +4.49 % 3/29/2026 Diversified - UK Multi $47,517 / unit 61 % 3

81 Senior Loan 3/13/2018 123 106 106 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $163,717 / key 50 % 3

82 Senior Loan 2/15/2022 106 104 103 +2.85 % +3.19 % 3/9/2027 Tampa Multi $238,308 / unit 73 % 3

83 Senior Loan 6/28/2022 675 104 97 +4.60 % +5.04 % 7/9/2029 Austin Mixed-Use $86 / sqft 53 % 3

84 Senior Loan 3/17/2022 242 101 100 +3.75 % +4.51 % 6/30/2025 London - UK Office $456 / sqft 62 % 3

1 unchanged sentence

86 Senior Loan 12/21/2018 108 100 100 +2.60 % +2.85 % 1/9/2024 Chicago Office $194 / sqft 72 % 3

87 Senior Loan 3/29/2022 103 99 99 +2.70 % +2.96 % 4/9/2027 Miami Multi $276,762 / unit 75 % 3

88 Senior Loan 7/1/2021 104 99 99 +3.10 % +3.35 % 7/9/2026 Diversified - US Retail $281 / sqft 61 % 2

88 Senior Loan 6/18/2021 99 99 98 +2.60 % +2.83 % 7/9/2026 New York Industrial $52 / sqft 55 % 1

89 Senior Loan 10/1/2021 101 99 98 +2.75 % +3.02 % 10/1/2026 Phoenix Multi $228,201 / unit 77 % 3

90 Senior Loan 3/29/2022 103 98 97 +2.70 % +2.96 % 4/9/2027 Miami Multi $272,423 / unit 75 % 3

90 Senior Loan 6/18/2021 99 99 98 +2.60 % +2.83 % 7/9/2026 New York Industrial $52 / sqft 55 % 1

Loan Type (1)

