10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

__________________________________ 

FORM 10-Q

__________________________________ 

(Mark One)

☒ Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the quarterly period ended September 30, 2023

OR

☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the transition period from                     to                    

Commission File Number: 001-34452

__________________________________ 

Apollo Commercial Real Estate Finance, Inc.

(Exact name of registrant as specified in its charter)

__________________________________ 

Maryland	27-0467113
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

Apollo Commercial Real Estate Finance, Inc.

c/o Apollo Global Management, Inc.

9 West 57th Street, 42nd Floor,

New York, New York 10019

(Address of principal executive offices) (Zip Code)

(212) 515–3200

(Registrant’s telephone number, including area code)

__________________________________ 

Securities registered pursuant to Section 12(b) of the Act:

Title of Each Class	Trading Symbol(s)	Name of Each Exchange on Which Registered
Common Stock, $0.01 par value	ARI	New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  ☒    No  ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes  ☒    No  ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company," and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☒	Accelerated filer	☐
Non-accelerated filer	☐	Smaller reporting company	☐
		Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes  ☐    No  ☒

As of October 27, 2023, there were 141,358,605 shares, $0.01 par value per share, of the registrant’s common stock issued and outstanding.

Table of Contents

	Page
Part I - Financial Information
Item 1. Financial Statements	4
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	37
Item 3. Quantitative and Qualitative Disclosures About Market Risk	54
Item 4. Controls and Procedures.	56
Part II - Other Information
Item 1. Legal Proceedings.	56
Item 1A. Risk Factors	56
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	56
Item 3. Defaults Upon Senior Securities	56
Item 4. Mine Safety Disclosures.	56
Item 5. Other Information	56
Item 6. Exhibits	56

See notes to unaudited condensed consolidated financial statements.

3

PART I - FINANCIAL INFORMATION

Item 1. Financial Statements

Apollo Commercial Real Estate Finance, Inc. and Subsidiaries

Condensed Consolidated Balance Sheets (Unaudited)

(in thousands—except share data)

	September 30, 2023		December 31, 2022
Assets:
Cash and cash equivalents	$	307,845	$	222,030
Commercial mortgage loans, net(1)(3)	7,561,254		8,121,109
Subordinate loans and other lending assets, net(2)(3)	412,777		560,881
Real estate owned, held for investment, net (net of $9,363 accumulated depreciation in 2023)	495,299		302,688
Other assets	206,578		70,607
Assets related to real estate owned, held for sale	79,188		162,397
Derivative assets, net	94,037		128,640
Total Assets	$	9,156,978	$	9,568,352
Liabilities and Stockholders' Equity
Liabilities:
Secured debt arrangements, net	$	5,135,855	$	5,296,825
Senior secured term loans, net	760,381		763,813
Senior secured notes, net	495,437		494,844
Convertible senior notes, net	176,018		229,361
Accounts payable, accrued expenses and other liabilities(4)	202,901		227,360
Debt related to real estate owned, held for investment, net	161,245		160,294
Participations sold	—		25,130
Payable to related party	9,515		9,728
Liabilities related to real estate owned, held for sale	3,844		6,493
Total Liabilities	6,945,196		7,213,848
Commitments and Contingencies (see Note 18)
Stockholders’ Equity:
Preferred stock, $0.01 par value, 50,000,000 shares authorized, Series B-1, 6,770,393 shares issued and outstanding ($169,260 liquidation preference) in 2023 and 2022 (see Note 17)	68		68
Common stock, $0.01 par value, 450,000,000 shares authorized, 141,353,133 and 140,595,995 shares issued and outstanding in 2023 and 2022, respectively	1,414		1,406
Additional paid-in-capital	2,723,170		2,716,907
Accumulated deficit	(512,870)		(363,877)
Total Stockholders’ Equity	2,211,782		2,354,504
Total Liabilities and Stockholders’ Equity	$	9,156,978	$	9,568,352

———————

(1) Includes $7,203,350 and $7,482,658 pledged as collateral under secured debt arrangements in 2023 and 2022, respectively.

(2) Includes $213,139 and $191,608 pledged as collateral under secured debt arrangements in 2023 and 2022, respectively.

(3) Net of $220,305 and $159,724 CECL Allowance in 2023 and 2022, respectively, comprised of $193,000 and $133,500 Specific CECL Allowance and $27,305 and $26,224 General CECL Allowance, respectively.

(4) Includes $3,972 and $4,347 of General CECL Allowance related to unfunded commitments on commercial mortgage loans, subordinate loans and other lending assets, net in 2023 and 2022, respectively.

See notes to unaudited condensed consolidated financial statements.

4

Apollo Commercial Real Estate Finance, Inc. and Subsidiaries

Condensed Consolidated Statement of Operations (Unaudited)

(in thousands—except share and per share data)

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023				2022
Net interest income:
Interest income from commercial mortgage loans	$	180,441	$	120,821	$	520,712			$	304,631
Interest income from subordinate loans and other lending assets	1,599		13,354		16,416				43,719
Interest expense	(121,817)		(72,302)		(342,963)				(173,949)
Net interest income	$	60,223	$	61,873	$	194,165			$	174,401
Revenue from real estate owned operations	20,934		14,428		66,273				42,098
Total net revenue	$	81,157	$	76,301	$	260,438			$	216,499
Operating expenses:
General and administrative expenses (includes equity-based compensation of $4,356 and $13,091 in 2023 and $4,518 and $13,734 in 2022, respectively)	$	(7,664)	$	(7,184)	$	(22,150)			$	(21,501)
Management fees to related party	(9,518)		(9,719)		(28,425)				(28,705)
Operating expenses related to real estate owned	(18,950)		(13,308)		(52,917)				(36,094)
Depreciation and amortization on real estate owned	(1,020)		—		(7,208)				(704)
Total operating expenses	$	(37,152)	$	(30,211)	$	(110,700)			$	(87,004)
Other income, net	$	1,465	$	285	$	4,537			$	353
Net realized gain (loss) on investments	—		43,577		(86,604)				43,577
Realized gain on extinguishment of debt	30		—		495				—
Decrease (increase) in current expected credit loss allowance, net	5,833		55,564		(60,205)				37,897
Foreign currency translation loss	(44,165)		(92,782)		(3,974)				(210,138)
Gain (loss) on foreign currency forward contracts (includes unrealized gains (losses) of $28,244 and $(27,709) in 2023 and $108,428 and $221,623 in 2022, respectively)	39,490		129,252		8,239				257,227
Gain (loss) on interest rate hedging instruments (includes unrealized gains (losses) of $(70) and $(9,211) in 2023 and $1,044 and $10,808 in 2022, respectively)	(70)		1,044		(122)				10,808
Net income before taxes	$	46,588	$	183,030	$	12,104			$	269,219
Income tax provision	(517)		—		(517)				—
Net income	$	46,071	$	183,030	$	11,587			$	269,219
Preferred dividends	(3,068)		(3,068)		(9,204)				(9,204)
Net income available to common stockholders	$	43,003	$	179,962	$	2,383			$	260,015
Net income per share of common stock:
Basic	$	0.30	$	1.27	$	—	$	—	$	1.83
Diluted	$	0.30	$	1.13	$	—			$	1.66
Basic weighted-average shares of common stock outstanding	141,350,428		140,594,987		141,255,730				140,513,957
Diluted weighted-average shares of common stock outstanding	141,350,428		164,350,132		141,255,730				169,252,602
Dividend declared per share of common stock	$	0.35	$	0.35	$	1.05			$	1.05

    

See notes to unaudited condensed consolidated financial statements.

5

Apollo Commercial Real Estate Finance, Inc. and Subsidiaries

Condensed Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)

(in thousands—except share and per share data)

	Preferred Stock			Common Stock			Additional Paid-In-Capital		Accumulated Deficit		Total
	Shares	Par		Shares	Par
Balance at January 1, 2023	6,770,393	$	68	140,595,995	$	1,406	$	2,716,907	$	(363,877)	$	2,354,504
Capital increase (decrease) related to Equity Incentive Plan	—	—		670,044	7		(2,352)		—		(2,345)
Net income	—	—		—	—		—		48,916		48,916
Dividends declared on preferred stock - $0.45 per share	—	—		—	—		—		(3,068)		(3,068)
Dividends declared on common stock - $0.35 per share	—	—		—	—		—		(50,446)		(50,446)
Balance at March 31, 2023	6,770,393	$	68	141,266,039	$	1,413	$	2,714,555	$	(368,475)	$	2,347,561
Capital increase related to Equity Incentive Plan	—	—		77,138	—		4,365		—		4,365
Net loss	—	—		—	—		—		(83,400)		(83,400)
Dividends declared on preferred stock - $0.45 per share	—	—		—	—		—		(3,068)		(3,068)
Dividends declared on common stock - $0.35 per share	—	—		—	—		—		(50,467)		(50,467)
Balance at June 30, 2023	6,770,393	$	68	141,343,177	$	1,413	$	2,718,920	$	(505,410)	$	2,214,991
Capital increase related to Equity Incentive Plan	—	—		9,956	1		4,250		—		4,251
Net income	—	—		—	—		—		46,071		46,071
Dividends declared on preferred stock - $0.45 per share	—	—		—	—		—		(3,068)		(3,068)
Dividends declared on common stock - $0.35 per share	—	—		—	—		—		(50,463)		(50,463)
Balance at September 30, 2023	6,770,393	$	68	141,353,133	$	1,414	$	2,723,170	$	(512,870)	$	2,211,782

	Preferred Stock			Common Stock			Additional Paid-In-Capital		Accumulated Deficit		Total
	Shares	Par		Shares	Par
Balance at January 1, 2022	6,770,393	$	68	139,894,060	$	1,399	$	2,721,042	$	(427,883)	$	2,294,626
Adoption of ASU 2020-06(1)	—	—		—	—		(15,408)		11,992		(3,416)
Capital increase (decrease) related to Equity Incentive Plan	—	—		647,349	6		(2,280)		—		(2,274)
Net income	—	—		—	—		—		15,238		15,238
Dividends declared on preferred stock - $0.45 per share	—	—		—	—		—		(3,068)		(3,068)
Dividends declared on common stock - $0.35 per share	—	—		—	—		—		(50,088)		(50,088)
Balance at March 31, 2022	6,770,393	$	68	140,541,409	$	1,405	$	2,703,354	$	(453,809)	$	2,251,018
Capital increase related to Equity Incentive Plan	—	—		49,434	1		4,518		—		4,519
Net income	—	—		—	—		—		70,951		70,951
Dividends declared on preferred stock - $0.45 per share	—	—		—	—		—		(3,068)		(3,068)
Dividends declared on common stock - $0.35 per share	—	—		—	—		—		(50,108)		(50,108)
Balance at June 30, 2022	6,770,393	$	68	140,590,843	$	1,406	$	2,707,872	$	(436,034)	$	2,273,312
Capital increase related to Equity Incentive Plan	—	—		5,152	—		4,518		—		4,518
Net income	—	—		—	—		—		183,030		183,030
Dividends declared on preferred stock - $0.45 per share	—	—		—	—		—		(3,068)		(3,068)
Dividends declared on common stock - $0.35 per share	—	—		—	—		—		(50,107)		(50,107)
Balance at September 30, 2022	6,770,393	$	68	140,595,995	$	1,406	$	2,712,390	$	(306,179)	$	2,407,685

(1) Refer to "Note 10 - Convertible Senior Notes, Net" for detail.

See notes to unaudited condensed consolidated financial statements.

6

Apollo Commercial Real Estate Finance, Inc. and Subsidiaries

Condensed Consolidated Statement of Cash Flows (Unaudited)

(in thousands)

	For the nine months ended September 30,
	2023		2022
Cash flows provided by operating activities:
Net income	$	11,587	$	269,219
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of discount/premium and payment-in-kind interest	(24,928)		(39,828)
Amortization of deferred financing costs	11,609		8,582
Equity-based compensation	13,091		13,734
Increase in current expected credit loss allowance, net	60,205		(37,897)
Foreign currency loss	21,027		199,587
Unrealized loss on foreign currency contracts	27,709		(221,623)
Unrealized loss (gain) on interest rate hedging instruments	9,211		(10,808)
Depreciation and amortization on real estate owned	7,208		704
Realized gain on extinguishment of debt	(495)		—
Net realized loss (gain) on investment	86,604		(43,577)
Changes in operating assets and liabilities:
Proceeds received from payment-in-kind interest	15,407		83,731
Other assets	(2,092)		(24,149)
Payment for interest rate cap	(2,317)		—
Accounts payable, accrued expenses and other liabilities	9,404		27,454
Payable to related party	(213)		(11)
Net cash provided by operating activities	$	243,017	$	225,118
Cash flows used in investing activities:
New funding of commercial mortgage loans	(181,017)		(2,753,609)
Add-on funding of commercial mortgage loans	(264,769)		(407,063)
Increase (decrease) in collateral related to derivative contracts, net	(39,360)		255,110
Add-on funding of subordinate loans and other lending assets	(77,027)		(85,964)
Capital expenditures on real estate assets	(47,187)		(21,160)
Proceeds received from the repayment and sale of commercial mortgage loans	749,716		1,316,431
Proceeds received from the repayment of subordinate loans and other lending assets	75,170		129,760
Origination and exit fees received on commercial mortgage loans, and subordinate loans and other lending assets, net	9,191		42,779
Cash received from hotel title assumption	569		—
Net cash provided by (used in) investing activities	$	225,286	$	(1,523,716)
Cash flows provided by financing activities:
Proceeds from secured debt arrangements	356,333		2,770,405
Repayments of secured debt arrangements	(508,245)		(1,118,630)
Repayments of senior secured term loan principal	(6,000)		(6,000)
Repayments and repurchases of convertible notes	(53,442)		(345,000)
Proceeds related to financing on real estate owned	—		164,835
Payment of deferred financing costs	(7,189)		(15,333)
Payment of withholding tax on RSU delivery	(6,820)		(6,972)
Dividends on common stock	(151,556)		(150,467)
Dividends on preferred stock	(9,204)		(9,204)
Net cash provided by (used in) financing activities	$	(386,123)	$	1,283,634

See notes to unaudited condensed consolidated financial statements.

7

Apollo Commercial Real Estate Finance, Inc. and Subsidiaries

Condensed Consolidated Statement of Cash Flows (Continued)

(in thousands)

	For the nine months ended September 30,
	2023		2022
Net increase (decrease) in cash and cash equivalents, including cash classified within assets related to real estate owned, held for sale	$	82,180	$	(14,964)
Decrease (increase) in cash classified within assets related to real estate owned, held for sale	3,376		(5,858)
Net increase (decrease) in cash and cash equivalents	$	85,556	$	(20,822)
Cash and cash equivalents, beginning of period	222,030		343,106
Effects of foreign currency translation on cash and cash equivalents	259		(3,020)
Cash and cash equivalents, end of period	$	307,845	$	319,264
Supplemental disclosure of cash flow information:
Interest paid	$	316,819	$	151,348
Income tax paid	795		—
Supplemental disclosure of non-cash financing activities:
Dividend declared, not yet paid	$	53,531	$	53,175
Change in participation sold	(25,130)		(4,368)
Change in loan proceeds held by servicer	129,670		5,871
Assumption of real estate	75,000		270,035
Assumption of other assets related to real estate owned	2,827		—
Assumption of accounts payable, accrued expenses and other liabilities related to real estate owned	(3,396)		—
Transfer of assets to assets related to real estate owned, held for sale	79,021		(156,201)
Transfer of assets related to real estate owned, held for sale to assets related to real estate owned held for investment, net	151,676		—
Transfer of assets related to real estate owned, held for sale to other assets	4,357		—
Transfer of liabilities to liabilities related to real estate owned, held for sale	1,438		6,116
Transfer of liabilities related to real estate owned, held for sale to accounts payable, accrued expenses and other liabilities	7,163		—

See notes to unaudited condensed consolidated financial statements.

8

Apollo Commercial Real Estate Finance, Inc. and Subsidiaries

Notes to Condensed Consolidated Financial Statements (Unaudited)

Note 1 – Organization

Apollo Commercial Real Estate Finance, Inc. (together with its consolidated subsidiaries, is referred to throughout this report as the "Company," "ARI," "we," "us" and "our") is a corporation that has elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes and primarily originates, acquires, invests in and manages performing commercial first mortgage loans, subordinate financings, and other commercial real estate related debt investments. These asset classes are referred to as our target assets.

We were formed in Maryland on June 29, 2009, commenced operations on September 29, 2009 and are externally managed and advised by ACREFI Management, LLC (the "Manager"), an indirect subsidiary of Apollo Global Management, Inc. (together with its subsidiaries, "Apollo").

We elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, commencing with the taxable year ended December 31, 2009. To maintain our tax qualification as a REIT, we are required to distribute at least 90% of our taxable income, excluding net capital gains, to stockholders and meet certain other asset, income, and ownership tests.

Note 2 – Summary of Significant Accounting Policies

Basis of Presentation

The accompanying condensed consolidated financial statements include our accounts and those of our consolidated subsidiaries. All intercompany amounts have been eliminated. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Our most significant estimates include current expected credit loss ("CECL") allowances. Actual results may differ from estimates.

These unaudited condensed consolidated financial statements have been prepared in accordance with the instructions to Form 10-Q and should be read in conjunction with the consolidated financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended December 31, 2022 ("Annual Report"), as filed with the Securities and Exchange Commission (the "SEC"). In the opinion of management, all adjustments (consisting only of normal recurring adjustments) necessary to present fairly our financial position, results of operations and cash flows have been included. Our results of operations for the three and nine months ended September 30, 2023 are not necessarily indicative of the results to be expected for the full year or any other future period.

We currently operate in one reporting segment.

Risks and Uncertainties

Although more normalized activities have resumed and there has been improved global economic activity due to global and domestic vaccination efforts, there are still various uncertainties around the impact coronavirus ("COVID-19") and its variants had and will continue to have on our business and the economy as a whole, including longer-term macroeconomic effects on supply chains, inflation and labor shortages. For example, in response to recent inflationary pressure, the U.S. Federal Reserve and other global central banks have raised interest rates in 2022 and 2023. We believe the estimates used in preparing our financial statements and related footnotes are reasonable and supportable based on the best information available to us as of September 30, 2023.

Recent Accounting Pronouncements

In March 2020, the Financial Accounting Standards Board ("FASB") issued ASU 2020-04 "Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting" ("ASU 2020-04"). ASU 2020-04 provides optional expedients and exceptions for applying GAAP to debt instruments, derivatives, and other contracts that reference London Interbank Offered Rate ("LIBOR") or other reference rates expected to be discontinued as a result of reference rate reform. In December 2022, the FASB issued ASU 2022-06 "Reference Rate Reform (Topic 848): Deferral of Sunset Date of Topic 848 ("ASU 2022-06") which deferred the sunset date to December 31, 2024. As prescribed by the optional expedients within ASU 2020-04, we have accounted for applicable modified contracts that incorporate alternative benchmarks as if they are not substantially different. We will continue to apply such expedients or exceptions related to modifications for certain of our commercial mortgage loans and debt agreements as a result of reference rate reform. The application of ASU 2020-04 has not had a material impact, nor is it expected to have a material impact, on our consolidated financial statements.

9

Note 3 – Fair Value Disclosure

GAAP establishes a hierarchy of valuation techniques based on the observability of the inputs utilized in measuring financial instruments at fair value. Market-based or observable inputs are the preferred source of values, followed by valuation models using management's assumptions in the absence of market-based or observable inputs. The three levels of the hierarchy as noted in Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosures" are described below:

Level I — Quoted prices in active markets for identical assets or liabilities.

Level II — Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used.

While we anticipate that our valuation methods are appropriate and consistent with valuation methods used by other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. We use inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced.

The fair values of foreign exchange ("Fx") forwards are determined by comparing the contracted forward exchange rate to the current market exchange rate. The current market exchange rates are determined by using market spot rates, forward rates and interest rate curves for the underlying countries. Our Fx forwards are classified as Level II in the fair value hierarchy.

The fair value of our interest rate cap is determined by using the market standard methodology of discounting the future expected cash receipts that occur when variable interest rates rise above the strike rate of the interest rate cap. The variable interest rates used in the calculation of projected receipts on the interest rate cap are based on a third-party expert's expectation of future interest rates derived from observable market interest rate curves and volatility. Our interest rate caps are classified as Level II in the fair value hierarchy and manage our exposure to variable cash flows on certain of our borrowings. As of December 31, 2022, we held one interest rate cap related to our term loan. As of September 30, 2023, we held one interest rate cap related to our construction financing which was purchased on September 26, 2023. Refer to Note 5 – Real Estate Owned and Note 11 – Derivatives for further detail.

The following table summarizes the levels in the fair value hierarchy into which our assets and liabilities with recurring fair value measurements were categorized as of September 30, 2023 and December 31, 2022 ($ in thousands): 

	Fair Value as of September 30, 2023								Fair Value as of December 31, 2022
	Level I		Level II		Level III		Total		Level I		Level II		Level III		Total
Recurring fair value measurements:
Foreign currency forward, net	$	—	$	91,790	$	—	$	91,790	$	—	$	119,499	$	—	$	119,499
Interest rate cap asset	—		2,247		—		2,247		—		9,141		—		9,141
Total financial instruments	$	—	$	94,037	$	—	$	94,037	$	—	$	128,640	$	—	$	128,640

Non-recurring Fair Value Measurements

We are required to record real estate owned, a nonfinancial asset, at fair value on a non-recurring basis in accordance with ASC 820. Under ASC 820, we may utilize the income, market or cost approach (or combination thereof) to determine the fair value of real estate owned. We deem the inputs used in these approaches to be significant unobservable inputs. Therefore, we classify the fair value of real estate owned within Level III of the fair value hierarchy.

On March 31, 2023, we acquired legal title of a hotel property in Atlanta, GA ("Atlanta Hotel") through a deed-in-lieu of foreclosure. At the time of acquisition, we determined the fair value of the net real estate assets to be $75.0 million, using a combination of market and income approach. We utilized a discount rate and capitalization rate of 10.5% and 9.5%, respectively. During the three months ended June 30, 2023, the Atlanta Hotel's assets and liabilities were reclassified to held for sale and the fair value of the net real estate assets, less costs to sell, was in excess of our cost basis. We carry the Atlanta Hotel's assets and liabilities at the lower of our cost basis and the fair value less costs to sell on our condensed consolidated balance sheet. No impairments had been recorded as of September 30, 2023.

On August 3, 2022, we acquired legal title of a multifamily development property located in downtown Brooklyn, NY

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("Brooklyn Development") through a deed-in-lieu of foreclosure. We determined the fair value of the real estate assumed to be $270.1 million, based on the market value of the land at the time of acquisition. No impairments had been recorded as of September 30, 2023 or December 31, 2022.

On May 24, 2021, we acquired legal title to a full-service luxury hotel in Washington D.C. ("D.C. Hotel") through a deed-in-lieu of foreclosure. We assumed the D.C. Hotel's assets and liabilities, including a $110.0 million mortgage loan. We repaid the mortgage loan at par and hold the property unlevered. At the time of acquisition, we determined the fair value of the real estate assets to be $154.3 million. No impairments had been recorded as of September 30, 2023 or December 31, 2022.

Refer to "Note 5 – Real Estate Owned" for additional discussions.

Note 4 – Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net

Our loan portfolio was comprised of the following at September 30, 2023 and December 31, 2022 ($ in thousands):

Loan Type	September 30, 2023		December 31, 2022
Commercial mortgage loans, net(1)	$	7,561,254	$	8,121,109
Subordinate loans and other lending assets, net	412,777		560,881
Carrying value, net	$	7,974,031	$	8,681,990

  ———————

(1)Includes $102.6 million and $138.3 million in 2023 and 2022, respectively, of contiguous financing structured as subordinate loans.

Our loan portfolio consisted of 99% and 98% floating rate loans, based on amortized cost, as of September 30, 2023 and December 31, 2022, respectively.

Activity relating to our loan portfolio for the nine months ended September 30, 2023 was as follows ($ in thousands):

	Principal Balance		Deferred Fees/Other Items (1)		Specific CECL Allowance		Carrying Value, Net
December 31, 2022	$	8,892,767	$	(51,053)	$	(133,500)	$	8,708,214
New funding of loans	181,017		—		—		181,017
Add-on loan fundings(2)	341,796		—		—		341,796
Loan repayments and sales	(1,020,590)		—		—		(1,020,590)
Gain (loss) on foreign currency translation	(4,999)		83		—		(4,916)
Increase in Specific CECL Allowance, net	—		—		(59,500)		(59,500)
Net realized loss on investment	(87,367)		763		—		(86,604)
Transfer to real estate owned	(75,000)		—		—		(75,000)
Deferred fees and other items	—		(9,191)		—		(9,191)
Payment-in-kind interest and amortization of fees	—		26,110		—		26,110
September 30, 2023	$	8,227,624	$	(33,288)	$	(193,000)	$	8,001,336
General CECL Allowance(3)							(27,305)
Carrying value, net							$	7,974,031

———————

(1)Other items primarily consist of purchase discounts or premiums, cost recovery interest, exit fees, deferred origination expenses, and the activity of unconsolidated joint ventures.

(2)Represents fundings committed prior to 2023.

(3)$4.0 million of the General CECL Allowance is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheet.

The following table details overall statistics for our loan portfolio at the dates indicated ($ in thousands):

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	September 30, 2023			December 31, 2022
Number of loans	49			61
Principal balance	$	8,227,624		$	8,892,767
Carrying value, net	$	7,974,031		$	8,681,990
Unfunded loan commitments(1)	$	693,125		$	1,041,654
Weighted-average cash coupon(2)	8.3		%	7.2		%
Weighted-average remaining fully-extended term(3)	2.4 years			2.8 years
Weighted-average expected term(4)	1.8 years			1.7 years

———————

(1)Unfunded loan commitments are funded to finance construction costs, tenant improvements, leasing commissions, or carrying costs. These future commitments are funded over the term of each loan, subject in certain cases to an expiration date.

(2)For floating rate loans, based on applicable benchmark rates as of the specified dates. For loans placed on non-accrual the interest rate used in calculating weighted-average cash coupon is 0%.

(3)Assumes all extension options are exercised.

(4)Expected term represents our estimated timing of repayments as of the specified dates. Excludes risk-rated 5 loans.

Property Type

The table below details the property type of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):

	September 30, 2023				December 31, 2022
Property Type	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
Hotel	$	1,903,246	23.8	%	$	2,117,079	24.3	%
Office	1,494,101		18.7		1,671,006		19.2
Retail	1,375,338		17.2		1,364,752		15.7
Residential	1,245,131		15.5		1,537,541		17.7
Mixed Use	637,492		8.0		559,809		6.4
Healthcare	520,208		6.5		575,144		6.6
Industrial	282,758		3.5		296,860		3.4
Other(2)	543,062		6.8		586,023		6.7
Total	$	8,001,336	100.0	%	$	8,708,214	100.0	%
General CECL Allowance(3)	(27,305)				(26,224)
Carrying value, net	$	7,974,031			$	8,681,990

———————

(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance.

(2)Other property types include parking garages (2.7%), caravan parks (2.5%) and urban predevelopment (1.6%) in 2023, and parking garages (3.1%), caravan parks (2.3%) and urban predevelopment (1.3%) in 2022.

(3)$4.0 million and $4.3 million of the General CECL Allowance for 2023 and 2022, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

Geography

The table below details the geographic distribution of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):

	September 30, 2023				December 31, 2022
Geographic Location	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
United Kingdom	$	2,482,587	31.0	%	$	2,470,532	28.4	%
New York City	1,723,669		21.5		2,049,493		23.5
Other Europe(2)	1,396,418		17.5		1,542,462		17.7

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West	577,416		7.2		584,247		6.7
Southeast	533,852		6.7		642,542		7.4
Midwest	533,692		6.7		592,756		6.8
Other(3)	753,702		9.4		826,182		9.5
Total	$	8,001,336	100.0	%	$	8,708,214	100.0	%
General CECL Allowance(4)	(27,305)				(26,224)
Carrying value, net	$	7,974,031			$	8,681,990

———————

(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance.

(2)Other Europe includes Germany (5.2%), Italy (4.7%), Spain (4.2%), Sweden (2.9%) and Ireland (0.5%) in 2023 and Italy (5.4%), Germany (4.9%), Spain (3.8%), Sweden (2.8%) and Ireland (0.7%) in 2022.

(3)Other includes Northeast (5.5%), Southwest (1.8%), Mid-Atlantic (1.2%) and Other (0.9%) in 2023 and Northeast (5.5%), Southwest (2.3%), Mid-Atlantic (1.4%) and Other (0.3%) in 2022.

(4)$4.0 million and $4.3 million of the General CECL Allowance for 2023 and 2022, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

Risk Rating

We assess the risk factors of each loan and assign a risk rating based on a variety of factors, including, without limitation, loan to value ("LTV") ratio, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship. We apply these various factors on a case-by-case basis depending on the facts and circumstances for each loan, and the different factors may be given different weightings in different situations. This review is performed quarterly. Based on a 5-point scale, our loans are rated "1" through "5," from less risk to greater risk, which ratings are defined as follows:

    1.    Very low risk

    2.    Low risk

    3. Moderate/average risk

    4. High risk/potential for loss: a loan that has a risk of realizing a principal loss

    5. Impaired/loss likely: a loan that has a high risk of realizing principal loss, has incurred principal loss, or an impairment has been recorded

The following tables present the carrying value of our loan portfolio by year of origination and internal risk rating and gross write-offs by year of origination as of September 30, 2023 and December 31, 2022, respectively ($ in thousands):

September 30, 2023
						Amortized Cost by Year Originated
Risk Rating	Number of Loans	Total		% of Portfolio		2023		2022		2021		2020		2019		Prior
1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	3	192,291		2.4	%	—		—		—		—		126,658		65,633
3	42	7,452,050		93.1	%	169,707		2,610,749		2,271,332		372,957		1,414,255		613,051
4	2	88,312		1.1	%	—		—		—		—		—		88,312
5	2	268,683		3.4	%	—		—		—		169,881		—		98,802
Total	49	$	8,001,336	100.0	%	$	169,707	$	2,610,749	$	2,271,332	$	542,838	$	1,540,913	$	865,798
General CECL Allowance(1)		(27,305)
Total carrying value, net		$	7,974,031
Weighted Average Risk Rating		3.1
Gross write-offs		$	81,890			$	—	$	—	$	—	$	—	$	—	$	81,890

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December 31, 2022
						Amortized Cost by Year Originated
Risk Rating	Number of Loans	Total		% of Portfolio		2022		2021		2020		2019		2017		Prior
1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	2	65,943		0.8	%	—		—		—		—		—		65,943
3	54	8,401,925		96.5	%	2,575,455		2,462,499		687,329		1,637,050		479,769		559,823
4	2	27,451		0.3	%	—		—		—		—		19,951		7,500
5	3	212,895		2.4	%	—		—		—		—		—		212,895
Total	61	$	8,708,214	100.0	%	$	2,575,455	$	2,462,499	$	687,329	$	1,637,050	$	499,720	$	846,161
General CECL Allowance(1)		(26,224)
Total carrying value, net		$	8,681,990
Weighted Average Risk Rating		3.0
Gross write-offs		$	7,000			$	—	$	—	$	—	$	—	$	—	$	7,000

———————

(1)$4.0 million and $4.3 million of the General CECL Allowance for 2023 and 2022, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

CECL

In accordance with ASU 2016-13 "Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments", which we refer to as the "CECL Standard," we record allowances for loans and held-to-maturity debt securities that are deducted from the carrying amount of the assets to present the net carrying value of the amounts expected to be collected on the assets. We record loan specific allowances as a practical expedient under the CECL Standard ("Specific CECL Allowance"), which we apply to assets that are collateral dependent and where the borrower or sponsor is experiencing financial difficulty. For the remainder of the portfolio, we record a general allowance ("General CECL Allowance", and together with the Specific CECL Allowance, "CECL Allowances") on a collective basis by assets with similar risk characteristics. We have elected to use the weighted average remaining maturity ("WARM") method in determining a General CECL Allowance for a majority of our portfolio. In the future, we may use other acceptable methods, such as a probability-of-default/loss-given-default method.

