(2)The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SONIA, EURIBOR, and other indices, as applicable to each loan. As of September 30, 2023 99% of our loans by principal balance earned a floating rate of interest, primarily indexed to SOFR, and the remaining 1% of our loans earned a fixed rate of interest. As of December 31, 2022, substantially all of our loans by principal balance earned a floating rate of interest, primarily indexed to SOFR and USD LIBOR. Floating rate exposure includes an interest rate swap with a notional amount of $229.9 million that effectively converts our fixed rate loan exposure to floating rate exposure. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method.

(3)Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date. As of September 30, 2023, 18% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 82% were open to repayment by the borrower without penalty. As of December 31, 2022, 50% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 50% were open to repayment by the borrower without penalty.


	Loans Receivable Principal Balance
Index Rate Floors	USD		Non-USD(1)		Total
Fixed Rate	$	326,972	$	—	$	326,972
0.00% or no floor(2)	4,452,986		6,968,770		11,421,756
0.01% to 1.00% floor	7,651,125		803,299		8,454,424
1.01% to 1.50% floor	1,305,951		153,906		1,459,857
1.51% to 2.00% floor	694,857		234,344		929,201
2.01% or more floor	1,257,287		—		1,257,287
Total(3)	$	15,689,178	$	8,160,319	$	23,849,497


	Principal Balance		Deferred Fees / Other Items(1)		Net Book Value







Loans Receivable, as of December 31, 2022	$	25,160,343	$	(142,463)	$	25,017,880
Loan fundings	1,068,853		—		1,068,853
Loan repayments, sales, and cost-recovery proceeds	(2,280,034)		(40,733)		(2,320,767)


Unrealized (loss) gain on foreign currency translation	(99,665)		313		(99,352)
Deferred fees and other items	—		(11,046)		(11,046)
Amortization of fees and other items	—		60,333		60,333
Loans Receivable, as of September 30, 2023	$	23,849,497	$	(133,596)	$	23,715,901
CECL reserve					(463,423)
Loans Receivable, net, as of September 30, 2023					$	23,252,478


September 30, 2023
Property Type	Number of Loans	Net Book Value		Total Loan Exposure(1)		Net Loan Exposure(2)		Net Loan Exposure Percentage of Portfolio
Office	57	$	9,206,553	$	10,016,113	$	8,006,364	36%
Multifamily	74	5,908,559		6,068,116		5,855,896		26
Hospitality	25	4,184,422		4,219,762		3,891,569		17
Industrial	12	2,121,085		2,133,209		2,124,686		10
Retail	7	842,100		859,681		830,697		4
Life Sciences / Studio	4	373,818		535,148		373,853		2
Other	6	1,079,364		1,080,847		1,051,144		5
Total loans receivable	185	$	23,715,901	$	24,912,876	$	22,134,209	100%
CECL reserve		(463,423)
Loans receivable, net		$	23,252,478

Geographic Location	Number of Loans	Net Book Value		Total Loan Exposure(1)		Net Loan Exposure(2)		Net Loan Exposure Percentage of Portfolio
United States
Sunbelt	67	$	5,811,609	$	5,971,930	$	5,644,980	25%
Northeast	32	5,404,008		5,446,368		4,421,379		20
West	31	3,080,257		4,074,953		2,977,926		13
Midwest	9	944,028		943,954		915,330		4
Northwest	6	360,566		364,148		362,089		2
Subtotal	145	15,600,468		16,801,353		14,321,704		64
International
United Kingdom	23	3,511,992		3,486,567		3,240,731		15
Australia	5	1,343,580		1,352,700		1,346,196		6
Ireland	3	1,132,912		1,137,526		1,130,878		5
Spain	3	1,079,272		1,082,148		1,044,808		5
Sweden	1	451,731		454,222		453,891		2

Other Europe	5	595,946		598,360		596,001		3
Subtotal	40	8,115,433		8,111,523		7,812,505		36
Total loans receivable	185	$	23,715,901	$	24,912,876	$	22,134,209	100%
CECL reserve		(463,423)
Loans receivable, net		$	23,252,478


December 31, 2022
Property Type	Number of Loans	Net Book Value		Total Loan Exposure(1)		Net Loan Exposure(2)		Net Loan Exposure Percentage of Portfolio
Office	60	$	9,082,946	$	10,023,495	$	8,099,334	34%
Multifamily	80	6,214,123		6,330,153		6,189,298		26
Hospitality	30	4,879,314		4,908,583		4,552,404		19
Industrial	12	2,140,636		2,236,716		2,150,501		9
Retail	9	1,098,315		1,141,932		1,090,238		5
Life Sciences/Studio	4	358,676		570,089		359,830		2
Other	8	1,243,870		1,599,313		1,217,578		5
Total loans receivable	203	$	25,017,880	$	26,810,281	$	23,659,183	100%
CECL reserve		(326,137)
Loans receivable, net		$	24,691,743