2 unchanged sentences

91 Senior Loan 10/16/2018 $ 106 $ 97 $ 97 +3.25 % +3.52 % 11/9/2024 San Francisco Hospitality $211,959 / key 72 % 4

92 Senior Loan 2/20/2019 151 97 96 +3.95 % +6.00 % 2/19/2024 London - UK Office $475 / sqft 61 % 3

93 Senior Loan 3/28/2019 97 97 97 +3.25 % +3.25 % 1/9/2024 New York Hospitality $249,463 / key 63 % 4

93 Senior Loan 2/3/2021 111 96 95 +3.20 % +3.57 % 2/9/2026 Austin Office $396 / sqft 56 % 1

94 Senior Loan 10/28/2021 96 96 95 +2.90 % +3.25 % 11/9/2026 Philadelphia Multi $353,704 / unit 79 % 3

95 Senior Loan 3/25/2020 112 93 93 +2.40 % +2.78 % 3/31/2025 Diversified - NL Multi $113,706 / unit 65 % 2

95 Senior Loan 12/10/2021 135 93 92 +3.00 % +3.37 % 1/9/2027 Miami Office $311 / sqft 49 % 3

96 Senior Loan 10/27/2021 93 93 92 +2.50 % +2.69 % 11/9/2026 Orlando Multi $155,612 / unit 75 % 3

1 unchanged sentence

98 Senior Loan 3/3/2022 92 92 91 +3.45 % +3.76 % 3/9/2027 Boston Hospitality $418,182 / key 64 % 3

99 Senior Loan 12/10/2021 135 91 90 +3.00 % +3.37 % 1/9/2027 Miami Office $303 / sqft 49 % 3

99 Senior Loan 12/22/2021 91 91 90 +3.18 % +3.44 % 1/9/2027 Las Vegas Multi $205,682 / unit 65 % 3

101 Senior Loan 3/31/2017 96 90 91 +4.30 % +4.54 % 4/9/2023 New York Office $444 / sqft 64 % 3

102 Senior Loan 12/10/2018 108 88 87 +3.45 % +3.95 % 12/3/2024 London - UK Office $419 / sqft 72 % 3

100 Senior Loan 12/15/2021 91 88 87 +2.85 % +3.10 % 1/9/2027 Charlotte Multi $251,107 / unit 76 % 3

101 Senior Loan 3/25/2020 105 87 87 +2.40 % +2.78 % 3/31/2025 Diversified - NL Multi $106,309 / unit 65 % 2

102 Senior Loan 6/25/2021 85 85 85 +2.75 % +3.10 % 7/1/2026 St.

Louis Multi $80,339 / unit 70 % 3

105 Senior Loan 6/28/2022 675 84 77 +4.60 % +5.01 % 7/9/2029 Austin Mixed-Use $70 / sqft 53 % 3

103 Senior Loan 3/31/2017 89 84 84 +4.30 % +4.54 % 4/9/2023 New York Office $403 / sqft 64 % 4

104 Senior Loan 7/30/2021 87 82 82 +2.50 % +2.84 % 8/9/2026 Los Angeles Multi $162,678 / unit 70 % 3

105 Senior Loan 12/10/2018 99 81 80 +3.45 % +3.95 % 12/3/2024 London - UK Office $384 / sqft 72 % 3

106 Senior Loan 3/9/2022 92 80 79 +2.90 % +3.43 % 3/9/2025 Boston Office $211 / sqft 68 % 3

107 Senior Loan 6/14/2022 106 80 79 +2.95 % +3.30 % 7/9/2027 San Francisco Industrial $167 / sqft 76 % 3

108 Senior Loan 4/1/2021 102 80 79 +3.30 % +3.74 % 4/9/2026 San Jose Office $535 / sqft 67 % 3

109 Senior Loan 6/27/2019 88 79 79 +2.75 % +2.66 % 7/9/2024 West Palm Beach Office $270 / sqft 70 % 2

110 Senior Loan 7/29/2021 82 78 78 +2.65 % +3.02 % 6/9/2026 Charlotte Multi $214,126 / unit 78 % 3

111 Senior Loan 4/1/2021 102 78 77 +3.30 % +3.71 % 4/9/2026 San Jose Office $518 / sqft 67 % 3

111 Senior Loan 11/23/2021 92 77 76 +2.75 % +3.08 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3

112 Senior Loan 8/27/2021 79 77 76 +3.85 % +4.43 % 9/9/2026 Diversified - US Hospitality $113,865 / key 67 % 3

113 Senior Loan 1/30/2020 104 75 74 +2.85 % +3.31 % 2/9/2026 Honolulu Hospitality $239,478 / key 63 % 3

114 Senior Loan (4)

12/30/2021 228 73 14 +4.35 % +5.17 % 1/9/2028 Los Angeles Multi $132,635 / unit 50 % 3

115 Senior Loan 7/23/2021 73 72 72 +3.00 % +3.02 % 7/9/2024 New York Multi $404 / sqft 62 % 1

115 Senior Loan 12/15/2021 133 72 70 +3.46 % +4.44 % 12/15/2026 Dublin - IE Multi $179,745 / unit 79 % 3

116 Senior Loan (4)

11/10/2021 362 71 14 +4.00 % +4.63 % 12/9/2026 San Francisco Office $134 / sqft 66 % 3

