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Item 7. Management’s Discussion and Analysis

2022-02-25 compared with 2021-03-11 · 436 added, 491 removed, 417 unchanged (69% of the section changed)

Management's Discussion and Analysis of Financial Condition and Results of Operations

The following discussion and analysis should be read in conjunction with the accompanying financial statements of Benefit Street Partners Realty Trust, Inc.

The following discussion and analysis should be read in conjunction with the accompanying financial statements of Franklin BSP Realty Trust, Inc.

the notes thereto and other financial information included elsewhere in this Annual Report on Form 10-K.

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Actual results and timing of events may differ materially from those contained in these forward-looking statements due to a number of factors, including those discussed in the sections of this Annual Report entitled “Risk Factors” and “Forward-Looking Statements.”

We were incorporated in Maryland on November 15, 2012 and have conducted our operations to qualify as a REIT for U.S.

federal income tax purposes beginning with our taxable year ended December 31, 2013.

The Company, through a subsidiary which is treated as a TRS, is indirectly subject to U.S.

The Company is a Maryland corporation and has made tax elections to be treated as a REIT for U.S.

federal income tax purposes since 2013.

The Company, through one or more subsidiaries which are each treated as a TRS, is indirectly subject to U.S.

federal, state and local income taxes.

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We are the sole general partner and directly or indirectly hold all of the units of limited partner interests in the OP.

The Company has no direct employees.

We are managed by our Advisor pursuant to an Amended and Restated Advisory Agreement, dated January 19, 2018 (the "Advisory Agreement").

The Company has no employees.

We are managed by our Advisor pursuant to an Advisory Agreement, as amended on August 18, 2021 (the "Advisory Agreement").

Our Advisor manages our affairs on a day-to-day basis.

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and Templeton International, Inc.

(collectively, “Franklin Templeton”) acquired the Advisor (the “Transaction”).

The Transaction did not impact the terms of the Advisory Agreement and the Transaction did not result in any changes to the executive officers of the Company.

(collectively, “Franklin Templeton”) acquired the Advisor, which event did not impact the terms of the Advisory Agreement or result in any changes to the executive officers of the Company.

The Company invests in commercial real estate debt investments, which may include first mortgage loans, subordinated mortgage loans, mezzanine loans and participations in such loans.

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The Company also invests in commercial real estate securities.

Real estate securities may include CMBS, senior unsecured debt of publicly traded REITs, debt or equity securities of other publicly traded real estate companies and CDOs.

COVID-19 Pandemic

Since December 2019, COVID-19 has spread globally, including to every state in the United States.

In March 2020, the World Health Organization declared COVID-19 a pandemic, and subsequently, the United States declared a national emergency.

The COVID-19 pandemic has had significant repercussions across domestic and global economies and financial markets, including the industries in which our borrowers operate.

The global impact of the COVID-19 outbreak evolved rapidly and many governmental authorities, including state and local governments in regions in which our borrowers own properties, have reacted by instituting government restrictions, border closings, quarantines, “shelter-in-place” orders and “social distancing” guidelines which have forced many of our borrowers to suspend or significantly restrict their business activities.

The effects of the pandemic have resulted in a dramatic increase in national unemployment and numerous corporate bankruptcies.

The COVID-19 pandemic has had and is continuing to have a negative impact on our operations, however during the second half of 2020 the impact was less significant:

Impact on Operating Results.

With respect to our operating results for the year ended December 31, 2020, the COVID-19 pandemic drove a significant increase in our allowance for credit loss provision on our loan portfolio and an increase in the realized loss on our securities portfolio.

Specifically, for the year ended December 31, 2020, we experienced an increase in our provision for expected credit losses on our loan portfolio, primarily driven by the decline in the overall economic outlook as a result of the COVID-19 pandemic.

Additionally, we had realized losses of $10.1 million on our real estate securities portfolio, the majority of which occurred during the first half of 2020.

This was a result of dislocation in the broader capital markets and uncertainty due to COVID-19 and its expected impact on values of properties underlying our real-estate debt assets.

Due primarily to changes in market conditions associated with the COVID-19 pandemic, the weighted average risk rating of our loan portfolio increased from 2.1 as of December 31, 2019 to 2.2 as of December 31, 2020, and the amortized cost basis of our loans past due increased by $37.8 million to $94.9 million over this period.

In the second and third quarters of 2020, we made limited modifications to certain loans to assist borrowers during the COVID-19 pandemic, but none of these modifications qualify as troubled debt restructurings ("TDRs").

Impact on Liquidity .

During the year ended December 31, 2020, there were significant disruptions in the financial markets that impacted our real estate securities portfolio.

This resulted in decreases in market value for these assets due to volatility and lack of liquidity.

During the second quarter of 2020, we received margin calls from certain of our lenders due to the decline in pricing, which we satisfied through the contribution of additional cash, thereby reducing our liquidity position and substantially reducing our levered returns on this portfolio of assets.

As of December 31, 2020 the Company has significantly reduced its real estate securities portfolio, further reducing mark to market exposure and the associated liquidity risk from counterparty margin calls on real estate securities repurchase agreements compared to prior quarters.

In addition, the financial market dislocations created by the COVID-19 pandemic have currently made financing through CDO or CLO securitizations more difficult.

The extent to which the COVID-19 pandemic impacts our future operating results and liquidity will depend on future developments which are highly uncertain and cannot be predicted with confidence, including the scope, severity and duration of the pandemic, including any resurgences, or mutations of the virus, the direct and indirect economic effects of the pandemic and containment measures, and the effectiveness of vaccines and treatment therapies and the distribution thereof.

The inability of our borrowers to meet their loan obligations and/or borrowers filing for bankruptcy protection would reduce our cash flows, which would impact our ability to pay dividends to our stockholders.

As a result of the adverse effects of the COVID-19 pandemic, starting the second quarter of 2020 our board of directors reduced the amount of our regular common stock dividend.

The board may reduce or eliminate the dividend in the future in the event of further economic deterioration or dislocations in the capital markets.

Estimated Per Share NAV

On November 2, 2020, the board of directors, upon the recommendation of the Audit Committee of the board, unanimously approved and established the estimated net asset value ("NAV") per share of the Company’s common stock proposed by the Advisor of $17.88.

The estimated per share NAV is based upon the estimated value of the Company’s assets less the Company’s liabilities as of September 30, 2020 (the “Valuation Date”).

This valuation was performed in a manner consistent with the provisions of Practice Guideline 2013-01, Valuations of Publicly Registered Non-Listed REITs, issued by the Investment Program Association in April 2013, including the use of independent third-party valuation firms to estimate the fair value of our loan portfolio, securities portfolio and real estate owned portfolio.

These valuation firms estimated the value of our loan portfolio using customary valuation methods, including a discounted cash flow analysis with respect to our loan portfolio, available market pricing information with respect to our securities portfolio, and real estate appraisals with respect to our real estate owned portfolio.

Based on these methodologies these firms determined a range of estimated valuations.

To estimate the Company’s NAV, the Advisor added the amounts of cash and other tangible assets reflected on our balance sheet (as computed in accordance with GAAP) and subtracted our liabilities as reflected on our balance sheet (computed in accordance with GAAP).

Based on this the Advisor estimated that the Company’s NAV as of September 30, 2020 is $17.88 which is the midpoint of the valuation range of $17.14 to $18.62.

The Advisor recommended our board of directors approve the estimated per share NAV of $17.88.

As with any methodology used to estimate value, the methodologies employed to estimate the NAV were based upon a number of estimates and assumptions that may not be accurate or complete.

If different judgments, assumptions or opinions were used, a different estimate would likely result.

We believe that the method used to determine the estimated per share NAV of the Company’s common stock is the methodology most commonly used by public, non-listed REITs to estimate per share NAV.

The estimated per share NAV does not represent the per share amount a third party would pay to acquire us, or the price at which our common stock would trade in the event we were listed on a national securities exchange.

For example, the estimated per share NAV of the Company’s common stock does not reflect a liquidity discount for the fact that the shares are not currently traded on a national securities exchange and other costs that may be incurred in connection with a liquidity event.

Our estimated per share NAV does not reflect the conversion of any of our Series A convertible preferred stock ("Series A Preferred Stock") or Series C convertible preferred stock (“Series C Preferred Stock,” and with the Series A Preferred Stock, the “Preferred Stock”).

The estimated per share NAV was determined at a moment in time and as of the Valuation Date and the values of our assets and liabilities will change over time as a result of changes relating to the individual loans in our portfolio as well as changes and developments in the real estate and capital markets generally, including changes in interest rates.

For example, material adverse developments in the real estate or credit markets related to the COVID-19 pandemic after September 30, 2020 would have a significant impact on our estimated per share NAV.

Therefore, stockholders should not rely on the estimated per share NAV in making a decision to buy or sell shares of our common stock.

Significant Accounting Estimates and Critical Accounting Policies

Real estate securities may include CMBS, senior unsecured debt of publicly traded REITs, debt or equity securities of other publicly traded real estate companies, RMBS and CDOs.

The Company also owns real estate acquired by the Company through foreclosure and deed in lieu of foreclosure, and purchased for investment, typically subject to triple net leases.

Impact of the Capstead Acquisition

As further described in Note 18 - Merger with Capstead, on October 19, 2021, the Company completed a merger with Capstead Mortgage Corporation (“Capstead”) pursuant to which Capstead merged into a wholly-owned subsidiary of the Company, and the Company’s common stock commenced trading on the NYSE under the ticker “FBRT”.

The Capstead assets acquired in the merger consist primarily of cash and residential adjustable-rate mortgage pass-through securities issued and guaranteed by government-sponsored enterprises or by an agency of the federal government ("ARM Agency Securities").