The following schedule illustrates changes in CECL Allowances for the nine months ended September 30, 2023 ($ in thousands):

		Specific CECL Allowance(1)		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost(1)
				Funded		Unfunded		Total				General		Total
December 31, 2022		$	133,500	$	26,224	$	4,347	$	30,571	$	164,071	0.36	%	1.86	%
Changes:
	Q1 Allowances(2)	—		4,043		348		4,391		$	4,391
March 31, 2023		$	133,500	$	30,267	$	4,695	$	34,962	$	168,462	0.42	%	1.95	%
Changes:
	Q2 Allowances(3)	141,480		2,009		139		2,148		143,628
	Q2 Write-offs(4)	(81,980)		—		—		—		(81,980)
June 30, 2023		$	193,000	$	32,276	$	4,834	$	37,110	$	230,110	0.46	%	2.70	%
Changes:
	Q3 Reversals(5)	—		(4,971)		(862)		(5,833)		(5,833)
September 30, 2023		$	193,000	$	27,305	$	3,972	$	31,277	$	224,277	0.40	%	2.74	%

———————

(1)Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.

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(2)During the three months ended March 31, 2023, our General CECL Allowance increased by $4.4 million primarily due to an increase in our view of the remaining expected term of our loan portfolio. This increase was partially offset by the impact of portfolio seasoning and loan repayments and sales.

(3)During the three months ended June 30, 2023, our General CECL Allowance increased by $2.1 million primarily due to a more adverse macroeconomic outlook and an increase in our view of the remaining expected term of certain of our loans. This increase was partially offset by the impact of portfolio seasoning. Additionally, during the three months ended June 30, 2023, we recorded an increase of $141.5 million to our Specific CECL Allowance. The increase was related to two mezzanine loans secured by the same ultra-luxury property. Refer to discussion below.

(4)As of June 30, 2023, $82.0 million related to the most junior mezzanine loan secured by the ultra-luxury residential property was deemed unrecoverable. Accordingly, $82.0 million of previously recorded Specific CECL was written-off and recorded as a realized loss within net realized loss on investments in our June 30, 2023 condensed consolidated statement of operations. Refer to "Specific CECL Allowance" section below for further detail.

(5)During the three months ended September 30, 2023, our General CECL Allowance decreased by $5.8 million, primarily due to loan prepayments and portfolio seasoning.

The following schedule illustrates changes in CECL Allowances for the nine months ended September 30, 2022 ($ in thousands):

		Specific CECL Allowance(1)		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost(1)
				Funded		Unfunded		Total				General		Total
December 31, 2021		$	145,000	$	33,588	$	3,106	$	36,694	$	181,694	0.49	%	2.26	%
Changes:
	Q1 Allowances (Reversals)(2)	30,000		(12,211)		822		(11,389)		18,611
March 31, 2022		$	175,000	$	21,377	$	3,928	$	25,305	$	200,305	0.32	%	2.34	%
Changes:
	Q2 Allowances (Reversals)(3)	(3,000)		1,985		71		2,056		(944)
June 30, 2022		$	172,000	$	23,362	$	3,999	$	27,361	$	199,361	0.33	%	2.18	%
Changes:
	Q3 (Reversals), net(4)	$	(53,000)	$	(1,377)	$	(1,187)	(2,564)		(55,564)
September 30, 2022		$	119,000	$	21,985	$	2,812	$	24,797	$	143,797	0.30	%	1.62	%

———————

(1)Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.

(2)During the three months ended March 31, 2022, a $30.0 million Specific CECL Allowance was recorded on a subordinate loan secured by an ultra luxury residential property in Manhattan, NY. During the three months ended March 31, 2022, the General CECL Allowance decreased by $11.4 million primarily due to changes in expected loan repayment dates, as well as portfolio seasoning, which was partially offset by new loan originations.

(3)During the three months ended June 30, 2022, the $3.0 million net reversal of Specific CECL Allowance was comprised of (i) the reversal of $10.0 million of previously recorded allowance on a loan related to a multifamily development in Brooklyn, NY as a result of market rent growth and value created from development activities and (ii) a $7.0 million allowance recorded on a loan secured by a hotel in Atlanta, GA due to slower than expected recovery from COVID-19. General CECL Allowance increased by $2.1 million due to new loan originations and more adverse macroeconomic outlook, which was partially offset by portfolio seasoning.

(4)During the three months ended September 30, 2022, the $53.0 million Specific CECL Allowance was reversed on an urban predevelopment first mortgage loan in Miami, FL because the collateral which secures the loan was under contract to be sold in the near term at a higher value than the carrying value of the loan pre-reversal. General CECL Allowance decreased by $2.6 million primarily due to portfolio seasoning and sale of unfunded

commitments, which was partially offset by one new loan origination and a more adverse macroeconomic outlook.

General CECL Allowance

In determining the General CECL Allowance using the WARM method, an annual historical loss rate, adjusted for macroeconomic estimates, is applied to the amortized cost of an asset, or pool of assets, over each subsequent period for the assets' remaining expected life. We considered various factors including (i) historical loss experience in the commercial real estate lending market, (ii) timing of expected repayments and satisfactions, (iii) expected future funding, (iv) capital subordinate to us when we are the senior lender, (v) capital senior to us when we are the subordinate lender, and (vi) our current and future view of the macroeconomic environment for a reasonable and supportable forecast period. The CECL Standard requires the use of significant judgment to arrive at an estimated credit loss. There is significant uncertainty related to future macroeconomic conditions, including inflation, labor shortages and interest rates.

We derived an annual historical loss rate based on a commercial mortgage-backed securities ("CMBS") database with historical losses from 1998 through the third quarter of 2023 provided by a third party, Trepp LLC. We applied various filters to arrive at a CMBS dataset most analogous to our current portfolio from which to determine an appropriate historical loss rate. The annual historical loss rate was further adjusted to reflect our expectations of the macroeconomic environment for a reasonable and supportable forecast period. At the onset of the COVID-19 pandemic in 2020, we adopted a shortened four quarter forecast period in response to heightened macroeconomic uncertainty brought by the pandemic. With the effects of the pandemic gradually easing in response to global and domestic vaccination efforts and other public safety measures, we reverted to a longer forecast period of six quarters effective December 31, 2022 and further extended to eight quarters effective March

15

31, 2023. In assessing the macroeconomic environment, we consider macroeconomic factors, including unemployment rate, commercial real estate prices, and market liquidity. We compared the historical data for each metric to historical commercial real estate losses in order to determine the correlation of the data. We used projections, obtained from third-party service providers, of each factor to approximate the impact the macroeconomic outlook may have on our loss rate.

The General CECL Allowance on subordinate loans is calculated by incorporating both the loan balance of the position(s) of the structurally senior third-party lender(s) and the balance of our subordinate loan(s). The subordinate loans, by virtue of being the first loss position, are required to absorb losses prior to the senior position(s) being impacted, resulting in a higher percentage allowance attributable to the subordinate loan. The General CECL Allowance on unfunded loan commitments is time-weighted based on our expected commitment to fund such obligations. The General CECL Allowance on unfunded commitments is recorded as a liability on our condensed consolidated balance sheets within accounts payable, accrued expenses and other liabilities.

We have made an accounting policy election to exclude accrued interest receivable ($68.6 million and $65.4 million as of September 30, 2023 and December 31, 2022, respectively), included in other assets on our condensed consolidated balance sheets, from the amortized cost basis of the related commercial mortgage loans and subordinate loans and other lending assets in determining the General CECL Allowance, as any uncollectible accrued interest receivable is written off in a timely manner.

Although our secured debt obligations and senior secured term loan financing have a minimum tangible net worth maintenance covenant, the General CECL Allowance has no impact on these covenants as we are permitted to add back the General CECL Allowance for the computation of tangible net worth as defined in the respective agreements.

The following schedule sets forth our General CECL Allowance as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023		December 31, 2022
Commercial mortgage loans, net	$	26,340	$	22,848
Subordinate loans and other lending assets, net	965		3,376
Unfunded commitments(1)	3,972		4,347
Total General CECL Allowance	$	31,277	$	30,571

 ———————

(1)The General CECL Allowance on unfunded commitments is recorded as a liability on our condensed consolidated balance sheets within accounts payable, accrued expenses and other liabilities.

Specific CECL Allowance

For collateral-dependent loans where we have deemed the borrower/sponsor to be experiencing financial difficulty, we have elected to apply a practical expedient in accordance with the CECL Standard in which the fair value of the underlying collateral is compared to the amortized cost of the loan in determining a Specific CECL Allowance. The Specific CECL Allowance is determined as the difference between the fair value of the underlying collateral and the carrying value of the loan (prior to the Specific CECL Allowance). When the repayment or satisfaction of a loan is dependent on a sale, rather than operations, of the collateral, the fair value is adjusted for the estimated cost to sell the collateral. Collateral-dependent loans evaluated for a Specific CECL Allowance are removed from the General CECL pool. The fair value of the underlying collateral is determined by using method(s) such as discounted cash flow, the market approach, or direct capitalization approach. The key unobservable inputs used to determine the fair value of the underlying collateral may vary depending on the information available to us and market conditions as of the valuation date.

We regularly evaluate the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower/sponsor on a loan-by-loan basis. The Specific CECL Allowance is evaluated on a quarterly basis. Specifically, a property’s operating results and any cash reserves are analyzed and used to assess (i) whether cash from operations is sufficient to cover the debt service requirements currently and into the future, (ii) the ability of the borrower to refinance the loan and/or (iii) the liquidation value of the underlying collateral. We also evaluate the financial wherewithal of any loan guarantors as well as the borrower’s competency in managing and operating the properties. In addition, we consider the overall economic environment, real estate sector and geographic sub-market in which the borrower operates. Such impairment analysis is completed and reviewed by asset management and finance personnel who utilize various data sources, including (i) periodic financial data such as debt service coverage ratio, property occupancy, tenant profile, rental rates, operating expenses, the borrower’s exit plan, and capitalization and discount rates, (ii) site inspections and (iii) current credit spreads and discussions with market participants.

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The following table summarizes our risk rated 5 loans as of September 30, 2023, which were analyzed for Specific CECL Allowances ($ in thousands):

Type	Property type	Location	Amortized cost prior to Specific CECL Allowance	Specific CECL Allowance	Amortized cost	Interest recognition status/ as of date	Risk rating
Mortgage
	Retail(1)(2)	Cincinnati, OH	$165,802	$67,000	$98,802	Non-Accrual/ 10/1/2019	5
Mortgage total:			$165,802	$67,000	$98,802
Mezzanine
	Residential(3)	Manhattan, NY	$295,881	$126,000	$169,881	Non-Accrual/ 7/1/2021	5
Mezzanine total:			$295,881	$126,000	$169,881
Total:			$461,683	$193,000	$268,683

———————

(1)The fair value of retail collateral was determined by applying a capitalization rate of 8.5%.

(2)In September 2018, we entered a joint venture with Turner Consulting II, LLC ("Turner Consulting"), through an entity which owns the underlying property that secures our loan. Turner Consulting contributed 10% of the venture’s equity and we contributed 90%. The entity was deemed to be a Variable Interest Entity (a "VIE") and we determined that we are not the primary beneficiary of that VIE as we do not have the power to direct the entity's activities. During the three and nine months ended September 30, 2023 and 2022, $0.6 million and $1.9 million, respectively and $0.6 million and $1.2 million, respectively, of interest paid was applied towards reducing the carrying value of the loan. The related profit and loss from the joint venture was immaterial for the three and nine months ended September 30, 2023 and 2022. During the three months ended June 30, 2023, the loan's maturity was extended from September 2023 to September 2024.

(3)The fair value of the residential collateral was determined by making certain projections and assumptions with respect to future performance and a discount rate of 10%.

We cease accruing interest on loans if we deem the interest to be uncollectible with any previously accrued uncollected interest on the loan charged to interest income in the same period. The amortized cost basis for loans on non-accrual was $680.7 million and $468.0 million as of September 30, 2023 and December 31, 2022, respectively. Under certain circumstances, we may apply the cost recovery method under which interest collected on a loan reduces the loan's amortized cost. For the three and nine months ended September 30, 2023, we received $0.6 million and $1.9 million, respectively, in interest that reduced amortized cost under the cost recovery method compared to $2.1 million and $2.6 million for the three and nine months ended September 30, 2022, respectively.

As of September 30, 2023 and December 31, 2022, the amortized cost basis for loans with accrued interest past due 90 or more days was $680.7 million and $581.3 million, respectively. As of September 30, 2023 and December 31, 2022, there were no loans with accrued interest between 30 and 89 days past due, respectively.

During the third quarter of 2022, we refinanced three of our mezzanine loans (a senior mezzanine loan (“Senior Mezzanine Loan”) and two junior mezzanine loans (“Junior Mezzanine A Loan” and “Junior Mezzanine B Loan” collectively referred to as “Junior Mezzanine Loan”)), and originated a commercial mortgage loan (“Senior Loan”) as part of an overall recapitalization. All of the loans are secured by an ultra-luxury residential property in Manhattan, NY.

In refinancing the Senior Mezzanine Loan and Junior Mezzanine Loan, we modified the loan terms with the borrower by modifying the interest rates from LIBOR+15.7% to the Secured Overnight Financing Rate ("SOFR")+9.0% on the Senior Mezzanine Loan, from LIBOR+22.5% to SOFR+15.0% on the Junior Mezzanine A Loan, and from LIBOR+17.5% to SOFR+15.0% on the Junior Mezzanine B Loan. We also extended the term on all three loans from July 2022 to September 2024, including a one-year extension. Based on our analysis under ASC 310-20 “Receivables – Nonrefundable Fees and Other Costs” (“ASC 310-20”), we have deemed this refinance to be a continuation of our existing loans. Additionally, we opted to cease accruing interest on the Junior Mezzanine A Loan and Junior Mezzanine B Loan as of July 1, 2021 based on a waterfall sharing arrangement with a subordinate capital provider, and have continued to not accrue interest on the Junior Mezzanine Loan following this refinancing.

In accordance with ASC 326, "Financial Instruments – Credit Losses" and adoption of ASU 2022-02 "Financial Instruments – Credit Losses (Topic 326) – Troubled Debt Restructurings and Vintage Disclosures", we have classified the refinancing of the Senior Mezzanine Loan and Junior Mezzanine Loan as an interest rate reduction and term extension. The modified loan terms as discussed above have been reflected in our calculation of CECL for the quarter ended September 30, 2023. Refer to "CECL" section above for additional information regarding our calculation of CECL Allowance.

As of September 30, 2023 the aggregate amortized cost of the Senior Mezzanine Loan and Junior Mezzanine A Loan totaled $383.0 million (net of $126.0 million Specific CECL Allowance), or 4.8% of our aggregate commercial mortgage loans and subordinate loans and other lending assets by amortized cost. The Junior Mezzanine B Loan was fully written off as of June 30, 2023, as discussed below.

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As of March 31, 2022, sales velocity on the underlying property lagged behind the borrower's business plan and management's expectations. Based on this information as of March 31, 2022, we deemed the borrower to be experiencing financial difficulty and accordingly changed the risk rating to a five and recorded $30.0 million of Specific CECL Allowance on the Junior Mezzanine B Loan. During the three months ended December 31, 2022, we recorded an additional $36.5 million Specific CECL Allowance on the Junior Mezzanine B Loan due to a slower sales pace across the ultra-luxury residential segment at the end of 2022 in response to broader market uncertainty, bringing the total loan Specific CECL Allowance to $66.5 million as of December 31, 2022.

During the three months ended June 30, 2023, property sales continued to trail behind the borrower's business plan. Accordingly, as of May 1, 2023, we ceased accruing interest on the Senior Loan and the Senior Mezzanine Loan. Additionally, during the three months ended June 30, 2023, we recorded a $126.0 million Specific CECL Allowance on the Junior Mezzanine A Loan and downgraded its risk rating to a five. We also increased the previously recorded Specific CECL Allowance on the Junior Mezzanine B Loan by $15.5 million during the three months ended June 30, 2023. As of June 30, 2023, we deemed the $82.0 million Junior Mezzanine B Loan to be unrecoverable. Accordingly, we wrote off the Junior Mezzanine B's total Specific CECL Allowance of $82.0 million and recorded a realized loss of $82.0 million within net realized loss on investments in our June 30, 2023 condensed consolidated statement of operations.

During the three months ended September 30, 2023, we negotiated with the subordinate capital provider to relinquish its junior mezzanine loan and preferred equity interests for $1.0 million. The respective expense was recorded in other income, net in the condensed consolidated statement of operations. There was no impact to the basis of our Senior Loan, Senior Mezzanine Loan, or Junior Mezzanine A Loan and no impact to our Specific CECL Allowance.

In March 2017, we originated a first mortgage secured by a hotel in Atlanta, GA. As of May 1, 2022, due to slower than expected recovery from the COVID-19 pandemic, we deemed the borrower to be experiencing financial difficulty and ceased accruing interest. During the second quarter of 2022, we recorded a $7.0 million Specific CECL Allowance. Additionally, during 2022, we modified the loan to provide two short term extensions to the borrower. During the fourth quarter of 2022, the loan went into maturity default, at which time we were in discussions with the sponsor regarding consensual foreclosure. In anticipation of the foreclosure, we wrote off the previously recorded Specific CECL Allowance, and recorded a $7.0 million realized loss on the loan within realized gain (loss) on investments within our consolidated statement of operations during the first quarter of 2023. On March 31, 2023, we acquired legal title of the underlying hotel through a deed-in-lieu foreclosure and recognized an additional $4.8 million loss within net realized loss on investments on our condensed consolidated statement of operations. The realized loss represents the difference between the original loan's amortized cost and the fair value of the net real estate assets acquired at the time of foreclosure. Refer to "Note 5 - Real Estate Owned" for additional disclosure.

As of September 30, 2023 there were no unfunded commitments related to borrowers experiencing financial difficulty. As of December 31, 2022, there were $9.5 million of unfunded commitments related to borrowers experiencing financial difficulty.

Other Loan and Lending Assets Activity

During the three and nine months ended September 30, 2023, we recognized no payment-in-kind interest. During the three and nine months ended September 30, 2022, we recognized $2.7 million and $8.3 million of payment-in-kind interest, respectively.

We recognized $0.2 million and $0.4 million of pre-payment penalties and accelerated fees for the three and nine months ended September 30, 2023, respectively, and $0.1 million and $2.5 million for the three and nine months ended September 30, 2022, respectively.

As of December 31, 2022, we held a subordinate risk retention interest in a securitization vehicle. The underlying mortgage related to our subordinate risk retention interest was secured by a portfolio of properties located throughout the United States. Our maximum exposure to loss from our subordinate risk retention interest was limited to its book value, which was $51.1 million as of December 31, 2022, and included within subordinate loans and other lending assets, net on our consolidated balance sheet. Additionally, as of December 31, 2022, its weighted average maturity was 1.4 years. During the three months ended September 30, 2023, this subordinate risk retention interest was repaid in full.

During the first quarter of 2023, we received £72.2 million ($88.4 million assuming conversion into U.S. Dollars ("USD")) full repayment of one of our commercial mortgage loans secured by an office property in London, United Kingdom, including all default interest accrued to date, which was approximately $0.7 million. In conjunction with the repayment, we are no longer recording the previously sold subordinate interest as a secured borrowing on our consolidated balance sheet, which had an amortized cost basis of £20.8 million ($25.1 million assuming conversion into USD). Refer to "Note 12 – Participations Sold" for additional detail related to the subordinate interest.

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During the three months ended September 30, 2022, we transferred a portion of our unfunded commitment of £293.4 million ($327.7 million assuming conversion into USD) in a commercial mortgage loan secured by a mixed use property located in London, United Kingdom to entities managed by affiliates of the Manager. In addition to transferring the unfunded commitment, we also transferred a proportionate share of the origination fee associated with such unfunded commitment, resulting in a reduction to our amortized cost basis. We evaluated the transfer under ASC 860 and determined the transfer met the criteria for sale accounting. We recorded no gain or loss on the sale.

During the three months ended September 30, 2022, one of our commercial mortgage loans collateralized by an office building located in London, United Kingdom was not repaid upon its contractual maturity, triggering an event of default. To provide the borrower with additional time to refinance the loan, we agreed to a conditional waiver of the event of default, and modified the terms of the loan agreement to include (i) a short term extension and (ii) default interest of 2.0%, which we commenced accruing in addition to our contractual rate. In January 2023, the first mortgage loan, including participations sold, was fully satisfied, including all contractual and default interest accrued to date.

Loan Sales

From time to time, we may enter into sale transactions with other parties. All sale transactions are evaluated in accordance with ASC 860, "Transfers and Servicing" ("ASC 860").

During the first quarter of 2023, we sold our entire interests in three commercial mortgage loans secured by various properties in Europe, with aggregate commitments of €205.7 million ($219.0 million assuming conversion into USD, of which €115.0 million or $122.4 million assuming conversion into USD, was funded at the time of sale). Additionally, we sold a partial interest of £15.0 million ($18.2 million assuming conversion into USD) in a commercial mortgage loan secured by a mixed-use property located in London, United Kingdom. These sales were made to entities managed by affiliates of the Manager. We evaluated the transaction under ASC 860 and determined the sale of our entire interests and the sale of the partial interest met the criteria for sale accounting. We recorded a net gain of approximately $0.2 million in connection with these sales during the first quarter of 2023 within net realized loss on investments in condensed consolidated statement of operations.

Note 5 – Real Estate Owned

Real Estate Owned, Held for Investment

As of September 30, 2023, assets and liabilities related to real estate owned, held for investment consisted of two properties: the D.C. Hotel, a full-service luxury hotel in Washington, D.C., and the Brooklyn Development, a multifamily development property located in downtown Brooklyn, NY.

D.C. Hotel

In 2017, we originated a $20.0 million junior mezzanine loan which was subordinate to: (i) a $110.0 million mortgage loan, and (ii) a $24.5 million senior mezzanine loan, secured by the D.C. Hotel. During the first quarter of 2020, we recorded a $10.0 million Specific CECL Allowance and placed our junior mezzanine loan on non-accrual status.

On May 24, 2021, we purchased the $24.5 million senior mezzanine loan at par and acquired legal title to the hotel through a deed-in-lieu of foreclosure. We assumed the hotel’s assets and liabilities (including the $110.0 million mortgage loan) and recorded an additional $10.0 million charge reflecting the difference between the fair value of the hotel’s net assets and the carrying amount of the loan. This $10.0 million loss on title assumption plus the previously recorded Specific CECL Allowance of $10.0 million resulted in a $20.0 million realized loss on investments included within realized gain (loss) on investments in our 2021 consolidated statement of operations.

On May 24, 2021, in accordance with ASC 805, "Business Combinations" ("ASC 805"), we allocated the fair value of the hotel’s acquired assets and assumed debt. The non-recurring fair value measurement was classified as Level III within the fair value hierarchy due to the use of significant unobservable inputs. On June 29, 2021, we repaid the $110.0 million mortgage loan against the property. As of March 1, 2022, the hotel assets, comprised of land, building, furniture fixtures, and equipment, and accumulated depreciation (collectively "REO Fixed Assets"), and liabilities met the criteria to be classified as held for sale under ASC Topic 360, "Property, Plant, and Equipment." Accordingly, as of March 1, 2022, we ceased recording depreciation on the building and furniture, fixtures, and equipment on the condensed consolidated statement of operations.

As of March 1, 2023, due to market conditions, we curtailed active marketing efforts, and reclassified the REO Fixed Assets and liabilities from real estate owned, held for sale to real estate owned, held for investment, net in accordance with ASC Topic 360.

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The REO Fixed Assets were reclassified to their carrying value before classifying as held for sale in March of 2022 and $4.0 million in depreciation, representing the amount that would have been recorded had the asset remained as held for investment, was recognized. All other assets and liabilities were reclassified to the corresponding line items on the condensed consolidated balance sheet. No realized gain or loss was recorded in connection with this reclassification.

As of September 30, 2023 and December 31, 2022, the value of net real estate assets related to the D.C. Hotel was $153.2 million and $155.9 million, respectively. For the three and nine months ended September 30, 2023, we recorded net income from hotel operations of $0.5 million and $4.3 million, respectively. For the three and nine months ended September 30, 2022, we recorded net income from hotel operations of $1.1 million and $5.3 million, respectively.

Brooklyn Development

In 2015, we originated a $122.2 million multifamily development commercial mortgage loan secured by an assemblage of properties in downtown Brooklyn, NY. In 2020, the loan went into default and we recorded a $30.0 million Specific CECL Allowance, due to the deterioration of market conditions attributable to COVID-19. As a result of improved market conditions we reversed $20 million of Specific CECL Allowance during the second quarter of 2021. In the second quarter of 2022, we reversed the remaining $10 million Specific CECL Allowance as a result of market rent growth and value created from development activities at the underlying property.

On August 3, 2022, we acquired legal title of the property through a deed-in-lieu of foreclosure and accounted for the asset acquisition in accordance with ASC 805. At that time, our amortized cost basis in the commercial mortgage loan was $226.5 million. We recorded the real estate assumed at a fair value of $270.1 million based on the market value of the land. We recognized a realized gain of $43.6 million, recorded within realized gain (loss) on investments on our consolidated statement of operations, which reflects the difference between the fair value of the property and the carrying value of the loan at the time of acquisition. The non-recurring fair value measurement was classified as Level III within the fair value hierarchy due to the use of significant unobservable inputs, including comparable sales of similar properties in the market. During the three and nine months ended September 30, 2023, we capitalized construction and financing costs of $17.6 million and $46.7 million, respectively. As of September 30, 2023 and December 31, 2022, our cost basis in the property was $349.3 million and $302.7 million, respectively.

Upon taking title, we concurrently contributed the property to a joint venture with a third-party real estate developer. The entity was deemed to be a VIE, of which we were determined to be the primary beneficiary. Through our wholly owned subsidiaries, we hold a 100% equity ownership interest in the joint venture and our partner is only entitled to profit upon achievement of certain returns under our joint venture agreement. Concurrently with taking title to the property, we obtained $164.8 million in construction financing on the property. As of September 30, 2023 and December 31, 2022, the carrying value of the construction financing included within debt related to real estate owned, held for investment, net on our condensed consolidated balance sheets was $161.2 million, net of $3.6 million in deferred financing costs and $160.3 million, net of $4.5 million in deferred financing costs, respectively.

The construction financing includes a maximum commitment of $388.4 million, an interest rate of term one-month SOFR+2.55%, and current maturity of August 2026, with an option to extend for one year, contingent upon meeting certain conditions. The construction financing agreement contains covenants requiring our unencumbered liquidity be greater than $100.0 million and our net worth be greater than $600.0 million. Under these covenants, our General CECL Allowance is added back to our net worth calculation. As of both September 30, 2023 and December 31, 2022, we were in compliance with these covenants.

To manage our exposure to variable cash flows on our borrowings under this construction financing, we entered into an interest rate cap on September 26, 2023. As of September 30, 2023, the fair value of the interest rate cap is $2.2 million and it is recorded within derivative assets, net on our condensed consolidated balance sheet. Refer to "Note 11 - Derivatives" for full detail.

Real Estate Owned, Held for Sale

Atlanta Hotel

In March 2017, we originated a first mortgage secured by the Atlanta Hotel. During the second quarter of 2022, due to slower than expected recovery from the COVID-19 pandemic, we deemed the borrower to be experiencing financial difficulty. Accordingly, we ceased accruing interest on the loan and recorded a $7.0 million Specific CECL Allowance.

During the fourth quarter of 2022, we wrote off the $7.0 million previously recorded Specific CECL Allowance and reduced the principal balance of the loan which was recorded as a realized loss within net realized loss on investments in our December 31, 2022 consolidated statement of operations.

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On March 31, 2023, we acquired legal title of the Atlanta Hotel through a deed-in-lieu foreclosure and determined the fair value of net real estate assets to be $75.0 million in accordance with ASC 820 "Fair Value Measurements and Disclosures." The fair value of the real estate owned is categorized within Level III of the fair value hierarchy set forth by ASC 820 and includes the use of significant unobservable inputs. See "Note 3 - Fair Value Disclosure" for discussion of our non-recurring fair value measurements. Additionally, we recognized a realized loss of $4.8 million, recorded within net realized loss on investments on our condensed consolidated statement of operations. The realized loss represents the difference between the original loan's amortized cost and the fair value of the net assets acquired.

During the three months ended June 30, 2023, we received an unsolicited offer from a third party to purchase the Atlanta Hotel and we expect the sale to occur during the fourth quarter of 2023. As of June 30, 2023, the hotel's assets and liabilities met the criteria to be classified as held for sale under ASC Topic 360, "Property, Plant, and Equipment." In accordance with ASC Topic 360, we ceased recording depreciation on the building and furniture, fixtures, and equipment on the condensed consolidated statement of operations and we have reclassified assets and liabilities from their respective condensed consolidated balance sheet line items to Assets related to real estate owned, held for sale and Liabilities related to real estate owned, held for sale.

As of September 30, 2023, the hotel's assets and liabilities continued to meet the criteria to be classified as held for sale and the value of net real estate assets related to the Atlanta Hotel was $75.3 million. For the three and nine months ended September 30, 2023 we recorded net income from the hotel's operations of $0.5 million and $1.9 million, respectively.

Note 6 – Other Assets

The following table details the components of our other assets at the dates indicated ($ in thousands):

	September 30, 2023		December 31, 2022
Interest receivable	$	68,643	$	65,383
Loan proceeds held by servicer	133,041		3,371
Other(1)	4,894		1,853
Total	$	206,578	$	70,607

  ———————

(1)Includes $2.3 million of other assets from Real Estate Owned, Held for Investment as of September 30, 2023. Refer to "Note 5 – Real Estate Owned" for additional information.

Note 7 – Secured Debt Arrangements, Net

We utilize secured debt arrangements to finance the origination activity in our loan portfolio. Our secured debt arrangements are comprised of secured credit facilities, a private securitization, and a revolving credit facility. During the nine months ended September 30, 2023, we entered into three new secured debt arrangements, including credit facilities with Banco Santander, S.A., New York Branch and Churchill MRA Funding I LLC, and a revolving credit facility administered by Bank of America, N.A. ("Revolving Credit Facility") which provided a combined $600.0 million of additional capacity, and upsized the Atlas Facility, as defined in this Form 10-Q, by $83.3 million.

