
March 31, 2026	Carrying Value		Face Amount		Weighted Average Coupon (1)		Weighted Average Life (“WAL”) (years)(2)
Loans held-for-investment:
Commercial loans:
First mortgages (3)	$	16,234,675	$	16,303,095	6.9	%	2.7
Subordinated mortgages (4)	4,925		4,925		—	%	—
Mezzanine loans (3)	307,472		309,673		10.7	%	2.5
Other	51,418		51,688		9.1	%	2.4
Total commercial loans	16,598,490		16,669,381
Infrastructure first priority loans	3,080,765		3,139,752		7.4	%	5.0

Total loans held-for-investment	19,679,255		19,809,133
Loans held-for-sale:
Residential, fair value option	2,218,429		2,417,176		4.4	%	N/A	(5)
Commercial, fair value option	104,511		106,088		6.3	%	6.4

Total loans held-for-sale	2,322,940		2,523,264
Total gross loans	22,002,195		$	22,332,397
Credit loss allowances:
Commercial loans held-for-investment	(383,736)
Infrastructure loans held-for-investment	(13,959)
Total allowances	(397,695)
Total net loans	$	21,604,500

December 31, 2025
Loans held-for-investment:
Commercial loans:
First mortgages (3)	$	16,086,585	$	16,148,916	7.0	%	2.7
Subordinated mortgages (4)	15,683		15,290		11.1	%	0.1
Mezzanine loans (3)	311,175		313,619		10.8	%	2.8
Other	51,255		51,688		9.1	%	2.6
Total commercial loans	16,464,698		16,529,513
Infrastructure first priority loans	2,838,856		2,890,373		7.4	%	5.1

Total loans held-for-investment	19,303,554		19,419,886
Loans held-for-sale:
Residential, fair value option	2,278,067		2,455,552		4.4	%	N/A	(5)
Commercial, fair value option	45,476		47,300		6.4	%	8.5

Total loans held-for-sale	2,323,543		2,502,852
Total gross loans	21,627,097		$	21,922,738
Credit loss allowances:
Commercial loans held-for-investment	(426,365)
Infrastructure loans held-for-investment	(14,477)
Total allowances	(440,842)
Total net loans	$	21,186,255

(2)Represents the WAL of each respective group of loans, excluding loans for which interest income is not recognized, as of the respective balance sheet date. For commercial loans held-for-investment, the WAL is calculated assuming all extension options are exercised by the borrower, although our loans may be repaid prior to such date. For infrastructure loans, the WAL is calculated using the amounts and timing of future principal payments, as projected at origination or acquisition of each loan.

(3)First mortgages include first mortgage loans and any contiguous mezzanine loan components because as a whole, the expected credit quality of these loans is more similar to that of a first mortgage loan. The application of this methodology resulted in mezzanine loans with carrying values of $1.4 billion and $1.3 billion being classified as first mortgages as of March 31, 2026 and December 31, 2025, respectively.

As discussed in Note 2, we do not have a history of realized credit losses on our HFI loans and HTM securities, so we have subscribed to third party database services to provide us with industry losses for both commercial real estate and infrastructure loans. Using these losses as a benchmark, we determine expected credit losses for our loans and securities on a collective basis within our commercial real estate and infrastructure portfolios.

For our commercial loans, we utilize a loan loss model that is widely used among banks and commercial mortgage REITs and is marketed by a leading CMBS data analytics provider. It employs logistic regression to forecast expected losses at the loan level based on a commercial real estate loan securitization database that contains activity dating back to 1998. We provide specific loan-level inputs which include loan-to-stabilized-value (“LTV”) and debt service coverage ratio (DSCR) metrics, as well as principal balances, property type, location, coupon, origination year, term, subordination, expected repayment dates and future fundings. We also select from a group of independent five-year macroeconomic forecasts included in the model that are updated regularly based on current economic trends. We categorize the results by LTV range, which we consider the most significant indicator of credit quality for our commercial loans, as set forth in the credit quality indicator table below. A lower LTV ratio typically indicates a lower credit loss risk.

The macroeconomic forecasts do not differentiate among property types or asset classes. Instead, these forecasts reference general macroeconomic conditions (i.e. Gross Domestic Product, employment and interest rates) which apply broadly across all assets. For instance, the office sector has been adversely affected by the increase in remote working arrangements, the retail sector has been adversely affected by electronic commerce and the multifamily sector has been strained by sustained higher interest rates. The broad macroeconomic forecasts do not account for such differentiation. Accordingly, we have selected more adverse macroeconomic recovery forecasts for these property types than others in determining our credit loss allowance.

For our infrastructure loans, we utilize a database of historical infrastructure loan performance that is shared among a consortium of banks and other lenders and compiled by a major bond credit rating agency. The database is representative of industry-wide project finance activity dating back to 1983. We derive historical loss rates from the database filtered by industry, sub-industry, term and construction status for each of our infrastructure loans. Those historical loss rates reflect global economic cycles over a long period of time as well as average recovery rates. We categorize the results principally between the power and oil and gas industries, which we consider the most significant indicator of credit quality for our infrastructure loans, as set forth in the credit quality indicator table below.