The Company intends to reinvest the cash and proceeds from dividends, interest, repayments and sales of the assets acquired in the merger into its own investment strategies.

The Capstead acquisition resulted in the following material impacts on our financial results for the year and quarter ended December 31, 2021:

• Impairment of acquired assets:

Pursuant to Accounting Standards Codification Topic 805, “Business Combinations,” the Company accounted for the transaction as an asset acquisition since substantially all of the fair value of the gross assets acquired was concentrated in a group of similar identifiable assets, a portfolio of agency mortgage-backed securities.

The Company measured the cost of the net identifiable assets acquired on the basis of the fair value of the consideration given, inclusive of transaction costs, which was determined to be more reliably measurable.

As the cost of the acquisition exceeded the fair value of the net identifiable assets acquired, the Company allocated the difference on the basis of relative fair values to certain assets which were not carried at fair value.

The amount of excess consideration, including the Company's transaction costs, was capitalized on the balance sheet as a long-lived asset at the time of acquisition.

In the fourth quarter of 2021, the Company concluded the long-lived asset had no potential value to the generation of future cash flows and fully impaired the asset, recognizing an expense totaling $88.3 million in the consolidated statements of operations .

• Trading losses:

Since the Company does not intend to hold the ARM Agency Securities acquired in the Capstead merger for long-term investment, the assets are treated as “classified as trading” for accounting purposes.

As a result, these assets are recorded at fair value on the balance sheet with trading gains and losses on the paydowns and sales of these securities recorded in the Company's consolidated statements of operations.

For the quarter ended December 31, 2021, the Company recognized a trading loss of $34.8 million related to these assets.

As long as the Company holds a significant amount of the ARM Agency Securities acquired in the Capstead merger, the Company’s future results of operations will continue to be impacted by trading gains and losses related to this portfolio, and such impacts could be adverse and material.

As of December 31, 2021, the value of the Company’s ARM Agency Securities portfolio was $4.6 billion.

As of February 18, 2022, the value of the Company's ARM Agency Securities portfolio was $2.4 billion.

The reduction in the value of the ARM Agency Securities portfolio from January 1, 2022 to February 18, 2022 is due in part to (i) $265 million of principal payments and (ii) $1.8 billion of sales.

From January 1, 2022 to February 18, 2022, the Company experienced losses of $38 million related to the ARM Agency Securities portfolio as a result of net trading losses totaling $59.5 million related to principal paydowns, changes in market price and losses on sales of securities, net of portfolio-related derivative gains of $21.5 million.

Book Value Per Share

The following table calculates our book value per share as of December 31, 2021 ($ in thousands, except per share data):

December 31, 2021 December 31, 2020

Stockholders' equity applicable to common stock $ 736,464 $ 798,444

Common stock 43,951,382 44,494,496

Restricted stock 14,546 15,555

Total outstanding 43,965,928 44,510,051

Book value per share $ 16.75 $ 17.94

The following table calculates our fully-converted book value per share as of December 31, 2021 ($ in thousands, except per share data):

December 31, 2021 December 31, 2020

Stockholders' equity applicable to convertible common stock $ 1,543,550 $ 1,007,698

Common stock 43,951,382 44,494,496

Restricted stock 14,546 15,555

Series A convertible preferred stock — 12,122,088

Series C convertible preferred stock 418,880 418,880

Series D convertible preferred stock 5,370,640 —

Series F convertible preferred stock 39,733,299 —

Total outstanding 89,488,747 57,051,019

Fully-converted book value per share $ 17.25 $ 17.66

Critical Accounting Estimates

Our financial statements are prepared in conformity with accounting principles generally accepted in the United States of America ("GAAP"), which requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods.

Critical accounting policies are those that require the application of management’s most difficult, subjective or complex judgments, often because of the need to make estimates about the effect of matters that are inherently uncertain and that may change in subsequent periods.

Critical accounting estimates are those that require the application of management’s most difficult, subjective or complex judgments on matters that are inherently uncertain and that may change in subsequent periods.

In preparing the financial statements, management has made estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods.

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In addition, other companies may utilize different estimates, which may impact the comparability of our results of operations to those of companies in similar businesses.

As our expected operating plans occur, we will describe additional critical accounting policies in the notes to our future financial statements in addition to those discussed below.

Set forth below is a summary of the significant accounting estimates and critical accounting policies that management believes are important to the preparation of our financial statements.

Certain of our accounting estimates are particularly important for an understanding of our financial position and results of operations and require the application of significant judgment by our management.

As a result, these estimates are subject to a degree of uncertainty.

Commercial Mortgage Loans

Commercial mortgage loans that are held for investment purposes and are anticipated to be held until maturity, are carried at cost, net of unamortized acquisition expenses, discounts or premiums and unfunded commitments.

Commercial mortgage loans, held for investment purposes, will be carried at amortized cost less a specific allowance for credit loss.

Interest income is recorded on the accrual basis and related discounts, premiums and acquisition expenses on investments are amortized over the life of the investment using the effective interest method.

Amortization is reflected as an adjustment to interest income in our consolidated statements of operations.

Guaranteed loan exit fees payable by the borrower upon maturity are accreted over the life of the investment using the effective interest method.

The accretion of guaranteed loan exit fees is recognized in interest income in our consolidated statements of operations and the associated receivable is included in the consolidated balance sheet.

Commercial mortgage loans that are intended to be sold in the foreseeable future are reported as held-for-sale and are transferred at fair value then recorded at the lower of cost or fair value with changes recorded through the statement of operations.

Unamortized loan origination costs for commercial mortgage loans held-for-sale that are carried at the lower of cost or fair value are capitalized as part of the carrying value of the loans and recognized upon the sale of such loans.

Amortization of origination costs ceases upon transfer of commercial mortgage loans to held-for-sale.

The Company has elected to measure commercial mortgage loans held-for-sale in the Company's TRS under the fair value option to better reflect those commercial mortgage loans that are part of securitization warehousing activity.

These commercial mortgage loans are included in the Commercial mortgage loans, held-for-sale, measured at fair value in the consolidated balance sheet.

Interest income received on commercial mortgage loans held-for-sale is recorded on the accrual basis of accounting and is included in interest income in the consolidated statements of operations.

Acquisition expenses on originating these investments are expensed when incurred.

Real Estate Owned

Real estate owned assets are carried at their estimated fair value at acquisition and presented net of accumulated depreciation and impairment charges.

The Company allocates the purchase price of acquired real estate assets based on the fair value of the acquired land, building, furniture, fixtures and equipment.

Real estate owned assets are depreciated using the straight-line method over estimated useful lives of up to 40 years for buildings and improvements and up to 15 years for furniture, fixtures and equipment.

Renovations and/or replacements that improve or extend the life of the real estate owned assets are capitalized and depreciated over their estimated useful lives.

Real estate owned revenue is recognized when the Company satisfies a performance obligation by transferring a promised good or service to a customer.

The Company is considered to have satisfied all performance obligation at a point in time.

Real estate owned assets that are probable to be sold within one year are reported as held-for-sale.

Real estate owned assets classified as held-for-sale shall be measured at the lower of its carrying amount or fair value less cost to sell.

Real estate owned assets shall not be depreciated or amortized while it is classified as held-for-sale.

Interest and other expenses attributable to the liabilities of a disposal group classified as held-for-sale shall continue to be accrued.

Upon the disposition of a real estate owned asset, the Company calculates realized gains and losses as net proceeds received less the carrying value of the real estate owned asset.

Net proceeds received are net of direct selling costs associated with the disposition of the real estate owned asset.

Credit Losses

Set forth below is a summary of the critical accounting estimates and critical accounting policies that management believes are important to the preparation of our financial statements.

The Company’s significant accounting policies, including recently issued accounting pronouncements, are more fully described in Note 2 – Summary of Critical Accounting Policies to the accompanying consolidated financial statements included in this Annual Report on Form 10-K.

Credit Losses - Estimating Credit Losses

The allowance for credit losses for the Company’s financial instruments carried at amortized cost and off-balance sheet credit exposures, such as loans held for investment and unfunded loan commitments represents a lifetime estimate of expected credit losses.

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Interest received on nonaccrual status loans are accounted for under the cost-recovery method, until qualifying for return to accrual.

Upon restructuring the nonaccrual loan, the Company may return a loan to accrual status when repayment of principal and interest is reasonably assured.

Real Estate Securities

The cost recovery method will no longer apply if collection of all principal and interest is reasonably assured.

A loan may be placed back on accrual status if we determine it is probable that we will collect all payments which are contractually due.

Real Estate Owned - Estimating Fair Value and Holding Period

Real estate owned assets are carried at their estimated fair value at acquisition and presented net of accumulated depreciation and impairment charges.

The Company allocates the purchase price of acquired real estate assets based on the fair value of the acquired land, building, furniture, fixtures and equipment.

Renovations and/or replacements that improve or extend the life of the real estate owned assets are capitalized and depreciated over their estimated useful lives.

Real estate owned revenue is recognized when the Company satisfies a performance obligation by transferring a promised good or service to a customer.

The Company is considered to have satisfied all performance obligation at a point in time.

Real estate owned assets that are probable to be sold within one year are reported as held for sale.

Real estate owned assets classified as held for sale are measured at the lower of its carrying amount or fair value less cost to sell.

Real estate owned assets are not depreciated or amortized while classified as held for sale.

Interest and other expenses attributable to the liabilities of a disposal group classified as held for sale continue to be accrued.

Upon the disposition of a real estate owned asset, the Company calculates realized gains and losses as net proceeds received less the carrying value of the real estate owned asset.

Net proceeds received are net of direct selling costs associated with the disposition of the real estate owned asset.

Real Estate Securities - Estimating Fair Value

On the acquisition date, all of our commercial real estate securities will be classified as available for sale and will be carried at fair value, with any unrealized gains or losses reported as a component of accumulated other comprehensive income or loss.