Our borrowings under secured debt arrangements at September 30, 2023 and December 31, 2022 are detailed in the following table ($ in thousands):

	September 30, 2023					December 31, 2022
	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)
JPMorgan Facility - USD(3)(4)	$	1,483,312	$	1,155,531	September 2026	$	1,532,722	$	1,306,320	September 2026
JPMorgan Facility - GBP(3)(4)	16,688		16,688		September 2026	67,278		67,278		September 2026
Deutsche Bank Facility - USD(3)	700,000		275,815		March 2026	700,000		385,818		March 2026
Atlas Facility - USD(5)	689,770		663,817		April 2027(6)(7)	635,653		632,747		August 2026(6)(7)
HSBC Facility - GBP	367,922		367,922		April 2025	364,423		364,423		April 2025
HSBC Facility - EUR	269,518		269,518		January 2026(7)	272,890		272,890		January 2026
Goldman Sachs Facility - USD	300,000		17,868		November 2025(8)	300,000		70,249		November 2025(8)
Barclays Facility - USD	200,000		109,843		June 2027(6)	200,000		111,909		June 2027
MUFG Securities Facility - GBP	196,137		196,137		June 2025(6)	194,272		194,272		June 2025

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Churchill Facility - USD	130,000		127,822		March 2026	—		—		N/A
Santander Facility - USD	300,000		75,000		February 2026(6)	—		—		N/A
Santander Facility - EUR	57,094		53,267		August 2024	57,807		53,320		August 2024
Total Secured Credit Facilities	4,710,441		3,329,228			4,325,045		3,459,226
Barclays Private Securitization - GBP, EUR, SEK	1,818,199		1,818,199		February 2026(7)	1,850,076		1,850,076		February 2026(7)
Revolving Credit Facility - USD(9)	170,000		—		March 2026	—		—		N/A
Total Secured Debt Arrangements	6,698,640		5,147,427			6,175,121		5,309,302
Less: deferred financing costs	N/A		(11,572)			N/A		(12,477)
Total Secured Debt Arrangements, net(10)(11)(12)	$	6,698,640	$	5,135,855		$	6,175,121	$	5,296,825

———————

(1)As of September 30, 2023, British Pound Sterling("GBP"), Euro ("EUR"), and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.22, 1.06, and 0.09, respectively. As of December 31, 2022, GBP, EUR and SEK borrowings were converted to USD at a rate of 1.21, 1.07 and 0.10, respectively.

(2)Maturity date assumes extensions at our option are exercised with consent of financing providers, where applicable.

(3)The JPMorgan Facility and Deutsche Bank Facility enable us to elect to receive advances in USD, GBP, or EUR.

(4)The JPMorgan Facility allows for $1.5 billion of maximum borrowings in total as of September 30, 2023. The JPMorgan Facility was temporarily upsized from $1.5 billion to $1.6 billion during August 2022 and the maximum borrowings decreased to $1.5 billion as of January 2023.

(5)The Atlas Facility was formerly the Credit Suisse Facility. See "—Atlas Facility" below for additional discussion.

(6)Assumes financings are extended in line with the underlying loans.

(7)Represents weighted average maturity across various financings with the counterparty. See below for additional details.

(8)Assumes facility enters the two-year amortization period subsequent to the November 2023 maturity, which allows for the refinancing or pay down of assets under the facility.

(9)The current stated maturity of the Revolving Credit Facility is March 2026. Borrowings under the Revolving Credit Facility bear interest at a per annum rate equal to the sum of (i) a floating rate index and (ii) a fixed margin. Borrowings under the Revolving Credit Facility are full recourse to certain guarantor wholly-owned subsidiaries of the Company. See "—Revolving Credit Facility" below for additional discussion.

(10)Weighted-average borrowing costs as of September 30, 2023 and December 31, 2022 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.45% / GBP: +1.99% / EUR: +1.65% / SEK: +1.50% and USD: +2.28% / GBP: +2.02% / EUR: +1.54%/ SEK: +1.50%, respectively.

(11)Weighted average advance rates based on cost as of September 30, 2023 and December 31, 2022 were 68.7% (65.0% (USD) / 71.6% (GBP) / 72.1% (EUR) / 80.4% (SEK)) and 68.8% (63.9% (USD) / 74.0% (GBP) / 72.1% (EUR) / 80.5% (SEK)), respectively.

(12)As of September 30, 2023 and December 31, 2022, approximately 58% and 58% of the outstanding balance under these secured borrowings were recourse to us.

Terms of our secured credit facilities are designed to keep each lender's credit exposure generally constant as a percentage of the underlying value of the assets pledged as security to the facility. If the credit of the underlying collateral value decreases, the amount of leverage to us may be reduced. As of September 30, 2023 and December 31, 2022, the weighted average haircut under our secured debt arrangements was approximately 31.3% and 31.2%, respectively. Our secured credit facilities do not contain capital markets-based mark-to-market provisions.

Atlas Facility

On February 8, 2023, in connection with the acquisition by certain subsidiaries of Atlas Securitized Products Holdings (“Atlas”), which is a wholly-owned investment of a fund managed by an affiliate of the Manager, of certain warehouse assets and liabilities of the Credit Suisse AG Securitized Products Group ("Credit Suisse AG")(the “Transaction”), the Credit Suisse Facility was acquired by Atlas ("Atlas Facility"). In order to effect the assignment of the Credit Suisse Facility and related agreements, the Company and one of its subsidiaries, similar to the other sellers and guarantors party to the subject agreements in the Transaction, entered into an Omnibus Assignment, Assumption and Amendment Agreement as well as certain related agreements with Credit Suisse AG and Atlas. Refer to "Note 15 - Related Party Transactions" for further discussion regarding the transaction.

Revolving Credit Facility

On March 3, 2023, we entered into the Revolving Credit Facility administered by Bank of America, N.A. Revolving Credit Facility provides up to $170.0 million of borrowings secured by qualifying commercial mortgage loans and real property owned assets. The Revolving Credit Facility has a term of three years, maturing in March 2026. The Revolving Credit Facility enables us to borrow on qualifying commercial mortgage loans for up to two years and real property owned assets for up to six months. As of September 30, 2023 we had no borrowings outstanding on the Revolving Credit Facility. During the three and nine months ended September 30, 2023, we recorded $86.9 thousand and $200.2 thousand, respectively in unused fees related to the Revolving Credit Facility.

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The guarantees related to the Revolving Credit Facility contain the following financial covenants: (i) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 4:1; (iii) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; and (iv) maintain a minimum interest coverage ratio of 1.5:1. We were in compliance with the covenants under the Revolving Credit Facility as of September 30, 2023. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant to a minimum of 1.4 to 1.

Barclays Private Securitization

We are party to a private securitization with Barclays Bank plc (the "Barclays Private Securitization"). Commercial mortgage loans currently financed under the Barclays Securitization are denominated in GBP, EUR and SEK.

The Barclays Private Securitization does not include daily margining provisions and grants us significant discretion to modify certain terms of the underlying collateral including waiving certain loan-level covenant breaches and deferring or waiving of debt service payments for up to 18 months. The securitization includes loan-to-value based covenants with deleveraging requirements that are based on significant declines in the value of the collateral as determined by an annual third-party (engaged by us) appraisal process tied to the provisions of the underlying loan agreements. We believe this provides us with both cushion and predictability to avoid sudden unexpected outcomes and material repayment requirements.

The table below provides principal balances and the carrying value for commercial mortgage loans pledged to the Barclays Private Securitization as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,537,840	$	1,519,137
EUR	5	726,912		723,610
SEK	1	236,381		234,376
Total	13	$	2,501,133	$	2,477,123

	December 31, 2022
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,495,616	$	1,475,241
EUR	5	752,531		747,240
SEK	1	248,064		245,714
Total	13	$	2,496,211	$	2,468,195

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of September 30, 2023 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	$	1,114,701	June 2026
Total/Weighted-Average EUR	514,393		June 2025(3)
Total/Weighted-Average SEK	189,105		May 2026
Total/Weighted-Average Securitization	$	1,818,199	February 2026

———————

(1)As of September 30, 2023, we had £913.8 million, €486.5 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of December 31, 2022 ($ in thousands):

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	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	1,125,420		May 2026
Total/Weighted-Average EUR	526,204		July 2025(3)
Total/Weighted-Average SEK	198,452		May 2026
Total/Weighted-Average Securitization	$	1,850,076	February 2026

———————

(1)As of December 31, 2022, we had £931.4 million, €491.6 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Assets:
Cash	$	1,740	$	758
Commercial mortgage loans, net(1)	2,477,123		2,468,195
Other Assets	39,055		30,992
Total Assets	$	2,517,918	$	2,499,945
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.0 million and $2.3 million in 2023 and 2022, respectively)	$	1,816,213	$	1,847,799
Accounts payable, accrued expenses and other liabilities(2)	7,623		8,814
Total Liabilities	$	1,823,836	$	1,856,613

———————

(1)Net of the General CECL Allowance of $7.2 million and $8.2 million as of September 30, 2023 and December 31, 2022, respectively.

(2)Includes General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $2.7 million and $2.9 million as of September 30, 2023 and December 31, 2022, respectively.

The table below provides the net income (loss) of the Barclays Private Securitization VIE included in our condensed consolidated statement of operations ($ in thousands):

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Net Interest Income:
Interest income from commercial mortgage loans	$	56,537	$	30,518	$	156,295	$	86,695
Interest expense	(30,379)		(12,668)		(80,753)		(32,830)
Net interest income	$	26,158	$	17,850	$	75,542	$	53,865
General and administrative expense	(2)		—		(9)		—
Decrease (increase) in current expected credit loss allowance, net	1,744		889		1,169		4,698
Foreign currency translation gain (loss)	(24,266)		(50,237)		(3,555)		(111,745)
Net Income (Loss)	$	3,634	$	(31,498)	$	73,147	$	(53,182)

At September 30, 2023, our borrowings had the following remaining maturities ($ in thousands):

	Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years		Total
JPMorgan Facility	$	356,095	$	586,476	$	229,648	$	—	$	1,172,219
Deutsche Bank Facility	95,686		180,129		—		—		275,815
Atlas Facility	—		83,300		580,517		—		663,817
HSBC Facility	—		637,440		—		—		637,440

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Goldman Sachs Facility	—		17,868		—		—		17,868
Barclays Facility	—		—		109,843		—		109,843
MUFG Securities Facility	—		196,137		—		—		196,137
Churchill Facility	—		127,822		—		—		127,822
Santander Facility - USD	—		75,000		—		—		75,000
Santander Facility - EUR	53,267		—		—		—		53,267
Barclays Private Securitization	253,436		781,989		782,774		—		1,818,199
Total	$	758,484	$	2,686,161	$	1,702,782	$	—	$	5,147,427

The table above reflects the fully extended maturity date of the facility and assumes facilities with an "evergreen" feature continue to extend through the fully-extended maturity of the underlying asset and assumes underlying loans are extended with consent of financing providers.

The table below summarizes the outstanding balances at September 30, 2023, as well as the maximum and average month-end balances for the nine months ended September 30, 2023 for our borrowings under secured debt arrangements ($ in thousands).

	As of September 30, 2023				For the nine months ended September 30, 2023
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,172,219	$	1,981,220	$	1,324,226	$	1,226,645
Deutsche Bank Facility	275,815		417,733		385,818		338,297
Goldman Sachs Facility	17,868		35,852		70,249		35,181
Atlas Facility	663,817		932,656		688,126		668,655
HSBC Facility	637,440		822,049		667,430		651,260
Barclays Facility	109,843		136,354		111,909		111,450
MUFG Securities Facility	196,137		266,007		206,362		200,256
Churchill Facility	127,822		169,707		130,000		128,780
Santander Facility - USD	75,000		99,560		75,000		66,667
Santander Facility - EUR	53,267		71,023		55,403		54,244
Barclays Private Securitization	1,818,199		2,484,328		1,937,131		1,877,409
Total	$	5,147,427	$	7,416,489

The table below summarizes the outstanding balances at December 31, 2022, as well as the maximum and average month-end balances for the year ended December 31, 2022 for our borrowings under secured debt arrangements ($ in thousands).

	As of December 31, 2022				For the year ended December 31, 2022
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,373,598	$	2,376,154	$	1,584,171	$	1,411,644
Deutsche Bank Facility	385,818		565,387		432,455		400,337
Goldman Sachs Facility	70,249		116,619		164,607		140,599
Atlas Facility	632,747		855,119		633,143		541,245
HSBC Facility	637,313		813,716		660,004		501,674
Barclays Facility	111,909		138,510		172,693		102,664
MUFG Securities Facility	194,272		261,319		194,272		156,499
Santander Facility	53,320		71,093		53,320		50,450
Barclays Private Securitization	1,850,076		2,476,349		1,963,837		1,828,794
Total	$	5,309,302	$	7,674,266

Debt Covenants

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The guarantees related to our secured debt arrangements contain the following financial covenants: (i) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 3.75:1; and (iii) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million. Under these covenants, our General CECL Allowance is added back to our tangible net worth calculation. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant related to our Revolving Credit Facility to a minimum of 1.4 to 1 from a minimum of 1.5 to 1.

We were in compliance with the covenants under each of our secured debt arrangements and Revolving Credit Facility at September 30, 2023 and December 31, 2022. The impact of macroeconomic conditions on the commercial real estate markets and global capital markets, including increased interest rates, foreign currency fluctuations, changes to fiscal and monetary policy, slower economic growth or recession, labor shortages, and recent distress in the banking sector, may make it more difficult to meet or satisfy these covenants in the future.

Note 8 – Senior Secured Term Loans, Net

In May 2019, we entered into a $500.0 million senior secured term loan (the "2026 Term Loan"), which matures in May 2026 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2026 Term Loan was issued at a price of 99.5%. During the second quarter of 2023, the 2026 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR plus 2.86%.

In March 2021, we entered into an additional $300.0 million senior secured term loan, with substantially the same terms as the 2026 Term Loan, (the "2028 Term Loan" and, together with the 2026 Term Loan, the "Term Loans"), which matures in March 2028 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2028 Term Loan was issued at a price of 99.0%. During the second quarter of 2023, the 2028 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR (with a floor of 0.50%) plus 3.61%.

The Term Loans are amortizing with repayments of 0.25% per quarter of the total committed principal. During the three and nine months ended September 30, 2023 and 2022, we repaid $1.3 million and $3.8 million, of principal respectively related to the 2026 Term Loan. During the three and nine months ended September 30, 2023 and 2022, we repaid $0.75 million and $2.25 million, of principal respectively related to the 2028 Term Loan.

The following table summarizes the terms of the Term Loans as of September 30, 2023 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	478,750	$	(923)	$	(4,685)	$	473,142	2.86	%	5/15/2026
2028 Term Loan	292,500		(1,893)		(3,368)		287,239		3.61	%	3/11/2028
Total	$	771,250	$	(2,816)	$	(8,053)	$	760,381

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

The following table summarizes the terms of the Term Loans as of December 31, 2022 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	482,500	$	(1,190)	$	(6,106)	$	475,204	2.75	%	5/15/2026
2028 Term Loan	294,750		(2,214)		(3,927)		288,609		3.50	%	3/11/2028
Total	$	777,250	$	(3,404)	$	(10,033)	$	763,813

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

Covenants

The financial covenants of the Term Loans include the requirements that we maintain: (i) a maximum ratio of total recourse debt to tangible net worth of 4:1; and (ii) a maximum ratio of total unencumbered assets to total pari-passu

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indebtedness of 2.50:1. We were in compliance with the covenants under the Term Loans at September 30, 2023 and December 31, 2022.

Interest Rate Cap

During the second quarter of 2020, we entered into a three-year interest rate cap to cap LIBOR at 0.75%. This effectively limited the maximum all-in coupon on our 2026 Term Loan to 3.50%. The interest rate cap matured on June 15, 2023 and the effective all-in coupon on our 2026 Term Loan increased to one month SOFR plus the spread of 2.86%.

During 2023, through the interest rate cap maturity, LIBOR exceeded the cap rate of 0.75%. As such, during the nine months ended September 30, 2023, we realized a gain from the interest rate cap in the amount of $9.1 million, which is included in gain (loss) on interest rate hedging instruments in our condensed consolidated statement of operations. The realized gain was a result of the increase in the current interest rate forward curve. As the interest rate cap matured during the three months ended June 30, 2023, there was no realized gain or loss recorded during three months ended September 30, 2023.

Note 9 – Senior Secured Notes, Net

In June 2021, we issued $500.0 million of 4.625% Senior Secured Notes due 2029 (the "2029 Notes"), for which we received net proceeds of $495.0 million, after deducting initial purchasers' discounts and commissions. The 2029 Notes will mature on June 15, 2029, unless earlier repurchased or redeemed. The 2029 Notes are secured by a first-priority lien, and rank pari-passu in right of payment with all of our existing and future first lien obligations, including indebtedness under the Term Loans. The 2029 Notes were issued at par and contain covenants relating to liens, indebtedness, and investments in non-wholly owned entities. The 2029 Notes had a carrying value of $495.4 million and $494.8 million, net of deferred financing costs of $4.6 million and $5.2 million, as of September 30, 2023 and December 31, 2022, respectively.

Covenants

The 2029 Notes include certain covenants including a requirement that we maintain a ratio of total unencumbered assets to total pari-passu indebtedness of at least 1.20:1. As of September 30, 2023 and December 31, 2022, we were in compliance with all covenants.

Note 10 – Convertible Senior Notes, Net

In two separate offerings during 2017, we issued an aggregate principal amount of $345.0 million of 4.75% Convertible Senior Notes due 2022 (the "2022 Notes"), for which we received $337.5 million, after deducting the underwriting discount and offering expenses. During the third quarter of 2022, we repaid the $345.0 million aggregate principal amount of the 2022 Notes in cash at par.

During the fourth quarter of 2018, we issued $230.0 million of 5.375% Convertible Senior Notes due 2023 (the "2023 Notes" and, together with the 2022 Notes, the "Convertible Notes"), for which we received $223.7 million after deducting the underwriting discount and offering expenses. At September 30, 2023, the 2023 Notes had a carrying value of $176.0 million, inclusive of an unamortized discount of $0.1 million.

The following table summarizes the terms of the 2023 Notes as of September 30, 2023 ($ in thousands):

	Principal Amount		Coupon Rate		Effective Rate (1)		Conversion Rate (2)	Maturity Date	Remaining Period of Amortization
2023 Notes	176,064		5.38	%	5.74	%	48.7187	10/15/2023	0.04
Total	$	176,064

The following table summarizes the terms of the 2023 Notes as of December 31, 2022 ($ in thousands):

	Principal Amount		Coupon Rate		Effective Rate (1)		Conversion Rate (2)	Maturity Date	Remaining Period of Amortization
2023 Notes	230,000		5.38	%	5.85	%	48.7187	10/15/2023	0.79
Total	$	230,000

———————

(1)Effective rate includes the effect of the adjustment for the conversion option (See footnote (2) below), the value of which reduced the initial liability and

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was recorded in additional paid-in-capital. The effective rate as of both September 30, 2023 and December 31, 2022 reflects adoption of ASU 2020-06 "Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in Entity's Own Equity" ("ASU 2020-06") and early extinguishment of debt.

(2)We have the option to settle any conversions in cash, shares of common stock or a combination thereof. The conversion rate represents the number of shares of common stock issuable per one thousand principal amount of the Convertible Notes converted and includes adjustments relating to cash dividend payments made by us to stockholders that have been deferred and carried-forward in accordance with, and are not yet required to be made pursuant to, the terms of the applicable supplemental indenture.

On January 1, 2022, we adopted ASU 2020-06, which no longer require the liability and equity components of convertible debt instruments that may be settled in cash upon conversion (including partial cash settlement) to be separately accounted for in a manner that reflects the issuer’s nonconvertible debt borrowing rate. Prior to the adoption of ASU 2020-06, we attributed $15.4 million of the proceeds to the equity component of the Convertible Notes ($11.0 million to the 2022 Notes and $4.4 million to the 2023 Notes), which represented the excess proceeds received over the fair value of the liability component of the Convertible Notes at the date of issuance. The equity component of the Convertible Notes had been reflected within additional paid-in capital on our consolidated balance sheets until January 1, 2022 when we adopted ASU 2020-06 through the modified retrospective approach. Upon adoption, we (i) reclassified $12.0 million of previously recorded amortization related to the equity component of the Convertible Notes from retained earnings to additional paid-in-capital and (ii) reclassified the remaining unamortized balance of $3.4 million to additional paid-in-capital, which increased the cost basis of convertible notes and decreased additional paid-in-capital on the consolidated balance sheets.

We may not redeem the 2023 Notes prior to maturity except in limited circumstances. During the first and second quarters of 2023, we repurchased $7.1 million and $36.8 million, respectively, in aggregate principal of the 2023 Notes at a weighted average price of 97.0% and 99.3%, respectively. During the third quarter of 2023, we repurchased an additional $10.0 million aggregate principal of the 2023 Notes at a price of 99.7%. These transactions happened in the open market as a result of reverse inquiries from investors with no solicitation from us. As a result of these transactions, during the three and nine months ended September 30, 2023, we recorded a gain of $30.0 thousand and $0.5 million, respectively, within realized gain on extinguishment of debt in our September 30, 2023 condensed consolidated statement of operations. The gain represents the difference between the repurchase price and the carrying amount of the 2023 Notes, net of the proportionate amount of unamortized debt issuance costs. The closing price of our common stock on September 30, 2023 of $10.13 was less than the per share conversion price of the 2023 Notes at such time. Subsequent to September 30, 2023, we repaid the remaining principal of the 2023 Notes of $176.1 million at par.

The aggregate contractual interest expense was approximately $2.4 million and $8.2 million for the three and nine months ended September 30, 2023 and $5.5 million and $19.8 million for the three and nine months ended September 30, 2022, respectively. With respect to the amortization of the discount on the liability component of the Convertible Notes as well as the amortization of deferred financing costs, we reported additional non-cash interest expense of approximately $0.3 million and $1.1 million for the three and nine months ended September 30, 2023 as compared to $0.6 million and $2.1 million for the three and nine months ended September 30, 2022, respectively.

Note 11 – Derivatives

We use forward currency contracts to economically hedge interest and principal payments due under our loans denominated in currencies other than USD.

We have entered into a series of forward contracts to sell an amount of foreign currency (GBP, EUR and SEK) for an agreed upon amount of USD at various dates through February 2027. These forward contracts were executed to economically fix the USD amounts of foreign denominated cash flows expected to be received by us related to foreign denominated loan investments.

The agreements with our derivative counterparties require that we post collateral to secure net liability positions. As of both September 30, 2023 and December 31, 2022, we were in a net asset position with all of our derivative counterparties and did not have any collateral posted under these derivative contracts.

The following table summarizes our non-designated Fx forwards and interest rate cap as of September 30, 2023:

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	September 30, 2023
Type of Derivatives	Number of Contracts	Aggregate Notional Amount (in thousands)	Notional Currency	Maturity	Weighted-Average Years to Maturity
Fx contracts - GBP	110	934,662	GBP	October 2023 - February 2027	1.29
Fx contracts - EUR	99	424,355	EUR	October 2023 - August 2026	1.17
Fx contracts - SEK	17	689,627	SEK	November 2023 - May 2026	2.36
Interest rate cap	1	164,835	USD	October 2024	1.00

    

The following table summarizes our non-designated Fx forwards and interest rate cap as of December 31, 2022:

	December 31, 2022
Type of Derivatives	Number of Contracts	Aggregate Notional Amount (in thousands)	Notional Currency	Maturity	Weighted-Average Years to Maturity
Fx contracts - GBP	124	936,930	GBP	January 2023 - February 2027	1.78
Fx contracts - EUR	130	576,240	EUR	January 2023 - November 2025	1.78
Fx contracts - SEK	19	730,432	SEK	February 2023 - May 2026	2.95
Interest rate cap	1	500,000	USD	June 2023	0.46

We have not designated any of our derivative instruments as hedges as defined in ASC 815, "Derivatives and Hedging" and, therefore, changes in the fair value of our derivative instruments are recorded directly in earnings. The following table summarizes the amounts recognized on our condensed consolidated statements of operations related to our forward currency contracts for the nine months ended September 30, 2023 and 2022 ($ in thousands):

		Amount of gain (loss) recognized in income
		Three months ended September 30,				Nine months ended September 30,
	Location of Gain (Loss) Recognized in Income	2023		2022		2023		2022
Forward currency contracts	Unrealized gain (loss) on derivative instruments	$	28,244	$	108,428	$	(27,709)	$	221,623
Forward currency contracts	Realized gain on derivative instruments	11,246		20,824		35,948		35,604
Total		$	39,490	$	129,252	$	8,239	$	257,227

In June 2020, we entered into an interest rate cap for approximately $1.1 million, which matured on June 15, 2023. Our interest rate cap managed our exposure to variable cash flows on our borrowings under the senior secured term loan by effectively limiting LIBOR from exceeding 0.75%. This effectively limited the maximum all-in coupon on our senior secured term loan to 3.50%. The unrealized gain or loss related to the interest rate cap was recorded net under unrealized gain on interest rate hedging instruments in our consolidated statement of operations. During 2023, through the interest rate cap maturity, LIBOR exceeded the cap rate of 0.75%. As such, during the nine months ended September 30, 2023, we realized a gain from the interest rate cap in the amount of $9.1 million, which is included in gain (loss) on interest rate hedging instruments in our condensed consolidated statement of operations. The realized gain was a result of the increase in current interest rates. As the interest rate cap matured during the second quarter of 2023, there was no realized gain or loss recorded during three months ended September 30, 2023. There was no realized gain recorded during the nine months ended September 30, 2022.

On September 26, 2023, we entered into an interest rate cap with a notional amount of $164.8 million. We use our interest rate cap to hedge our exposure to variable cash flows on our construction loan. The interest rate cap effectively limits SOFR from exceeding 4.00% which results in the maximum all-in coupon on our construction financing of 6.55%. The unrealized gain or loss related to the interest rate cap was recorded under gain on interest rate hedging instruments in our condensed consolidated statement of operations. There was no realized gain or loss recorded during the three and nine months ended September 30, 2023.

The following table summarizes the amounts recognized on our condensed consolidated statements of operations related to our interest rate caps for the three and nine months ended September 30, 2023 and 2022 ($ in thousands):

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		Amount of gain (loss) recognized in income
		Three months ended September 30,				Nine months ended September 30,
	Location of Gain (Loss)  Recognized in Income	2023		2022		2023		2022
Interest rate cap	Unrealized gain (loss) on interest rate hedging instruments	$	(70)	$	1,044	$	(9,211)	$	10,808
Interest rate cap	Realized gain on interest rate hedging instruments	—		—		9,089		—
Total		$	(70)	$	1,044	$	(122)	$	10,808

The following tables summarize the gross asset and liability amounts related to our derivatives at September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023						December 31, 2022
	Gross Amount of Recognized Assets		Gross Amounts Offset in our Condensed Consolidated Balance Sheet		Net Amounts of Assets Presented in our Condensed Consolidated Balance Sheet		Gross Amount of Recognized Assets		Gross Amounts Offset in our  Consolidated Balance Sheet		Net Amounts of Assets Presented in our Consolidated Balance Sheet
Forward currency contracts	$	112,698	$	(20,908)	$	91,790	$	143,285	$	(23,786)	$	119,499
Interest rate cap	2,247		—		2,247		9,141		—		9,141
Total derivative assets (liabilities)	$	114,945	$	(20,908)	$	94,037	$	152,426	$	(23,786)	$	128,640

Note 12 – Participations Sold

Participations sold represents the subordinate interests in loans we originated and subsequently partially sold. We account for participations sold as secured borrowings on our condensed consolidated balance sheet with both assets and non-recourse liabilities because the participations do not qualify as a sale under ASC 860. The income earned on the participations sold is recorded as interest income and an identical amount is recorded as interest expense in our condensed consolidated statements of operations.

In December 2020, we sold a £6.7 million ($8.9 million assuming conversion into USD at time of transfer) interest, at par, in a first mortgage loan collateralized by an office building located in London, United Kingdom that was originated by us in December 2017. In connection with this sale, we transferred our remaining unfunded commitment of £19.1 million ($25.3 million assuming conversion into USD at time of transfer). The participation interest sold was subordinate to our first mortgage loan and was accounted for as a secured borrowing on our consolidated balance sheet. In January 2023, the first mortgage loan, including participations sold, was fully satisfied, including all contractual and default interest accrued to date.

The table below details participations sold included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Participation sold on commercial mortgage loans	$	—	$	25,130
Total participations sold	$	—	$	25,130

Note 13 – Accounts Payable, Accrued Expenses and Other Liabilities

The following table details the components of our accounts payable, accrued expense and other liabilities ($ in thousands):

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	September 30, 2023		December 31, 2022
Collateral held under derivative agreements	$	99,260	$	138,620
Accrued dividends payable	53,022		53,203
Accrued interest payable	38,624		23,943
Accounts payable and other liabilities(1)	8,023		7,247
General CECL Allowance on unfunded commitments(2)	3,972		4,347
Total	$	202,901	$	227,360

  ———————

(1)Includes $7.0 million and $1.1 million of accounts payable and other liabilities on the balance sheet of the Real Estate Owned, Held for Investment at September 30, 2023 and December 31, 2022, respectively.

(2)Refer to "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional disclosure related to the General CECL Allowance on unfunded commitments as of September 30, 2023 and December 31, 2022, respectively.

Note 14 – Income Taxes

We have elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, commencing with the taxable year ended December 31, 2009. As a REIT, U.S. federal income tax law generally requires us to distribute annually at least 90% of our REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains, and that we pay tax at regular corporate rates to the extent that we annually distribute less than 100% of our net taxable income. We are also subject to U.S. federal, state and local income taxes on our domestic taxable REIT subsidiaries ("TRS") based on the tax jurisdictions in which they operate.

During the three and nine months ended September 30, 2023, we recorded a current income tax provision of $0.5 million related to activities of our taxable REIT subsidiaries. We did not record any income tax provision during the three and nine months ended September 30, 2022.

As of September 30, 2023, we had a $0.6 million income tax asset related to the operating activities of our TRS entities. There were no income tax assets or liabilities as of December 31, 2022. As of September 30, 2023 and December 31, 2022, there were no material deferred tax assets or liabilities.

As of September 30, 2023, we had net operating losses of $8.0 million and capital losses of $25.2 million that may be carried forward for use in subsequent periods.

As of September 30, 2023, tax years 2019 through 2022 remain subject to examination by taxing authorities.

Note 15 – Related Party Transactions

Management Agreement

In connection with our initial public offering in September 2009, we entered into a management agreement (the "Management Agreement") with the Manager, which describes the services to be provided by the Manager and its compensation for those services. The Manager is responsible for managing our day-to-day operations, subject to the direction and oversight of our board of directors.

Pursuant to the terms of the Management Agreement, the Manager is paid a base management fee equal to 1.5% per annum of our stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears.

The term of the Management Agreement was automatically renewed for a successive one-year term on September 29, 2022 and will automatically renew on each anniversary thereafter. The Management Agreement may be terminated upon expiration of the one-year extension term only upon the affirmative vote of at least two-thirds of our independent directors, based upon (1) unsatisfactory performance by the Manager that is materially detrimental to ARI or (2) a determination that the management fee payable to the Manager is not fair, subject to the Manager’s right to prevent such a termination based on unfair fees by accepting a mutually acceptable reduction of management fees agreed to by at least two-thirds of our independent directors. The Manager must be provided with written notice of any such termination at least 180 days prior to the expiration of the then existing term and will be paid a termination fee equal to three times the sum of the average annual base management fee during the 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. Following a meeting of our independent directors in March 2023,

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which included a discussion of the Manager’s performance and the level of the management fees thereunder, we determined not to seek termination of the Management Agreement.