	Term Loans Amortized Cost Basis by Origination Year												Total Amortized Cost Basis		Credit Loss Allowance
As of March 31, 2026	2026		2025		2024		2023		2022		Prior
Commercial loans:
Credit quality indicator:
LTV < 60%	$	—	$	1,560,352	$	289,219	$	365,769	$	640,271	$	706,653	$	3,562,264	$	2,965
LTV 60% - 70%	274,776		2,967,017		411,258		446,316		1,728,499		1,664,261		7,492,127		16,903
LTV > 70%	415,471		610,949		281,138		64,669		1,175,934		2,945,525		5,493,686		331,787
Credit deteriorated	—		—		—		—		—		40,863		40,863		32,081
Defeased and other	—		5,000		—		4,550		—		—		9,550		—
Total commercial	$	690,247	$	5,143,318	$	981,615	$	881,304	$	3,544,704	$	5,357,302	$	16,598,490	$	383,736
Infrastructure loans:
Credit quality indicator:
Power	$	407,215	$	1,044,860	$	252,557	$	108,484	$	46,095	$	36,988	$	1,896,199	$	8,116
Oil and gas	99,251		610,502		280,654		155,133		—		39,026		1,184,566		5,843


Total infrastructure	$	506,466	$	1,655,362	$	533,211	$	263,617	$	46,095	$	76,014	$	3,080,765	$	13,959

Loans held-for-sale													2,322,940		—
Total gross loans													$	22,002,195	$	397,695

As of March 31, 2026, we had three commercial loans with a combined amortized cost basis of $641.4 million along with $74.3 million of residential loans that were 90 days or greater past due. All of these loans were on nonaccrual as of March 31, 2026, except for a commercial loan with an amortized cost basis of $270.7 million, for which we acquired the additional remaining senior mortgage interest of $143.8 million from a third party lender during the quarter in order to preserve our rights as the mezzanine lender. We also had four commercial loans with a combined amortized cost basis of $433.0 million on nonaccrual that were not 90 days or greater past due as of March 31, 2026. None of these loans were considered credit deteriorated. As of December 31, 2025, we had a total of $967.7 million of non-credit deteriorated loans on nonaccrual. During the quarter, no additional non-credit deteriorated commercial loans were placed on nonaccrual, and a $242.4 million commercial loan was resolved through foreclosure (see related discussion below).

As of March 31, 2026, we had two loans with a combined amortized cost basis of $40.8 million which were deemed credit deteriorated and are on nonaccrual under the cost recovery method: (i) a $35.9 million commercial mezzanine loan on an office portfolio in Ireland placed on nonaccrual during 2025, for which we assigned a $27.2 million specific credit loss allowance in late 2025, based on a third party purchase of a portion of the mezzanine loan. The loan was deemed credit deteriorated based on the terms of a modification whereby the sponsor will not fund future debt service shortfalls or capital expenditures; and (ii) a $4.9 million commercial subordinated loan secured by a department store in Chicago which was deemed credit deteriorated and was fully reserved in prior years. During the quarter, a $90.7 million credit deteriorated commercial loan previously placed on nonaccrual with a $19.7 million specific reserve was resolved through foreclosure (see related discussion below).

In March 2026, we foreclosed on a first mortgage loan on a multifamily property in Dallas, Texas. The net carrying value of our loan related to this property (including previously accrued interest) totaled $28.4 million, net of a specific credit loss allowance of $5.3 million provided during the three months ended March 31, 2026 based on a third party appraisal. In connection with the foreclosure, we recorded properties of $28.6 million and net liabilities of $0.2 million.

In February 2026, we foreclosed on a first mortgage loan on a mixed use property in Dallas, Texas, split evenly between multifamily and hospitality. The net carrying value of our loan related to this property (including previously accrued interest) totaled $247.9 million. In connection with the foreclosure, we recorded properties of $247.9 million. This loan was previously placed on nonaccrual in 2024.

In January 2026, we foreclosed on a first mortgage loan on a multifamily property in Phoenix, Arizona. The net carrying value of our loan related to this property totaled $71.0 million, net of a specific credit loss allowance of $19.7 million provided during the year ended December 31, 2025 based on a third party appraisal. In connection with the foreclosure, we recorded properties of $71.0 million. This loan was previously placed on nonaccrual in 2025.

We may amend or modify a loan based on its specific facts and circumstances. The modified terms and subsequent performance of the modified loans are considered in the determination of our general and specific CECL reserves. During the three months ended March 31, 2026, we made modifications to one commercial loan disclosable under ASU 2022-02, Troubled Debt Restructurings and Vintage Disclosures.

During the three months ended March 31, 2026, we entered into a modification of a commercial loan that required disclosure pursuant to ASU 2022-02. The loan had an amortized cost basis of $88.5 million, representing 0.53% of our commercial loans as of March 31, 2026. We granted an other-than-insignificant payment delay in the form of an initial maturity term extension from January 2026 to October 2028, reduced the interest rate by 95 bps and included minimum required paydowns. The interest rate reduction is fully recovered in a new exit fee.