117 Senior Loan 10/28/2021 69 69 69 +2.55 % +2.74 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3

118 Senior Loan 1/26/2022 338 69 66 +4.10 % +4.56 % 2/9/2027 Seattle Office $145 / sqft 56 % 3

119 Senior Loan 1/30/2020 104 69 69 +2.85 % +3.22 % 2/9/2026 Honolulu Hospitality $222,308 / key 63 % 3

119 Senior Loan 12/21/2021 74 68 67 +2.70 % +3.06 % 1/9/2027 Tampa Multi $199,635 / unit 77 % 2

120 Senior Loan 9/22/2021 67 67 67 +3.00 % +3.16 % 4/1/2024 Jacksonville Multi $181,081 / unit 62 % 2

2 unchanged sentences

SQFT / Unit / Key Origination

121 Senior Loan 12/21/2021 $ 74 $ 67 $ 66 +2.70 % +3.06 % 1/9/2027 Tampa Multi $195,588 / unit 77 % 3

121 Senior Loan 3/24/2022 $ 65 $ 65 $ 65 +3.50 % +3.59 % 4/1/2027 Fairfield Multi $406,250 / unit 70 % 3

123 Senior Loan 12/10/2021 68 65 64 +2.85 % +3.19 % 1/9/2027 Austin Multi $260,000 / unit 73 % 2

122 Senior Loan 8/22/2019 65 65 65 +2.55 % +2.69 % 9/9/2024 Los Angeles Office $389 / sqft 63 % 3

123 Senior Loan 3/31/2022 70 63 63 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $139,018 / unit 71 % 3

124 Senior Loan 12/15/2021 83 63 62 +5.25 % +6.17 % 12/15/2026 Melbourne - AU Multi $45,675 / unit 38 % 3

125 Senior Loan 8/17/2022 70 62 62 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $98 / sqft 72 % 3

126 Senior Loan 3/31/2021 62 62 62 +3.73 % +3.86 % 4/1/2024 Boston Multi $316,327 / unit 75 % 2

1 unchanged sentence

128 Senior Loan 12/23/2021 62 62 61 +2.18 % +2.99 % 9/1/2023 New York Office $143 / sqft 71 % 3

129 Senior Loan 6/29/2017 61 61 61 +3.40 % +4.16 % 7/9/2022 New York Multi $177,479 / unit 69 % 4

130 Senior Loan 10/5/2018 59 59 59 +5.50 % +5.92 % 12/20/2022 Sydney - AU Office $630 / sqft 78 % 3

129 Senior Loan 8/14/2019 70 60 60 +2.56 % +2.78 % 9/9/2024 Los Angeles Office $684 / sqft 57 % 3

130 Senior Loan 12/23/2021 288 60 55 +4.25 % +5.46 % 6/24/2028 London - UK Multi $65,799 / unit 59 % 3

131 Senior Loan 6/30/2021 65 59 59 +2.90 % +3.19 % 7/9/2026 Nashville Office $242 / sqft 71 % 3

132 Senior Loan 4/15/2021 66 58 58 +3.00 % +3.30 % 5/9/2026 Austin Office $282 / sqft 73 % 3

133 Senior Loan 9/29/2021 62 58 58 +2.85 % +3.02 % 10/1/2025 Houston Multi $52,968 / unit 61 % 3

1 unchanged sentence

135 Senior Loan 7/16/2021 58 58 58 +2.75 % +3.03 % 8/1/2025 Orlando Multi $195,750 / unit 74 % 2

135 Senior Loan 6/30/2021 65 58 57 +2.90 % +3.19 % 7/9/2026 Nashville Office $238 / sqft 71 % 3

136 Senior Loan 4/15/2021 66 57 57 +3.00 % +3.30 % 5/9/2026 Austin Office $279 / sqft 73 % 3

137 Senior Loan (4)

11/10/2021 362 56 11 +4.00 % +4.59 % 12/9/2026 San Francisco Office $106 / sqft 66 % 3

136 Senior Loan 12/10/2020 61 56 56 +3.25 % +3.54 % 1/9/2026 Fort Lauderdale Office $192 / sqft 68 % 3

137 Senior Loan 10/5/2018 55 55 55 +5.50 % +5.92 % 12/20/2022 Sydney - AU Office $584 / sqft 78 % 3

138 Senior Loan 12/22/2021 55 55 54 +2.82 % +2.96 % 1/1/2027 Los Angeles Multi $272,500 / unit 68 % 3

140 Senior Loan 12/23/2021 314 53 48 +4.25 % +5.42 % 6/23/2028 London - UK Multi $58,144 / unit 59 % 3

139 Senior Loan 12/14/2018 60 53 53 +2.90 % +3.14 % 1/9/2024 Diversified - US Industrial $39 / sqft 57 % 1

142 Senior Loan 6/28/2021 52 52 52 +3.60 % +4.86 % 2/15/2023 Diversified - Spain Hospitality $132,520 / key 56 % 3

143 Senior Loan 11/30/2016 61 52 52 +3.10 % +3.22 % 12/9/2023 Chicago Retail $1,014 / sqft 54 % 4

144 Senior Loan 11/11/2021 55 52 52 +3.95 % +4.74 % 8/6/2026 London - UK Hospitality $184,845 / key 40 % 3

140 Senior Loan 7/30/2021 59 53 52 +2.75 % +2.96 % 8/9/2026 Tampa Multi $131,486 / unit 71 % 3

141 Senior Loan 12/17/2021 66 53 52 +4.35 % +4.93 % 1/9/2026 Diversified - US Other $3,693 / unit 37 % 2

142 Senior Loan 11/30/2016 61 52 52 +3.10 % +3.22 % 12/9/2023 Chicago Retail $1,014 / sqft 54 % 4

143 Senior Loan 12/9/2021 51 51 51 +2.75 % +2.89 % 1/1/2027 Portland Multi $241,825 / unit 65 % 3

144 Senior Loan 2/17/2021 53 51 51 +3.55 % +3.75 % 3/9/2026 Miami Multi $290,985 / unit 64 % 2

148 Senior Loan 12/15/2021 90 50 49 +5.25 % +6.17 % 12/15/2026 Melbourne - AU Multi $36,167 / unit 38 % 3

145 Senior Loan 11/5/2019 56 50 50 +3.85 % +3.90 % 2/21/2025 Diversified - IT Office $1,758 / sqft 66 % 3

146 Senior Loan 1/21/2022 68 50 49 +3.70 % +4.11 % 2/9/2027 Denver Office $296 / sqft 65 % 3

147 Senior Loan 8/5/2021 57 50 50 +2.90 % +3.04 % 8/9/2026 Denver Office $188 / sqft 70 % 3

148 Senior Loan 9/23/2021 49 49 49 +2.75 % +2.86 % 10/1/2026 Portland Multi $232,938 / unit 65 % 3

149 Senior Loan 6/28/2021 49 49 49 +3.60 % +4.86 % 2/15/2023 Diversified - Spain Hospitality $123,899 / key 56 % 3

150 Senior Loan 2/20/2019 48 48 48 +3.50 % +3.72 % 3/9/2024 Calgary - CAN Office $134 / sqft 52 % 2

Loan Type (1)

10 unchanged sentences

(4) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

As of June 30, 2022, seven loans in our portfolio have been financed with an aggregate $1.5 billion of non-consolidated senior interest, which are included in the table above.

As of September 30, 2022, eight loans in our portfolio have been financed with an aggregate $1.6 billion of non-consolidated senior interest, which are included in the table above.

(5) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each loan.

As of June 30, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

As of September 30, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

3 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 2. Management’s Discussion and Analysis