| Schedule of Assets and Liabilities Included in Consolidated Balance Sheet |
The following table presents the CLO assets and liabilities included in KREF’s Condensed Consolidated Balance Sheets:
| | | | | | | | | | | | | | | | | September 30, 2026 | | December 31, 2025 | | Assets | | | | | | | | | | | Commercial real estate loans, held-for-investment | | $ | — | | | $ | 1,513,255 | | | Less: Allowance for credit losses | | — | | | (43,027) | | | Commercial real estate loans, held-for-investment, net | | — | | | 1,470,228 | | | Commercial real estate loan, held-for-sale | | — | | | — | | | | | | | | | | | | Other assets(A) | | — | | | 47,804 | | | Total | | $ | — | | | $ | 1,518,032 | | | Liabilities | | | | | | Collateralized loan obligations | | $ | — | | | $ | 1,198,378 | | | Deferred financing costs | | — | | | (46) | | | Collateralized loan obligations, net | | — | | | 1,198,332 | | | | | | | | | | | | | Other liabilities | | — | | | 2,548 | | | Total | | $ | — | | | $ | 1,200,880 | |
(A) Includes $42.0 million of loan repayment proceeds held at servicer as of December 31, 2025. The following table presents the assets and liabilities of the consolidated CMBS trusts:
| | | | | | | | | | | | | | | | | September 30, 2026 | | December 31, 2025 | | Assets | | | | | | Commercial real estate loans, at fair value | | $ | 1,170,090 | | | $ | 502,751 | | | Accrued interest receivable | | 6,286 | | | 2,479 | | | Consolidated variable interest entities assets, CMBS trusts, at fair value | | $ | 1,176,376 | | | $ | 505,230 | | | Liabilities | | | | | | Commercial mortgage-backed securities, at fair value | | $ | 1,145,911 | | | $ | 493,680 | | | Accrued interest payable | | 6,023 | | | 2,380 | | | Consolidated variable interest entities liabilities, CMBS trusts, at fair value | | $ | 1,151,934 | | | $ | 496,060 | |
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| Schedule of Net Interest Income Included in Consolidated Statement of Income |
The following table presents the change in net assets of the consolidated CMBS trusts:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | Nine Months Ended September 30, | | | | | | | | | | | 2026 | | 2025 | 2026 | | 2025 | | Net interest income | | | | | | | | | | $ | 786 | | | $ | 293 | | $ | 1,963 | | | $ | 334 | | Unrealized gain (loss) | | | | | | | | | | 62 | | | 54 | | 160 | | | 54 | | | Change in net assets of consolidated variable interest entities, CMBS trusts | | | | | | | | | | $ | 848 | | | $ | 347 | | $ | 2,123 | | | $ | 388 | |
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| Schedule of Concentration of Risk, by Risk Factor |
The following tables present the geographies and property types of collateral underlying KREF's commercial real estate loans as a percentage of the loans' principal amounts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 |
| December 31, 2025 | | | | September 30, 2026 |
| December 31, 2025 | Geography(A) | | | | Collateral Property Type(A) | | | | California | | 10.8 | % | | 16.6 | % | | Multifamily | | 38.7 | % | | 40.3 | % | | North Carolina | | 10.8 | | | 6.4 | | | Office | | 24.1 | | | 22.8 | | | United Kingdom | | 10.4 | | | 2.9 | | | Industrial | | 18.4 | | | 17.9 | | | Florida | | 10.3 | | | 10.9 | | | Life Science | | 10.8 | | | 13.7 | | | Texas | | 9.3 | | | 12.0 | | | Hospitality | | 4.7 | | | 2.8 | | | Washington D.C. | | 8.9 | | | 5.2 | | | Senior Housing | | 2.5 | | | — | | | Minnesota | | 6.2 | | | 3.6 | | | Mixed Use | | 0.8 | | | 0.4 | | | Massachusetts | | 5.0 | | | 11.9 | | | Student Housing | | — | | | 2.1 | | | Nevada | | 4.8 | | | 2.8 | | | Total | | 100.0 | % | | 100.0 | % | | Spain | | 4.8 | | | — | | | | | | | | | Georgia | | 3.6 | | | 2.1 | | | | | | | | | New Jersey | | 3.0 | | | 1.9 | | | | | | | | | Illinois | | 2.9 | | | 1.7 | | | | | | | | | Tennessee | | 2.4 | | | 1.4 | | | | | | | | | Colorado | | 2.2 | | | 1.3 | | | | | | | | | New York | | 1.0 | | | 4.5 | | | | | | | | | Pennsylvania | | 0.8 | | | 4.7 | | | | | | | | | Other U.S. | | 1.6 | | | 0.8 | | | | | | | | | Other Europe | | 1.2 | | | 1.1 | | | | | | | | | Washington | | — | | | 4.2 | | | | | | | | | Virginia | | — | | | 2.2 | | | | | | | | | Arizona | | — | | | 1.8 | | | | | | | | | Total | | 100.0 | % | | 100.0 | % | | | | | | |
(A) Excludes fully written off loans The following tables present the geographies and property types of collateral underlying the consolidated CMBS trusts, as a percentage of the collateral outstanding principal amounts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2026 |
| December 31, 2025 | | | | September 30, 2026 | | December 31, 2025 | | Geography | | | | Collateral Property Type | | | | New York | | 39.7 | % | | 46.2 | % | | Retail | | 27.9 | % | | 24.1 | % | | California | | 14.8 | | | 17.4 | | | Office | | 23.4 | | | 26.6 | | | Arizona | | 8.7 | | | 5.1 | | | Self-Storage | | 15.2 | | | 1.8 | | | Maryland | | 7.2 | | | 9.9 | | | Multifamily | | 12.4 | | | 11.7 | | | Oregon | | 4.1 | | | 10.0 | | | Mixed Use | | 10.3 | | | 13.0 | | | Florida | | 3.2 | | | 1.4 | | | Co-op | | 9.2 | | | 22.8 | | | North Carolina | | 2.8 | | | 2.2 | | | Hospitality | | 1.1 | | | — | | | Texas | | 2.8 | | | — | | | Manufactured Housing | | 0.5 | | | — | | | Pennsylvania | | 2.3 | | | — | | | Total | | 100.0 | % | | 100.0 | % | | Ohio | | 1.7 | | | 1.0 | | | | | | | | | Wisconsin | | 1.6 | | | — | | | | | | | | | Tennessee | | 1.2 | | | 1.2 | | | | | | | | | Massachusetts | | 1.2 | | | — | | | | | | | | | Virginia | | 1.1 | | | — | | | | | | | | | Missouri | | 1.1 | | | — | | | | | | | | | Other | | 6.5 | | | 5.6 | | | | | | | | | Total | | 100.0 | % | | 100.0 | % | | | | | | |
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