While not required to be disclosed pursuant to ASU 2022-02 because the financial difficulty criteria is not met, we modified three loans and a portfolio of four cross collateralized loans during the three months ended March 31, 2026 by reducing the interest rate spread on the loans, with such reductions partially or fully recoverable by new exit fees. The amortized cost basis of these loans totaled $595.8 million. In each case, the borrowers contributed additional equity in order to receive the modifications. There were no such modifications made during the three months ended March 31, 2025.


	Funded Commitments Credit Loss Allowance
	Loans Held-for-Investment				Total Funded Loans
Three Months Ended March 31, 2026	Commercial		Infrastructure
Credit loss allowance at December 31, 2025	$	426,365	$	14,477	$	440,842
Credit loss reversal, net	(17,170)		(518)		(17,688)
Charge-offs (1)	(25,014)		—		(25,014)


Foreign currency	(445)		—		(445)
Credit loss allowance at March 31, 2026	$	383,736	$	13,959	$	397,695

______________________________________________________________________________________________________________________

(1)Represents the charge-offs of (i) a $19.7 million specific credit loss allowance that was established during the year ended December 31, 2025 related to a first mortgage loan on a multifamily property in Phoenix, Arizona and (ii) a $5.3 million specific credit loss allowance that was established during the three months ended March 31, 2026 related to a first mortgage loan on a multifamily property in Dallas, Texas. The loans were originated in 2022 and 2021, respectively, and foreclosed in January 2026 and March 2026, respectively.


	Unfunded Commitments Credit Loss Allowance (1)
	Loans Held-for-Investment				HTM Preferred
Three Months Ended March 31, 2026	Commercial		Infrastructure		Interests (2)		CMBS (2)		Total
Credit loss allowance at December 31, 2025	$	13,410	$	1,354	$	13,471	$	2	$	28,237
Credit loss provision (reversal), net	7,856		(414)		329		(1)		7,770
Credit loss allowance at March 31, 2026	$	21,266	$	940	$	13,800	$	1	$	36,007
Memo: Unfunded commitments as of March 31, 2026 (3)	$	1,871,140	$	163,028	$	52,363	$	15,502	$	2,102,033

______________________________________________________________________________________________________________________


	Held-for-Investment Loans
Three Months Ended March 31, 2026	Commercial		Infrastructure		Held-for-Sale Loans		Total Loans
Balance at December 31, 2025	$	16,038,333	$	2,824,379	$	2,323,543	$	21,186,255
Acquisitions/originations/additional funding	1,323,569		555,474		232,810		2,111,853
Capitalized interest (1)	29,688		—		—		29,688
Basis of loans sold (2)	—		—		(182,087)		(182,087)
Loan maturities/principal repayments	(840,936)		(318,935)		(38,077)		(1,197,948)
Discount accretion/premium amortization	10,365		5,370		—		15,735
Changes in fair value	—		—		(12,668)		(12,668)
Foreign currency translation loss, net	(22,170)		—		—		(22,170)
Credit loss reversal, net	17,170		518		—		17,688
Loan foreclosures	(341,265)		—		(609)		(341,874)		(3)
Transfer to/from other asset classifications or between segments	—		—		28		28
Balance at March 31, 2026	$	16,214,754	$	3,066,806	$	2,322,940	$	21,604,500


	Held-for-Investment Loans
Three Months Ended March 31, 2025	Commercial		Infrastructure		Held-for-Sale Loans		Total Loans
Balance at December 31, 2024	$	12,895,064	$	2,541,949	$	2,516,008	$	17,953,021
Acquisitions/originations/additional funding	1,108,511		595,059		231,109		1,934,679
Capitalized interest (1)	22,343		—		—		22,343
Basis of loans sold (2)	—		—		(297,319)		(297,319)
Loan maturities/principal repayments	(312,601)		(435,553)		(54,628)		(802,782)
Discount accretion/premium amortization	7,241		6,723		—		13,964
Changes in fair value	—		—		58,404		58,404
Foreign currency translation gain, net	115,323		1,663		—		116,986
Credit loss reversal (provision), net	21,137		(909)		—		20,228
Loan foreclosures	(43,971)		—		(6,938)		(50,909)		(4)

Balance at March 31, 2025	$	13,813,047	$	2,708,932	$	2,446,636	$	18,968,615

(3)Represents (i) the $242.4 million carrying value of a first mortgage loan on a mixed use property in Dallas, Texas foreclosed in February 2026, (ii) the $71.0 million carrying value of a first mortgage loan on a multifamily property in Phoenix, Arizona foreclosed in January 2026, (iii) the $27.9 million carrying value of a first mortgage loan on a multifamily property in Dallas, Texas foreclosed in March 2026 and (iv) a $0.6 million residential mortgage loan foreclosed.