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The non-credit loss component of the unrealized loss within the Company’s AFS portfolio is recognized as an adjustment to the individual security’s asset balance with an offsetting entry to other comprehensive income in the consolidated balance sheets.

Commercial real estate securities for which the fair value option has been elected will not be evaluated for other-than-temporary impairment as changes in fair value are recorded in our consolidated statement of operations.

The Company has conducted its operations to qualify as a REIT for U.S.

federal income tax purposes beginning with the taxable year ended December 31, 2013.

As a REIT, if the Company meets certain organizational and operational requirements and distribute at least 90% of our "REIT taxable income" (determined before the deduction of dividends paid and excluding net capital gains) to our stockholders in a year, it will not be subject to U.S.

federal income tax to the extent of the income that it distributes.

However, even if the Company qualifies for taxation as a REIT, it may be subject to certain state and local taxes on our income in addition to U.S.

federal income and excise taxes on its undistributed income.

The Conduit business segment is operated through the Company’s TRS.

The TRS is subject to U.S.

federal and applicable state income taxes.

Derivatives and Hedging Activities

The Company recognizes all derivatives on the consolidated balance sheets at fair value.

The Company does not designate derivatives as hedges to qualify for hedge accounting for financial reporting purposes and therefore any net payments under, or fluctuations in the fair value of these derivatives have been recognized currently in gain/(loss) on derivative instruments in the accompanying consolidated statements of operations.

The Company records derivative asset and liability positions on a gross basis with any collateral posted with or received from counterparties recorded separately on the Company’s consolidated balance sheets.

Certain derivatives that the Company has entered into are subject to master netting agreements with its counterparties, allowing for netting of the same transaction, in the same currency, on the same date.

Per Share Data

The Company’s Series of Preferred Stock are considered to be participating securities.

As such, the Company is required to include the Preferred Stock in the calculation of basic earnings per share and calculate basic earnings per share using the two-class method.

The Company’s dilutive earnings per share calculation is computed using the more dilutive result of the treasury stock method, assuming the participating security is a potential common share, or the two-class method, assuming the participating security is not converted.

Diluted earnings per share reflects the potential dilution that could occur from shares outstanding if potential shares of common stock with a dilutive effect have been issued in connection with the restricted stock plan or upon conversion of the outstanding shares of the Company’s Preferred Stock, except when doing so would be anti-dilutive.

Commercial real estate securities for which the fair value option has been elected are not evaluated for other-than-temporary impairment as changes in fair value are recorded in our consolidated statement of operations.

Real Estate Securities - Classified As Trading - Estimating Fair Value

In the merger with Capstead, we acquired a portfolio of ARM Agency Securities classified as trading and recorded at fair value on the balance sheet with trading gains and losses on the paydowns and sales of these securities recorded in the Company's consolidated statements of operations.

Fair values fluctuate with current and projected changes in interest rates, prepayment expectations and other factors such as market liquidity conditions and the perceived credit quality of agency securities.

Judgment is required to interpret market data and develop estimated fair values, particularly in circumstances of deteriorating credit quality and market liquidity.

Results of Operations

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• The real estate debt business focuses on originating, acquiring and asset managing commercial real estate debt investments, including first mortgages, subordinate mortgages, mezzanine loans and participations in such loans.

• The real estate securities business focuses on investing in and asset managing commercial real estate securities primarily consisting of CMBS and may include unsecured REIT debt, CDO notes and other securities.

• The real estate securities business focuses on investing in and asset managing real estate securities.

Historically this business has focused primarily on CMBS, unsecured REIT debt, CDO notes and other securities.

As a result of the October 2021 acquisition of Capstead, the Company acquired and continues to hold a significant portfolio of Residential Mortgage Backed Securities (“RMBS”) in the form of the ARM Agency Securities.

The Company intends to reinvest the cash and proceeds from dividends, interest, repayments and sales of these assets into its other segments and does not intend to continue to invest in ARM Agency Securities or RMBS in general.

As of December 31, 2021, all of the real estate securities in this segment were ARM Agency Securities acquired in the Capstead acquisition.

• The conduit business operated through the Company's TRS, which is focused on generating superior risk-adjusted returns by originating and subsequently selling fixed-rate commercial real estate loans into the CMBS securitization market at a profit.

• The real estate owned business represents real estate acquired by the Company through foreclosure, deed in lieu of foreclosure, or purchase.

In addition, as described above in “Impact of the Capstead Acquisition”, the Company's results of operations were materially impacted by the asset impairment related to the Capstead merger and trading losses and decreases in the values of the assets acquired in the transaction from acquisition date to December 31, 2021.

Net Interest Income

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Collateralized loan obligations 1,821,993 35,920 2.0 % 1,706,207 41,095 2.4 %

Derivative instruments — — N/A — 334 N/A

Unsecured debt 35,268 2,103 6.0 % — — — %

Total $ 3,241,910 $ 60,835 1.9 % $ 2,285,427 $ 66,556 2.9 %

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(1) Based on amortized cost for real estate debt and real estate securities and principal amount for repurchase agreements.

(1) Based on amortized cost for real estate debt and real estate securities and principal amount for interest-bearing liabilities.

Amounts are calculated based on daily averages for the years ended December 31, 2021 and 2020, respectively.

(2) Includes the effect of amortization of premium or accretion of discount and deferred fees.

The RMBS securities acquired in the Capstead merger are classified as trading and use the simple interest method to calculate interest income therefore no premium amortization is recognized on these securities.

(3) Calculated as interest income or expense divided by average carrying value.

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Interest income for the years ended December 31, 2021 and 2020 totaled $216.9 million and $179.9 million, respectively.

As of December 31, 2020, our portfolio consisted of 130 commercial mortgage loans, three commercial mortgage loans, held-for-sale, measured at fair value and nine investments in CMBS.

The main driver in the decrease in interest income was due to a decrease in the one-month LIBOR, the benchmark index for our loans.

The decrease in the one-month LIBOR was partially offset by the index floors we have on our loans and a higher average carrying value of interest-earning assets in the year ended December 31, 2020.

As of December 31, 2021, our portfolio consisted of 165 commercial mortgage loans, one commercial mortgage loan, held for sale, measured at fair value, RMBS securities acquired in the merger with Capstead and no investments in CMBS.

The main driver in the increase in interest income was due to the higher average carrying value of interest-earning assets during the year ended December 31, 2021.

Interest expense

Interest expense for the year ended December 31, 2021 decreased to $60.8 million compared to interest expense for the year ended December 31, 2020 of $66.6 million.

Similar to our interest income, the decrease in interest expense was due to a decrease in the one-month LIBOR, the benchmark index for our financing lines.

The decrease in interest expense was due to a decrease in the one-month LIBOR, the benchmark index for our financing lines.

Realized Gain/Loss on Commercial Mortgage Loans Held for Sale

Realized gain on commercial mortgage loans held for sale, measured at fair value at the TRS for the year ended December 31, 2021 was $24.2 million compared to $15.9 million for the year ended December 31, 2020.

The $21.9 million decrease in realized gain was due to lower sales volumes with total proceeds of $328.1 million from the sale of fixed-rate commercial real estate loans into the CMBS securitization market during the year ended December 31, 2020 versus transactions of total proceeds of $1,013.1 million for the year ended December 31, 2019.

The $8.3 million increase in realized gain was due to higher sales volumes in our conduit business segment with total proceeds of $478.3 million from the sale of fixed-rate commercial real estate loans into the CMBS securitization market during the year ended December 31, 2021 compared to transactions with total proceeds of $328.1 million for the year ended December 31, 2020.

Realized Gain/Loss on Real Estate Securities Available for Sale

For the year ended December 31, 2020 our real estate securities, available for sale, measured at fair value had a realized loss of $10.1 million included within the consolidated statements of operations.

The loss is attributable to 20 CMBS securities sold during the year ended December 31, 2020 in response to the dislocations in the capital markets due to COVID-19.

There had been no sales of CMBS securities during the year ended December 31, 2019.

For the year ended December 31, 2021 sales of our real estate securities, available for sale, measured at fair value resulted in a net realized loss of $1.4 million included within the consolidated statements of operations.

The loss is attributable to nine CMBS securities sold during the year ended December 31, 2021.

For the year ended December 31, 2020 sales of our real estate securities, available for sale, measured at fair value resulted in a net realized loss of $10.1 million included within the consolidated statements of operations.

The loss was attributable to 20 CMBS securities sold during the year ended December 31, 2020 in response to the dislocations in the capital markets due to COVID-19.

Unrealized Gain/Loss on Real Estate Securities Available for Sale

For the year ended December 31, 2020 our real estate securities, available for sale, measured at fair value had an unrecognized unrealized loss of $7.3 million included within the consolidated statements of comprehensive income.

The deterioration in fair value of real estate securities for the year ended December 31, 2020 can be attributed to the significant market volatility and credit uncertainties related to the outbreak of COVID-19 followed by some recovery in CMBS markets in the second half of 2020.

For the year ended December 31, 2021 our real estate securities, available for sale, measured at fair value had an unrealized gain of $8.3 million included within the consolidated statements of comprehensive income.

The increase in fair value of real estate securities can be attributed to the reversal of the unrealized losses on the nine CMBS sales during the year ended December 31, 2021.

Trading Gain/Loss

For the year ended December 31, 2021 we had a realized trading loss of $34.8 million included within the consolidated statements of operations.

The loss is attributable to $20.9 million of losses due to change in market values of the ARM Agency Securities and $14.0 million of losses due to mortgage prepayments, net of $0.1 million in realized gains on sales of securities.