We incurred approximately $9.5 million and $28.4 million in base management fees under the Management Agreement for the three and nine months ended September 30, 2023, respectively, as compared to $9.7 million and $28.6 million for the three and nine months ended September 30, 2022, respectively.

In addition to the base management fee, we are also responsible for reimbursing the Manager for certain expenses paid by the Manager on our behalf or for certain services provided by the Manager to us. For the three and nine months ended September 30, 2023, we paid expenses totaling $0.8 million and $2.1 million, respectively, related to reimbursements for certain expenses paid by the Manager on our behalf under the Management Agreement as compared to $0.9 million and $3.1 million for the three and nine months ended September 30, 2022, respectively. Expenses incurred by the Manager and reimbursed by us are reflected in the respective condensed consolidated statement of operations expense category or our condensed consolidated balance sheets based on the nature of the item.

Included in payable to related party on our condensed consolidated balance sheets at September 30, 2023 and December 31, 2022 is approximately $9.5 million and $9.7 million, respectively, for base management fees incurred but not yet paid under the Management Agreement.

Loans receivable

We own three mezzanine loans and a commercial mortgage that are secured by the same ultra-luxury residential property currently under construction in Manhattan, NY. During the third quarter of 2021, a vehicle managed by an affiliate of the Manager transferred its Junior Mezzanine B Loan position to the Company and in connection with this transfer, one of the property’s subordinate capital providers paid the vehicle a price representing the original principal balance on the Junior Mezzanine B Loan position with the vehicle agreeing to forego its accrued interest on the Junior Mezzanine B Loan. During the third quarter of 2022, we refinanced our mezzanine loans, and originated a commercial mortgage loan as part of an overall recapitalization. The mezzanine positions held by entities managed by affiliates of the Manager were repaid. Refer to "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional information.

During the third quarter of 2022, we transferred £293.4 million ($327.7 million assuming conversion into USD) of unfunded commitments related to a mixed-use development property located in London, United Kingdom to entities managed by affiliates of the Manager.

During the first quarter of 2023, we transferred interests in, (i) three commercial mortgage loans secured by various properties in Europe, with aggregate commitments of €205.7 million (of which €115.0 million was funded at the time of sale), and (ii) a partial interest of £15.0 million in a commercial mortgage loan secured by a mixed-use property located in London, United Kingdom. These transfers were made to entities managed by affiliates of the Manager. Refer to "Note 4 – Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional disclosure.

Term Loan

In March 2021, Apollo Global Funding, LLC, an affiliate of the Manager, served as one of the eight arrangers for the issuance of our 2028 Term Loan and received $0.2 million of arrangement fees. In addition, funds managed by an affiliate of the Manager invested in $30.0 million of the 2028 Term Loan.

Senior Secured Notes

In June 2021, Apollo Global Securities, LLC, an affiliate of the Manager, served as one of the eight initial purchasers in the issuance of our 2029 Notes and received $0.4 million of initial purchasers' discounts and commissions.

Italian Direct Lending Structure

In the fourth quarter of 2021, we formed an Italian closed-end alternative investment fund (the "AIF"), managed by

Apollo Investment Management Europe (Luxembourg) S.A R.L, a regulated alternative investment fund manager (the

"AIFM"), an affiliate of the Manager. The fees incurred during the nine months ended September 30, 2023 were de minimis. During three and nine months ended September 30, 2022, the AIF incurred $11,000 and $57,000 in fees payable to the AIFM, which is recorded in Management fees to related party in our condensed consolidated statement of operations.

Atlas Facility

On February 8, 2023, in connection with the acquisition by certain subsidiaries of Atlas, which is a wholly-owned

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investment of a fund managed by an affiliate of the Manager, the Credit Suisse Facility was acquired by Atlas. In order to effect the assignment of the Credit Suisse Facility and related agreements, the Company and one of its subsidiaries, similar to the other sellers and guarantors party to the subject agreements in the Transaction, entered into an Omnibus Assignment, Assumption and Amendment Agreement as well as certain related agreements with Credit Suisse AG and Atlas. At the time of acquisition, we had $632.3 million of secured debt on the Credit Suisse Facility consisting of four commercial mortgage loans. During the three months ended September 30, 2023, one commercial mortgage loan was added to the Atlas Facility totaling $83.0 million in secured debt. Refer to "Note 7 – Secured Debt Arrangements, Net" " for additional discussion.

Note 16 – Share-Based Payments

On September 23, 2009, our board of directors approved the Apollo Commercial Real Estate Finance, Inc. 2009 Equity Incentive Plan ("2009 LTIP") and on April 16, 2019, our board of directors approved the Amended and Restated Apollo Commercial Real Estate Finance, Inc. 2019 Equity Incentive Plan ("2019 LTIP," and together with the 2009 LTIP, the "LTIPs"), which amended and restated the 2009 LTIP. Following the approval of the 2019 LTIP by our stockholders at our 2019 annual meeting of stockholders on June 12, 2019, no additional awards have been or will be granted under the 2009 LTIP and all outstanding awards granted under the 2009 LTIP remain in effect in accordance with the terms in the 2009 LTIP.

The 2019 LTIP provides for grants of restricted common stock, restricted stock units ("RSUs") and other equity-based awards up to an aggregate of 7,000,000 shares of our common stock. The LTIPs are administered by the compensation committee of our board of directors (the "Compensation Committee") and all grants under the LTIPs must be approved by the Compensation Committee.

We recognized stock-based compensation expense of $4.4 million and $13.1 million during the three and nine months ended September 30, 2023. We recognized stock-based compensation expense of of $4.5 million and $13.7 million during the three and nine months ended September 30, 2022 respectively, related to restricted stock and RSU vesting.

The following table summarizes the grants, vesting and forfeitures of restricted common stock and RSUs during the nine months ended September 30, 2023:

	Type	Restricted Stock	RSUs	Grant Date Fair Value ($ in millions)
Outstanding at December 31, 2022		56,102	2,865,154
	Granted	75,754	—	$	0.7
	Vested	(52,768)	(30,641)	N/A
	Forfeiture	—	(17,328)	N/A
Outstanding at September 30, 2023		79,088	2,817,185

Below is a summary of restricted stock and RSU vesting dates as of September 30, 2023: 

Vesting Year	Restricted Stock	RSUs	Total Awards
2023	—	1,358,418	1,358,418
2024	79,088	948,636	1,027,724
2025	—	510,131	510,131
Total	79,088	2,817,185	2,896,273

At September 30, 2023, we had unrecognized compensation expense of approximately $0.4 million and $21.4 million related to the vesting of restricted stock awards and RSUs, respectively, noted in the table above. The unrecognized compensation expense related to the vesting of restricted awards and RSUs are expected to be recognized over a weighted average period of 1.3 years.

RSU Deliveries

During the nine months ended September 30, 2023 and 2022 we delivered 681,384 and 652,501 shares of common stock for 1,255,184 and 1,145,091 vested RSUs, respectively. We allow RSU participants to settle their tax liabilities with a reduction of their share delivery from the originally granted and vested RSUs. The amount, when agreed to by the participant, results in a cash payment to the Manager related to this tax liability and a corresponding adjustment to additional paid in capital on our condensed consolidated statement of changes in stockholders' equity. The adjustment was $6.8 million and $7.0 million for the

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nine months ended September 30, 2023 and 2022, respectively. The adjustment is a reduction of capital related to our equity incentive plan and is presented net of increases of capital related to our equity incentive plan in our condensed consolidated statement of changes in stockholders' equity.

Note 17 – Stockholders’ Equity

Our authorized capital stock consists of 450,000,000 shares of common stock, $0.01 par value per share and 50,000,000 shares of preferred stock, $0.01 par value per share. As of September 30, 2023, 141,353,133 shares of common stock were issued and outstanding, and 6,770,393 shares of 7.25% Series B-1 Preferred Stock were issued and outstanding. The Series B-1 Preferred Stock, with a par value $0.01 per share, have a liquidation preference of $25.00 per share.

Dividends. The following table details our dividend activity:

	Three months ended September 30,		Nine months ended September 30,
Dividends declared per share of:	2023	2022	2023	2022
Common Stock	$0.35	$0.35	$1.05	$1.05
Series B-1 Preferred Stock	$0.45	$0.45	$1.35	$1.35

    

Common Stock Repurchases. There was no common stock repurchase activity during the nine months ended September 30, 2023 and 2022. As of September 30, 2023, there was $172.2 million remaining authorized under our stock repurchase program.

Note 18 – Commitments and Contingencies

Legal Proceedings. From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. On June 28, 2018, AmBase Corporation, 111 West 57th Street Manager Funding LLC and 111 West 57th Investment LLC commenced a now-dismissed action captioned AmBase Corporation et al v. ACREFI Mortgage Lending, LLC et al (No 653251/2018) in New York Supreme Court (the "Apollo Action"). The complaint named as defendants (i) a wholly-owned subsidiary of the Company (the "Subsidiary"), (ii) the Company, and (iii) certain funds managed by Apollo, who were co-lenders on a mezzanine loan against the development of a residential condominium building in Manhattan, New York. The plaintiffs alleged that the defendants tortiously interfered with the plaintiffs’ joint venture agreement with the developers of the project, and that the defendants aided and abetted breaches of fiduciary duty by the developers of the project. The plaintiffs alleged the loss of a $70.0 million investment plus punitive damages. The defendants' motion to dismiss was granted on October 23, 2019 and the Court entered judgment dismissing the complaint in its entirety on November 8, 2019. Plaintiffs appealed, the parties fully briefed the appeal, and then Plaintiffs dropped the appeal, and the case remains dismissed.

Plaintiffs amended the complaint in a separate action in 2021, 111 West 57th Investment LLC v. 111W57 Mezz Investor LLC (No. 655031/2017) also in New York Supreme Court (the "April 2021 Action") to name Apollo Global Management, Inc., the Subsidiary, the Company, and certain funds managed by Apollo as defendants. The April 2021 Action concerns overlapping claims and the same condominium development project that the Apollo Action concerned. The defendants filed a motion to dismiss, which was granted in part and denied in part on December 15, 2022. The Court dismissed the claim against Apollo Global Management, Inc. and the Company. Apollo appealed the decision with respect to the remaining claim. On October 5, 2023, the Appellate Division, First Department granted Apollo’s appeal, thereby dismissing the remaining claim against the Apollo entities who were co-lenders on the mezzanine loan, including the Subsidiary.

Loan Commitments. As described in "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" at September 30, 2023, we had $693 million of unfunded commitments related to our commercial mortgage and subordinate loans. The timings and amounts of fundings are uncertain as these commitments relate to loans for construction costs, capital expenditures, leasing costs, interest and carry costs, among others. As such, the timings and amounts of future fundings depend on the progress and performance of the underlying assets of our loans. Certain of our lenders are contractually obligated to fund their ratable portion of these loan commitments over time, while other lenders have some degree of discretion over future loan funding obligations. The total unfunded commitment is expected to be funded over the remaining 3.2 years weighted average tenor of these loans.

Note 19 – Fair Value of Financial Instruments

The following table presents the carrying value and estimated fair value of our financial instruments not carried at fair value on our condensed consolidated balance sheets at September 30, 2023 and December 31, 2022 ($ in thousands):

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	September 30, 2023				December 31, 2022
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Cash and cash equivalents	$	307,845	$	307,845	$	222,030	$	222,030
Commercial mortgage loans, net	7,561,254		7,487,855		8,121,109		8,083,410
Subordinate loans and other lending assets, net(1)	412,777		412,897		560,881		558,740
Secured debt arrangements, net	(5,135,855)		(5,135,855)		(5,296,825)		(5,296,825)
Term loans, net	(760,381)		(746,119)		(763,813)		(731,709)
Senior secured notes, net	(495,437)		(378,750)		(494,844)		(400,950)
2023 Notes	(176,018)		(175,844)		(229,361)		(225,366)
Debt related to real estate owned, held for investment, net	(161,245)		(161,245)		(160,294)		(160,294)
Participations sold	—		—		(25,130)		(25,130)

———————

(1)Includes subordinate risk retention interests in securitization vehicles with an estimated fair value that approximates their carrying value.

To determine estimated fair values of the financial instruments listed above, market rates of interest, which include credit assumptions, are used to discount contractual cash flows. The estimated fair values are not necessarily indicative of the amount we could realize on disposition of the financial instruments. The use of different market assumptions or estimation methodologies could have a material effect on the estimated fair value amounts. Estimates of fair value for cash and cash equivalents, convertible senior notes, net, and Term Loans, net are measured using observable Level I inputs as defined in "Note 3 - Fair Value Disclosure." Estimates of fair value for all other financial instruments in the table above are measured using significant estimates, or unobservable Level III inputs as defined in "Note 3 - Fair Value Disclosure."

Note 20 – Net Income (Loss) per Share

ASC 260, "Earnings per share" requires the use of the two-class method of computing earnings per share for all periods presented for each class of common stock and participating security as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity.

The remaining earnings are allocated to common stockholders and participating securities to the extent that each security shares in earnings as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes all outstanding shares of common stock and all potential shares of common stock assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential shares of common stock.

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The table below presents the computation of basic and diluted net income (loss) per share of common stock for the three and nine months ended September 30, 2023 and 2022 ($ in thousands except per share data): 

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Basic Earnings
Net income (loss)	$	46,071	$	183,030	$	11,587	$	269,219
Less: Preferred dividends	(3,068)		(3,068)		(9,204)		(9,204)
Net income (loss) available to common stockholders	$	43,003	$	179,962	$	2,383	$	260,015
Less: Dividends on participating securities	(989)		(898)		(2,989)		(2,698)
Basic Earnings (Loss)	$	42,014	$	179,064	$	(606)	$	257,317
Diluted Earnings
Basic Earnings (Loss)	$	42,014	$	179,064	$	(606)	$	257,317
Add: Dividends on participating securities	—		898		—		2,698
Add: Interest expense on Convertible Notes	—		5,684		—		20,608
Diluted Earnings	$	42,014	$	185,646	$	(606)	$	280,623
Number of Shares:
Basic weighted-average shares of common stock outstanding	141,350,428		140,594,987		141,255,730		140,513,957
Diluted weighted-average shares of common stock outstanding	141,350,428		164,350,132		141,255,730		169,252,602
Earnings (Loss) Per Share Attributable to Common Stockholders
Basic	$	0.30	$	1.27	$	—	$	1.83
Diluted	$	0.30	$	1.13	$	—	$	1.66

The dilutive effect to earnings per share is determined using the "if-converted" method whereby interest expense on the outstanding Convertible Notes is added back to the diluted earnings per share numerator, and all of the potentially dilutive shares are included in the diluted earnings per share denominator. For the three and nine months ended September 30, 2023, 8,741,770 and 10,129,968, respectively, weighted-average potentially issuable shares with respect to the Convertible Notes were excluded in the dilutive earnings per share denominator because the effect was anti-dilutive. For the three and nine months ended September 30, 2022, 21,187,719 and 26,057,847 weighted-average potentially issuable shares with respect to the Convertible Notes were included in the dilutive earnings per share denominator because the effect was dilutive. Refer to "Note 10 - Convertible Senior Notes, Net" for further discussion.

For the three and nine months ended September 30, 2023, 2,832,265 and 2,966,277 weighted-average unvested RSUs were excluded in the calculation of diluted net income per share because the effect was anti-dilutive. For the three and nine months ended September 30, 2022, 2,567,427 and 2,680,798 weighted-average unvested RSUs, were included in the calculation of diluted net income per share because the effect was dilutive.

Note 21 – Subsequent Events

Subsequent to the quarter ended September 30, 2023, the following events took place:

Investment Activity: We funded approximately $42.8 million for previously closed loans and capitalized an additional $7.2 million of construction and financing costs related to our real estate owned, held for investment.

Loan Repayments: We received approximately $33.2 million from loan repayments.

2023 Notes Repayment: We repaid the remaining principal of the 2023 Notes of $176.1 million at par.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

FORWARD-LOOKING INFORMATION

We make forward-looking statements herein and will make forward-looking statements in future filings with the SEC, press releases or other written or oral communications within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended (the "Exchange Act"). For these statements, we claim the protections of the safe harbor for forward-looking statements contained in such Sections. Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond our control. These forward-looking statements include information about possible or assumed future results of our business, financial condition, liquidity, results of operations, plans and objectives. When we use the words "believe," "expect," "anticipate," "estimate," "plan," "continue," "intend," "should," "may" or similar expressions, it intends to identify forward-looking statements. Statements regarding the following subjects, among others, may be forward-looking: the macro- and micro-economic impact of the COVID-19 pandemic, increasing interest rates and inflation; market trends in our industry, interest rates, real estate values, the debt securities markets or the general economy; the demand for commercial real estate loans; our business and investment strategy; our operating results; actions and initiatives of the U.S. government and governments outside of the United States, changes to government policies and the execution and impact of these actions, initiatives and policies; the state of the economy generally or in specific geographic regions; economic trends and economic recoveries; our ability to obtain and maintain financing arrangements, including secured debt arrangements and securitizations; the timing and amount of expected future fundings of unfunded commitments; the availability of debt financing from traditional lenders; the volume of short-term loan extensions; the demand for new capital to replace maturing loans; expected leverage; general volatility of the securities markets in which we participate; changes in the value of our assets; the scope of our target assets; interest rate mismatches between our target assets and any borrowings used to fund such assets; changes in interest rates and the market value of our target assets; changes in prepayment rates on our target assets; effects of hedging instruments on our target assets; rates of default or decreased recovery rates on our target assets; the degree to which hedging strategies may or may not protect us from interest rate volatility; impact of and changes in governmental regulations, tax law and rates, accounting, legal or regulatory issues or guidance and similar matters; our continued maintenance of our qualification as a REIT for U.S. federal income tax purposes; our continued exclusion from registration under the Investment Company Act of 1940, as amended (the "1940 Act"); the availability of opportunities to acquire commercial mortgage-related, real estate-related and other securities; the availability of qualified personnel; estimates relating to our ability to make distributions to our stockholders in the future; our present and potential future competition; and unexpected costs or unexpected liabilities, including those related to litigation.

The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. Forward-looking statements are not predictions of future events. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. See "Item 1A. Risk Factors" our most recent Annual Report on Form 10-K. These and other risks, uncertainties and factors, including those described in the annual, quarterly and current reports that we file with the SEC, could cause our actual results to differ materially from those included in any forward-looking statements we make. All forward-looking statements speak only as of the date they are made. New risks and uncertainties arise over time and it is not possible to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

Overview

We are a Maryland corporation and have elected to be taxed as a REIT for U.S. federal income tax purposes. We primarily originate, acquire, invest in and manage performing commercial first mortgage loans, subordinate financings, and other commercial real estate-related debt investments. These asset classes are referred to as our target assets.

We are externally managed and advised by the Manager, an indirect subsidiary of Apollo, a global, high-growth alternative asset manager with assets under management of approximately $617.1 billion as of June 30, 2023.

The Manager is led by an experienced team of senior real estate professionals who have significant expertise in underwriting and structuring commercial real estate financing transactions. We benefit from Apollo’s global infrastructure and operating platform, through which we are able to source, evaluate and manage potential investments in our target assets.

Current Market Conditions

Certain external events such as public health issues, including the ongoing COVID-19 pandemic, natural disasters and geopolitical events, including the ongoing conflict between Russia, Belarus and Ukraine, and more recent conflict between Israel and Hamas, have adversely impacted the global economy and have contributed to significant volatility in financial markets. Due to various uncertainties caused by such external events and recent macroeconomic trends, including inflation and rising interest rates, further business risks could arise. Some of the factors that impacted us to date and may continue to affect us

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are outlined in Item 1A. "Risk Factors" in our most recent Annual Report on Form 10-K.

Critical Accounting Policies and Use of Estimates

Our financial statements are prepared in accordance with GAAP, which requires the use of estimates and assumptions that involve the exercise of judgment and use of assumptions as to future uncertainties. The most critical accounting policies involve decisions and assessments that affect our reported assets and liabilities, as well as reported revenues and expenses. We believe that all of the decisions and assessments upon which these financial statements are based are reasonable based upon information currently available to us. The accounting policies and estimates that we consider to be most critical to an investor’s understanding of our financial results and condition and require complex management judgment are discussed below.

There have been no material changes to our Critical Accounting Policies described in our most recent Annual Report on Form 10-K under "Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations - Critical Accounting Policies and Use of Estimates."

For a complete listing and description of our significant accounting policies, refer to "Note 2 - Summary of Significant Accounting Policies" to our consolidated financial statements of our most recent Annual Report on Form 10-K.

Real Estate Owned (and Related Debt)

In order to maximize recovery against a defaulted loan, we may assume legal title or physical possession of the underlying collateral through foreclosure or deed in lieu of foreclosure. Foreclosed properties are classified as real estate owned and recognized at fair value on our consolidated balance sheets in accordance with the acquisition method under ASC Topic 805, “Business Combinations.” Real estate assets acquired may include land, building, furniture, fixtures and equipment, and intangible assets. In accordance ASC 820, "Fair Value Measurements and Disclosures," we may utilize the income, market or cost approach (or combination thereof) to determine fair value.

When determining the fair value of a real estate asset under the income approach, we make certain assumptions including, but not limited to, consideration of projected operating cash flows, comparable selling prices and projected cash flows from the eventual disposition of the real estate asset based upon our estimate of a capitalization rate and discount rate.

When determining the fair value of real estate assets under the market or sales comparison approach, we compare the property to similar properties in the marketplace. Although we exercise significant judgment to identify similar properties, and may also consult independent third-party valuation experts to assist, our assessment of fair value is subject to uncertainty and sensitive to our selection of comparable properties.

When determining the fair value or real estate assets under the cost approach, we measure fair value as the replacement cost of these assets. This approach also requires significant judgment, and our estimate of replacement cost could vary from actual replacements costs.

At times we may classify real estate assets as held for sale in the period in which they meet the criteria under ASC Topic 360, "Property, Plant, and Equipment" as discussed in "Note 2 – Summary of Significant Accounting Policies" to our consolidated financial statements of our most recent Annual Report on Form 10-K. Once a real estate asset is classified as held for sale, depreciation is no longer recorded, and the asset is reported at the lower of its carrying value or fair value less cost to sell. The fair value of real estate assets classified as held for sale is determined using the appropriate methodologies noted in the preceding paragraph and the real estate asset's fair value is subject to uncertainty, as the actual sales price of the real estate asset could differ from those assumed in our valuations.

Once real estate assets have been recorded at fair value, they are evaluated for impairment on a quarterly basis. A real estate asset is considered impaired when the sum of estimated future undiscounted cash flows to be generated by the real estate asset over the estimated remaining holding period is less than the carrying value of such real estate asset. An impairment charge is recorded equal to the excess of the carrying value of the real estate asset over the fair value. When determining the fair value of a real estate asset for the purpose of assessing impairment, we make certain assumptions including, but not limited to: consideration of projected operating cash flows, intended holding period of the real estate, comparable selling prices and projected cash flows from the eventual disposition of the real estate based upon our estimate of a capitalization rate and discount rate. While we exercise significant judgment in generating our assumptions, the asset’s fair value is subject to uncertainty, as actual operating cash flows and disposition proceeds could differ from those assumed in our valuations. Additionally, the output is sensitive to the assumptions used in calculating any potential impairment.

Please refer to "Note 3 – Fair Value Disclosure," and "Note 5 – Assets and Liabilities Related to Real Estate Owned” for more information regarding real estate owned and our valuation methodology as well as "Note 2 – Summary of Significant Accounting Policies" to our consolidated financial statements of our most recent Annual Report on Form 10-K.

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Current Expected Credit Losses ("CECL")

We measure and record potential expected credit losses related to our loan portfolio in accordance with the CECL Standard. The CECL Standard requires an entity to consider historical loss experience, current conditions, and a reasonable and supportable forecast of the macroeconomic environment. We have adopted the WARM method to determine a General CECL Allowance for the majority of loans in our portfolio, applied on a collective basis by assets with similar risk characteristics. If we determine that a borrower or sponsor is experiencing financial difficulty, we will record loan-specific allowances (our Specific CECL Allowance) in accordance with a practical expedient prescribed by the CECL Standard.

General CECL Allowance

There are a number of significant assumptions required to estimate our General CECL Allowance which include deriving and applying an annual historical loss rate, estimating the impacts of current and future macroeconomic conditions and forecasting the timing of expected repayments, satisfactions and future fundings.

We derive an annual historical loss rate based on a CMBS database with historical losses from 1998 through the third quarter of 2023 provided by a third party, Trepp LLC. We apply various filters to arrive at a CMBS dataset most analogous to our current portfolio from which we determine an appropriate historical loss rate. This historical loss rate, and ultimately the General CECL Allowance we derive, is sensitive to the CMBS dataset we select.

We adjust our determined annual historical loss rate based on our outlook of the macroeconomic environment, for a reasonable and supportable forecast period. Selection of a forecast period is a matter of judgement and our General CECL Allowance is sensitive to this input.

We develop our expectations for the future macroeconomic environment and its potential impact on the performance of loans in our portfolio, by analyzing various market factors, such as unemployment rate, market liquidity and price indexes relevant to commercial real estate sector. This assessment requires the use of significant judgment in selecting relevant market factors and analyzing their correlation with historical loss rates. The future macroeconomic environment is subject to uncertainty as the actual future macroeconomic environment could vary from our expectations.

Additionally, there are assumptions provided to us by the Manager that represent their best estimate as to loan expected term, future fundings, and timing of loan repayments. These assumptions, although made with the most available information at the time of the estimate, are subjective and actual activity may not follow the estimated schedule. These assumptions impact the future balances that the loss rate will be applied to and as such impact our General CECL Allowance. As we acquire new loans and the Manager monitors loan and sponsor performance, these estimates may change each period. Refer to “Note 2 – Summary of Significant Accounting Policies” and “Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net” for further discussion regarding our General CECL Allowance.

Specific CECL Allowance

When we determine that a borrower or sponsor is experiencing financial difficulty, we evaluate the related loan for loan-specific allowances, under the practical expedient prescribed by the CECL Standard. Determining that a borrower or sponsor is experiencing financial difficulty requires the use of significant judgment and can be based on several factors subject to uncertainty. These factors can include, but are not limited to, whether cash from the borrower's operations are sufficient to cover current and future debt service requirements, the borrower’s ability to potentially refinance the loan, and other circumstances that can affect the borrower’s ability to satisfy their obligations in accordance the terms of the loan. When utilizing the practical expedient for collateral dependent loans, the current expected credit losses is determined as the difference between the fair value of the underlying collateral, adjusted for estimated costs to sell when applicable, and the carrying value of the loan (prior to the current expected credit losses), as repayment or satisfaction of a loan is dependent on a sale of the underlying collateral. Collateral-dependent loans evaluated for a Specific CECL Allowance are removed from the General CECL pool.

The fair value of the underlying collateral is determined by using method(s) such as discounted cash flow, the market approach, or direct capitalization approach. These methods require the use of key unobservable inputs, which are inherently uncertain and subjective. Our estimate of fair value is sensitive to both the valuation methodology selected and inputs used. Determining a suitable valuation method and selecting the appropriate key unobservable inputs and assumptions requires significant judgment and consideration of factors specific to the underlying collateral being assessed. Additionally, the key unobservable inputs and assumptions used may vary depending on the information available to us and market conditions as of the valuation date. As such, the fair value that we derive and use in calculating our Specific CECL Allowance, is subject to uncertainty and any actual losses, if incurred, could differ materially from our current expected credit losses. Refer to “Note 2 – Summary of Significant Accounting Policies” and “Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net” for further discussion regarding our Specific CECL Allowance.

Refer to "Note 2 - Summary of Significant Accounting Policies" our consolidated financial statements of our most recent

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Annual Report on Form 10-K for the complete listing and description of our significant accounting policies.

Results of Operations

All non-USD denominated assets and liabilities are translated to USD at the exchange rate prevailing at the reporting date and income, expenses, gains, and losses are translated at the prevailing exchange rate on the dates that they were recorded.

Loan Portfolio Overview

The following table sets forth certain information regarding our loan portfolio as of September 30, 2023 ($ in thousands):

Description	Carrying Value		Weighted-Average Coupon (1)		Weighted Average All-in Yield (1)(2)		Secured Debt Arrangements (3)		Cost of Funds(4)		Equity at cost(5)
Commercial mortgage loans, net	$	7,561,254	9.4	%	9.3	%	$	5,147,427	7.2	%	$	2,413,827
Subordinate loans and other lending assets, net	412,777		0.9	%	0.9	%	—		—		412,777
Total/Weighted-Average	$	7,974,031	8.3	%	8.9	%	$	5,147,427	7.2	%	$	2,826,604

———————    

(1)    Weighted-Average Coupon and Weighted-Average All-in Yield are based on the applicable benchmark rates as of September 30, 2023 on the floating rate loans.

(2)     Weighted-Average All-in Yield includes the amortization of deferred origination fees, loan origination costs and accrual of both extension and exit fees. Weighted-Average All-in Yield excludes the benefit of forward points on currency hedges relating to loans denominated in currencies other than USD.

(3)    Gross of deferred financing costs of $11.6 million.

(4)    Cost of funds includes weighted average spread and applicable benchmark rates as of September 30, 2023 on secured debt arrangements.

(5)    Represents loan portfolio at amortized cost less secured debt outstanding.