Geographic Location	Number of Loans	Net Book Value		Total Loan Exposure(1)		Net Loan Exposure(2)		Net Loan Exposure Percentage of Portfolio
United States
Sunbelt	75	$	6,538,034	$	6,802,928	$	6,244,886	27%
Northeast	36	5,339,874		5,666,968		4,570,180		19
West	33	3,515,517		4,547,946		3,486,343		15
Midwest	10	987,718		1,091,882		984,151		4
Northwest	6	317,863		321,937		320,156		1
Subtotal	160	16,699,006		18,431,661		15,605,716		66
International
United Kingdom	23	3,362,629		3,393,126		3,123,925		13
Australia	5	1,405,601		1,417,318		1,408,565		6
Spain	4	1,237,446		1,241,808		1,204,218		5
Ireland	3	1,192,220		1,199,406		1,197,892		5
Sweden	1	473,374		476,673		476,367		2
Canada	1	49,409		49,432		49,398		—
Other Europe	6	598,195		600,857		593,102		3
Subtotal	43	8,318,874		8,378,620		8,053,467		34
Total loans receivable	203	$	25,017,880	$	26,810,281	$	23,659,183	100%
CECL reserve		(326,137)
Loans receivable, net		$	24,691,743

(1)Total loan exposure reflects our aggregate exposure to each loan investment. As of December 31, 2022, total loan exposure, includes (i) loans with an outstanding principal balance of $25.2 billion that are included in our consolidated financial statements and (ii) $1.6 billion of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements. See Note 2 for further discussion of loan participations sold.

(2)Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of December 31, 2022, which is our total loan exposure net of (i) $1.6 billion of non-consolidated senior interests, (ii) $950.3 million of asset-specific debt, (iii) $224.7 million of senior loan participations sold, and (iv) our total loans receivable CECL reserve of $326.1 million. Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.

As further described in Note 2, we evaluate our loan portfolio on a quarterly basis. In conjunction with our quarterly loan portfolio review, we assess the risk factors of each loan, and assign a risk rating based on several factors. Factors considered in the assessment include, but are not limited to, risk of loss, origination LTV, debt yield, collateral performance, structure, exit plan, and sponsorship. Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined in Note 2.


	September 30, 2023
Risk Rating	Number of Loans	Net Book Value		Total Loan Exposure(1)		Net Loan Exposure(2)
1	15	$	763,494	$	812,060	$	764,174
2	40	6,102,290		6,578,639		5,105,664
3	107	12,493,474		13,120,942		12,281,191
4	13	2,965,121		2,967,865		2,913,093
5	10	1,391,522		1,433,370		1,070,087
Total loans receivable	185	$	23,715,901	$	24,912,876	$	22,134,209
CECL reserve		(463,423)
Loans receivable, net		$	23,252,478

	December 31, 2022
Risk Rating	Number of Loans	Net Book Value		Total Loan Exposure(1)		Net Loan Exposure(2)
1	17	$	1,403,185	$	1,428,232	$	1,170,725
2	36	5,880,424		6,562,852		5,292,933
3	134	14,128,133		15,209,018		13,826,730
4	11	2,677,027		2,680,145		2,628,539
5	5	929,111		930,034		740,256
Total loans receivable	203	$	25,017,880	$	26,810,281	$	23,659,183
CECL reserve		(326,137)
Loans receivable, net		$	24,691,743

(1)Total loan exposure reflects our aggregate exposure to each loan investment. As of September 30, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $23.8 billion that are included in our consolidated financial statements, (ii) $1.1 billion of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements, and excludes (iii) $48.8 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements. See Note 2 for further discussion of loan participations sold. As of December 31, 2022, total loan exposure, includes (i) loans with an outstanding principal balance of $25.2 billion that are included in our consolidated financial statements and (ii) $1.6 billion of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements. See Note 2 for further discussion of loan participations sold.

(2)Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of September 30, 2023, which is our total loan exposure net of (i) $1.1 billion of non-consolidated senior interests, (ii) $935.4 million of asset-specific debt, (iii) $226.9 million of senior loan participations sold, (iv) $40.7 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $463.4 million. Our net loan exposure as of December 31, 2022 is our total loan exposure net of (i) $1.6 billion of non-consolidated senior interests, (ii) $950.3 million of asset-specific debt, (iii) $224.7 million of senior loan participations sold, and (iv) our total loans receivable CECL reserve of $326.1 million. Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.