Expenses from operations

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Administrative services expenses 7,658 13,120

Impairment of acquired assets 88,282 —

Professional fees 11,650 10,964

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Total expenses from operations $ 142,956 $ 49,156

The decrease in our expenses from operations was primarily related to lower administrative services expenses.

The decrease in administrative services expenses was due to fewer conduit activities during the twelve months ended December 31, 2020, compared to the twelve months ended December 31, 2019.

The decrease in asset management and subordinated performance fee was primarily driven by the lower stockholders’ equity and preferred stock for the year ended December 31, 2020, compared to the year ended December 31, 2019.

The increase in depreciation and amortization expense was due to $2.2 million of expenses incurred on a total of two real estate owned assets during the twelve months ended December 31, 2020, compared to $0.5 million incurred on two real estate owned assets during the twelve months ended December 31, 2019.

Comparison of the Year Ended December 31, 2019 to the Year Ended December 31, 2018

The increase in our expenses from operations was primarily related to impairment of acquired assets and higher asset management and subordinated performance fees.

The increase in impairment of acquired assets and asset management and subordinated performance fees were all due to the merger with Capstead during the year ended December 31, 2021.

Refer to “Impact of the Capstead Acquisition” above for a discussion of the impairment of acquired assets.

The decrease in administrative services expenses was primarily driven by a greater amount of originations during the year and therefore higher acquisition fees paid to our Advisor, which reduced the administrative services expenses for the year ended December 31, 2021, compared to the year ended December 31, 2020.

The decrease of $3.7 million in real estate owned operating expenses was due to the sale of an owned office property during the year ended December 31, 2020 and the fact our remaining owned property, an industrial property, is leased on a triple-net basis.

Comparison of the Three Months Ended December 31, 2021 to the Three Months Ended September 30, 2021

Net Interest Income

Net interest income is generated on our interest-earning assets less related interest-bearing liabilities and is recorded as part of our real estate debt and real estate securities segments.

The following table presents the average balance of interest-earning assets less related interest-bearing liabilities, associated interest income and expense and corresponding yield earned and incurred for the years ended December 31, 2019 and December 31, 2018 (dollars in thousands):

Year Ended December 31,

Net interest income is generated on our interest-earning assets less related interest-bearing liabilities and is recorded as part of our real estate debt, real estate securities and TRS segments.

The following table presents the average balance of interest-earning assets less related interest-bearing liabilities, associated interest income and expense and corresponding yield earned and incurred for the three months ended December 31, 2021 and September 30, 2021 (dollars in thousands):

Three Months Ended

December 31, 2021 September 30, 2021

Average Carrying Value (1)

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Real estate conduit 36,447 497 5.5 % 61,157 581 3.8 %

Real estate securities 153,484 6,149 4.0 % 15,166 717 4.7 %

Real estate securities 3,482,245 24,279 2.8 % — — N/A

Total $ 7,150,038 $ 77,921 4.4 % $ 3,179,358 $ 47,747 6.0 %

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Collateralized loan obligations 1,714,736 11,922 2.8 % 1,906,402 8,395 1.8 %

Derivative instruments — 334 N/A — 284 N/A

Unsecured debt 101,064 2,103 8.3 % — — — %

Total $ 6,046,898 $ 24,841 1.6 % $ 2,333,945 $ 11,988 2.1 %

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__ ______________________

(1) Based on amortized cost for real estate debt and real estate securities and principal amount for repurchase agreements.

All amounts are calculated based on quarterly averages for years ended December 31, 2019 and 2018.

(1) Based on amortized cost for real estate debt and real estate securities and principal amount for interest-bearing liabilities.

Amounts are calculated based on daily averages for the three months ended December 31, 2021 and September 30, 2021, respectively.

(2) Includes the effect of amortization of premium or accretion of discount and deferred fees.

(3) Calculated as interest income or expense divided by average carrying value.

(4) Annualized.

(5) Calculated by dividing total average interest-bearing liabilities by total average interest-earning assets.

(5) Calculated by dividing net interest income/spread by the net of interest-earning assets and interest-bearing liabilities.

(6) Calculated by dividing net interest income/spread by the average interest-earning assets less average interest-bearing liabilities.

Interest income

Interest income for the years ended December 31, 2019 and December 31, 2018 totaled $195.3 million and $152.3 million, respectively.

As of December 31, 2019, our portfolio consisted of 122 commercial mortgage loans, 7 commercial mortgage loans, held-for-sale, measured at fair value and 21 investments in CMBS.

The main driver in the increase in interest income was an increase of $769.4 million in the average carrying value of our interest-earning assets.

Interest income for the three months ended December 31, 2021 and September 30, 2021 totaled $77.9 million and $47.7 million, respectively.

The main driver in the increase in interest income was due to the higher average carrying value of interest-earning assets during the three months ended December 31, 2021, directly related to the merger with Capstead.

Interest expense

Interest expense for the year ended December 31, 2019 increased to $90.4 million compared to interest expense for the year ended December 31, 2018 of $70.0 million.

The increase in interest expense was due to an increase of $624.7 million in the average carrying value of our interest-bearing liabilities.

Interest expense for the three months ended December 31, 2021 increased to $24.8 million compared to interest expense for the three months ended September 30, 2021 of $12.0 million.

The increase in interest expense was due to the increase of $627.9 million in repurchase agreements on commercial mortgage loans and an increase of $3,187.1 million in repurchase agreements on real estate securities during the three months ended December 31, 2021, compared to the three months ended September 30, 2021.

Realized Gain/Loss on Commercial Mortgage Loans Held for Sale

Realized gain on commercial mortgage loans held-for-sale, measured at fair value at the TRS for the year ended December 31, 2019 was $37.8 million compared to $11.3 million for the year ended December 31, 2018.

The $26.5 million increase in realized gain was due to total proceeds of $1,013.1 million from the sale of fixed-rate commercial real estate loans into the CMBS securitization market during the year ended December 31, 2019 versus transactions of total proceeds of $567.4 million for the year ended December 31, 2018.

Realized gain on commercial mortgage loans held for sale, measured at fair value at the TRS for the three months ended December 31, 2021 was $2.0 million compared to $9.1 million for the three months ended September 30, 2021.

The $7.1 million decrease in realized gain was due to the fact that there had been one sale of fixed-rate commercial real estate loans into the CMBS securitization market during the three months ended December 31, 2021 compared to two sales during the three months ended September 30, 2021.

Proceeds from sale were $67.1 million for the three months ended December 31, 2021 compared to $154.0 million for the three months ended September 30, 2021.

Trading Gain/Loss

For the three months ended December 31, 2021 we had a realized trading loss of $34.8 million included within the consolidated statements of operations.

Expenses from operations

Expenses from operations for the years ended December 31, 2019 and 2018 were made up of the following (dollars in thousands):

Year Ended December 31,

Expenses from operations for the three months ended December 31, 2021 and September 30, 2021 were made up of the following (dollars in thousands):

Three Months Ended

December 31, 2021 September 31, 2021

Asset management and subordinated performance fee $ 8,428 $ 8,265

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Administrative services expenses (1,874) 2,980

Impairment of acquired assets 88,282 —

Professional fees 4,388 2,488

Real estate owned operating expenses 2,802 —

Depreciation and amortization 1,295 —

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Total expenses from operations $ 102,541 $ 15,132

The increase in our expenses from operations was primarily related to asset management and subordinated performance fees, administrative services expenses and professional fees.

The increase in asset management and subordinated performance fee was primarily driven by the larger stockholders’ equity and preferred stock for the year ended December 31, 2019, compared to the year ended December 31, 2018.

In addition to a higher equity base, we accrued approximately $2.0 million of subordinated performance fee during the year ended December 31, 2019 compared to $0.0 million during the year ended December 31, 2018.

The increase in administrative services expenses and professional fees was primarily driven by the increase in outstanding equity during 2019 and a larger portfolio.

In addition, the increase in real estate owned operating expense was driven by the two new real estate owned assets on our balance sheet for the year ended December 31, 2019, compared to none for the year ended December 31, 2018.

The increase in our expenses from operations was primarily related to impairment of acquired assets and higher asset management and subordinated performance fees.

The increase in impairment of acquired assets and asset management and subordinated performance fees were all due to the merger with Capstead during the three months ended December 31, 2021.

Refer to “Impact of the Capstead Acquisition” above for a discussion of the impairment of acquired assets.

The decrease in administrative services expenses was primarily driven by the year-end adjustment to such expenses during the three months ended December 31, 2021, compared to the three months ended September 30, 2021.

The increase in depreciation and amortization expense was due to $1.3 million of expenses incurred on one real estate owned assets during the three months ended December 31, 2021, compared to no such expenses incurred during the three months ended September 30, 2021.

Comparison of the Year Ended December 31, 2020 to the Year Ended December 31, 2019

See Part II, Item 7.

“Management’s Discussion and Analysis of Financial Condition and Results of Operations” in our Annual Report on Form 10-K for the year ended December 31, 2020, filed with the Securities and Exchange Commission on March 11, 2021, for a discussion of the comparison of the year ended December 31, 2020 to the year ended December 31, 2019.

As of December 31, 2021 and 2020, our portfolio consisted of 165 and 130 commercial mortgage loans, respectively, excluding commercial mortgage loans accounted for under the fair value option.

The commercial mortgage loans held for investment as of December 31, 2021 and December 31, 2020 had a total carrying value, net of allowance for credit losses, of $4,211.1 million and $2,693.8 million, respectively.

As of December 31, 2020 and 2019 the Company's total commercial mortgage loans, held-for-sale, measured at fair value comprised of three loans with total fair value of $67.6 million and seven loans with total fair value of $112.6 million, respectively.

As of December 31, 2020 and 2019, our real estate securities, available for sale, at fair value comprised of nine CMBS investments with total fair value of $171.1 million and 21 CMBS investments with total fair value of $386.3 million.