The following table provides details of our commercial mortgage loan portfolio and subordinate loan and other lending assets portfolio, on a loan-by-loan basis, as of September 30, 2023 ($ in millions):

Commercial Mortgage Loan Portfolio
#	Property Type	Risk Rating	Origination Date	Amortized Cost	Unfunded Commitment	Construction Loan	3rd Party Subordinate Debt	Fully-extended Maturity	Location
1	Hotel	3	10/2019	$333	$24		Y	08/2024	Various, Spain
2	Hotel	3	11/2021	214	15		Y	11/2026	Various, UK/Ireland
3	Hotel	3	05/2022	183	21		Y	06/2027	Napa Valley, CA
4	Hotel	3	07/2021	175	5			08/2026	Various, US
5	Hotel	3	11/2021	164	—			12/2026	St. Thomas, USVI
6	Hotel	3	09/2015	146	—			06/2024	Manhattan, NY
7	Hotel	3	04/2018	137	—			04/2024	Honolulu, HI
8	Hotel	2	08/2019	127	—			08/2024	Puglia, Italy
9	Hotel	3	10/2021	100	—			11/2026	New Orleans, LA
10	Hotel	3	06/2022	95	—			06/2025	Rome, Italy
11	Hotel	3	11/2018	90	—			12/2023	Vail, CO
12	Hotel	3	05/2019	46	—			12/2025	Chicago, IL
13	Hotel	2	12/2015	42	—			08/2024	St. Thomas, USVI
14	Hotel	3	02/2018	27	—			11/2024	Pittsburgh, PA
15	Office	3	03/2022	238	27		Y	04/2027	Manhattan, NY
16	Office	3	02/2022	214	345	Y		02/2027	London, UK
17	Office	3	06/2019	209	1			08/2026	Berlin, Germany
18	Office	3	01/2020	204	47		Y	03/2028	Long Island City, NY
19	Office	3	02/2020	169	5			02/2025	London, UK
20	Office	3	02/2022	156	—			06/2025	Milan, Italy
21	Office	3	11/2022	100	—			01/2025	Chicago, IL
22	Office	4	03/2018	81	—		Y	07/2025	Chicago, IL
23	Retail	3	04/2022	457	36			04/2027	Various, UK
24	Retail	3	10/2021	396	—			10/2026	Various, UK
25	Retail	3	08/2019	250	—		Y	09/2025	Manhattan, NY
26	Retail	3	05/2022	136	—			06/2027	Various, US

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27	Retail(1)	5	11/2014	99	—			09/2024	Cincinnati, OH
28	Residential	3	12/2021	215	15			12/2026	Various, UK
29	Residential(2)	3	08/2022	199	—			09/2024	Manhattan, NY
30	Residential	3	03/2023	170	—			03/2026	Various, US
31	Residential	3	05/2022	91	3			06/2027	Manhattan, NY
32	Residential	3	05/2021	81	—			05/2026	Cleveland, OH
33	Residential	3	12/2021	70	7			01/2027	Manhattan, NY
34	Residential	3	12/2019	36	3			11/2025	Boston, MA
35	Healthcare	3	03/2022	366	—			03/2027	Various, MA
36	Healthcare	3	10/2019	154	—		Y	10/2024	Various, UK
37	Mixed Use	3	06/2022	116	18	Y	Y	06/2026	London, UK
38	Mixed Use	3	12/2019	43	—			03/2024	London, UK
39	Parking Garages	3	05/2021	219	5			05/2026	Various, US
40	Industrial	3	03/2021	235	—			05/2026	Various, Sweden
41	Mixed Use	3	12/2019	343	45	Y	Y	06/2025	London, UK
42	Mixed Use	3	03/2022	136	41		Y	03/2027	Brooklyn, NY
43	Caravan Parks	3	02/2021	200	—			02/2028	Various, UK
44	Portfolio(3)	3	06/2021	201	21			06/2026	Various, Germany
45	Urban Predevelopment	3	12/2022	124	9			01/2026	Miami, FL
	General CECL Allowance			(26)
	Subtotal / Weighted-Average Commercial Mortgage Loans	3.0		$7,561	$693			2.5 Years

Subordinate Loan and Other Lending Assets Portfolio
#	Property Type	Risk Rating	Origination Date	Amortized Cost	Unfunded Commitment	Construction Loan	3rd Party Subordinate Debt	Fully-extended Maturity	Location
1	Residential(2)	3	06/2015	$213	—			09/2024	Manhattan, NY
2	Residential(1)(2)	5	05/2020	170	—			09/2024	Manhattan, NY
3	Hotel	2	06/2015	23	—			07/2025	Phoenix, AZ
4	Office	4	08/2017	8	—			09/2024	Troy, MI
	General CECL Allowance			(1)
	Subtotal / Weighted-Average Subordinate Loans and Other Lending Assets	3.8		$413	$—			1.0 Years
	Total / Weighted-Average Loan Portfolio(4)	3.1		$7,974	$693			2.4 Years

———————

(1)Amortized cost for these loans is net of the recorded Specific CECL Allowance.

(2)Loans are secured by the same property.

(3)Includes portfolio of office, industrial, and retail property types.

(4)Total may not foot due to rounding.

Our average asset and debt balances for the nine months ended September 30, 2023 were ($ in thousands):

	Average month-end balances for the nine months ended September 30, 2023
Description	Assets		Related debt
Commercial mortgage loans, net	$	7,986,707	$	5,358,843
Subordinate loans and other lending assets, net	613,936		—

Portfolio Management

Due to the impact of COVID-19, including longer-term macroeconomic effects on supply chains, inflation and labor shortages, some of our borrowers have experienced challenges which have prevented the execution of their business plans and in some cases, resulted in temporary closures. As a result, we have worked with borrowers to execute loan modifications which are typically coupled with additional equity contributions from borrowers. Loan modifications to date have included repurposing of reserves, temporary deferrals of interest or principal, and partial deferral of coupon interest as payment-in-kind interest.

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Investment Activity

During the nine months ended September 30, 2023, we committed $198.4 million of capital to loans ($181.0 million was funded at closing), including $174.0 million in connection with the refinancing of two floating rate first mortgages. In addition, during the nine months ended September 30, 2023, we funded $341.8 million for loans closed prior to 2023 and received $1.0 billion in repayments, including $139.8 million from loan sales.

Net Income (Loss) Available to Common Stockholders

For the three months ended September 30, 2023 and 2022, our net income available to common stockholders was $43.0 million, or $0.30 per diluted share of common stock, and $180.0 million, or $1.13 per diluted share of common stock, respectively.

For the nine months ended September 30, 2023 and 2022, our net income available to common stockholders was $2.4 million, or $0.00 per diluted share of common stock, and $260.0 million, or $1.66 per diluted share of common stock, respectively.

Operating Results

The following table sets forth information regarding our condensed consolidated results of operations and certain key operating metrics compared to the most recently reported period ($ in thousands):

	Three months ended				Q3'23 vs. Q2'23
	September 30, 2023		June 30, 2023
Net interest income:
Interest income from commercial mortgage loans	$	180,441	$	174,124	$	6,317
Interest income from subordinate loans and other lending assets	1,599		5,110		(3,511)
Interest expense	(121,817)		(116,278)		(5,539)
Net interest income	60,223		62,956		(2,733)
Operations related to real estate owned:
Revenue from real estate owned operations	20,934		29,208		(8,274)
Operating expenses related to real estate owned	(18,950)		(19,961)		1,011
Depreciation and amortization on real estate owned	(1,020)		(2,202)		1,182
Net income related to real estate owned	964		7,045		(6,081)
Operating expenses:
General and administrative expenses	(7,664)		(7,471)		(193)
Management fees to related party	(9,518)		(9,390)		(128)
Total operating expenses	(17,182)		(16,861)		(321)
Other income, net	1,465		2,340		(875)
Net realized loss on investments	—		(81,980)		81,980
Realized gain on extinguishment of debt	30		252		(222)
Increase in Specific CECL Allowance, net	—		(59,500)		59,500
Decrease (increase) in General CECL Allowance, net	5,833		(2,148)		7,981
Gain (loss) on foreign currency forward contracts	39,490		(17,116)		56,606
Foreign currency translation gain (loss)	(44,165)		21,557		(65,722)
Gain (loss) on interest rate hedging instruments	(70)		55		(125)
Net income (loss) before taxes	$46,588		$(83,400)		$129,988
Income tax provision	(517)		—		(517)
Net income (loss)	$46,071		$(83,400)		$129,471

Net Interest Income

Net interest income decreased by $2.7 million during the three months ended September 30, 2023 compared to the three months ended June 30, 2023. The decrease was primarily driven by a decrease in interest income related to loans collateralized by an ultra-luxury residential-for-sale property in Manhattan. The loans were placed on non-accrual status on May 1, 2023;

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accordingly, no interest income was recorded during the three months ended September 30, 2023, compared to one month of interest recorded during the three months ended June 30, 2023. This decrease was partially offset by an increase in net interest income as a result of higher average index rates during the three months ended September 30, 2023 compared to the preceding quarter.

Operations Related to Real Estate

For the three months ended September 30, 2023 we recorded net income related to real estate owned of $1.0 million, compared to $7.0 million for the three months ended June 30, 2023. This decrease was primarily a result of seasonality of the D.C. Hotel and Atlanta Hotel's operations which led to $7.3 million lower net income from operations, prior to depreciation, during the three months ended September 30, 2023 as compared to the three months ended June 30, 2023. The decrease was partially offset by a reduction in depreciation expense recorded at the Atlanta Hotel for the three months ended September 30, 2023 attributable to the reclassification of the hotel from real estate owned, held for investment to real estate owned, held for sale. The Atlanta hotel was reclassified to held-for-sale on June 30, 2023. Accordingly, we ceased recording depreciation on the building and furniture, fixtures, and equipment as of the reclassification date.

Refer to "Note 5 - Real Estate Owned" for full discussion of the reclassification and operations related to real estate owned.

Operating Expenses

Management fees to related party and General and administrative expenses remained generally the same for the three months ended September 30, 2023 compared to the three months ended June 30, 2023.

Other income, net

Other income, net decreased by $0.9 million during the three months ended September 30, 2023 compared to the three months ended June 30, 2023. This decrease was primarily driven by a $1.0 million expense related to the relinquishment, by a third party subordinate capital provider, of a junior mezzanine loan and preferred equity interests secured by the residential-for-sale property in Manhattan, NY, collateralizing our Senior Loan, Senior Mezzanine Loan and Junior Mezzanine A Loan. This decrease was partially offset by an increase in bank interest earned on our cash balances and money market funds as a result of a higher interest rate environment compared to the preceding quarter.

Net realized loss on investments

During the three months ended September 30, 2023, we recorded no net realized losses on investments, compared to a net realized loss of $82.0 million recorded during the three months ended June 30, 2023. This loss in the preceding quarter represented a write-off of previously recorded Specific CECL Allowance on one of our subordinate loans secured by an ultra-luxury residential property in Manhattan, NY. Refer to Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional detail.

Specific CECL Allowance, net

During the three months ended September 30, 2023, there was no change to our Specific CECL Allowance. Comparatively, during the three months ended June 30, 2023, we recorded a $141.5 million increase to our Specific CECL Allowance, related to two mezzanine loans secured by the same ultra-luxury residential property in Manhattan, NY. As of June 30, 2023, $82.0 million related to the most junior mezzanine loan was deemed unrecoverable. Accordingly, $82.0 million of previously recorded Specific CECL was written-off and recorded as a realized loss within net realized loss on investments in our June 30, 2023 condensed consolidated statement of operations.

Refer "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional information related to our Specific CECL Allowance and further detail on the mezzanine loans.

Decrease in General CECL Allowance, net

Our General CECL Allowance decreased by $5.8 million during the three months ended September 30, 2023, primarily driven by portfolio seasoning and loan repayments outpacing originations, compared to an increase of $2.1 million during the three months ended June 30, 2023. This increase was primarily driven by a more adverse macroeconomic outlook and increase in our view of remaining expected term of certain of our loans which was partially offset by the impact of portfolio seasoning.

Refer "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional information related to our General CECL Allowance.

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Realized Gain on Extinguishment of Debt

Realized gain on extinguishment of debt remained generally the same during the three months ended September 30, 2023 compared to the three months ended June 30, 2023.

Foreign currency gain and loss on derivative instruments

We use forward currency contracts to economically hedge net interest and principal repayments under our loans denominated in currencies other than USD. Foreign currency gains and losses on derivative instruments are evaluated on a combined basis and the net impact for the three months ended September 30, 2023 and three months ended June 30, 2023 was a net loss of $4.7 million and a net gain of $4.4 million, respectively.

During the three months ended September 30, 2023, foreign exchange rates fell in relation to USD while they rose in relation to USD during the three months ended June 30, 2023. The decrease in foreign exchange rates resulted in a gain on our foreign currency forward contracts and a loss related to foreign currency translation. Gains and losses on our forward currency contracts are derived from changes in market spot rates, forward point estimates, and discount factors. Gains and losses related to foreign currency translation are derived only from changes in market spot rates. Forward currency contract gains and losses derived from market spot rates offset the gains and losses related to foreign currency translation except for the gains and losses from forward currency contracts related to our net interest hedges which have no offset in foreign currency translation. A net gain or loss arises each period due to the change in forward point estimates and discount factors as well as gains and losses from forward currency contracts related to our net interest hedges. The change in net gain (loss) for the three months ended September 30, 2023 compared to the three months ended June 30, 2023 is predominantly due to higher forward point estimates and gains on forward currency contracts related to our net interest hedges for the three months ended September 30, 2023 compared to the three months ended June 30, 2023.

Gain (loss) on interest rate hedges

During the second quarter of 2020, we entered into a three-year interest rate cap. This interest rate cap effectively limited the maximum all-in coupon on the 2026 Term Loan to 3.50%. During the three months ended June 30, 2023, the interest rate cap had a net gain of $0.1 million, inclusive of a realized gain of $4.4 million. The cap matured during the second quarter of 2023.

On September 26, 2023, we entered into an interest rate cap with a notional amount of $164.8 million. This interest rate cap effectively limited the maximum all-in coupon on our construction financing to 6.55%. During the three months ended September 30, 2023, the interest rate cap had an unrealized loss of $0.1 million. Refer "Note 11 - Derivatives" for further detail.

Income tax provision

During the three months ended September 30, 2023, we recorded income tax provision of $0.5 million. Comparatively, we did not record an income tax provision for the three months ended June 30, 2023. The income tax provision recorded during the three months ended September 30, 2023 reflects our expectations of aggregate projected taxable income of one of our TRS entities for the taxable year ending December 31, 2023.

The following table sets forth information regarding our condensed consolidated results of operations and certain key operating metrics for the nine months ended September 30, 2023 and 2022 ($ in thousands):

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	Nine months ended				2023 vs. 2022
	September 30, 2023		September 30, 2022
Net interest income:
Interest income from commercial mortgage loans	$	520,712	$	304,631	$	216,081
Interest income from subordinate loans and other lending assets	16,416		43,719		(27,303)
Interest expense	(342,963)		(173,949)		(169,014)
Net interest income	194,165		174,401		19,764
Operations related to real estate owned:
Revenue from real estate owned operations	66,273		42,098		24,175
Operating expenses related to real estate owned	(52,917)		(36,094)		(16,823)
Depreciation and amortization on real estate owned	(7,208)		(704)		(6,504)
Net income related to real estate owned	6,148		5,300		848
Operating expenses:
General and administrative expenses	(22,150)		(21,501)		(649)
Management fees to related party	(28,425)		(28,705)		280
Total operating expenses	(50,575)		(50,206)		(369)
Other income, net	4,537		353		4,184
Net realized gain (loss) on investments	(86,604)		43,577		(130,181)
Realized gain on extinguishment of debt	495		—		495
Decrease (increase) in Specific CECL Allowance, net	(59,500)		26,000		(85,500)
Decrease (increase) in General CECL Allowance, net	(705)		11,897		(12,602)
Gain on foreign currency forward contracts	8,239		257,227		(248,988)
Foreign currency translation loss	(3,974)		(210,138)		206,164
Gain (loss) on interest rate hedging instruments	(122)		10,808		(10,930)
Net income before taxes	$12,104		$269,219		$(257,115)
Income tax provision	(517)		—		(517)
Net income	$11,587		$269,219		$(256,598)

Net Interest Income

Net interest income increased by $19.8 million during the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022. The increase was primarily driven by higher average index rates and was partially offset by placing a first mortgage loan and subordinate loan collateralized by the same ultra-luxury residential-for-sale property in Manhattan on non-accrual status as of May 1, 2023.

Operations Related to Real Estate

Net income related to real estate owned increased by $0.8 million during the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022. This increase was primarily driven by an increase in net income from hotel operations, prior to depreciation, of $4.3 million and $3.1 million attributable to the D.C. Hotel and the Atlanta Hotel, respectively.

This increase was partially offset by a $6.5 million increase in depreciation expense for the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022, which was primarily related to the reclassification of our D.C. Hotel from held for sale to held for investment. During the first quarter of 2022 we reclassified the hotel to held for sale and ceased recording depreciation until March 1, 2023, when the asset was reclassified to held for investment. Accordingly, upon reclassification to held for investment, we recorded depreciation expense representing the amount that would have been recorded had the asset been consistently classified as held for investment for this period.

Refer to "Note 5 - Real Estate Owned" for full discussion of the reclassification and operations related to real estate owned.

Operating Expenses

Management fees to related party and General and administrative expenses remained generally the same for the nine

45

months ended September 30, 2023 compared to the nine months ended September 30, 2022.

Other income, net

Other income, net increased by $4.2 million during the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022, primarily due to an increase in bank interest earned on our cash balances and money market funds as a result of a higher interest rate environment. Refer to Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional detail.

Net realized loss on investments

During the nine months ended September 30, 2023, we recorded an $86.6 million net realized loss on investments primarily consisting of i) a $4.8 million realized loss related to the acquisition of our Atlanta Hotel through a deed-in-lieu of foreclosure and ii) a $82.0 million realized loss representing a write-off of previously recorded Specific CECL Allowance on one of our subordinate loans secured by an ultra-luxury residential property in Manhattan, NY. These losses were partially offset by a $0.2 million gain on investments recorded in connection with the sale of our entire interest in three commercial loans secured by properties in Europe and a partial interest in one commercial loan secured by property located in London, United Kingdom.

During the nine months ended September 30, 2022, we recorded a $43.6 million realized gain on investments in connection with the acquisition of title to the Brooklyn Development property. The gain reflects the difference between the fair value of the property and the carrying value of the loan at the time of acquisition.

Refer to Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" and "Note 5 - Real Estate Owned" for additional detail.

Increase in Specific CECL Allowance, net

During the nine months ended September 30, 2023, we recorded a net increase to our Specific CECL Allowance of $59.5 million compared to a net decrease of $26.0 million recorded during the nine months ended September 30, 2022.

During the nine months ended September 30, 2023, we recorded a $141.5 million increase to our Specific CECL Allowance, related to two mezzanine loans secured by the same ultra-luxury residential property in Manhattan, NY. As of June 30, 2023, $82.0 million related to the most junior mezzanine loan was deemed unrecoverable. Accordingly, $82.0 million of previously recorded Specific CECL was written-off and recorded as a realized loss within net realized loss on investments during the second quarter of 2023.

During the nine months ended September 30, 2022, we recorded a $26.0 million net decrease to our Specific CECL Allowance which was comprised of i) a $30.0 million allowance on most junior mezzanine loan secured by the aforementioned ultra-luxury residential property in Manhattan, NY ii) a $7.0 million allowance on the loan previously secured by our Atlanta Hotel iii) a $10.0 million reversal of previously recorded allowance related to the loan previously secured by our Brooklyn Development and iiii) a $53.0 million reversal of previously recorded allowance related an urban predevelopment first mortgage loan in Miami, FL.

Decrease (increase) in General CECL Allowance, net

For the nine months ended September 30, 2023, we recorded a net increase to our General CECL Allowance of $0.7 million compared to a net decrease of $11.9 million for nine months ended September 30, 2022. The increase recorded during the nine months ended September 30, 2023, was primarily driven a more adverse macroeconomic outlook, which was partially offset by the effects of portfolio seasoning and loan repayment activity outpacing origination activity.

During the nine months ended September 30, 2022, the net decrease to our General CECL Allowance was largely due to changes in expected loan repayment dates and portfolio seasoning, which was partially offset by new loan originations and a more adverse macroeconomic outlook.

Realized Gain on Extinguishment of Debt

During the nine months ended September 30, 2023, we repurchased $53.9 million aggregate principal of the 2023 Notes, and realized a $0.5 million gain on extinguishment of debt. There was no repurchase activity for the nine months ended September 30, 2022.

Foreign currency gain and loss on derivative instruments

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Foreign currency gains and losses on derivative instruments are evaluated on a combined basis and the net impact for the nine months ended September 30, 2023 and nine months ended September 30, 2022 was a net gain of $4.3 million and $47.1 million, respectively.

During the nine months ended September 30, 2023, the GBP rate rose and the EUR rate fell in relation to USD while both rates fell considerably during the nine months ended September 30, 2022. The fall in the EUR rate offset the rise in the GBP rate and resulted in a gain on our foreign currency forward contracts and a loss related to foreign currency translation. The change in net gain for the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022 is predominantly due to higher forward point estimates and gains on forward currency contracts related to our net interest hedges for the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022.

Gain (loss) on interest rate hedges

During the nine months ended September 30, 2023, we recorded a net loss of $0.1 million on our interest rate caps, which includes realized gains of $9.1 million. During the nine months ended September 30, 2022, the interest rate cap had an unrealized gain of $10.8 million, with no realized gain. The unrealized gain during the nine months ended September 30, 2022 was due to an increase in the forward curve in relation to the interest rate cap rate of 0.75%. The realized gain during the nine months ended September 30, 2023 is due to rising LIBOR above the interest rate cap rate during the first and second quarter of 2023, before the 2026 Term Loan interest rate cap matured.

Income tax provision

During the nine months ended September 30, 2023, we recorded income tax provision of $0.5 million. Comparatively, we did not record an income tax provision for the nine months ended September 30, 2022. The income tax provision recorded during the nine months ended September 30, 2023 reflects our expectations of aggregate projected taxable income of one of our TRS entities for the taxable year ending December 31, 2023.

Subsequent Events

Refer to "Note 21 - Subsequent Events" to the accompanying condensed consolidated financial statements for disclosure regarding significant transactions that occurred subsequent to September 30, 2023.

Contractual Obligations, Liquidity, and Capital Resources

Liquidity is a measure of our ability to meet potential cash requirements, including ongoing commitments to fund and maintain our assets and operations, repay borrowings, make distributions to our stockholders and other general business needs. We utilize various sources of cash in order to meet our liquidity needs in the next twelve months, which is considered the short-term, and the longer term.

Our current debt obligations consist of $1.4 billion, at face value, of corporate debt and $5.1 billion of asset specific financings. Our corporate debt includes $771.3 million of term loan borrowings, $500.0 million of senior secured notes, and $176.1 million of convertible notes, which matured in October 2023. Our asset specific financings are generally tied to the underlying loans and we anticipate repayments of $758.5 million of secured debt arrangements in the short term. Specifics about our secured debt arrangements and corporate debt maturities and obligations are discussed below.

In addition to our debt obligations, as of September 30, 2023, we had $693.1 million of unfunded loan commitments. We expect that approximately $441.5 million will be funded to existing borrowers in the short term.

We have various sources of liquidity that we are able to use in order to satisfy our short and long term obligations. As of September 30, 2023 we had $307.8 million of cash and $133.0 million of loan proceeds held by servicer (included within other assets on our condensed consolidated balance sheet) for a total of $440.8 million. As of September 30, 2023 we also held approximately $804.6 million of unencumbered assets, consisting of $384.2 million of senior mortgages, $200.6 million of mezzanine loans, and $219.8 million of real estate owned. Depending on market conditions, we may utilize additional borrowings as a source of cash, which may also include additional secured debt arrangements as well as other borrowings or conduct additional public and private debt and equity offerings.

We maintain policies relating to our use of leverage. See "Leverage Policies" below. In the future, we may seek to raise further equity or debt capital or engage in other forms of borrowings in order to fund future investments or to refinance expiring indebtedness.

We generally intend to hold our assets for investment, although we may sell certain of our investments in order to manage our interest rate risk and liquidity needs, meet other operating objectives and adapt to market conditions.

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To maintain our qualification as a REIT under the Internal Revenue Code, we must distribute annually at least 90% of our REIT taxable income, determined without regard to the deduction for dividends paid and excluding net capital gain. These distribution requirements limit our ability to retain earnings and replenish or increase capital for operations.

Borrowings Under Various Financing Arrangements

The table below summarizes the outstanding balances and maturities for our various financing arrangements:

	September 30, 2023			December 31, 2022
	Borrowings Outstanding(1)		Maturity (2)	Borrowings Outstanding(1)		Maturity (2)
Secured Credit Facilities	$	3,329,228	May 2026	$	3,459,226	May 2026
Barclays Private Securitization	1,818,199		February 2026	1,850,076		February 2026
Revolving Credit Facility	—		March 2026	—		N/A
Total Secured Debt Arrangements	5,147,427			5,309,302
Senior secured term loans	771,250		January 2027	777,250		January 2027
Senior secured notes	500,000		June 2029	500,000		June 2029
Convertible senior notes	176,064		October 2023	230,000		October 2023
Total borrowings	$	6,594,741		$	6,816,552

———————

(1)Borrowings Outstanding represent principal balances as of the respective reporting periods.

(2)Maturity dates represent weighted average maturities based on borrowings outstanding and assumes extensions at our option are exercised with consent of financing providers, where applicable.

Secured Credit Facilities

As of September 30, 2023, we had nine secured credit counterparties through wholly-owned subsidiaries. During the nine months ended September 30, 2023, we entered into secured credit facilities with Banco Santander, S.A., New York Branch and Churchill MRA Funding I LLC, which provided a combined $430.0 million of additional capacity. Additionally, during the nine months ended September 30, 2023 we increased our borrowing capacity on the Atlas Facility by $83.3 million.

On February 8, 2023, in connection with the acquisition by certain subsidiaries of Atlas, which is a wholly-owned investment of a fund managed by an affiliate of the Manager, the Credit Suisse Facility was acquired by Atlas. In order to effect the assignment of the Credit Suisse Facility and related agreements, the Company and one of its subsidiaries, similar to the other sellers and guarantors party to the subject agreements in the Transaction, entered into an Omnibus Assignment, Assumption and Amendment Agreement as well as certain related agreements with Credit Suisse AG and Atlas. Refer to "Note 7 - Secured Debt Arrangements, Net" and "Note 15 - Related Party Transactions" of our Condensed Consolidated Financial Statements for further discussion regarding the transaction.

Revolving Credit Facility

During the first quarter of 2023, we entered into the $170.0 million Revolving Credit Facility administered by Bank of America, N.A. that matures in March 2026.

Refer to "Note 7 - Secured Debt Arrangements, Net" of our Condensed Consolidated Financial Statements for additional disclosure regarding our secured credit facilities.

Barclays Private Securitization

We are party to a private securitization with the Barclays Private Securitization. Commercial mortgage loans currently financed under the Barclays Securitization are denominated in GBP, EUR, SEK. As of September 30, 2023, we had £913.8 million, €486.5 million, and kr2.1 billion ($1.8 billion assuming conversion into USD) of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

Refer to "Note 7 - Secured Debt Arrangements, Net" of our Condensed Consolidated Financial Statements for additional disclosure regarding our Barclays Private Securitization.

Term Loans

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In May 2019, we entered into the $500.0 million 2026 Term Loan and in March 2021, we entered into the $300.0 million 2028 Term Loan. The outstanding Term Loans principal balance as of September 30, 2023 and December 31, 2022 was $771.3 million and $777.3 million, respectively.

Refer to "Note 8 - Senior Secured Term Loans, Net" of our Consolidated Financial Statements for additional disclosure regarding our 2026 Term Loan and 2028 Term Loan.

Senior Secured Notes

In June 2021, we issued $500.0 million of the 4.625% 2029 Notes, for which we received net proceeds of $495.0 million, after deducting initial purchasers' discounts and commissions. The 2029 Notes had a carrying value of $495.4 million and $494.8 million, net of deferred financing costs of $4.6 million and $5.2 million, as of September 30, 2023 and December 31, 2022, respectively.

Refer to "Note 9 - Senior Secured Notes, Net" of our Consolidated Financial Statements for additional disclosure regarding our 2029 Notes.

Convertible Senior Notes

During the fourth quarter of 2018, we issued $230.0 million of the 5.375% 2023 Notes, for which we received $223.7 million after deducting the underwriting discount and offering expenses. During the nine months ended September 30, 2023 we repurchased $53.4 million aggregate principal amount of the 2023 Notes at a weighted average price of 99.1%. These transactions occurred in the open market from reverse inquiries of investors with no solicitation from the Company. As a result of these transactions, during the nine months ended September 30, 2023, we recorded a gain of $0.5 million in our condensed consolidated statement of operations. At September 30, 2023, the 2023 Notes had a carrying value of $176.0 million and an unamortized discount of $0.1 million. Subsequent to September 30, 2023, we repaid the remaining principal of the 2023 Notes of $176.1 million at par.

Debt-to-Equity Ratio

The following table presents our debt-to-equity ratio:

	September 30, 2023	December 31, 2022
Debt to Equity Ratio (1)	2.8	2.8

———————

(1)Represents total debt less cash and loan proceeds held by servicer (recorded with Other Assets, see "Note 6 - Other Assets" for more information) to total stockholders' equity.

Leverage Policies

We use leverage for the sole purpose of financing our portfolio and not for the purpose of speculating on changes in interest rates. In addition to our secured debt arrangements and senior secured term loan, we access additional sources of borrowings. Our charter and bylaws do not limit the amount of indebtedness we can incur; however, we are subject to and carefully monitor the limits placed on us by our credit providers and those that assign ratings on our company.

At September 30, 2023, our debt-to-equity ratio was 2.8 and our portfolio was comprised of $7.6 billion of commercial mortgage loans and $0.4 billion of subordinate loans and other lending assets. In order to achieve our return on equity, we generally finance our mortgage loans with 2.0 to 3.0 turns of leverage and generally do not finance our subordinate loan portfolio given built-in inherent structural leverage. Consequently, depending on our portfolio mix, our debt-to-equity ratio may exceed our previously disclosed thresholds.

Investment Guidelines

Our current investment guidelines, approved by our board of directors, are comprised of the following:

•no investment will be made that would cause us to fail to qualify as a REIT for U.S. federal income tax purposes;

•no investment will be made that would cause us to register as an investment company under the 1940 Act;

•investments will be predominantly in our target assets;

•no more than 20% of our net equity (on a consolidated basis) will be invested in any single investment at the time of the investment; in determining compliance with the investment guidelines, the amount of the investment is the net

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equity in the investment (gross investment less amount of third-party financing) plus the amount of any recourse on the financing secured by the investment; and

•until appropriate investments can be identified, the Manager may invest the proceeds of any offering in interest bearing, short-term investments, including money market accounts and/or funds, that are consistent with our intention to qualify as a REIT.

The board of directors must approve any change in or waiver to these investment guidelines.

Dividends

We intend to continue to make regular quarterly distributions to holders of our common stock. U.S. federal income tax law generally requires that a REIT distribute annually at least 90% of our REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains, and that we pay tax at regular corporate rates to the extent that we annually distribute less than 100% of our net taxable income. We generally intend over time to pay dividends to our stockholders in an amount equal to our net taxable income, if and to the extent authorized by our board of directors. Any distributions we make are at the discretion of our board of directors and depend upon, among other things, our actual results of operations. These results and our ability to pay distributions are affected by various factors, including the net interest and other income from our portfolio, our operating expenses and any other expenditures. If our cash available for distribution is less than our net taxable income, we could be required to sell assets or borrow funds to make cash distributions or we may make a portion of the required distribution in the form of a taxable stock distribution or distribution of debt securities.

As of September 30, 2023 and December 31, 2022, we had 6,770,393 shares of our 7.25% Series B-1 Cumulative Redeemable Perpetual Preferred Stock, par value $0.01 per share ("Series B-1 Preferred Stock") outstanding. The Series B-1 Preferred Stock pay cumulative cash dividends, which are payable quarterly in equal amounts in arrears on the 15th day of each January, April, July and October: at a rate of 7.25% per annum of the $25.00 per share liquidation preference. Except under certain limited circumstances, the Series B-1 Preferred Stock is generally not convertible into or exchangeable for any other property or any other of our securities at the election of the holders. On and after July 15, 2026, we may, at our option, redeem the shares at a redemption price of $25.00, plus any accrued unpaid dividends to, but not including, the date of the redemption.