The CECL reserve required under GAAP reflects our current estimate of potential credit losses related to the loans included in our consolidated balance sheets. Refer to Note 2 for further discussion of our CECL reserve. The following table presents the activity in our loans receivable CECL reserve by investment pool for the three and nine months ended September 30, 2023 and 2022 ($ in thousands):


	U.S. Loans(1)		Non-U.S. Loans		Unique Loans		Impaired Loans		Total
Loans Receivable, Net
CECL reserve as of December 31, 2022	$	67,880	$	22,519	$	45,960	$	189,778	$	326,137
Increase (decrease) in CECL reserve	5,314		(2,823)		483		7,480		10,454
CECL reserve as of March 31, 2023	$	73,194	$	19,696	$	46,443	$	197,258	$	336,591
Increase (decrease) in CECL reserve	1,199		9,296		(354)		17,143		27,284
CECL reserve as of June 30, 2023	$	74,393	$	28,992	$	46,089	$	214,401	$	363,875
(Decrease) increase in CECL reserve	(5,639)		(2,336)		(627)		108,150		99,548
CECL reserve as of September 30, 2023	$	68,754	$	26,656	$	45,462	$	322,551	$	463,423




CECL reserve as of December 31, 2021	$	26,885	$	10,263	$	32,657	$	54,874	$	124,679
Decrease in CECL reserve	(644)		(54)		(1,760)		—		(2,458)
CECL reserve as of March 31, 2022	$	26,241	$	10,209	$	30,897	$	54,874	$	122,221
Increase in CECL reserve	7,070		1,135		2,598		—		10,803
CECL reserve as of June 30, 2022	$	33,311	$	11,344	$	33,495	$	54,874	$	133,024
Increase in CECL reserve	8,280		45		3,082		—		11,407
CECL reserve as of September 30, 2022	$	41,591	$	11,389	$	36,577	$	54,874	$	144,431

During the three months ended September 30, 2023, we recorded an aggregate net increase of $108.2 million in the asset-specific CECL reserve related to our impaired loans. The increase was primarily driven by three additional loans that were impaired during the three months ended September 30, 2023. As of September 30, 2023, the income accrual was suspended on these loans as recovery of income and principal was doubtful. During the three months ended September 30, 2023, we recorded $7.2 million of interest income on these three loans.

As of September 30, 2023, we had an aggregate $322.6 million asset-specific CECL reserve related to ten of our loans receivable, with an aggregate amortized cost basis of $1.4 billion, net of cost-recovery proceeds. This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of September 30, 2023. No income was recorded on our impaired loans subsequent to determining that they were impaired. As of September 30, 2023, all such borrowers were compliant with the contractual terms of each respective loan, including any required payment of interest. During the three months ended September 30, 2023, we received an aggregate $10.2 million of cash proceeds from such loans that were applied as a reduction to the amortized cost basis of each respective loan. Refer to Note 2 for further discussion of our revenue recognition and CECL reserve policies.


	Net Book Value of Loans Receivable by Year of Origination(1)
	As of September 30, 2023
Risk Rating	2023		2022		2021		2020		2019		Prior		Total
U.S. loans
1	$	—	$	151,179	$	465,406	$	39,933	$	53,039	$	53,937	$	763,494
2	—		216,889		1,936,744		32,244		227,680		1,540,263		3,953,820
3	—		2,027,526		3,866,825		605,278		585,997		385,150		7,470,776
4	—		81,591		774,607		140,000		—		1,024,660		2,020,858
5	—		—		—		—		—		—		—
Total U.S. loans	$	—	$	2,477,185	$	7,043,582	$	817,455	$	866,716	$	3,004,010	$	14,208,948
Non-U.S. loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	—		1,098,319		960,731		89,420		—		—		2,148,470
3	—		590,162		1,199,465		—		1,876,168		81,896		3,747,691
4	—		—		—		—		344,383		—		344,383
5	—		—		—		—		—		—		—
Total Non-U.S. loans	$	—	$	1,688,481	$	2,160,196	$	89,420	$	2,220,551	$	81,896	$	6,240,544
Unique loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	—		—		—		—		—		—		—
3	—		844,697		—		—		251,956		178,354		1,275,007
4	—		—		—		—		—		599,880		599,880
5	—		—		—		—		—		—		—
Total unique loans	$	—	$	844,697	$	—	$	—	$	251,956	$	778,234	$	1,874,887
Impaired loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	—		—		—		—		—		—		—
3	—		—		—		—		—		—		—
4	—		—		—		—		—		—		—
5	—		—		507,371		—		—		884,151		1,391,522
Total impaired loans	$	—	$	—	$	507,371	$	—	$	—	$	884,151	$	1,391,522
Total loans receivable
1	$	—	$	151,179	$	465,406	$	39,933	$	53,039	$	53,937	$	763,494
2	—		1,315,208		2,897,475		121,664		227,680		1,540,263		6,102,290
3	—		3,462,385		5,066,290		605,278		2,714,121		645,400		12,493,474
4	—		81,591		774,607		140,000		344,383		1,624,540		2,965,121
5	—		—		507,371		—		—		884,151		1,391,522
Total loans receivable	$	—	$	5,010,363	$	9,711,149	$	906,875	$	3,339,223	$	4,748,291	$	23,715,901
CECL reserve													(463,423)
Loans receivable, net													$	23,252,478