As of December 31, 2020 and December 31, 2019, our other real estate investments, measured at fair value, comprised one investment with a total fair value of $2.5 million and $2.6 million, respectively.

As of December 31, 2020 and December 31, 2019, our real estate owned portfolio comprised one investment with a carrying value of $26.5 million and two investments with a carrying value of $35.3 million, respectively.

As of December 31, 2020, we had two loans with unpaid contractual principal balance for a total carrying value of $94.9 million, one with interest past due for greater than 90 days and the other with interest past due greater than 30 days.

As of December 31, 2021 and 2020 the Company's total commercial mortgage loans, held for sale, measured at fair value comprised of one loan with total fair value of $34.7 million and three loans with total fair value of $67.6 million, respectively.

As of December 31, 2021, we had no real estate securities, available for sale, compared to real estate securities, available for sale, at fair value comprised of nine CMBS investments with total fair value of $171.1 million, as of December 31, 2020.

As of December 31, 2021 and December 31, 2020, our other real estate investments, measured at fair value, were comprised one investment with a total fair value of $2.1 million and $2.5 million, respectively.

As of December 31, 2021 and December 31, 2020, our real estate owned portfolio comprised one industrial property and one office property, respectively with carrying values of $90.0 million and $26.5 million, respectively.

As of December 31, 2021, we had two loans with unpaid contractual principal balance for a total carrying value of $114.0 million, one with interest past due for greater than 90 days and the other which is current.

We did not take any asset specific reserves for these loans.

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As of December 31, 2021 and 2020, our commercial mortgage loans, excluding commercial mortgage loans accounted for under the fair value option, had a weighted average coupon of 4.3% and 5.5%, and a weighted average remaining life of 2.1 years and 1.7 years, respectively.

As of December 31, 2020 and 2019, our CMBS investments had a weighted average coupon of 2.2% and 3.7%, and a weighted average remaining life of 12.8 years and 15.8 years, respectively.

As of December 31, 2020, our CMBS investments had a weighted average coupon of 2.2%, and a weighted average remaining life of 12.8 years.

The following charts summarize our commercial mortgage loans, held for investment, by coupon rate type, collateral type and geographical region as of December 31, 2021 and 2020:

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Loan Type Property Type Par Value Interest Rate (1)

Effective Yield Loan to Value (2)

Senior Debt 1 Industrial $33,655 1 month LIBOR + 4.00% 4.20% 65.0%

Senior Debt 2 Mixed Use 12,839 1 month LIBOR + 5.00% 5.75% 73.3%

Senior Debt 3 Office 14,034 1 month LIBOR + 4.45% 5.45% 64.2%

Senior Debt 4 Office 8,391 1 month LIBOR + 6.00% 7.00% 74.0%

Senior Debt 5 Multifamily 37,812 1 month LIBOR + 3.35% 5.60% 76.0%

Senior Debt 6 Office 26,811 1 month LIBOR + 4.15% 5.40% 69.5%

Senior Debt 7 Hospitality 10,400 1 month LIBOR + 6.25% 6.50% 61.6%

Effective Yield (5)

Loan to Value (2)

Senior Debt 1 Hospitality $4,858 1 month LIBOR + 4.00% 5.00% 77.0%

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Senior Debt 4 Hospitality 22,150 1 month LIBOR + 6.00% 6.50% 48.1%

Senior Debt 12 Hospitality 23,000 1 month LIBOR + 6.00% 6.50% 48.1%

Senior Debt 5 Office 6,901 1 month LIBOR + 5.15% 6.60% 56.4%

Senior Debt 6 Multifamily 36,822 1 month LIBOR + 3.00% 3.80% 63.7%

Senior Debt 15 Hospitality 28,272 1 month LIBOR + 4.00% 5.25% 68.0%

Senior Debt 16 Hospitality 22,700 1 month LIBOR + 4.40% 5.00% 72.7%

Senior Debt 7 Multifamily 37,025 1 month LIBOR + 3.00% 4.50% 83.6%

Senior Debt 18 Self Storage 3,851 1 month LIBOR + 4.05% 5.00% 45.5%

Senior Debt 19 Self Storage 6,496 1 month LIBOR + 4.05% 5.05% 55.8%

Senior Debt 20 Self Storage 7,606 1 month LIBOR + 4.05% 5.05% 57.6%

Senior Debt 21 Self Storage 2,400 1 month LIBOR + 4.05% 5.00% 37.6%

Senior Debt 22 Self Storage 6,310 1 month LIBOR + 5.05% 5.19% 59.1%

Senior Debt 8 Hospitality 22,355 1 month LIBOR + 3.50% 4.80% 68.8%

Senior Debt 24 Mixed Use 59,451 1 month LIBOR + 4.87% 5.27% 49.0%

Senior Debt 9 Office 20,685 1 month LIBOR + 3.75% 5.80% 70.0%

Senior Debt 26 Self Storage 6,299 1 month LIBOR + 6.00% 7.75% 58.9%

Senior Debt 10 Office 15,722 1 month LIBOR + 3.40% 5.30% 67.5%

Senior Debt 11 Retail 29,500 6.50% 6.50% 68.5%

Senior Debt 29 Self Storage 11,966 1 month LIBOR + 5.50% 7.25% 68.1%

Senior Debt 12 Multifamily 27,488 1 month LIBOR + 3.35% 5.25% 73.0%

Senior Debt 31 Multifamily 22,417 1 month LIBOR + 3.40% 4.95% 80.5%

Senior Debt 32 Multifamily 29,868 1 month LIBOR + 3.35% 5.25% 73.0%

Senior Debt 33 Land 16,400 1 month LIBOR + 6.00% 8.25% 45.7%

Senior Debt 13 Hospitality 8,285 1 month LIBOR + 4.85% 6.75% 62.5%

Senior Debt 35 Industrial 14,160 1 month LIBOR + 3.95% 5.95% 66.4%

Senior Debt 36 Multifamily 48,500 1 month LIBOR + 3.75% 6.15% 69.5%

Senior Debt 37 Multifamily 23,295 1 month LIBOR + 5.70% 7.50% 70.7%

Senior Debt 14 Office 7,125 1 month LIBOR + 3.90% 5.95% 67.6%

Senior Debt 39 Manufactured Housing 8,893 1 month LIBOR + 4.40% 6.50% 60.3%

Senior Debt 15 Hospitality 13,972 1 month LIBOR + 4.47% 6.72% 44.8%

Senior Debt 16 Retail 11,924 1 month LIBOR + 3.95% 6.45% 61.2%

Senior Debt 42 Hospitality 21,000 1 month LIBOR + 4.14% 6.64% 56.0%

Senior Debt 43 Multifamily 24,711 1 month LIBOR + 3.10% 5.40% 73.1%

Senior Debt 44 Multifamily 37,643 1 month LIBOR + 3.10% 5.40% 73.4%

Senior Debt 17 Office 42,631 1 month LIBOR + 3.50% 5.75% 71.0%

Senior Debt 18 Retail 8,203 1 month LIBOR + 8.00% 8.10% 51.6%

Loan Type Property Type Par Value Interest Rate (1)

Effective Yield Loan to Value (2)

Senior Debt 19 Hospitality 10,580 1 month LIBOR + 4.50% 6.75% 68.7%

Senior Debt 48 Multifamily 18,100 1 month LIBOR + 3.40% 5.35% 76.4%

Senior Debt 20 Hospitality 19,900 1 month LIBOR + 4.15% 6.50% 61.8%

Senior Debt 50 Multifamily 18,656 1 month LIBOR + 3.10% 5.50% 67.4%

Senior Debt 21 Office 39,650 1 month LIBOR + 4.01% 6.26% 68.2%

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Senior Debt 27 Retail 9,400 1 month LIBOR + 4.20% 6.30% 77.1%

Senior Debt 58 Manufactured Housing 12,200 1 month LIBOR + 3.65% 5.90% 48.4%

Senior Debt 59 Manufactured Housing 24,100 1 month LIBOR + 3.65% 5.90% 53.8%

Senior Debt 60 Multifamily 23,149 1 month LIBOR + 2.65% 4.75% 75.8%

Senior Debt 61 Office 29,750 1 month LIBOR + 3.35% 5.42% 54.3%

Senior Debt 28 Hospitality 34,053 1 month LIBOR + 3.99% 5.74% 31.0%

Senior Debt 63 Multifamily 12,839 1 month LIBOR + 2.65% 4.50% 71.6%

Senior Debt 64 Multifamily 37,021 1 month LIBOR + 2.75% 4.50% 79.3%

Senior Debt 29 Industrial 56,933 1 month LIBOR + 3.75% 5.50% 59.7%

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Senior Debt 31 Hospitality 7,100 1 month LIBOR + 4.00% 5.75% 70.3%

Senior Debt 68 Industrial 22,230 1 month LIBOR + 3.55% 5.25% 69.7%

Senior Debt 32 Multifamily 15,342 1 month LIBOR + 2.75% 4.25% 71.7%

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Senior Debt 39 Office 58,714 1 month LIBOR + 3.70% 5.00% 65.7%

Senior Debt 77 Industrial 25,350 1 month LIBOR + 3.50% 5.20% 58.1%

Senior Debt 40 Multifamily 11,739 1 month LIBOR + 3.15% 4.75% 72.4%

Senior Debt 41 Office 28,083 1 month LIBOR + 2.70% 2.80% 71.4%

Senior Debt 80 Multifamily 75,100 1 month LIBOR + 4.35% 6.00% 64.7%

Senior Debt 42 Manufactured Housing 1,359 5.50% 5.50% 62.8%

Senior Debt 43 Multifamily 7,060 1 month LIBOR + 4.75% 5.75% 62.6%

Senior Debt 44 Industrial 17,038 1 month LIBOR + 6.25% 7.00% 61.0%

Senior Debt 45 Multifamily 4,300 1 month LIBOR + 5.50% 6.50% 87.4%

Senior Debt 46 Manufactured Housing 7,680 1 month LIBOR + 4.50% 5.00% 66.7%

Loan Type Property Type Par Value Interest Rate (1)