The following table details our dividend activity:

	Three months ended		Nine months ended
Dividends declared per share of:	September 30, 2023	September 30, 2022	September 30, 2023	September 30, 2022
Common Stock	$0.35	$0.35	$1.05	$1.05
Series B-1 Preferred Stock	$0.45	$0.45	$1.35	$1.35

———————

Non-GAAP Financial Measures

Distributable Earnings

Distributable Earnings is defined as net income available to common stockholders, computed in accordance with GAAP, adjusted for (i) equity-based compensation expense (a portion of which may become cash-based upon final vesting and settlement of awards should the holder elect net share settlement to satisfy income tax withholding), (ii) any unrealized gains or losses or other non-cash items (including depreciation and amortization related to real estate owned) included in net income available to common stockholders, (iii) unrealized income from unconsolidated joint ventures, (iv) foreign currency gains (losses), other than (a) realized gains/(losses) related to interest income, and (b) forward point gains/(losses) realized on our foreign currency hedges, (v) the non-cash amortization expense related to the reclassification of a portion of the Convertible Notes to stockholders’ equity in accordance with GAAP, and (vi) provision for loan losses. Distributable Earnings may also be adjusted to exclude certain other non-cash items, as determined by the Manager and approved by a majority of our independent directors.

For the three and nine months ended September 30, 2023, our Distributable Earnings were $52.7 million, or $0.37 per share, and $106.0 million, or $0.73 per share, respectively, as compared to $95.9 million, or $0.67 per share, and $194.8 million, or $1.36 per share, respectively, for the same period in the prior year.

The weighted-average diluted shares outstanding used for Distributable Earnings per weighted-average diluted share has been adjusted from weighted-average diluted shares under GAAP to exclude shares issued from a potential conversion of the Convertible Notes. Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs, which we believe is a useful presentation for investors. We believe that

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excluding shares issued in connection with a potential conversion of the Convertible Notes from our computation of Distributable Earnings per weighted average diluted share is useful to investors for various reasons, including the following: (i) conversion of Convertible Notes to shares requires both the holder of a note to elect to convert the Convertible Note and for us to elect to settle the conversion in the form of shares; (ii) future conversion decisions by note holders will be based on our stock price in the future, which is presently not determinable; (iii) the exclusion of shares issued in connection with a potential conversion of the Convertible Notes from the computation of Distributable Earnings per weighted-average diluted share is consistent with how we treat other unrealized items in our computation of Distributable Earnings per weighted-average diluted share; and (iv) we believe that when evaluating our operating performance, investors and potential investors consider our Distributable Earnings relative to our actual distributions, which are based on shares outstanding and not shares that might be issued in the future.

The table below summarizes the reconciliation from weighted-average diluted shares under GAAP to the weighted-average diluted shares used for Distributable Earnings:

	Three months ended September 30,		Nine months ended September 30,
	2023	2022	2023	2022
Weighted-Averages	Shares	Shares	Shares	Shares
Diluted shares - GAAP	141,350,428	164,350,132	141,255,730	169,252,602
Potential shares issued under conversion of the Convertible Notes	—	(21,187,719)	—	(26,057,847)
Unvested RSUs	2,832,265	—	2,966,277	—
Diluted shares - Distributable Earnings	144,182,693	143,162,413	144,222,007	143,194,755

As a REIT, U.S. federal income tax law generally requires us to distribute annually at least 90% of our REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains, and that we pay tax at regular corporate rates to the extent that we annually distribute less than 100% of our net taxable income. Given these requirements and our belief that dividends are generally one of the principal reasons stockholders invest in a REIT, we generally intend over time to pay dividends to our stockholders in an amount equal to our net taxable income, if and to the extent authorized by our board of directors. Distributable Earnings is a key factor considered by the board of directors in setting the dividend and as such we believe Distributable Earnings is useful to investors.

During the three months ended March 31, 2023, we recorded a net realized loss of $4.6 million on investments consisting of a realized loss related to the acquisition of a hotel property through a deed-in-lieu of foreclosure which was partially offset by a realized gain on loan sales. Refer to "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net," and "Note 5 – Real Estate Owned" for further detail. Additionally, during the three months ended March 31, 2023, we recorded a realized gain on extinguishment of debt of $0.2 million related to a partial repurchase of our 2023 Notes. See "Note 10 - Convertible Senior Notes, Net" for full discussion of this transaction.

During the three months ended June 30, 2023, we recorded an $82.0 million realized loss on investments representing a write-off of previously recorded Specific CECL Allowance on one of our subordinate loans secured by an ultra-luxury residential property in Manhattan, NY. Refer to Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional detail. Additionally, during the three months ended June 30, 2023, we recorded a realized gain on extinguishment of debt of $0.03 million related to a partial repurchase of our 2023 Notes. See "Note 10 - Convertible Senior Notes, Net" for full discussion of this transaction.

During the three months ended September 30, 2023, we recorded a $30,000 realized gain on extinguishment of debt related to a partial repurchase of our 2023 Notes. See "Note 10 - Convertible Senior Notes, Net" for full discussion of this transaction.

We believe it is useful to our investors to present Distributable Earnings prior to net realized loss on investments and realized gain on extinguishment of debt to reflect our operating results because (i) our operating results are primarily comprised of earning interest income on our investments net of borrowing and administrative costs, which comprise our ongoing operations and (ii) it has been a useful factor related to our dividend per share because it is one of the considerations when a dividend is determined. We believe that our investors use Distributable Earnings and Distributable Earnings prior to net realized loss on investments and realized gain on extinguishment of debt, or a comparable supplemental performance measure, to evaluate and compare the performance of our company and our peers.

A significant limitation associated with Distributable Earnings as a measure of our financial performance over any period is that it excludes unrealized gains (losses) from investments. In addition, our presentation of Distributable Earnings may not be comparable to similarly-titled measures of other companies, that use different calculations. As a result, Distributable Earnings

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should not be considered as a substitute for our GAAP net income as a measure of our financial performance or any measure of our liquidity under GAAP. Distributable Earnings are reduced for realized losses on loans which include losses that management believes are near certain to be realized.

The table below summarizes the reconciliation from net income available to common stockholders to Distributable Earnings and Distributable Earnings prior to net realized loss on investments and realized gain on extinguishment of debt ($ in thousands):

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Net income available to common stockholders	$	43,003	$	179,962	$	2,383	$	260,015
Adjustments:
Equity-based compensation expense	4,356		4,518		13,091		13,734
Gain on foreign currency forwards	(39,490)		(129,252)		(8,239)		(257,227)
Foreign currency loss, net	44,165		92,782		3,974		210,138
Unrealized loss (gain) on interest rate cap	70		(1,044)		9,211		(10,808)
Realized gains relating to interest income on foreign currency hedges, net	2,594		2,908		9,668		8,020
Realized gains relating to forward points on foreign currency hedges, net	2,784		1,545		8,461		8,168
Depreciation and amortization on real estate owned	1,020		—		7,208		704
Increase (decrease) in current expected credit loss allowance, net	(5,833)		(55,564)		60,205		(37,897)
Realized gain on extinguishment of debt	(30)		—		(495)		—
Net realized (gain) loss on investments	—		(43,577)		86,604		(43,577)
Total adjustments:	9,636		(127,684)		189,688		(108,745)
Distributable Earnings prior to net realized loss on investments and realized gain on extinguishment of debt	$	52,639	$	52,278	$	192,071	$	151,270
Net realized gain (loss) on investments	$	—	$	43,577	$	(86,604)	$	43,577
Realized gain on extinguishment of debt	30		—		495		—
Distributable Earnings	$	52,669	$	95,855	$	105,962	$	194,847
Diluted Distributable Earnings per share prior to net realized loss on investments and realized gain on extinguishment of debt	$	0.37	$	0.37	$	1.33	$	1.06
Diluted Distributable Earnings per share of common stock	$	0.37	$	0.67	$	0.73	$	1.36
Weighted-average diluted shares - Distributable Earnings	144,182,693		143,162,413		144,222,007		143,194,755

Book Value Per Share    

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

	September 30, 2023		December 31, 2022
Stockholders' Equity	$	2,211,782	$	2,354,504
Series B-1 Preferred Stock (Liquidation Preference)	$	(169,260)	$	(169,260)
Common Stockholders' Equity	$	2,042,522	$	2,185,244
Common Stock	141,353,133		140,595,995
Book value per share	$	14.45	$	15.54

The table below shows the changes in our book value per share:

	Book value per share
Book value per share at December 31, 2022	$	15.54
General CECL Allowance and depreciation and amortization	0.24

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Book value per share at December 31, 2022 prior to General CECL Allowance	$	15.78
Diluted Distributable Earnings per share prior to net realized loss on investments and realized gain on extinguishment of debt	1.33
Common dividends declared	(1.05)
Net realized loss on investments	(0.61)
Net increase in Specific CECL Allowance	(0.42)
Net loss on currency and interest rate hedges(1)	(0.16)
Other	0.01
Vesting and delivery of RSUs	(0.14)
Book value per share at September 30, 2023 prior to General CECL Allowance and depreciation and amortization	$	14.74
General CECL Allowance and depreciation and amortization	(0.29)
Book value per share at September 30, 2023	$	14.45

(1)Includes net unrealized loss on forward currency contracts and interest hedges, and realized gain on forward currency contracts related to principal outside impact of forward points.

We believe that presenting book value per share with sub-totals prior to the CECL Allowances and depreciation and amortization is useful for investors for various reasons, including, among other things, analyzing our compliance with financial covenants related to tangible net worth and debt-to-equity under our secured debt arrangements and senior secured term loan, which permit us to add the General CECL Allowance to our GAAP stockholders' equity. Given that our lenders consider book value per share prior to the General CECL Allowance as an important metric related to our debt covenants, we believe disclosing book value per share prior to the General CECL Allowance is important to investors such that they have the same visibility. We further believe that presenting book value before depreciation and amortization is useful to investors since it is a non-cash expense included in net income and is not representative of our core business and ongoing operations.

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Item 3. Quantitative and Qualitative Disclosures About Market Risk

We seek to manage our risks related to the credit quality of our assets, interest rates, liquidity, prepayment speeds, and market value, while, at the same time, seeking to provide an opportunity to stockholders to realize attractive risk-adjusted returns through ownership of our capital stock. While risks are inherent in any business enterprise, we seek to quantify and justify risks in light of available returns and to maintain capital levels consistent with the risks we undertake.

Credit Risk

One of our strategic focuses is acquiring assets that we believe to be of high credit quality. We believe this strategy will generally keep our credit losses and financing costs low. However, we are subject to varying degrees of credit risk in connection with our other target assets. We seek to mitigate this risk by seeking to acquire high quality assets, at appropriate prices given anticipated and unanticipated losses, and by deploying a value-driven approach to underwriting and diligence, consistent with the Manager’s historical investment strategy, with a focus on current cash flows and potential risks to cash flow. The Manager seeks to enhance its due diligence and underwriting efforts by accessing the Manager’s knowledge base and industry contacts. Nevertheless, unanticipated credit losses could occur, which could adversely impact our operating results.

Interest Rate Risk

Interest rates are highly sensitive to many factors, including fiscal and monetary policies, and domestic and international economic and political considerations, as well as other factors beyond our control. We are subject to interest rate risk in connection with our target assets and our related financing obligations.

To the extent consistent with maintaining our REIT qualification, we seek to manage risk exposure to protect our portfolio of financial assets against the effects of major interest rate changes. We generally seek to manage this risk by:

•attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;

•using hedging instruments and interest rate swaps, when we deem appropriate; and

•to the extent available and appropriate, using securitization financing to better match the maturity of our financing with the duration of our assets.

The following table estimates the hypothetical impact on our net interest income for the twelve-month period following September 30, 2023, assuming an immediate increase or decrease of 50 basis points in the applicable interest rate benchmark by currency ($ in thousands, except per share data):

			50 basis point increase				50 basis point decrease
Currency	Net floating rate assets subject to interest rate sensitivity		Increase to net interest income (1)(2)		Increase to net interest income (per share) (1)(2)		Decrease to net interest income (1)(2)		Decrease to net interest income (per share) (1)(2)
USD	$	224,500	$	1,122	$	0.01	$	(1,122)	$	(0.01)
GBP	797,414		2,276		0.02		(2,276)		(0.02)
EUR	326,786		1,634		0.01		(1,634)		(0.01)
SEK	47,276		236		—		(236)		—
Total:	$	1,395,976	$	5,268	$	0.04	$	(5,268)	$	(0.04)

    

———————

(1)Any such hypothetical impact on interest rates on our variable rate borrowings does not consider the effect of any change in overall economic activity that could occur in a rising or falling interest rate environment. Further, in the event of a change in interest rates of that magnitude, we may take actions to further mitigate our exposure to such a change. However, due to the uncertainty of the specific actions that would be taken and their possible effects, this analysis assumes no changes in our financial structure.

(2)Certain of our floating rate loans are subject to index floors.

Prepayment Risk

Prepayment risk is the risk that principal will be repaid at a different rate than anticipated, causing the return on an asset to be less than expected. In certain cases, we adapt to prepayment risk by stating prepayment penalties in loan agreements.

Market Risk

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Commercial mortgage assets are subject to volatility and may be affected adversely by a number of factors, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns and other factors); local real estate conditions; changes or continued weakness in specific industry segments; construction quality, age and design; demographic factors; retroactive changes to building or similar codes; pandemics; natural disasters and other acts of god. In addition, decreases in property values reduce the value of the collateral and the potential proceeds available to a borrower to repay the underlying loans or loans, as the case may be, which could also cause us to suffer losses. Market volatility has been particularly heightened due to the COVID-19 pandemic. COVID-19 and its variants have disrupted economic activities and could have a continued significant adverse effect on economic and market conditions including rising inflation, increases in interest rates, limited lending from financial institutions, depressed asset values, and limited market liquidity.

Inflation

Virtually all of our assets and liabilities are interest rate sensitive in nature. As a result, interest rates and other factors influence our performance far more so than does inflation. Changes in interest rates do not necessarily correlate with inflation rates or changes in inflation rates. Our financial statements are prepared in accordance with GAAP and distributions are determined by our board of directors consistent with our obligation to distribute to our stockholders at least 90% of our REIT taxable income, excluding net capital gains and determined without regard to the dividends paid deduction, on an annual basis in order to maintain our REIT qualification. In each case, our activities and balance sheets are measured with reference to historical cost and/or fair market value without considering inflation.

Currency Risk

Some of our loans and secured debt arrangements are denominated in a foreign currency and subject to risks related to fluctuations in currency rates. We seek to mitigate this exposure through foreign currency forward contracts, which match the net principal and interest of our foreign currency loans and secured debt arrangements.

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Item 4. Controls and Procedures.

Evaluation of Disclosure Controls and Procedures

Our Chief Executive Officer and Chief Financial Officer, based on their evaluation of our disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) required by paragraph (b) of Rule 13a-15 or Rule 15d-15, have concluded that as of the end of the period covered by this report, our disclosure controls and procedures were effective to give reasonable assurances to the timely collection, evaluation and disclosure of information relating to our company that would potentially be subject to disclosure under the Exchange Act, and the rules and regulations promulgated thereunder.

During the period ended September 30, 2023, there was no change in our internal control over financial reporting that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

Notwithstanding the foregoing, a control system, no matter how well designed and operated, can provide only reasonable, not absolute, assurance that it will detect or uncover failures within our company to disclose material information otherwise required to be set forth in our periodic reports.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. Refer to "Note 18 - Commitments and Contingencies" for further detail regarding legal proceedings.

Item 1A. Risk Factors

For information regarding factors that could affect our results of operations, financial condition and liquidity, see the risk factors discussed in "Item 1A. Risk Factors" in our Annual Report on Form 10-K.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

Not Applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not Applicable.

Item 5. Other Information

None.

Item 6. Exhibits and Financial Statement Schedules.

3.1	Articles of Amendment and Restatement of Apollo Commercial Real Estate Finance, Inc., incorporated by reference to Exhibit 3.1 of the Registrant’s Form S-11, as amended (Registration No. 333-160533).
3.2	By-laws of Apollo Commercial Real Estate Finance, Inc., incorporated by reference to Exhibit 3.3 of the Registrant’s Form S-4 (Registration No. 333-210632).
3.3	Articles Supplementary designating Apollo Commercial Real Estate Finance, Inc.'s 7.25% Series B-1 Cumulative Redeemable Perpetual Preferred Stock, liquidation preference $25.00 per share, par value $0.01 per share, incorporated by reference to Exhibit 3.1 of the Registrant's Form 8-K filed on July 20, 2021 (File No.: 001-34452).

56

4.1	Specimen Stock Certificate of Apollo Commercial Real Estate Finance, Inc., incorporated by reference to Exhibit 4.1 of the Registrant’s Form S-11, as amended (Registration No. 333-160533).
4.2	Indenture, dated as of March 17, 2014, between the Registrant and Wells Fargo Bank, National Association, as Trustee, incorporated by reference to Exhibit 4.1 of the Registrant’s Form 8-K filed on March 21, 2014 (File No.: 001-34452).
4.3	Second Supplemental Indenture, dated as of August 21, 2017, between the Registrant and Wells Fargo Bank, National Association, as Trustee (including the form of 4.75% Convertible Senior Note due 2022), incorporated by reference to Exhibit 4.2 of the Registrant’s Form 8-K filed on August 21, 2017 (File No.: 001-34452).
4.4	Third Supplemental Indenture, dated as of October 5, 2018 between the Registrant and Wells Fargo Bank, National Association, as Trustee (including the form of 5.375% Convertible Senior Note due 2023), incorporated by reference to Exhibit 4.2 of the Registrant's Form 8-K filed on October 5, 2018 (File No.: 001-34452).
4.5	Indenture dated as of June 29, 2021, by and among Apollo Commercial Real Estate Finance, Inc., as issuer, ACREFI Operating, LLC, ARM Operating, LLC and ACREFI Mortgage Lending, LLC, as guarantors, Wells Fargo Bank, National Association, as trustee and notes collateral agent (including the form of Apollo Commercial Real Estate Finance, Inc.’s 4.625% Senior Secured Notes due 2029), incorporated by reference to Exhibit 4.1 of the Registrant's Form 8-K filed on July 6, 2021 (File No.: 001-34452).
31.1*	Certification of Principal Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2*	Certification of Principal Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1*	Certification of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of 18 U.S.C. Section 1350 as adopted pursuant to the Sarbanes-Oxley Act of 2002.
101.INS*	Inline XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document
101.SCH*	Inline XBRL Taxonomy Extension Schema
101.CAL*	Inline XBRL Taxonomy Extension Calculation Linkbase
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101.LAB*	Inline XBRL Taxonomy Extension Label Linkbase
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* Filed herewith.

57

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

	Apollo Commercial Real Estate Finance, Inc.
October 30, 2023	By:	/s/ Stuart A. Rothstein
		Stuart A. Rothstein
		President and Chief Executive Officer (Principal Executive Officer)
October 30, 2023	By:	/s/ Anastasia Mironova
		Anastasia Mironova
		Chief Financial Officer, Treasurer and Secretary (Principal Financial Officer and Principal Accounting Officer)

58

EX-31.1

Exhibit 31.1

CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

I, Stuart A. Rothstein, certify that:

1.I have reviewed this quarterly report on Form 10-Q of Apollo Commercial Real Estate Finance, Inc.;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: October 30, 2023	By:	/s/ Stuart A. Rothstein
	Name:	Stuart A. Rothstein
	Title:	President and Chief Executive Officer

EX-31.2

Exhibit 31.2

CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER

I, Anastasia Mironova, certify that:

1.I have reviewed this quarterly report on Form 10-Q of Apollo Commercial Real Estate Finance, Inc.;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: October 30, 2023	By:	/s/ Anastasia Mironova
	Name:	Anastasia Mironova
	Title:	Chief Financial Officer, Treasurer and Secretary

EX-32.1

Exhibit 32.1

CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

AND PRINCIPAL FINANCIAL OFFICER PURSUANT TO

18 U.S. C. SECTION 1350

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

The undersigned, the President and Chief Executive Officer of Apollo Commercial Real Estate Finance, Inc. (the "Company"), hereby certifies on the date hereof, pursuant to 18 U.S.C. 1350(a), as adopted pursuant to Section 906 of The Sarbanes-Oxley Act of 2002, that the Quarterly Report on Form 10-Q for the period ended September 30, 2023 (the "Form 10-Q"), filed concurrently herewith by the Company, fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: October 30, 2023	By:	/s/ Stuart A. Rothstein
	Name:	Stuart A. Rothstein
	Title:	President and Chief Executive Officer

The undersigned, the Chief Financial Officer, Treasurer and Secretary of Apollo Commercial Real Estate Finance, Inc. (the "Company"), hereby certifies on the date hereof, pursuant to 18 U.S.C. 1350(a), as adopted pursuant to Section 906 of The Sarbanes-Oxley Act of 2002, that the Quarterly Report on Form 10-Q for the period ended September 30, 2023 (the "Form 10-Q"), filed concurrently herewith by the Company, fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: October 30, 2023	By:	/s/ Anastasia Mironova
	Name:	Anastasia Mironova
	Title:	Chief Financial Officer, Treasurer and Secretary

Pursuant to the Securities and Exchange Commission Release 33-8238, dated June 5, 2003, this certification is being furnished and shall not be deemed filed by the Company for purposes of Section 18 of the Securities Exchange Act of 1934, as amended or incorporated by reference in any registration statement of the Company filed under the Securities Act of 1933, as amended.

A signed original of this written statement required by Section 906 has been provided to the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.

XML

Cover Page - shares	9 Months Ended
	Sep. 30, 2023	Oct. 27, 2023
Cover [Abstract]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2023
Document Transition Report	false
Entity File Number	001-34452
Entity Registrant Name	Apollo Commercial Real Estate Finance, Inc.
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	27-0467113
Entity Address, Address Line One	9 West 57th Street
Entity Address, Address Line Two	42nd Floor
Entity Address, City or Town	New York
Entity Address, State or Province	NY
Entity Address, Postal Zip Code	10019
City Area Code	212
Local Phone Number	515–3200
Title of 12(b) Security	Common Stock, $0.01 par value
Trading Symbol	ARI
Security Exchange Name	NYSE
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Small Business Entity	false
Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		141,358,605
Amendment Flag	false
Document Fiscal Year Focus	2023
Document Fiscal Period Focus	Q3
Entity Central Index Key	0001467760
Current Fiscal Year End Date	--12-31

XML

Condensed Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022
Assets:
Cash and cash equivalents		$ 307,845	$ 222,030
Total carrying value, net		7,974,031	8,681,990
Real estate owned, held for investment, net (net of $9,363 accumulated depreciation in 2023)		495,299	302,688
Other assets		206,578	70,607
Assets related to real estate owned, held for sale		79,188	162,397
Derivative assets, net		94,037	128,640
Total Assets		9,156,978	9,568,352
Liabilities:
Convertible senior notes, net		176,018	229,361
Accounts payable, accrued expenses and other liabilities	[1]	202,901	227,360
Debt related to real estate owned, held for investment, net		161,245	160,294
Participations sold		0	25,130
Total Liabilities		6,945,196	7,213,848
Commitments and Contingencies (see Note 18)
Stockholders’ Equity:
Preferred stock, $0.01 par value, 50,000,000 shares authorized, Series B-1, 6,770,393 shares issued and outstanding ($169,260 liquidation preference) in 2023 and 2022 (see Note 17)		68	68
Common stock, $0.01 par value, 450,000,000 shares authorized, 141,353,133 and 140,595,995 shares issued and outstanding in 2023 and 2022, respectively		1,414	1,406
Additional paid-in-capital		2,723,170	2,716,907
Accumulated deficit		(512,870)	(363,877)
Total Stockholders’ Equity		2,211,782	2,354,504
Total Liabilities and Stockholders’ Equity		9,156,978	9,568,352
Related Party
Liabilities:
Payable to related party		9,515	9,728
Secured Debt
Liabilities:
Secured debt arrangements, net		5,135,855	5,296,825
Senior secures term loans and notes, net		760,381	763,813
Senior Notes
Liabilities:
Senior secures term loans and notes, net		495,437	494,844
Mortgages
Liabilities:
Secured debt arrangements, net		3,844	6,493
Debt related to real estate owned, held for investment, net		161,200	160,300
Commercial Mortgage Portfolio Segment
Assets:
Total carrying value, net	[2],[3]	7,561,254	8,121,109
Liabilities:
Participations sold		0	25,130
Subordinate Mortgage Portfolio Segment
Assets:
Total carrying value, net	[3],[4]	$ 412,777	$ 560,881

[1] Includes $3,972 and $4,347 of General CECL Allowance related to unfunded commitments on commercial mortgage loans, subordinate loans and other lending assets, net in 2023 and 2022, respectively.

[2] Includes $7,203,350 and $7,482,658 pledged as collateral under secured debt arrangements in 2023 and 2022, respectively.

[3] Net of $220,305 and $159,724 CECL Allowance in 2023 and 2022, respectively, comprised of $193,000 and $133,500 Specific CECL Allowance and $27,305 and $26,224 General CECL Allowance, respectively.

[4] Includes $213,139 and $191,608 pledged as collateral under secured debt arrangements in 2023 and 2022, respectively.

XML

Condensed Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Real estate owned, accumulated depreciation	$ 9,363
Preferred stock, par value (in dollars per share)	$ 0.01	$ 0.01
Preferred stock, shares authorized	50,000,000	50,000,000
Preferred stock, liquidation preference	$ 169,260	$ 169,260
Common stock, par value (in dollars per share)	$ 0.01	$ 0.01
Common stock, shares authorized	450,000,000	450,000,000
Common stock, shares issued	141,353,133	140,595,995
Common stock, shares outstanding	141,353,133	140,595,995
Financing receivable, pledged status	Asset Pledged as Collateral [Member]	Asset Pledged as Collateral [Member]
CECL allowance	$ 220,305	$ 159,724
Financing receivable, allowance for credit loss, excluding accrued interest	193,000	133,500
Loan specific reserves	27,305	26,224
General CECL allowance on unfunded commitments	$ 3,972	$ 4,347
Series B-1 Preferred Stock
Preferred stock, shares outstanding	6,770,393	6,770,393
Preferred stock, shares issued	6,770,393	6,770,393
Commercial Mortgage Portfolio Segment
Specific CECL Allowance	$ 7,203,350	$ 7,482,658
Subordinate Mortgage Portfolio Segment
Specific CECL Allowance	$ 213,139	$ 191,608

XML

Condensed Consolidated Statement of Operations (Unaudited) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Net interest income:
Interest income from commercial mortgage loans	$ 180,441	$ 120,821	$ 520,712	$ 304,631
Interest income from subordinate loans and other lending assets	1,599	13,354	16,416	43,719
Interest expense	(121,817)	(72,302)	(342,963)	(173,949)
Net interest income	60,223	61,873	194,165	174,401
Revenue from real estate owned operations	20,934	14,428	66,273	42,098
Total net revenue	81,157	76,301	260,438	216,499
Operating expenses:
General and administrative expenses (includes equity-based compensation of $4,356 and $13,091 in 2023 and $4,518 and $13,734 in 2022, respectively)	(7,664)	(7,184)	(22,150)	(21,501)
Operating expenses related to real estate owned	(18,950)	(13,308)	(52,917)	(36,094)
Depreciation and amortization on real estate owned	(1,020)	0	(7,208)	(704)
Total operating expenses	(37,152)	(30,211)	(110,700)	(87,004)
Other income, net	1,465	285	4,537	353
Net realized loss on investment	0	43,577	(86,604)	43,577
Realized gain on extinguishment of debt	30	0	495	0
Decrease (increase) in current expected credit loss allowance, net	5,833	55,564	(60,205)	37,897
Foreign currency translation loss	(44,165)	(92,782)	(3,974)	(210,138)
Net income before taxes	46,588	183,030	12,104	269,219
Income tax provision	(517)	0	(517)	0
Net income	46,071	183,030	11,587	269,219
Preferred dividends	(3,068)	(3,068)	(9,204)	(9,204)
Net income available to common stockholders	$ 43,003	$ 179,962	$ 2,383	$ 260,015
Net income per share of common stock:
Basic (in dollars per share)	$ 0.30	$ 1.27	$ 0	$ 1.83
Diluted (in dollars per share)	$ 0.30	$ 1.13	$ 0	$ 1.66
Basic weighted-average shares of common stock outstanding	141,350,428	140,594,987	141,255,730	140,513,957
Diluted weighted-average shares of common stock outstanding	141,350,428	164,350,132	141,255,730	169,252,602
Dividend declared per share of common stock (in dollars per share)	$ 0.35	$ 0.35	$ 1.05	$ 1.05
Related Party
Operating expenses:
Management fees to related party	$ (9,518)	$ (9,719)	$ (28,425)	$ (28,705)
Foreign Exchange Forward
Operating expenses:
Gain (loss) on sale of derivatives	39,490	129,252	8,239	257,227
Interest rate cap and swaps
Operating expenses:
Gain (loss) on sale of derivatives	$ (70)	$ 1,044	$ (122)	$ 10,808

XML

Condensed Consolidated Statement of Operations (Unaudited) (Parenthetical) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
General and administrative expenses, equity-based compensation	$ 4,356	$ 4,518	$ 13,091	$ 13,734
Foreign currency forward, net
Unrealized gain (loss) on derivatives	28,244	108,428	(27,709)	221,623
Interest rate cap and swaps
Unrealized gain (loss) on derivatives	$ (70)	$ 1,044	$ (9,211)	$ 10,808