	Net Book Value of Loans Receivable by Year of Origination(1)
	As of December 31, 2022
Risk Rating	2022		2021		2020		2019		2018		Prior		Total
U.S. loans(2)
1	$	145,152	$	563,426	$	5,075	$	231,894	$	415,471	$	—	$	1,361,018
2	117,314		1,742,289		362,062		156,478		1,178,721		—		3,556,864
3	2,035,111		5,776,346		411,880		735,772		472,134		80,323		9,511,566
4	—		—		—		96,542		1,160,627		132,687		1,389,856
5	—		—		—		—		—		—		—
Total U.S. loans	$	2,297,577	$	8,082,061	$	779,017	$	1,220,686	$	3,226,953	$	213,010	$	15,819,304
Non-U.S. loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	590,580		609,270		94,995		1,028,715		—		—		2,323,560
3	977,767		1,586,266		—		896,392		86,706		—		3,547,131
4	—		—		—		344,089		—		—		344,089
5	—		—		—		—		—		—		—
Total Non-U.S. loans	$	1,568,347	$	2,195,536	$	94,995	$	2,269,196	$	86,706	$	—	$	6,214,780
Unique loans
1	$	42,167	$	—	$	—	$	—	$	—	$	—	$	42,167
2	—		—		—		—		—		—		—
3	893,114		—		—		—		176,322		—		1,069,436
4	—		—		—		289,141		653,941		—		943,082
5	—		—		—		—		—		—		—
Total unique loans	$	935,281	$	—	$	—	$	289,141	$	830,263	$	—	$	2,054,685
Impaired loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	—		—		—		—		—		—		—
3	—		—		—		—		—		—		—
4	—		—		—		—		—		—		—
5	—		208,894		—		—		284,809		435,408		929,111
Total impaired loans	$	—	$	208,894	$	—	$	—	$	284,809	$	435,408	$	929,111
Total loans receivable
1	$	187,319	$	563,426	$	5,075	$	231,894	$	415,471	$	—	$	1,403,185
2	707,894		2,351,559		457,057		1,185,193		1,178,721		—		5,880,424
3	3,905,992		7,362,612		411,880		1,632,164		735,162		80,323		14,128,133
4	—		—		—		729,772		1,814,568		132,687		2,677,027
5	—		208,894		—		—		284,809		435,408		929,111
Total loans receivable	$	4,801,205	$	10,486,491	$	874,012	$	3,779,023	$	4,428,731	$	648,418	$	25,017,880
CECL reserve													(326,137)
Loans receivable, net													$	24,691,743

Two of the loan modifications included other-than-insignificant payment delays, specifically the option to pay interest in-kind. For one of the loans the maximum maturity date was extended by six months, the borrower contributed $2.0 million of additional reserves, and the interest rate increased by 5.11%. The other modification included an additional 4.00% exit fee. As of September 30, 2023, the aggregate amortized cost basis of these loans was $286.7 million, or 1.2% of our aggregate loans receivable portfolio, with an aggregate $10.0 million of unfunded commitments. The loans were performing pursuant to their contractual terms as of September 30, 2023, had risk ratings of 5 as of September 30, 2023, and have asset-specific CECL reserves.

The other two loan modifications included a combination of changes to the contractual terms of the loans, including term extensions, other-than-insignificant payment delays, and/or interest rate reductions. The first loan modification included a term extension of nineteen months, a rate reduction of 2.74% and conversion to fixed rate, with a portion of the interest paid in-kind. The borrower repaid $4.9 million of the loan at the time of modification, with an additional $2.5 million of repayment due during the initial maturity period. The second loan modification included a term extension of 4.5 years, a rate increase of 8.50% with interest paid in-kind, a borrower contribution of $2.0 million of additional reserves, and a $50.0 million increase in our total loan commitment. As of September 30, 2023, the aggregate amortized cost basis of these loans was $435.1 million, or 1.8% of our aggregate loans receivable portfolio, with an aggregate $40.0 million of unfunded commitments. The loans were performing pursuant to their contractual terms as of September 30, 2023. As of September 30, 2023, one of these loans had a risk rating of 4, and its modified terms were included in the determination of our general CECL reserve, and the other loan had a risk rating of 5 and has an asset-specific CECL reserve.