Effective Yield (5)

Loan to Value (2)

Senior Debt 47 Mixed Use 30,465 1 month LIBOR + 5.15% 6.15% 67.0%

Senior Debt 48 Hospitality 27,000 1 month LIBOR + 6.50% 6.85% 62.7%

Senior Debt 49 Multifamily 50,000 1 month LIBOR + 6.69% 7.44% 80.0%

Senior Debt 50 Self Storage 29,895 1 month LIBOR + 5.00% 5.25% 58.8%

Senior Debt 51 Multifamily 14,183 1 month LIBOR + 4.75% 5.25% 70.0%

Senior Debt 52 Manufactured Housing 3,400 1 month LIBOR + 5.00% 5.25% 58.6%

Senior Debt 53 Multifamily 27,550 1 month LIBOR + 5.75% 6.00% 69.8%

Senior Debt 87 Industrial 16,400 1 month LIBOR + 6.25% 7.00% 61.0%

Senior Debt 54 Manufactured Housing 5,020 1 month LIBOR + 5.25% 5.35% 65.9%

Senior Debt 55 Office 18,603 1 month LIBOR + 4.50% 5.25% 47.9%

Senior Debt 56 Office 67,651 5.15% 5.15% 52.5%

Senior Debt 57 Office 30,900 1 month LIBOR + 5.20% 5.45% 66.0%

Senior Debt 58 Self Storage 11,600 1 month LIBOR + 4.76% 5.01% 66.6%

Senior Debt 59 Manufactured Housing 5,000 1 month LIBOR + 5.90% 6.50% 58.8%

Senior Debt 60 Office 12,750 1 month LIBOR + 5.00% 5.25% 67.8%

Senior Debt 61 Multifamily 43,320 1 month LIBOR + 4.35% 4.60% 73.2%

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Senior Debt 63 Multifamily 8,763 1 month LIBOR + 5.50% 5.75% 73.7%

Senior Debt 91 Manufactured Housing 7,680 1 month LIBOR + 4.50% 5.00% 66.7%

Senior Debt 92 Mixed Use 30,465 1 month LIBOR + 5.15% 6.15% 67.0%

Senior Debt 64 Retail 11,963 1 month LIBOR + 4.87% 5.12% 75.0%

Senior Debt 65 Multifamily 5,730 1 month LIBOR + 5.00% 5.25% 73.5%

Senior Debt 66 Multifamily 18,800 1 month LIBOR + 4.00% 4.10% 79.7%

Senior Debt 67 Industrial 14,985 1 month LIBOR + 4.50% 4.75% 66.3%

Loan Type Property Type Par Value Interest Rate (1)

Effective Yield Loan to Value (2)

Senior Debt 68 Office 11,981 1 month LIBOR + 5.50% 5.75% 68.8%

Senior Debt 69 Multifamily 11,820 1 month LIBOR + 4.55% 4.75% 73.0%

Senior Debt 70 Multifamily 21,000 1 month LIBOR + 4.60% 4.75% 66.7%

Senior Debt 71 Office 26,000 1 month LIBOR + 5.00% 5.25% 63.9%

Senior Debt 72 Multifamily 54,500 1 month LIBOR + 3.80% 4.05% 77.0%

Senior Debt 73 Multifamily 11,672 1 month LIBOR + 3.50% 3.65% 60.1%

Senior Debt 74 Multifamily 21,000 1 month LIBOR + 4.95% 5.05% 84.2%

Senior Debt 75 Office 43,751 1 month LIBOR + 3.94% 4.14% 53.9%

Senior Debt 76 (3)

Multifamily — 1 month LIBOR + 7.25% 7.50% —%

Senior Debt 77 Multifamily 5,400 1 month LIBOR + 5.25% 5.50% 83.1%

Senior Debt 78 Hospitality 23,000 1 month LIBOR + 5.79% 5.99% 57.2%

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Senior Debt 80 Multifamily 12,325 1 month LIBOR + 4.50% 4.65% 83.3%

Senior Debt 99 Self Storage 29,895 1 month LIBOR + 5.00% 5.25% 58.8%

Senior Debt 81 Multifamily 6,300 1 month LIBOR + 5.35% 5.60% 84.0%

Senior Debt 101 Manufactured Housing 3,400 1 month LIBOR + 5.00% 5.25% 58.6%

Senior Debt 82 Multifamily 31,023 1 month LIBOR + 3.00% 3.10% 74.3%

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Senior Debt 84 Multifamily 5,575 1 month LIBOR + 4.50% 4.75% 83.6%

Senior Debt 105 Manufactured Housing 5,020 1 month LIBOR + 5.25% 5.39% 65.9%

Senior Debt 106 Office 19,003 1 month LIBOR + 4.50% 5.25% 47.9%

Senior Debt 107 Office 69,675 5.15% 5.15% 52.5%

Senior Debt 108 Office 30,900 1 month LIBOR + 5.20% 5.45% 66.0%

Senior Debt 85 Multifamily 53,178 1 month LIBOR + 3.00% 3.25% 71.6%

Senior Debt 86 Multifamily 14,045 1 month LIBOR + 3.39% 3.54% 70.6%

Senior Debt 87 Multifamily 8,301 1 month LIBOR + 3.80% 3.95% 69.9%

Senior Debt 88 Multifamily 13,582 1 month LIBOR + 4.50% 4.75% 76.7%

Senior Debt 89 Multifamily 18,277 1 month LIBOR + 5.25% 5.50% 67.0%

Senior Debt 90 Multifamily 17,985 1 month LIBOR + 3.60% 3.75% 70.8%

Senior Debt 91 Multifamily 41,823 1 month LIBOR + 2.95% 3.10% 71.6%

Senior Debt 92 Hospitality 25,785 1 month LIBOR + 5.60% 5.85% 61.0%

Senior Debt 93 Mixed Use 32,500 1 month LIBOR + 3.70% 4.20% 69.7%

Senior Debt 94 Multifamily 12,688 1 month LIBOR + 3.75% 3.90% 63.2%

Loan Type Property Type Par Value Interest Rate (1)

Effective Yield (5)

Loan to Value (2)

Senior Debt 95 Multifamily 70,620 1 month LIBOR + 2.95% 3.10% 72.6%

Senior Debt 96 Multifamily 20,321 1 month LIBOR + 3.35% 3.50% 67.7%

Senior Debt 97 Multifamily 28,318 1 month LIBOR + 2.95% 3.10% 70.4%

Senior Debt 98 Multifamily 34,998 1 month LIBOR + 2.95% 3.10% 71.7%

Senior Debt 99 Multifamily 32,557 1 month LIBOR + 2.95% 3.10% 72.2%

Senior Debt 100 Hospitality 25,771 1 month LIBOR + 9.00% 9.25% 74.2%

Senior Debt 101 Self Storage 15,000 1 month LIBOR + 4.26% 4.51% 74.6%

Senior Debt 111 Industrial 24,552 1 month LIBOR + 4.35% 4.60% 69.8%

Senior Debt 112 Manufactured Housing 5,000 1 month LIBOR + 5.90% 6.50% 58.8%

Senior Debt 102 Multifamily 24,248 1 month LIBOR + 3.25% 3.35% 70.8%

Senior Debt 103 Office 6,800 1 month LIBOR + 5.25% 5.50% 67.3%

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Senior Debt 105 Multifamily 10,391 1 month LIBOR + 3.15% 3.25% 75.6%

Senior Debt 106 Hospitality 17,449 1 month LIBOR + 5.35% 5.75% 56.8%

Senior Debt 107 Hospitality 28,000 1 month LIBOR + 6.25% 6.50% 59.2%

Senior Debt 108 Multifamily 31,900 1 month LIBOR + 3.15% 3.25% 73.0%

Senior Debt 117 Retail 11,963 1 month LIBOR + 4.87% 5.12% 75.0%

Senior Debt 109 Multifamily 37,260 1 month LIBOR + 3.40% 3.55% 75.6%

Senior Debt 110 (4)