XML

Consolidated Statement of Changes in Stockholders’ Equity (Unaudited) - USD ($) $ in Thousands	Total	Adjustment due to Adoption of ASU	[1]	Preferred Stock	Common Stock	Additional Paid-In-Capital	Additional Paid-In-Capital Adjustment due to Adoption of ASU	[1]	Accumulated Deficit	Accumulated Deficit Adjustment due to Adoption of ASU	[1]
Stockholders' equity, beginning balance (in shares) at Dec. 31, 2021				6,770,393
Stockholders' equity, beginning balance at Dec. 31, 2021	$ 2,294,626	$ (3,416)		$ 68	$ 1,399	$ 2,721,042	$ (15,408)		$ (427,883)	$ 11,992
Stockholders' equity, beginning balance (in shares) at Dec. 31, 2021					139,894,060
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Accounting standards update	Accounting Standards Update 2020-06 [Member]
Capital increase (decrease) related to Equity Incentive Plan (in shares)					647,349
Capital increase (decrease) related to Equity Incentive Plan	$ (2,274)				$ 6	(2,280)
Net income (loss)	15,238								15,238
Dividends declared on preferred stock -	(3,068)								(3,068)
Dividends declared on common stock -	(50,088)								(50,088)
Stockholders' equity, ending balance (in shares) at Mar. 31, 2022					140,541,409
Stockholders' equity, ending balance at Mar. 31, 2022	2,251,018			$ 68	$ 1,405	2,703,354			(453,809)
Stockholders' equity, ending balance (in shares) at Mar. 31, 2022				6,770,393
Stockholders' equity, beginning balance (in shares) at Dec. 31, 2021				6,770,393
Stockholders' equity, beginning balance at Dec. 31, 2021	2,294,626	$ (3,416)		$ 68	$ 1,399	2,721,042	$ (15,408)		(427,883)	$ 11,992
Stockholders' equity, beginning balance (in shares) at Dec. 31, 2021					139,894,060
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	269,219
Stockholders' equity, ending balance (in shares) at Sep. 30, 2022					140,595,995
Stockholders' equity, ending balance at Sep. 30, 2022	2,407,685			$ 68	$ 1,406	2,712,390			(306,179)
Stockholders' equity, ending balance (in shares) at Sep. 30, 2022				6,770,393
Stockholders' equity, beginning balance (in shares) at Mar. 31, 2022				6,770,393
Stockholders' equity, beginning balance at Mar. 31, 2022	2,251,018			$ 68	$ 1,405	2,703,354			(453,809)
Stockholders' equity, beginning balance (in shares) at Mar. 31, 2022					140,541,409
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Capital increase (decrease) related to Equity Incentive Plan (in shares)					49,434
Capital increase (decrease) related to Equity Incentive Plan	4,519				$ 1	4,518
Net income (loss)	70,951								70,951
Dividends declared on preferred stock -	(3,068)								(3,068)
Dividends declared on common stock -	(50,108)								(50,108)
Stockholders' equity, ending balance (in shares) at Jun. 30, 2022					140,590,843
Stockholders' equity, ending balance at Jun. 30, 2022	2,273,312			$ 68	$ 1,406	2,707,872			(436,034)
Stockholders' equity, ending balance (in shares) at Jun. 30, 2022				6,770,393
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Capital increase (decrease) related to Equity Incentive Plan (in shares)					5,152
Capital increase (decrease) related to Equity Incentive Plan	4,518					4,518
Net income (loss)	183,030								183,030
Dividends declared on preferred stock -	(3,068)								(3,068)
Dividends declared on common stock -	(50,107)								(50,107)
Stockholders' equity, ending balance (in shares) at Sep. 30, 2022					140,595,995
Stockholders' equity, ending balance at Sep. 30, 2022	2,407,685			$ 68	$ 1,406	2,712,390			(306,179)
Stockholders' equity, ending balance (in shares) at Sep. 30, 2022				6,770,393
Stockholders' equity, beginning balance (in shares) at Dec. 31, 2022				6,770,393
Stockholders' equity, beginning balance at Dec. 31, 2022	$ 2,354,504			$ 68	$ 1,406	2,716,907			(363,877)
Stockholders' equity, beginning balance (in shares) at Dec. 31, 2022	140,595,995				140,595,995
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Capital increase (decrease) related to Equity Incentive Plan (in shares)					670,044
Capital increase (decrease) related to Equity Incentive Plan	$ (2,345)				$ 7	(2,352)
Net income (loss)	48,916								48,916
Dividends declared on preferred stock -	(3,068)								(3,068)
Dividends declared on common stock -	(50,446)								(50,446)
Stockholders' equity, ending balance (in shares) at Mar. 31, 2023					141,266,039
Stockholders' equity, ending balance at Mar. 31, 2023	2,347,561			$ 68	$ 1,413	2,714,555			(368,475)
Stockholders' equity, ending balance (in shares) at Mar. 31, 2023				6,770,393
Stockholders' equity, beginning balance (in shares) at Dec. 31, 2022				6,770,393
Stockholders' equity, beginning balance at Dec. 31, 2022	$ 2,354,504			$ 68	$ 1,406	2,716,907			(363,877)
Stockholders' equity, beginning balance (in shares) at Dec. 31, 2022	140,595,995				140,595,995
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	$ 11,587
Stockholders' equity, ending balance (in shares) at Sep. 30, 2023	141,353,133				141,353,133
Stockholders' equity, ending balance at Sep. 30, 2023	$ 2,211,782			$ 68	$ 1,414	2,723,170			(512,870)
Stockholders' equity, ending balance (in shares) at Sep. 30, 2023				6,770,393
Stockholders' equity, beginning balance (in shares) at Mar. 31, 2023				6,770,393
Stockholders' equity, beginning balance at Mar. 31, 2023	2,347,561			$ 68	$ 1,413	2,714,555			(368,475)
Stockholders' equity, beginning balance (in shares) at Mar. 31, 2023					141,266,039
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Capital increase (decrease) related to Equity Incentive Plan (in shares)					77,138
Capital increase (decrease) related to Equity Incentive Plan	4,365					4,365
Net income (loss)	(83,400)								(83,400)
Dividends declared on preferred stock -	(3,068)								(3,068)
Dividends declared on common stock -	(50,467)								(50,467)
Stockholders' equity, ending balance (in shares) at Jun. 30, 2023					141,343,177
Stockholders' equity, ending balance at Jun. 30, 2023	2,214,991			$ 68	$ 1,413	2,718,920			(505,410)
Stockholders' equity, ending balance (in shares) at Jun. 30, 2023				6,770,393
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Capital increase (decrease) related to Equity Incentive Plan (in shares)					9,956
Capital increase (decrease) related to Equity Incentive Plan	4,251				$ 1	4,250
Net income (loss)	46,071								46,071
Dividends declared on preferred stock -	(3,068)								(3,068)
Dividends declared on common stock -	$ (50,463)								(50,463)
Stockholders' equity, ending balance (in shares) at Sep. 30, 2023	141,353,133				141,353,133
Stockholders' equity, ending balance at Sep. 30, 2023	$ 2,211,782			$ 68	$ 1,414	$ 2,723,170			$ (512,870)
Stockholders' equity, ending balance (in shares) at Sep. 30, 2023				6,770,393

[1] Refer to "Note 10 - Convertible Senior Notes, Net" for detail

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Consolidated Statement of Changes in Stockholders’ Equity (Unaudited) (Parenthetical) - $ / shares	3 Months Ended						9 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022
Statement of Stockholders' Equity [Abstract]
Dividends declared on preferred stock (in dollars per share)	$ 0.45	$ 0.45	$ 0.45	$ 0.45	$ 0.45	$ 0.45
Dividends declared on common stock (in dollars per share)	$ 0.35	$ 0.35	$ 0.35	$ 0.35	$ 0.35	$ 0.35	$ 1.05	$ 1.05

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Condensed Consolidated Statement of Cash Flows (Unaudited) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022
Cash flows provided by operating activities:
Net income (loss)	$ 11,587	$ 269,219
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of discount/premium and payment-in-kind interest	(24,928)	(39,828)
Amortization of deferred financing costs	11,609	8,582
Equity-based compensation	13,091	13,734
Increase in current expected credit loss allowance, net	60,205	(37,897)
Foreign currency loss	21,027	199,587
Depreciation and amortization on real estate owned	7,208	704
Realized gain on extinguishment of debt	(495)	0
Net realized loss on investment	86,604	(43,577)
Changes in operating assets and liabilities:
Proceeds received from payment-in-kind interest	15,407	83,731
Other assets	(2,092)	(24,149)
Payment for interest rate cap	(2,317)	0
Accounts payable, accrued expenses and other liabilities	9,404	27,454
Payable to related party	(213)	(11)
Net cash provided by operating activities	243,017	225,118
Cash flows used in investing activities:
New funding of commercial mortgage loans	(181,017)	(2,753,609)
Add-on funding of commercial mortgage loans	(264,769)	(407,063)
Increase (decrease) in collateral related to derivative contracts, net	(39,360)	255,110
Add-on funding of subordinate loans and other lending assets	(77,027)	(85,964)
Capital expenditures on real estate assets	(47,187)	(21,160)
Proceeds received from the repayment and sale of commercial mortgage loans	749,716	1,316,431
Proceeds received from the repayment of subordinate loans and other lending assets	75,170	129,760
Origination and exit fees received on commercial mortgage loans, and subordinate loans and other lending assets, net	9,191	42,779
Cash received from hotel title assumption	569	0
Net cash provided by (used in) investing activities	225,286	(1,523,716)
Cash flows provided by financing activities:
Proceeds from secured debt arrangements	356,333	2,770,405
Repayments of secured debt arrangements	(508,245)	(1,118,630)
Repayments of senior secured term loan principal	(6,000)	(6,000)
Repayments and repurchases of convertible notes	(53,442)	(345,000)
Proceeds related to financing on real estate owned	0	164,835
Payment of deferred financing costs	(7,189)	(15,333)
Payment of withholding tax on RSU delivery	(6,820)	(6,972)
Dividends on common stock	(151,556)	(150,467)
Dividends on preferred stock	(9,204)	(9,204)
Net cash provided by (used in) financing activities	(386,123)	1,283,634
Cash, Cash Equivalents, Restricted Cash, and Restricted Cash Equivalents, Period Increase (Decrease), Excluding Exchange Rate Effect	82,180	(14,964)
Decrease (increase) in cash classified within assets related to real estate owned, held for sale	3,376	(5,858)
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents, Period Increase (Decrease), Including Cash Classified Within Real Estate Owned, Held for Sale, Excluding Exchange Rate Effect	85,556	(20,822)
Cash and cash equivalents, beginning of period	222,030	343,106
Effects of foreign currency translation on cash and cash equivalents	259	(3,020)
Cash and cash equivalents, end of period	307,845	319,264
Supplemental disclosure of cash flow information:
Interest paid	316,819	151,348
Income tax paid	795	0
Supplemental disclosure of non-cash financing activities:
Dividend declared, not yet paid	53,531	53,175
Change in participation sold	(25,130)	(4,368)
Change in loan proceeds held by servicer	129,670	5,871
Assumption of real estate	75,000	270,035
Assumption of other assets related to real estate owned	2,827	0
Assumption of accounts payable, accrued expenses and other liabilities related to real estate owned	(3,396)	0
Transfer of assets to assets related to real estate owned, held for sale	79,021	(156,201)
Transfer of assets related to real estate owned, held for sale to assets related to real estate owned held for investment, net	151,676	0
Transfer of assets related to real estate owned, held for sale to other assets	4,357	0
Transfer of liabilities to liabilities related to real estate owned, held for sale	1,438	6,116
Transfer of liabilities related to real estate owned, held for sale to accounts payable, accrued expenses and other liabilities	7,163	0
Foreign Exchange Forward
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Unrealized loss on foreign currency contracts	27,709	(221,623)
Interest rate cap and swaps
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Unrealized loss on foreign currency contracts	$ 9,211	$ (10,808)

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Organization

9 Months Ended

Sep. 30, 2023

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Organization

Organization

Apollo Commercial Real Estate Finance, Inc. (together with its consolidated subsidiaries, is referred to throughout this report as the "Company," "ARI," "we," "us" and "our") is a corporation that has elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes and primarily originates, acquires, invests in and manages performing commercial first mortgage loans, subordinate financings, and other commercial real estate related debt investments. These asset classes are referred to as our target assets.

We were formed in Maryland on June 29, 2009, commenced operations on September 29, 2009 and are externally managed and advised by ACREFI Management, LLC (the "Manager"), an indirect subsidiary of Apollo Global Management, Inc. (together with its subsidiaries, "Apollo").

We elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, commencing with the taxable year ended December 31, 2009. To maintain our tax qualification as a REIT, we are required to distribute at least 90% of our taxable income, excluding net capital gains, to stockholders and meet certain other asset, income, and ownership tests.

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Summary of Significant Accounting Policies

9 Months Ended

Sep. 30, 2023

Accounting Policies [Abstract]

Summary of Significant Accounting Policies

Summary of Significant Accounting Policies

Basis of Presentation

The accompanying condensed consolidated financial statements include our accounts and those of our consolidated subsidiaries. All intercompany amounts have been eliminated. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Our most significant estimates include current expected credit loss ("CECL") allowances. Actual results may differ from estimates.

These unaudited condensed consolidated financial statements have been prepared in accordance with the instructions to Form 10-Q and should be read in conjunction with the consolidated financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended December 31, 2022 ("Annual Report"), as filed with the Securities and Exchange Commission (the "SEC"). In the opinion of management, all adjustments (consisting only of normal recurring adjustments) necessary to present fairly our financial position, results of operations and cash flows have been included. Our results of operations for the three and nine months ended September 30, 2023 are not necessarily indicative of the results to be expected for the full year or any other future period.

We currently operate in one reporting segment.

Risks and Uncertainties

Although more normalized activities have resumed and there has been improved global economic activity due to global and domestic vaccination efforts, there are still various uncertainties around the impact coronavirus ("COVID-19") and its variants had and will continue to have on our business and the economy as a whole, including longer-term macroeconomic effects on supply chains, inflation and labor shortages. For example, in response to recent inflationary pressure, the U.S. Federal Reserve and other global central banks have raised interest rates in 2022 and 2023. We believe the estimates used in preparing our financial statements and related footnotes are reasonable and supportable based on the best information available to us as of September 30, 2023.

Recent Accounting Pronouncements

In March 2020, the Financial Accounting Standards Board ("FASB") issued ASU 2020-04 "Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting" ("ASU 2020-04"). ASU 2020-04 provides optional expedients and exceptions for applying GAAP to debt instruments, derivatives, and other contracts that reference London Interbank Offered Rate ("LIBOR") or other reference rates expected to be discontinued as a result of reference rate reform. In December 2022, the FASB issued ASU 2022-06 "Reference Rate Reform (Topic 848): Deferral of Sunset Date of Topic 848 ("ASU 2022-06") which deferred the sunset date to December 31, 2024. As prescribed by the optional expedients within ASU 2020-04, we have accounted for applicable modified contracts that incorporate alternative benchmarks as if they are not substantially different. We will continue to apply such expedients or exceptions related to modifications for certain of our commercial mortgage loans and debt agreements as a result of reference rate reform. The application of ASU 2020-04 has not had a material impact, nor is it expected to have a material impact, on our consolidated financial statements.

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Fair Value Disclosure

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Fair Value Disclosure

Fair Value Disclosure

GAAP establishes a hierarchy of valuation techniques based on the observability of the inputs utilized in measuring financial instruments at fair value. Market-based or observable inputs are the preferred source of values, followed by valuation models using management's assumptions in the absence of market-based or observable inputs. The three levels of the hierarchy as noted in Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosures" are described below:

Level I — Quoted prices in active markets for identical assets or liabilities.

Level II — Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used.

While we anticipate that our valuation methods are appropriate and consistent with valuation methods used by other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. We use inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced.

The fair values of foreign exchange ("Fx") forwards are determined by comparing the contracted forward exchange rate to the current market exchange rate. The current market exchange rates are determined by using market spot rates, forward rates and interest rate curves for the underlying countries. Our Fx forwards are classified as Level II in the fair value hierarchy.

The fair value of our interest rate cap is determined by using the market standard methodology of discounting the future expected cash receipts that occur when variable interest rates rise above the strike rate of the interest rate cap. The variable interest rates used in the calculation of projected receipts on the interest rate cap are based on a third-party expert's expectation of future interest rates derived from observable market interest rate curves and volatility. Our interest rate caps are classified as Level II in the fair value hierarchy and manage our exposure to variable cash flows on certain of our borrowings. As of December 31, 2022, we held one interest rate cap related to our term loan. As of September 30, 2023, we held one interest rate cap related to our construction financing which was purchased on September 26, 2023. Refer to Note 5 – Real Estate Owned and Note 11 – Derivatives for further detail.

The following table summarizes the levels in the fair value hierarchy into which our assets and liabilities with recurring fair value measurements were categorized as of September 30, 2023 and December 31, 2022 ($ in thousands): 

	Fair Value as of September 30, 2023								Fair Value as of December 31, 2022
	Level I		Level II		Level III		Total		Level I		Level II		Level III		Total
Recurring fair value measurements:
Foreign currency forward, net	$	—	$	91,790	$	—	$	91,790	$	—	$	119,499	$	—	$	119,499
Interest rate cap asset	—		2,247		—		2,247		—		9,141		—		9,141
Total financial instruments	$	—	$	94,037	$	—	$	94,037	$	—	$	128,640	$	—	$	128,640

Non-recurring Fair Value Measurements

We are required to record real estate owned, a nonfinancial asset, at fair value on a non-recurring basis in accordance with ASC 820. Under ASC 820, we may utilize the income, market or cost approach (or combination thereof) to determine the fair value of real estate owned. We deem the inputs used in these approaches to be significant unobservable inputs. Therefore, we classify the fair value of real estate owned within Level III of the fair value hierarchy.

On March 31, 2023, we acquired legal title of a hotel property in Atlanta, GA ("Atlanta Hotel") through a deed-in-lieu of foreclosure. At the time of acquisition, we determined the fair value of the net real estate assets to be $75.0 million, using a combination of market and income approach. We utilized a discount rate and capitalization rate of 10.5% and 9.5%, respectively. During the three months ended June 30, 2023, the Atlanta Hotel's assets and liabilities were reclassified to held for sale and the fair value of the net real estate assets, less costs to sell, was in excess of our cost basis. We carry the Atlanta Hotel's assets and liabilities at the lower of our cost basis and the fair value less costs to sell on our condensed consolidated balance sheet. No impairments had been recorded as of September 30, 2023.

On August 3, 2022, we acquired legal title of a multifamily development property located in downtown Brooklyn, NY

("Brooklyn Development") through a deed-in-lieu of foreclosure. We determined the fair value of the real estate assumed to be $270.1 million, based on the market value of the land at the time of acquisition. No impairments had been recorded as of September 30, 2023 or December 31, 2022.

On May 24, 2021, we acquired legal title to a full-service luxury hotel in Washington D.C. ("D.C. Hotel") through a deed-in-lieu of foreclosure. We assumed the D.C. Hotel's assets and liabilities, including a $110.0 million mortgage loan. We repaid the mortgage loan at par and hold the property unlevered. At the time of acquisition, we determined the fair value of the real estate assets to be $154.3 million. No impairments had been recorded as of September 30, 2023 or December 31, 2022.

Refer to "Note 5 – Real Estate Owned" for additional discussions

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net

9 Months Ended

Sep. 30, 2023

Receivables [Abstract]

Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net

Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net

Our loan portfolio was comprised of the following at September 30, 2023 and December 31, 2022 ($ in thousands):

Loan Type	September 30, 2023		December 31, 2022
Commercial mortgage loans, net(1)	$	7,561,254	$	8,121,109
Subordinate loans and other lending assets, net	412,777		560,881
Carrying value, net	$	7,974,031	$	8,681,990

  ———————

(1)Includes $102.6 million and $138.3 million in 2023 and 2022, respectively, of contiguous financing structured as subordinate loans.

Our loan portfolio consisted of 99% and 98% floating rate loans, based on amortized cost, as of September 30, 2023 and December 31, 2022, respectively.

Activity relating to our loan portfolio for the nine months ended September 30, 2023 was as follows ($ in thousands):

	Principal Balance		Deferred Fees/Other Items (1)		Specific CECL Allowance		Carrying Value, Net
December 31, 2022	$	8,892,767	$	(51,053)	$	(133,500)	$	8,708,214
New funding of loans	181,017		—		—		181,017
Add-on loan fundings(2)	341,796		—		—		341,796
Loan repayments and sales	(1,020,590)		—		—		(1,020,590)
Gain (loss) on foreign currency translation	(4,999)		83		—		(4,916)
Increase in Specific CECL Allowance, net	—		—		(59,500)		(59,500)
Net realized loss on investment	(87,367)		763		—		(86,604)
Transfer to real estate owned	(75,000)		—		—		(75,000)
Deferred fees and other items	—		(9,191)		—		(9,191)
Payment-in-kind interest and amortization of fees	—		26,110		—		26,110
September 30, 2023	$	8,227,624	$	(33,288)	$	(193,000)	$	8,001,336
General CECL Allowance(3)							(27,305)
Carrying value, net							$	7,974,031

———————

(1)Other items primarily consist of purchase discounts or premiums, cost recovery interest, exit fees, deferred origination expenses, and the activity of unconsolidated joint ventures.

(2)Represents fundings committed prior to 2023.

(3)$4.0 million of the General CECL Allowance is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheet.

The following table details overall statistics for our loan portfolio at the dates indicated ($ in thousands):

	September 30, 2023			December 31, 2022
Number of loans	49			61
Principal balance	$	8,227,624		$	8,892,767
Carrying value, net	$	7,974,031		$	8,681,990
Unfunded loan commitments(1)	$	693,125		$	1,041,654
Weighted-average cash coupon(2)	8.3		%	7.2		%
Weighted-average remaining fully-extended term(3)	2.4 years			2.8 years
Weighted-average expected term(4)	1.8 years			1.7 years

———————

(1)Unfunded loan commitments are funded to finance construction costs, tenant improvements, leasing commissions, or carrying costs. These future commitments are funded over the term of each loan, subject in certain cases to an expiration date.

(2)For floating rate loans, based on applicable benchmark rates as of the specified dates. For loans placed on non-accrual the interest rate used in calculating weighted-average cash coupon is 0%.

(3)Assumes all extension options are exercised.

(4)Expected term represents our estimated timing of repayments as of the specified dates. Excludes risk-rated 5 loans.

Property Type

The table below details the property type of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):

	September 30, 2023				December 31, 2022
Property Type	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
Hotel	$	1,903,246	23.8	%	$	2,117,079	24.3	%
Office	1,494,101		18.7		1,671,006		19.2
Retail	1,375,338		17.2		1,364,752		15.7
Residential	1,245,131		15.5		1,537,541		17.7
Mixed Use	637,492		8.0		559,809		6.4
Healthcare	520,208		6.5		575,144		6.6
Industrial	282,758		3.5		296,860		3.4
Other(2)	543,062		6.8		586,023		6.7
Total	$	8,001,336	100.0	%	$	8,708,214	100.0	%
General CECL Allowance(3)	(27,305)				(26,224)
Carrying value, net	$	7,974,031			$	8,681,990

———————

(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance.

(2)Other property types include parking garages (2.7%), caravan parks (2.5%) and urban predevelopment (1.6%) in 2023, and parking garages (3.1%), caravan parks (2.3%) and urban predevelopment (1.3%) in 2022.

(3)$4.0 million and $4.3 million of the General CECL Allowance for 2023 and 2022, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

Geography

The table below details the geographic distribution of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):

	September 30, 2023				December 31, 2022
Geographic Location	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
United Kingdom	$	2,482,587	31.0	%	$	2,470,532	28.4	%
New York City	1,723,669		21.5		2,049,493		23.5
Other Europe(2)	1,396,418		17.5		1,542,462		17.7

West	577,416		7.2		584,247		6.7
Southeast	533,852		6.7		642,542		7.4
Midwest	533,692		6.7		592,756		6.8
Other(3)	753,702		9.4		826,182		9.5
Total	$	8,001,336	100.0	%	$	8,708,214	100.0	%
General CECL Allowance(4)	(27,305)				(26,224)
Carrying value, net	$	7,974,031			$	8,681,990

———————

(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance.

(2)Other Europe includes Germany (5.2%), Italy (4.7%), Spain (4.2%), Sweden (2.9%) and Ireland (0.5%) in 2023 and Italy (5.4%), Germany (4.9%), Spain (3.8%), Sweden (2.8%) and Ireland (0.7%) in 2022.

(3)Other includes Northeast (5.5%), Southwest (1.8%), Mid-Atlantic (1.2%) and Other (0.9%) in 2023 and Northeast (5.5%), Southwest (2.3%), Mid-Atlantic (1.4%) and Other (0.3%) in 2022.

(4)$4.0 million and $4.3 million of the General CECL Allowance for 2023 and 2022, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

Risk Rating

We assess the risk factors of each loan and assign a risk rating based on a variety of factors, including, without limitation, loan to value ("LTV") ratio, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship. We apply these various factors on a case-by-case basis depending on the facts and circumstances for each loan, and the different factors may be given different weightings in different situations. This review is performed quarterly. Based on a 5-point scale, our loans are rated "1" through "5," from less risk to greater risk, which ratings are defined as follows:

    1.    Very low risk

    2.    Low risk

    3. Moderate/average risk

    4. High risk/potential for loss: a loan that has a risk of realizing a principal loss

    5. Impaired/loss likely: a loan that has a high risk of realizing principal loss, has incurred principal loss, or an impairment has been recorded

The following tables present the carrying value of our loan portfolio by year of origination and internal risk rating and gross write-offs by year of origination as of September 30, 2023 and December 31, 2022, respectively ($ in thousands):

September 30, 2023
						Amortized Cost by Year Originated
Risk Rating	Number of Loans	Total		% of Portfolio		2023		2022		2021		2020		2019		Prior
1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	3	192,291		2.4	%	—		—		—		—		126,658		65,633
3	42	7,452,050		93.1	%	169,707		2,610,749		2,271,332		372,957		1,414,255		613,051
4	2	88,312		1.1	%	—		—		—		—		—		88,312
5	2	268,683		3.4	%	—		—		—		169,881		—		98,802
Total	49	$	8,001,336	100.0	%	$	169,707	$	2,610,749	$	2,271,332	$	542,838	$	1,540,913	$	865,798
General CECL Allowance(1)		(27,305)
Total carrying value, net		$	7,974,031
Weighted Average Risk Rating		3.1
Gross write-offs		$	81,890			$	—	$	—	$	—	$	—	$	—	$	81,890

December 31, 2022
						Amortized Cost by Year Originated
Risk Rating	Number of Loans	Total		% of Portfolio		2022		2021		2020		2019		2017		Prior
1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	2	65,943		0.8	%	—		—		—		—		—		65,943
3	54	8,401,925		96.5	%	2,575,455		2,462,499		687,329		1,637,050		479,769		559,823
4	2	27,451		0.3	%	—		—		—		—		19,951		7,500
5	3	212,895		2.4	%	—		—		—		—		—		212,895
Total	61	$	8,708,214	100.0	%	$	2,575,455	$	2,462,499	$	687,329	$	1,637,050	$	499,720	$	846,161
General CECL Allowance(1)		(26,224)
Total carrying value, net		$	8,681,990
Weighted Average Risk Rating		3.0
Gross write-offs		$	7,000			$	—	$	—	$	—	$	—	$	—	$	7,000

———————

(1)$4.0 million and $4.3 million of the General CECL Allowance for 2023 and 2022, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

CECL

In accordance with ASU 2016-13 "Financial Instruments - Credit Losses (Topic 326) - Measurement of Credit Losses on Financial Instruments", which we refer to as the "CECL Standard," we record allowances for loans and held-to-maturity debt securities that are deducted from the carrying amount of the assets to present the net carrying value of the amounts expected to be collected on the assets. We record loan specific allowances as a practical expedient under the CECL Standard ("Specific CECL Allowance"), which we apply to assets that are collateral dependent and where the borrower or sponsor is experiencing financial difficulty. For the remainder of the portfolio, we record a general allowance ("General CECL Allowance", and together with the Specific CECL Allowance, "CECL Allowances") on a collective basis by assets with similar risk characteristics. We have elected to use the weighted average remaining maturity ("WARM") method in determining a General CECL Allowance for a majority of our portfolio. In the future, we may use other acceptable methods, such as a probability-of-default/loss-given-default method.

The following schedule illustrates changes in CECL Allowances for the nine months ended September 30, 2023 ($ in thousands):

		Specific CECL Allowance(1)		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost(1)
				Funded		Unfunded		Total				General		Total
December 31, 2022		$	133,500	$	26,224	$	4,347	$	30,571	$	164,071	0.36	%	1.86	%
Changes:
	Q1 Allowances(2)	—		4,043		348		4,391		$	4,391
March 31, 2023		$	133,500	$	30,267	$	4,695	$	34,962	$	168,462	0.42	%	1.95	%
Changes:
	Q2 Allowances(3)	141,480		2,009		139		2,148		143,628
	Q2 Write-offs(4)	(81,980)		—		—		—		(81,980)
June 30, 2023		$	193,000	$	32,276	$	4,834	$	37,110	$	230,110	0.46	%	2.70	%
Changes:
	Q3 Reversals(5)	—		(4,971)		(862)		(5,833)		(5,833)
September 30, 2023		$	193,000	$	27,305	$	3,972	$	31,277	$	224,277	0.40	%	2.74	%

———————

(1)Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.

(2)During the three months ended March 31, 2023, our General CECL Allowance increased by $4.4 million primarily due to an increase in our view of the remaining expected term of our loan portfolio. This increase was partially offset by the impact of portfolio seasoning and loan repayments and sales.

(3)During the three months ended June 30, 2023, our General CECL Allowance increased by $2.1 million primarily due to a more adverse macroeconomic outlook and an increase in our view of the remaining expected term of certain of our loans. This increase was partially offset by the impact of portfolio seasoning. Additionally, during the three months ended June 30, 2023, we recorded an increase of $141.5 million to our Specific CECL Allowance. The increase was related to two mezzanine loans secured by the same ultra-luxury property. Refer to discussion below.

(4)As of June 30, 2023, $82.0 million related to the most junior mezzanine loan secured by the ultra-luxury residential property was deemed unrecoverable. Accordingly, $82.0 million of previously recorded Specific CECL was written-off and recorded as a realized loss within net realized loss on investments in our June 30, 2023 condensed consolidated statement of operations. Refer to "Specific CECL Allowance" section below for further detail.

(5)During the three months ended September 30, 2023, our General CECL Allowance decreased by $5.8 million, primarily due to loan prepayments and portfolio seasoning.

The following schedule illustrates changes in CECL Allowances for the nine months ended September 30, 2022 ($ in thousands):

		Specific CECL Allowance(1)		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost(1)
				Funded		Unfunded		Total				General		Total
December 31, 2021		$	145,000	$	33,588	$	3,106	$	36,694	$	181,694	0.49	%	2.26	%
Changes:
	Q1 Allowances (Reversals)(2)	30,000		(12,211)		822		(11,389)		18,611
March 31, 2022		$	175,000	$	21,377	$	3,928	$	25,305	$	200,305	0.32	%	2.34	%
Changes:
	Q2 Allowances (Reversals)(3)	(3,000)		1,985		71		2,056		(944)
June 30, 2022		$	172,000	$	23,362	$	3,999	$	27,361	$	199,361	0.33	%	2.18	%
Changes:
	Q3 (Reversals), net(4)	$	(53,000)	$	(1,377)	$	(1,187)	(2,564)		(55,564)
September 30, 2022		$	119,000	$	21,985	$	2,812	$	24,797	$	143,797	0.30	%	1.62	%

———————

(1)Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.

(2)During the three months ended March 31, 2022, a $30.0 million Specific CECL Allowance was recorded on a subordinate loan secured by an ultra luxury residential property in Manhattan, NY. During the three months ended March 31, 2022, the General CECL Allowance decreased by $11.4 million primarily due to changes in expected loan repayment dates, as well as portfolio seasoning, which was partially offset by new loan originations.

(3)During the three months ended June 30, 2022, the $3.0 million net reversal of Specific CECL Allowance was comprised of (i) the reversal of $10.0 million of previously recorded allowance on a loan related to a multifamily development in Brooklyn, NY as a result of market rent growth and value created from development activities and (ii) a $7.0 million allowance recorded on a loan secured by a hotel in Atlanta, GA due to slower than expected recovery from COVID-19. General CECL Allowance increased by $2.1 million due to new loan originations and more adverse macroeconomic outlook, which was partially offset by portfolio seasoning.

(4)During the three months ended September 30, 2022, the $53.0 million Specific CECL Allowance was reversed on an urban predevelopment first mortgage loan in Miami, FL because the collateral which secures the loan was under contract to be sold in the near term at a higher value than the carrying value of the loan pre-reversal. General CECL Allowance decreased by $2.6 million primarily due to portfolio seasoning and sale of unfunded

commitments, which was partially offset by one new loan origination and a more adverse macroeconomic outlook.