Multifamily — 1 month LIBOR + 8.00% 8.25% —%

Senior Debt 111 Multifamily 29,500 1 month LIBOR + 2.88% 2.98% 68.0%

Senior Debt 112 Multifamily 10,050 1 month LIBOR + 4.50% 4.65% 77.3%

Senior Debt 113 Multifamily 13,259 1 month LIBOR + 3.75% 3.85% 76.9%

Senior Debt 114 Multifamily 29,250 1 month LIBOR + 3.00% 3.10% 73.5%

Senior Debt 115 Multifamily 34,077 1 month LIBOR + 3.15% 3.25% 71.0%

Senior Debt 116 Multifamily 42,850 1 month LIBOR + 3.40% 3.50% 79.9%

Senior Debt 117 Multifamily 35,020 1 month LIBOR + 3.64% 3.74% 66.0%

Senior Debt 118 Multifamily 8,500 1 month LIBOR + 3.75% 4.00% 79.4%

Senior Debt 119 Multifamily 14,200 1 month LIBOR + 3.15% 3.25% 79.8%

Senior Debt 120 Multifamily 13,350 1 month LIBOR + 3.75% 3.85% 64.2%

Senior Debt 121 Multifamily 66,650 1 month LIBOR + 3.25% 3.35% 77.1%

Senior Debt 122 Multifamily 18,750 1 month LIBOR + 2.95% 3.05% 72.1%

Senior Debt 123 Multifamily 9,099 1 month LIBOR + 3.75% 3.95% 70.0%

Senior Debt 124 Multifamily 26,160 1 month LIBOR + 3.20% 3.30% 77.3%

Senior Debt 125 Hospitality 17,370 1 month LIBOR + 5.25% 5.35% 61.0%

Senior Debt 126 Hospitality 16,500 1 month LIBOR + 7.10% 7.20% 73.0%

Senior Debt 127 Multifamily 13,168 1 month LIBOR + 3.40% 3.50% 78.2%

Senior Debt 128 Multifamily 88,500 1 month LIBOR + 2.75% 2.85% 50.3%

Senior Debt 129 Multifamily 56,150 1 month LIBOR + 3.10% 3.20% 78.9%

Senior Debt 130 Multifamily 36,750 1 month LIBOR + 2.90% 3.00% 72.2%

Senior Debt 131 Multifamily 52,192 1 month LIBOR + 3.10% 3.20% 67.2%

Senior Debt 132 Multifamily 37,100 1 month LIBOR + 2.90% 3.00% 72.0%

Senior Debt 133 Multifamily 60,267 1 month LIBOR + 2.85% 2.95% 70.6%

Senior Debt 134 Multifamily 30,600 1 month LIBOR + 2.65% 2.75% 59.1%

Senior Debt 135 Multifamily 30,650 1 month LIBOR + 3.25% 3.35% 80.0%

Senior Debt 136 Multifamily 62,850 1 month LIBOR + 3.35% 3.45% 78.0%

Senior Debt 137 Multifamily 42,474 1 month LIBOR + 3.00% 3.10% 74.8%

Senior Debt 138 Multifamily 46,080 1 month LIBOR + 2.75% 2.85% 68.1%

Senior Debt 139 Multifamily 28,880 1 month LIBOR + 2.90% 3.00% 74.2%

Senior Debt 140 Manufactured Housing 6,700 1 month LIBOR + 4.50% 4.60% 77.9%

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Senior Debt 142 Multifamily 26,600 1 month LIBOR + 2.90% 3.00% 72.1%

Senior Debt 121 Industrial 14,250 1 month LIBOR + 4.50% 4.75% 66.3%

Senior Debt 122 Office 11,550 1 month LIBOR + 5.50% 5.75% 68.8%

Loan Type Property Type Par Value Interest Rate (1)

Effective Yield (5)

Loan to Value (2)

Senior Debt 143 Multifamily 12,478 1 month LIBOR + 3.20% 3.30% 62.4%

Senior Debt 124 Office 26,000 1 month LIBOR + 5.00% 5.25% 63.9%

Senior Debt 144 Multifamily 35,996 1 month LIBOR + 3.00% 3.10% 73.3%

Senior Debt 145 Multifamily 32,250 1 month LIBOR + 3.20% 3.30% 74.5%

Senior Debt 146 Multifamily 38,631 1 month LIBOR + 2.90% 3.00% 71.7%

Senior Debt 147 Multifamily 64,281 1 month LIBOR + 2.88% 2.98% 74.8%

Senior Debt 148 Multifamily 62,003 1 month LIBOR + 2.88% 2.98% 75.5%

Senior Debt 149 Multifamily 16,570 1 month SOFR + 3.50% 3.55% 71.7%

Senior Debt 150 Multifamily 56,930 1 month LIBOR + 2.75% 2.85% 73.9%

Senior Debt 151 Multifamily 65,000 1 month SOFR + 5.14% 5.19% 74.7%

Senior Debt 152 Multifamily 22,240 1 month SOFR + 2.96% 3.01% 79.4%

Senior Debt 153 Multifamily 25,573 1 month SOFR + 2.96% 3.01% 72.9%

Senior Debt 154 Multifamily 31,678 1 month SOFR + 3.20% 3.25% 74.2%

Senior Debt 155 Multifamily 78,050 1 month SOFR + 3.45% 3.50% 78.8%

Senior Debt 156 Multifamily 77,870 1 month LIBOR + 3.21% 3.31% 76.1%

Senior Debt 157 Multifamily 24,000 1 month SOFR + 3.11% 3.16% 72.7%

Senior Debt 158 Retail 31,000 1 month SOFR + 3.29% 3.34% 42.5%

Senior Debt 159 Multifamily 47,444 1 month SOFR + 2.86% 2.91% 68.2%

Senior Debt 160 Multifamily 36,824 1 month SOFR + 2.86% 2.91% 69.7%

Senior Debt 161 Hospitality 17,169 5.99% 5.99% 52.9%

Mezzanine Loan 1 Multifamily 3,480 9.50% 9.50% 84.3%

Mezzanine Loan 2 Retail 3,500 10.00% 10.00% 59.7%

Mezzanine Loan 1 Multifamily 6,500 1 month LIBOR + 10.25% 11.00% 90.4%

Mezzanine Loan 4 Retail 1,438 1 month LIBOR + 10.75% 11.00% 84.0%

Mezzanine Loan 5 Multifamily 1,000 11.00% 11.00% 68.9%

Mezzanine Loan 2 Multifamily 3,000 1 month LIBOR + 9.20% 10.00% 62.2%

Mezzanine Loan 3 Multifamily 10,000 1 month SOFR + 15.29% 15.34% 86.2%

Mezzanine Loan 4 Retail 3,000 1 month SOFR + 12.00% 12.05% 46.6%

$4,242,962 4.33%

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(3) The total commitment of this loan is $31.5 million, however none was funded as of December 31, 2021.

(4) The total commitment of this loan is $38.0 million, however none was funded as of December 31, 2021.

(5) Effective yield is calculated as the spread of the loan plus the higher of any applicable index or index floor.

The following table shows selected data from our commercial mortgage loans, held for sale, measured at fair value as of December 31, 2021 (dollars in thousands):

Loan Type Property Type Par Value Interest Rate Effective Yield Loan to Value (1)

TRS Senior Debt 1 Industrial $58,500 3.33% 3.33% 58.0%

TRS Senior Debt 2 Industrial 9,050 4.30% 4.30% 58.4%

TRS Mezzanine Loan 3 Multifamily 100 1 month LIBOR + 14.00% 15.00% 76.4%

TRS Senior Debt 1 Office $34,250 3.60% 3.60% 63.2%

$34,250 3.60%

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(1) Loan to value percentage is from metrics at origination.

The following table shows selected data from our real estate securities, available for sale, measured at fair value as of December 31, 2020 (dollars in thousands):

Type Par Value Interest Rate Effective Yield

CMBS 1 $13,250 1 month LIBOR + 2.95% 3.1%

CMBS 2 10,800 1 month LIBOR + 2.10% 2.2%

CMBS 3 40,000 1 month LIBOR + 2.35% 2.5%

CMBS 4 8,000 1 month LIBOR + 1.85% 2.0%

CMBS 5 24,000 1 month LIBOR + 2.00% 2.1%

CMBS 6 12,000 1 month LIBOR + 2.15% 2.3%

CMBS 7 20,000 1 month LIBOR + 1.33% 1.5%

CMBS 8 25,000 1 month LIBOR + 1.63% 1.8%

CMBS 9 25,665 1 month LIBOR + 2.15% 2.3%

$178,715 2.2%

We had no real estate securities, available for sale, measured at fair value as of December 31, 2021.

The following table shows selected data from our other real estate investments, measured at fair value as of December 31, 2021 (dollars in thousands):

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Type Property Type Carrying Value

Real Estate Owned 1 Office $26,510

Real Estate Owned 1 Industrial $90,048

The following is a summary of the Company's RMBS, all of which were ARM Agency Securities, classified by collateral type and interest rate characteristics as of December 31, 2021 (dollars in thousands):

Type Carrying

Amount Average

Agency Securities:

Fannie Mae/Freddie Mac ARMs $ 4,246,803 0.02%

Ginnie Mae ARMs 320,068 0.03%

$ 4,566,871 0.02%

________________________

(1) Average yield is presented for the year then ended, and is based on the cash component of interest income expressed as a percentage on average cost basis (the “cash yield”).

During 2021, the Company sold trading securities using the specific identification method for proceeds totaling $1.9 billion recognizing $0.1 million in net realized gains.

Subsequent to year end, until February 18, 2022, the Company sold trading securities using the same method for proceeds totaling $1.8 billion recognizing $12 million in net realized losses.

The Company did not own any trading securities during 2020.

As of February 18, 2022, the current market value of the Company's RMBS portfolio was $2.4 billion.

Liquidity and Capital Resources

Our principal demands for cash will be funding our loan investments, continuing debt service obligations, distributions to our stockholders and the payment of our operating and administrative expenses.

The Company expects to use additional debt and equity financing as a source of capital.

Our expected material cash requirements for the twelve months ended December 31, 2022 and thereafter are comprised of (i) contractually obligated expenditures, including payments of principal and interest and contractually-obligated fundings on our loans;

(ii) other essential expenditures, including operating and administrative expenses and dividends paid in accordance with REIT distribution requirements;

and (iii) opportunistic expenditures, including new loans.

Our contractually obligated expenditures primarily consist of payment obligations under the debt financing arrangements which are set forth in the table below under “Contractual Obligations and Commitments” and which are each described in more detail below under “Repurchase Agreements, Commercial Mortgage Loans”, “Other financing and loan participation - Commercial Mortgage Loans”, “Mortgage Note Payable”, “Unsecured Debt”, “Repurchase Agreements - Real Estate Securities”, and “Repurchase Agreements - Real Estate Securities Classified As Trading.”

We expect to use operating cash flow, new or refinanced debt (including collateral loan and debt obligation securitizations) and equity financing as a source of capital.

Since we intend to continue to qualify as a REIT for federal income tax purposes, we will be required to annually distribute to our stockholders at least 90% of our REIT taxable income and we intend to distribute 100% of REIT taxable income.

This will reduce the amount of operating cash flow available to fund our operations and growth initiatives after the payment of these distributions.

The board of directors currently intends to operate at a leverage level of between one to three times book value of equity.

However, our board of directors may change this target without shareholder approval.

In addition, in 2020 the Company raised $10.9 million through sales of common and preferred equity to institutional and individual investors.

The Company anticipates that our debt and equity financing sources and our anticipated cash generated from operations will be adequate to fund our anticipated uses of capital.

In addition to our current mix of financing sources, the Company may also access additional forms of financings, including credit facilities, securitizations, public and private, secured and unsecured debt issuances by us or our subsidiaries, or through capital recycling initiatives whereby we sell certain assets in our portfolio and reinvest the proceeds in assets with more attractive risk-adjusted returns.

Refer to “COVID-19 Pandemic” above for information on the impact of the COVID-19 pandemic on our liquidity.

We have used and may in the future use various forms of incurring indebtedness, including through repurchase agreements, credit facilities, securitizations, public and private, secured and unsecured debt issuances by us or our subsidiaries.

We have generally relied on repurchase agreements to provide short-term debt financing for our commercial mortgage loans and utilized collateral loan and debt obligation securitizations for long-term match-funded financing.

With respect to equity, we may in the future issue common stock and/or preferred stock, including through an at-the-market offering program.

We may also sell certain assets in our portfolio and reinvest the proceeds in assets with more attractive risk-adjusted returns.

For example, we intend to reinvest the cash and proceeds from dividends, interest, repayments and sales of the assets acquired in the Capstead merger into our primary investment strategies.

As discussed in detail in Note 9 – Stock Transactions to the accompanying consolidated financial statements included in this Annual Report on Form 10-K , in October 2021 we closed our merger with Capstead.

We intend to transition the equity invested in the assets we acquired from Capstead into our traditional investment strategies, including the origination of commercial real estate mortgages.

Specifically, we intend to reinvest any dividend, interest and principal paid on such assets, and proceeds from the sale of such assets, into our current investment strategies.

Until we fully transition this equity into our business, we expect that proceeds received from the sale of Capstead assets will be a significant source of capital.

We believe that our anticipated available operating cash flows, proceeds from sales of assets and debt and equity financing sources will be adequate to fund our short and long-term anticipated uses of capital.

Collateralized Loan Obligations

On January 15, 2020, the Company called all of the outstanding notes issued by BSPRT 2017-FL2 Issuer, Ltd., a wholly owned indirect subsidiary of the Company.

The outstanding principal of the notes on the date of the call was $21.0 million.

The Company recognized all the remaining unamortized deferred financing costs of $4.5 million recorded within the Interest expense line of the consolidated statements of operations, which was a non-cash charge.

As of December 31, 2020 and December 31, 2019 the notes issued by BSPRT 2018-FL3 Issuer, Ltd.

and BSPRT 2018-FL3 Co-Issuer, LLC, wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 27 and 41 mortgage assets having a principal balance of $417.9 million and $523.2 million, respectively (the "2018-FL3 Mortgage Assets").

The sale of the 2018-FL3 Mortgage Assets to BSPRT 2018-FL3 Issuer, Ltd.

is governed by a Mortgage Asset Purchase Agreement dated as of April 5, 2018, between the Company and BSPRT 2018-FL3 Issuer, Ltd.

As of December 31, 2020 and December 31, 2019 the notes issued by BSPRT 2018-FL4 Issuer, Ltd.

and BSPRT 2018-FL4 Co-Issuer, LLC, wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 59 and 49 mortgage assets having a principal balance of $852.1 million and $867.9 million, respectively (the "2018-FL4 Mortgage Assets").

The sale of the 2018-FL4 Mortgage Assets to BSPRT 2018-FL4 Issuer, Ltd.

is governed by a Mortgage Asset Purchase Agreement dated as of October 12, 2018, between the Company and BSPRT 2018-FL4 Issuer, Ltd.

As of December 31, 2020 and December 31, 2019, the notes issued by BSPRT 2019-FL5 Issuer, Ltd.

and BSPRT 2019-FL5 Co-Issuer, LLC, each wholly owned indirect subsidiaries of the Company, are collateralized by interests in a pool of 54 and 48 mortgage assets having a principal balance of $799.8 million and $809.4 million respectively (the "2019-FL5 Mortgage Assets").

The sale of the 2019-FL5 Mortgage Assets to BSPRT 2019-FL5 Issuer, Ltd.

is governed by a Mortgage Asset Purchase Agreement dated as of May 30, 2019, between the Company and BSPRT 2019-FL5 Issuer, Ltd.

During 2021, the Company raised $1.3 billion of capital through the issuance of BSPRT 2021-FL6 Issuer, Ltd.

and BSPRT 2021-FL7 Issuer, Ltd.

Additionally, as of December 31, 2021, the Company had $46 million reinvestment capital available across all outstanding collateralized loan obligations.

Repurchase Agreements, Commercial Mortgage Loans

As of December 31, 2020, the Company has repurchase facilities with JPMorgan Chase Bank, National Association (the "JPM Repo Facility"), U.S Bank National Association (the "USB Repo Facility"), Barclays Bank PLC (the "Barclays Revolver Facility" and the "Barclays Repo Facility"), Wells Fargo Bank, National Association (the "WF Repo Facility"), and Credit Suisse AG (the "CS Repo Facility" and together with JPM Repo Facility, USB Repo Facility, WF Repo Facility, Barclays Revolver Facility, and Barclays Repo Facility, the "Repo Facilities").

As of December 31, 2021, the Company has repurchase facilities with JPMorgan Chase Bank, National Association (the "JPM Repo Facility"), Barclays Bank PLC (the "Barclays Revolver Facility" and the "Barclays Repo Facility"), Wells Fargo Bank, National Association (the "WF Repo Facility"), and Credit Suisse AG (the "CS Repo Facility" and together with JPM Repo Facility, USB Repo Facility, WF Repo Facility, Barclays Revolver Facility, and Barclays Repo Facility, the "Repo Facilities").

The Repo Facilities are financing sources through which the Company may pledge one or more mortgage loans to the financing entity in exchange for funds typically at an advance rate of between 65% to 80% of the principal amount of the mortgage loan being pledged.

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Repurchase Facility Committed Financing Amount Outstanding Interest Expense (1)

Ending Weighted Average Interest Rate Initial Term Maturity

Ending Weighted Average Interest Rate Term Maturity

JPM Repo Facility $ 400,000 $ 136,470 $ 5,178 2.13 % 10/6/2022

$ 300,000 $ 113,884 $ 5,020 2.54 % 10/6/2022

USB Repo Facility (3)

100,000 5,775 599 2.40 % 6/15/2021

CS Repo Facility (2)

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Barclays Revolver Facility (4)

100,000 — 387 N/A 9/20/2021

250,000 166,700 1,976 6.12 % 9/20/2023

Barclays Repo Facility (5)

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Includes amortization of deferred financing costs.

(2) On October 6, 2020 the maturity date was amended to October 6, 2022.

(3) On June 9, 2020, the Company exercised the extension option upon the satisfaction of certain conditions, and extended the term maturity to June 15, 2021.

(4) On August 28, 2020, the Company exercised the extension option upon the satisfaction of certain conditions, and extended the term maturity to August 19, 2021.

Additionally, in 2020 the committed financing amount was downsized from $300 million to $200 million.

(5) On November 17, 2020, the Company exercised the extension option upon the satisfaction of certain conditions, and extended the term maturity to November 21, 2021.

There are two more one-year extension options available at the Company's discretion.

(6) There is one one-year extension option available at the Company's discretion.

(7) Includes two one-year extensions at the Company's option.

(2) On August 12, 2021, the Company exercised the extension option upon the satisfaction of certain conditions, and extended the term maturity to September 30, 2022.

Additionally, on November 3, 2021 the committed financing amount was amended from $200 million to $300 million with the option to increase to $400 million at the Company's discretion.

(3) On October 15, 2021 the committed financing amount was increased from $175 million to $275 million.

There are three more one-year extension options available at the Company's discretion.

(4) On September 8, 2021, the Company amended the maturity date to September 20, 2023.

On December 1, 2021 the committed financing amount was increased from $100 million to $250 million.

The Company may increase the total commitment amount by an amount between $100 million and $150 million for three month intervals, on an unlimited basis prior to maturity.

(5) On December 3, 2021 the Company amended the maturity date to March 14, 2025 and the committed financing amount was increased from $300 million to $500 million.

There are two one-year extension options available at the Company's discretion.

As of December 31, 2020

Repurchase Facility Committed Financing Amount Outstanding Interest Expense (1)

Ending Weighted Average Interest Rate Initial Term Maturity

Ending Weighted Average Interest Rate Term Maturity

JPM Repo Facility (2)

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USB Repo Facility (3)

100,000 — 622 N/A 6/15/2020

100,000 5,775 599 2.40 6/15/2021

CS Repo Facility (4)

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Includes amortization of deferred financing costs.

(2) On September 3, 2019, the committed financing amount was downsized from $520 million to $300 million and the maturity date was amended to January 30, 2021.

(3) Includes two one-year extensions at the option of an indirect wholly-owned subsidiary of the Company, which may be exercised upon the satisfaction of certain conditions.

(4) On March 26, 2019, the Company exercised the extension option upon the satisfaction of certain conditions, and extended the term maturity to March 27, 2020.

(5) Includes three one-year extensions at the Company’s option, which may be exercised upon the satisfaction of certain conditions.

(6) On September 13, 2019, the Company exercised the extension option, and extended the term maturity to September 20, 2021.

There is one more one-year extension option available at the Company's discretion.