General CECL Allowance

In determining the General CECL Allowance using the WARM method, an annual historical loss rate, adjusted for macroeconomic estimates, is applied to the amortized cost of an asset, or pool of assets, over each subsequent period for the assets' remaining expected life. We considered various factors including (i) historical loss experience in the commercial real estate lending market, (ii) timing of expected repayments and satisfactions, (iii) expected future funding, (iv) capital subordinate to us when we are the senior lender, (v) capital senior to us when we are the subordinate lender, and (vi) our current and future view of the macroeconomic environment for a reasonable and supportable forecast period. The CECL Standard requires the use of significant judgment to arrive at an estimated credit loss. There is significant uncertainty related to future macroeconomic conditions, including inflation, labor shortages and interest rates.

We derived an annual historical loss rate based on a commercial mortgage-backed securities ("CMBS") database with historical losses from 1998 through the third quarter of 2023 provided by a third party, Trepp LLC. We applied various filters to arrive at a CMBS dataset most analogous to our current portfolio from which to determine an appropriate historical loss rate. The annual historical loss rate was further adjusted to reflect our expectations of the macroeconomic environment for a reasonable and supportable forecast period. At the onset of the COVID-19 pandemic in 2020, we adopted a shortened four quarter forecast period in response to heightened macroeconomic uncertainty brought by the pandemic. With the effects of the pandemic gradually easing in response to global and domestic vaccination efforts and other public safety measures, we reverted to a longer forecast period of six quarters effective December 31, 2022 and further extended to eight quarters effective March

31, 2023. In assessing the macroeconomic environment, we consider macroeconomic factors, including unemployment rate, commercial real estate prices, and market liquidity. We compared the historical data for each metric to historical commercial real estate losses in order to determine the correlation of the data. We used projections, obtained from third-party service providers, of each factor to approximate the impact the macroeconomic outlook may have on our loss rate.

The General CECL Allowance on subordinate loans is calculated by incorporating both the loan balance of the position(s) of the structurally senior third-party lender(s) and the balance of our subordinate loan(s). The subordinate loans, by virtue of being the first loss position, are required to absorb losses prior to the senior position(s) being impacted, resulting in a higher percentage allowance attributable to the subordinate loan. The General CECL Allowance on unfunded loan commitments is time-weighted based on our expected commitment to fund such obligations. The General CECL Allowance on unfunded commitments is recorded as a liability on our condensed consolidated balance sheets within accounts payable, accrued expenses and other liabilities.

We have made an accounting policy election to exclude accrued interest receivable ($68.6 million and $65.4 million as of September 30, 2023 and December 31, 2022, respectively), included in other assets on our condensed consolidated balance sheets, from the amortized cost basis of the related commercial mortgage loans and subordinate loans and other lending assets in determining the General CECL Allowance, as any uncollectible accrued interest receivable is written off in a timely manner.

Although our secured debt obligations and senior secured term loan financing have a minimum tangible net worth maintenance covenant, the General CECL Allowance has no impact on these covenants as we are permitted to add back the General CECL Allowance for the computation of tangible net worth as defined in the respective agreements.

The following schedule sets forth our General CECL Allowance as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023		December 31, 2022
Commercial mortgage loans, net	$	26,340	$	22,848
Subordinate loans and other lending assets, net	965		3,376
Unfunded commitments(1)	3,972		4,347
Total General CECL Allowance	$	31,277	$	30,571

 ———————

(1)The General CECL Allowance on unfunded commitments is recorded as a liability on our condensed consolidated balance sheets within accounts payable, accrued expenses and other liabilities.

Specific CECL Allowance

For collateral-dependent loans where we have deemed the borrower/sponsor to be experiencing financial difficulty, we have elected to apply a practical expedient in accordance with the CECL Standard in which the fair value of the underlying collateral is compared to the amortized cost of the loan in determining a Specific CECL Allowance. The Specific CECL Allowance is determined as the difference between the fair value of the underlying collateral and the carrying value of the loan (prior to the Specific CECL Allowance). When the repayment or satisfaction of a loan is dependent on a sale, rather than operations, of the collateral, the fair value is adjusted for the estimated cost to sell the collateral. Collateral-dependent loans evaluated for a Specific CECL Allowance are removed from the General CECL pool. The fair value of the underlying collateral is determined by using method(s) such as discounted cash flow, the market approach, or direct capitalization approach. The key unobservable inputs used to determine the fair value of the underlying collateral may vary depending on the information available to us and market conditions as of the valuation date.

We regularly evaluate the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower/sponsor on a loan-by-loan basis. The Specific CECL Allowance is evaluated on a quarterly basis. Specifically, a property’s operating results and any cash reserves are analyzed and used to assess (i) whether cash from operations is sufficient to cover the debt service requirements currently and into the future, (ii) the ability of the borrower to refinance the loan and/or (iii) the liquidation value of the underlying collateral. We also evaluate the financial wherewithal of any loan guarantors as well as the borrower’s competency in managing and operating the properties. In addition, we consider the overall economic environment, real estate sector and geographic sub-market in which the borrower operates. Such impairment analysis is completed and reviewed by asset management and finance personnel who utilize various data sources, including (i) periodic financial data such as debt service coverage ratio, property occupancy, tenant profile, rental rates, operating expenses, the borrower’s exit plan, and capitalization and discount rates, (ii) site inspections and (iii) current credit spreads and discussions with market participants.

The following table summarizes our risk rated 5 loans as of September 30, 2023, which were analyzed for Specific CECL Allowances ($ in thousands):

Type	Property type	Location	Amortized cost prior to Specific CECL Allowance	Specific CECL Allowance	Amortized cost	Interest recognition status/ as of date	Risk rating
Mortgage
	Retail(1)(2)	Cincinnati, OH	$165,802	$67,000	$98,802	Non-Accrual/ 10/1/2019	5
Mortgage total:			$165,802	$67,000	$98,802
Mezzanine
	Residential(3)	Manhattan, NY	$295,881	$126,000	$169,881	Non-Accrual/ 7/1/2021	5
Mezzanine total:			$295,881	$126,000	$169,881
Total:			$461,683	$193,000	$268,683

———————

(1)The fair value of retail collateral was determined by applying a capitalization rate of 8.5%.

(2)In September 2018, we entered a joint venture with Turner Consulting II, LLC ("Turner Consulting"), through an entity which owns the underlying property that secures our loan. Turner Consulting contributed 10% of the venture’s equity and we contributed 90%. The entity was deemed to be a Variable Interest Entity (a "VIE") and we determined that we are not the primary beneficiary of that VIE as we do not have the power to direct the entity's activities. During the three and nine months ended September 30, 2023 and 2022, $0.6 million and $1.9 million, respectively and $0.6 million and $1.2 million, respectively, of interest paid was applied towards reducing the carrying value of the loan. The related profit and loss from the joint venture was immaterial for the three and nine months ended September 30, 2023 and 2022. During the three months ended June 30, 2023, the loan's maturity was extended from September 2023 to September 2024.

(3)The fair value of the residential collateral was determined by making certain projections and assumptions with respect to future performance and a discount rate of 10%.

We cease accruing interest on loans if we deem the interest to be uncollectible with any previously accrued uncollected interest on the loan charged to interest income in the same period. The amortized cost basis for loans on non-accrual was $680.7 million and $468.0 million as of September 30, 2023 and December 31, 2022, respectively. Under certain circumstances, we may apply the cost recovery method under which interest collected on a loan reduces the loan's amortized cost. For the three and nine months ended September 30, 2023, we received $0.6 million and $1.9 million, respectively, in interest that reduced amortized cost under the cost recovery method compared to $2.1 million and $2.6 million for the three and nine months ended September 30, 2022, respectively.

As of September 30, 2023 and December 31, 2022, the amortized cost basis for loans with accrued interest past due 90 or more days was $680.7 million and $581.3 million, respectively. As of September 30, 2023 and December 31, 2022, there were no loans with accrued interest between 30 and 89 days past due, respectively.

During the third quarter of 2022, we refinanced three of our mezzanine loans (a senior mezzanine loan (“Senior Mezzanine Loan”) and two junior mezzanine loans (“Junior Mezzanine A Loan” and “Junior Mezzanine B Loan” collectively referred to as “Junior Mezzanine Loan”)), and originated a commercial mortgage loan (“Senior Loan”) as part of an overall recapitalization. All of the loans are secured by an ultra-luxury residential property in Manhattan, NY.

In refinancing the Senior Mezzanine Loan and Junior Mezzanine Loan, we modified the loan terms with the borrower by modifying the interest rates from LIBOR+15.7% to the Secured Overnight Financing Rate ("SOFR")+9.0% on the Senior Mezzanine Loan, from LIBOR+22.5% to SOFR+15.0% on the Junior Mezzanine A Loan, and from LIBOR+17.5% to SOFR+15.0% on the Junior Mezzanine B Loan. We also extended the term on all three loans from July 2022 to September 2024, including a one-year extension. Based on our analysis under ASC 310-20 “Receivables – Nonrefundable Fees and Other Costs” (“ASC 310-20”), we have deemed this refinance to be a continuation of our existing loans. Additionally, we opted to cease accruing interest on the Junior Mezzanine A Loan and Junior Mezzanine B Loan as of July 1, 2021 based on a waterfall sharing arrangement with a subordinate capital provider, and have continued to not accrue interest on the Junior Mezzanine Loan following this refinancing.

In accordance with ASC 326, "Financial Instruments – Credit Losses" and adoption of ASU 2022-02 "Financial Instruments – Credit Losses (Topic 326) – Troubled Debt Restructurings and Vintage Disclosures", we have classified the refinancing of the Senior Mezzanine Loan and Junior Mezzanine Loan as an interest rate reduction and term extension. The modified loan terms as discussed above have been reflected in our calculation of CECL for the quarter ended September 30, 2023. Refer to "CECL" section above for additional information regarding our calculation of CECL Allowance.

As of September 30, 2023 the aggregate amortized cost of the Senior Mezzanine Loan and Junior Mezzanine A Loan totaled $383.0 million (net of $126.0 million Specific CECL Allowance), or 4.8% of our aggregate commercial mortgage loans and subordinate loans and other lending assets by amortized cost. The Junior Mezzanine B Loan was fully written off as of June 30, 2023, as discussed below.

As of March 31, 2022, sales velocity on the underlying property lagged behind the borrower's business plan and management's expectations. Based on this information as of March 31, 2022, we deemed the borrower to be experiencing financial difficulty and accordingly changed the risk rating to a five and recorded $30.0 million of Specific CECL Allowance on the Junior Mezzanine B Loan. During the three months ended December 31, 2022, we recorded an additional $36.5 million Specific CECL Allowance on the Junior Mezzanine B Loan due to a slower sales pace across the ultra-luxury residential segment at the end of 2022 in response to broader market uncertainty, bringing the total loan Specific CECL Allowance to $66.5 million as of December 31, 2022.

During the three months ended June 30, 2023, property sales continued to trail behind the borrower's business plan. Accordingly, as of May 1, 2023, we ceased accruing interest on the Senior Loan and the Senior Mezzanine Loan. Additionally, during the three months ended June 30, 2023, we recorded a $126.0 million Specific CECL Allowance on the Junior Mezzanine A Loan and downgraded its risk rating to a five. We also increased the previously recorded Specific CECL Allowance on the Junior Mezzanine B Loan by $15.5 million during the three months ended June 30, 2023. As of June 30, 2023, we deemed the $82.0 million Junior Mezzanine B Loan to be unrecoverable. Accordingly, we wrote off the Junior Mezzanine B's total Specific CECL Allowance of $82.0 million and recorded a realized loss of $82.0 million within net realized loss on investments in our June 30, 2023 condensed consolidated statement of operations.

During the three months ended September 30, 2023, we negotiated with the subordinate capital provider to relinquish its junior mezzanine loan and preferred equity interests for $1.0 million. The respective expense was recorded in other income, net in the condensed consolidated statement of operations. There was no impact to the basis of our Senior Loan, Senior Mezzanine Loan, or Junior Mezzanine A Loan and no impact to our Specific CECL Allowance.

In March 2017, we originated a first mortgage secured by a hotel in Atlanta, GA. As of May 1, 2022, due to slower than expected recovery from the COVID-19 pandemic, we deemed the borrower to be experiencing financial difficulty and ceased accruing interest. During the second quarter of 2022, we recorded a $7.0 million Specific CECL Allowance. Additionally, during 2022, we modified the loan to provide two short term extensions to the borrower. During the fourth quarter of 2022, the loan went into maturity default, at which time we were in discussions with the sponsor regarding consensual foreclosure. In anticipation of the foreclosure, we wrote off the previously recorded Specific CECL Allowance, and recorded a $7.0 million realized loss on the loan within realized gain (loss) on investments within our consolidated statement of operations during the first quarter of 2023. On March 31, 2023, we acquired legal title of the underlying hotel through a deed-in-lieu foreclosure and recognized an additional $4.8 million loss within net realized loss on investments on our condensed consolidated statement of operations. The realized loss represents the difference between the original loan's amortized cost and the fair value of the net real estate assets acquired at the time of foreclosure. Refer to "Note 5 - Real Estate Owned" for additional disclosure.

As of September 30, 2023 there were no unfunded commitments related to borrowers experiencing financial difficulty. As of December 31, 2022, there were $9.5 million of unfunded commitments related to borrowers experiencing financial difficulty.

Other Loan and Lending Assets Activity

During the three and nine months ended September 30, 2023, we recognized no payment-in-kind interest. During the three and nine months ended September 30, 2022, we recognized $2.7 million and $8.3 million of payment-in-kind interest, respectively.

We recognized $0.2 million and $0.4 million of pre-payment penalties and accelerated fees for the three and nine months ended September 30, 2023, respectively, and $0.1 million and $2.5 million for the three and nine months ended September 30, 2022, respectively.

As of December 31, 2022, we held a subordinate risk retention interest in a securitization vehicle. The underlying mortgage related to our subordinate risk retention interest was secured by a portfolio of properties located throughout the United States. Our maximum exposure to loss from our subordinate risk retention interest was limited to its book value, which was $51.1 million as of December 31, 2022, and included within subordinate loans and other lending assets, net on our consolidated balance sheet. Additionally, as of December 31, 2022, its weighted average maturity was 1.4 years. During the three months ended September 30, 2023, this subordinate risk retention interest was repaid in full.

During the first quarter of 2023, we received £72.2 million ($88.4 million assuming conversion into U.S. Dollars ("USD")) full repayment of one of our commercial mortgage loans secured by an office property in London, United Kingdom, including all default interest accrued to date, which was approximately $0.7 million. In conjunction with the repayment, we are no longer recording the previously sold subordinate interest as a secured borrowing on our consolidated balance sheet, which had an amortized cost basis of £20.8 million ($25.1 million assuming conversion into USD). Refer to "Note 12 – Participations Sold" for additional detail related to the subordinate interest.

During the three months ended September 30, 2022, we transferred a portion of our unfunded commitment of £293.4 million ($327.7 million assuming conversion into USD) in a commercial mortgage loan secured by a mixed use property located in London, United Kingdom to entities managed by affiliates of the Manager. In addition to transferring the unfunded commitment, we also transferred a proportionate share of the origination fee associated with such unfunded commitment, resulting in a reduction to our amortized cost basis. We evaluated the transfer under ASC 860 and determined the transfer met the criteria for sale accounting. We recorded no gain or loss on the sale.

During the three months ended September 30, 2022, one of our commercial mortgage loans collateralized by an office building located in London, United Kingdom was not repaid upon its contractual maturity, triggering an event of default. To provide the borrower with additional time to refinance the loan, we agreed to a conditional waiver of the event of default, and modified the terms of the loan agreement to include (i) a short term extension and (ii) default interest of 2.0%, which we commenced accruing in addition to our contractual rate. In January 2023, the first mortgage loan, including participations sold, was fully satisfied, including all contractual and default interest accrued to date.

Loan Sales

From time to time, we may enter into sale transactions with other parties. All sale transactions are evaluated in accordance with ASC 860, "Transfers and Servicing" ("ASC 860").

During the first quarter of 2023, we sold our entire interests in three commercial mortgage loans secured by various properties in Europe, with aggregate commitments of €205.7 million ($219.0 million assuming conversion into USD, of which €115.0 million or $122.4 million assuming conversion into USD, was funded at the time of sale). Additionally, we sold a partial interest of £15.0 million ($18.2 million assuming conversion into USD) in a commercial mortgage loan secured by a mixed-use property located in London, United Kingdom. These sales were made to entities managed by affiliates of the Manager. We evaluated the transaction under ASC 860 and determined the sale of our entire interests and the sale of the partial interest met the criteria for sale accounting. We recorded a net gain of approximately $0.2 million in connection with these sales during the first quarter of 2023 within net realized loss on investments in condensed consolidated statement of operations.

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Real Estate Owned

9 Months Ended

Sep. 30, 2023

Real Estate [Abstract]

Real Estate Owned

Real Estate Owned

Real Estate Owned, Held for Investment

As of September 30, 2023, assets and liabilities related to real estate owned, held for investment consisted of two properties: the D.C. Hotel, a full-service luxury hotel in Washington, D.C., and the Brooklyn Development, a multifamily development property located in downtown Brooklyn, NY.

D.C. Hotel

In 2017, we originated a $20.0 million junior mezzanine loan which was subordinate to: (i) a $110.0 million mortgage loan, and (ii) a $24.5 million senior mezzanine loan, secured by the D.C. Hotel. During the first quarter of 2020, we recorded a $10.0 million Specific CECL Allowance and placed our junior mezzanine loan on non-accrual status.

On May 24, 2021, we purchased the $24.5 million senior mezzanine loan at par and acquired legal title to the hotel through a deed-in-lieu of foreclosure. We assumed the hotel’s assets and liabilities (including the $110.0 million mortgage loan) and recorded an additional $10.0 million charge reflecting the difference between the fair value of the hotel’s net assets and the carrying amount of the loan. This $10.0 million loss on title assumption plus the previously recorded Specific CECL Allowance of $10.0 million resulted in a $20.0 million realized loss on investments included within realized gain (loss) on investments in our 2021 consolidated statement of operations.

On May 24, 2021, in accordance with ASC 805, "Business Combinations" ("ASC 805"), we allocated the fair value of the hotel’s acquired assets and assumed debt. The non-recurring fair value measurement was classified as Level III within the fair value hierarchy due to the use of significant unobservable inputs. On June 29, 2021, we repaid the $110.0 million mortgage loan against the property. As of March 1, 2022, the hotel assets, comprised of land, building, furniture fixtures, and equipment, and accumulated depreciation (collectively "REO Fixed Assets"), and liabilities met the criteria to be classified as held for sale under ASC Topic 360, "Property, Plant, and Equipment." Accordingly, as of March 1, 2022, we ceased recording depreciation on the building and furniture, fixtures, and equipment on the condensed consolidated statement of operations.

As of March 1, 2023, due to market conditions, we curtailed active marketing efforts, and reclassified the REO Fixed Assets and liabilities from real estate owned, held for sale to real estate owned, held for investment, net in accordance with ASC Topic 360.

The REO Fixed Assets were reclassified to their carrying value before classifying as held for sale in March of 2022 and $4.0 million in depreciation, representing the amount that would have been recorded had the asset remained as held for investment, was recognized. All other assets and liabilities were reclassified to the corresponding line items on the condensed consolidated balance sheet. No realized gain or loss was recorded in connection with this reclassification.

As of September 30, 2023 and December 31, 2022, the value of net real estate assets related to the D.C. Hotel was $153.2 million and $155.9 million, respectively. For the three and nine months ended September 30, 2023, we recorded net income from hotel operations of $0.5 million and $4.3 million, respectively. For the three and nine months ended September 30, 2022, we recorded net income from hotel operations of $1.1 million and $5.3 million, respectively.

Brooklyn Development

In 2015, we originated a $122.2 million multifamily development commercial mortgage loan secured by an assemblage of properties in downtown Brooklyn, NY. In 2020, the loan went into default and we recorded a $30.0 million Specific CECL Allowance, due to the deterioration of market conditions attributable to COVID-19. As a result of improved market conditions we reversed $20 million of Specific CECL Allowance during the second quarter of 2021. In the second quarter of 2022, we reversed the remaining $10 million Specific CECL Allowance as a result of market rent growth and value created from development activities at the underlying property.

On August 3, 2022, we acquired legal title of the property through a deed-in-lieu of foreclosure and accounted for the asset acquisition in accordance with ASC 805. At that time, our amortized cost basis in the commercial mortgage loan was $226.5 million. We recorded the real estate assumed at a fair value of $270.1 million based on the market value of the land. We recognized a realized gain of $43.6 million, recorded within realized gain (loss) on investments on our consolidated statement of operations, which reflects the difference between the fair value of the property and the carrying value of the loan at the time of acquisition. The non-recurring fair value measurement was classified as Level III within the fair value hierarchy due to the use of significant unobservable inputs, including comparable sales of similar properties in the market. During the three and nine months ended September 30, 2023, we capitalized construction and financing costs of $17.6 million and $46.7 million, respectively. As of September 30, 2023 and December 31, 2022, our cost basis in the property was $349.3 million and $302.7 million, respectively.

Upon taking title, we concurrently contributed the property to a joint venture with a third-party real estate developer. The entity was deemed to be a VIE, of which we were determined to be the primary beneficiary. Through our wholly owned subsidiaries, we hold a 100% equity ownership interest in the joint venture and our partner is only entitled to profit upon achievement of certain returns under our joint venture agreement. Concurrently with taking title to the property, we obtained $164.8 million in construction financing on the property. As of September 30, 2023 and December 31, 2022, the carrying value of the construction financing included within debt related to real estate owned, held for investment, net on our condensed consolidated balance sheets was $161.2 million, net of $3.6 million in deferred financing costs and $160.3 million, net of $4.5 million in deferred financing costs, respectively.

The construction financing includes a maximum commitment of $388.4 million, an interest rate of term one-month SOFR+2.55%, and current maturity of August 2026, with an option to extend for one year, contingent upon meeting certain conditions. The construction financing agreement contains covenants requiring our unencumbered liquidity be greater than $100.0 million and our net worth be greater than $600.0 million. Under these covenants, our General CECL Allowance is added back to our net worth calculation. As of both September 30, 2023 and December 31, 2022, we were in compliance with these covenants.

To manage our exposure to variable cash flows on our borrowings under this construction financing, we entered into an interest rate cap on September 26, 2023. As of September 30, 2023, the fair value of the interest rate cap is $2.2 million and it is recorded within derivative assets, net on our condensed consolidated balance sheet. Refer to "Note 11 - Derivatives" for full detail.

Real Estate Owned, Held for Sale

Atlanta Hotel

In March 2017, we originated a first mortgage secured by the Atlanta Hotel. During the second quarter of 2022, due to slower than expected recovery from the COVID-19 pandemic, we deemed the borrower to be experiencing financial difficulty. Accordingly, we ceased accruing interest on the loan and recorded a $7.0 million Specific CECL Allowance.

During the fourth quarter of 2022, we wrote off the $7.0 million previously recorded Specific CECL Allowance and reduced the principal balance of the loan which was recorded as a realized loss within net realized loss on investments in our December 31, 2022 consolidated statement of operations.

On March 31, 2023, we acquired legal title of the Atlanta Hotel through a deed-in-lieu foreclosure and determined the fair value of net real estate assets to be $75.0 million in accordance with ASC 820 "Fair Value Measurements and Disclosures." The fair value of the real estate owned is categorized within Level III of the fair value hierarchy set forth by ASC 820 and includes the use of significant unobservable inputs. See "Note 3 - Fair Value Disclosure" for discussion of our non-recurring fair value measurements. Additionally, we recognized a realized loss of $4.8 million, recorded within net realized loss on investments on our condensed consolidated statement of operations. The realized loss represents the difference between the original loan's amortized cost and the fair value of the net assets acquired.

During the three months ended June 30, 2023, we received an unsolicited offer from a third party to purchase the Atlanta Hotel and we expect the sale to occur during the fourth quarter of 2023. As of June 30, 2023, the hotel's assets and liabilities met the criteria to be classified as held for sale under ASC Topic 360, "Property, Plant, and Equipment." In accordance with ASC Topic 360, we ceased recording depreciation on the building and furniture, fixtures, and equipment on the condensed consolidated statement of operations and we have reclassified assets and liabilities from their respective condensed consolidated balance sheet line items to Assets related to real estate owned, held for sale and Liabilities related to real estate owned, held for sale.

As of September 30, 2023, the hotel's assets and liabilities continued to meet the criteria to be classified as held for sale and the value of net real estate assets related to the Atlanta Hotel was $75.3 million. For the three and nine months ended September 30, 2023 we recorded net income from the hotel's operations of $0.5 million and $1.9 million, respectively.

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Other Assets

9 Months Ended

Sep. 30, 2023

Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]

Other Assets

Other Assets

The following table details the components of our other assets at the dates indicated ($ in thousands):

	September 30, 2023		December 31, 2022
Interest receivable	$	68,643	$	65,383
Loan proceeds held by servicer	133,041		3,371
Other(1)	4,894		1,853
Total	$	206,578	$	70,607

  ———————

(1)Includes $2.3 million of other assets from Real Estate Owned, Held for Investment as of September 30, 2023. Refer to "Note 5 – Real Estate Owned" for additional information.

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Secured Debt Arrangements, Net

9 Months Ended

Sep. 30, 2023

Debt Disclosure [Abstract]

Secured Debt Arrangement, Net/Participations Sold

Secured Debt Arrangements, Net

We utilize secured debt arrangements to finance the origination activity in our loan portfolio. Our secured debt arrangements are comprised of secured credit facilities, a private securitization, and a revolving credit facility. During the nine months ended September 30, 2023, we entered into three new secured debt arrangements, including credit facilities with Banco Santander, S.A., New York Branch and Churchill MRA Funding I LLC, and a revolving credit facility administered by Bank of America, N.A. ("Revolving Credit Facility") which provided a combined $600.0 million of additional capacity, and upsized the Atlas Facility, as defined in this Form 10-Q, by $83.3 million.

Our borrowings under secured debt arrangements at September 30, 2023 and December 31, 2022 are detailed in the following table ($ in thousands):

	September 30, 2023					December 31, 2022
	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)
JPMorgan Facility - USD(3)(4)	$	1,483,312	$	1,155,531	September 2026	$	1,532,722	$	1,306,320	September 2026
JPMorgan Facility - GBP(3)(4)	16,688		16,688		September 2026	67,278		67,278		September 2026
Deutsche Bank Facility - USD(3)	700,000		275,815		March 2026	700,000		385,818		March 2026
Atlas Facility - USD(5)	689,770		663,817		April 2027(6)(7)	635,653		632,747		August 2026(6)(7)
HSBC Facility - GBP	367,922		367,922		April 2025	364,423		364,423		April 2025
HSBC Facility - EUR	269,518		269,518		January 2026(7)	272,890		272,890		January 2026
Goldman Sachs Facility - USD	300,000		17,868		November 2025(8)	300,000		70,249		November 2025(8)
Barclays Facility - USD	200,000		109,843		June 2027(6)	200,000		111,909		June 2027
MUFG Securities Facility - GBP	196,137		196,137		June 2025(6)	194,272		194,272		June 2025

Churchill Facility - USD	130,000		127,822		March 2026	—		—		N/A
Santander Facility - USD	300,000		75,000		February 2026(6)	—		—		N/A
Santander Facility - EUR	57,094		53,267		August 2024	57,807		53,320		August 2024
Total Secured Credit Facilities	4,710,441		3,329,228			4,325,045		3,459,226
Barclays Private Securitization - GBP, EUR, SEK	1,818,199		1,818,199		February 2026(7)	1,850,076		1,850,076		February 2026(7)
Revolving Credit Facility - USD(9)	170,000		—		March 2026	—		—		N/A
Total Secured Debt Arrangements	6,698,640		5,147,427			6,175,121		5,309,302
Less: deferred financing costs	N/A		(11,572)			N/A		(12,477)
Total Secured Debt Arrangements, net(10)(11)(12)	$	6,698,640	$	5,135,855		$	6,175,121	$	5,296,825

———————

(1)As of September 30, 2023, British Pound Sterling("GBP"), Euro ("EUR"), and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.22, 1.06, and 0.09, respectively. As of December 31, 2022, GBP, EUR and SEK borrowings were converted to USD at a rate of 1.21, 1.07 and 0.10, respectively.

(2)Maturity date assumes extensions at our option are exercised with consent of financing providers, where applicable.

(3)The JPMorgan Facility and Deutsche Bank Facility enable us to elect to receive advances in USD, GBP, or EUR.

(4)The JPMorgan Facility allows for $1.5 billion of maximum borrowings in total as of September 30, 2023. The JPMorgan Facility was temporarily upsized from $1.5 billion to $1.6 billion during August 2022 and the maximum borrowings decreased to $1.5 billion as of January 2023.

(5)The Atlas Facility was formerly the Credit Suisse Facility. See "—Atlas Facility" below for additional discussion.

(6)Assumes financings are extended in line with the underlying loans.

(7)Represents weighted average maturity across various financings with the counterparty. See below for additional details.

(8)Assumes facility enters the two-year amortization period subsequent to the November 2023 maturity, which allows for the refinancing or pay down of assets under the facility.

(9)The current stated maturity of the Revolving Credit Facility is March 2026. Borrowings under the Revolving Credit Facility bear interest at a per annum rate equal to the sum of (i) a floating rate index and (ii) a fixed margin. Borrowings under the Revolving Credit Facility are full recourse to certain guarantor wholly-owned subsidiaries of the Company. See "—Revolving Credit Facility" below for additional discussion.

(10)Weighted-average borrowing costs as of September 30, 2023 and December 31, 2022 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.45% / GBP: +1.99% / EUR: +1.65% / SEK: +1.50% and USD: +2.28% / GBP: +2.02% / EUR: +1.54%/ SEK: +1.50%, respectively.

(11)Weighted average advance rates based on cost as of September 30, 2023 and December 31, 2022 were 68.7% (65.0% (USD) / 71.6% (GBP) / 72.1% (EUR) / 80.4% (SEK)) and 68.8% (63.9% (USD) / 74.0% (GBP) / 72.1% (EUR) / 80.5% (SEK)), respectively.

(12)As of September 30, 2023 and December 31, 2022, approximately 58% and 58% of the outstanding balance under these secured borrowings were recourse to us.

Terms of our secured credit facilities are designed to keep each lender's credit exposure generally constant as a percentage of the underlying value of the assets pledged as security to the facility. If the credit of the underlying collateral value decreases, the amount of leverage to us may be reduced. As of September 30, 2023 and December 31, 2022, the weighted average haircut under our secured debt arrangements was approximately 31.3% and 31.2%, respectively. Our secured credit facilities do not contain capital markets-based mark-to-market provisions.

Atlas Facility

On February 8, 2023, in connection with the acquisition by certain subsidiaries of Atlas Securitized Products Holdings (“Atlas”), which is a wholly-owned investment of a fund managed by an affiliate of the Manager, of certain warehouse assets and liabilities of the Credit Suisse AG Securitized Products Group ("Credit Suisse AG")(the “Transaction”), the Credit Suisse Facility was acquired by Atlas ("Atlas Facility"). In order to effect the assignment of the Credit Suisse Facility and related agreements, the Company and one of its subsidiaries, similar to the other sellers and guarantors party to the subject agreements in the Transaction, entered into an Omnibus Assignment, Assumption and Amendment Agreement as well as certain related agreements with Credit Suisse AG and Atlas. Refer to "Note 15 - Related Party Transactions" for further discussion regarding the transaction.

Revolving Credit Facility

On March 3, 2023, we entered into the Revolving Credit Facility administered by Bank of America, N.A. Revolving Credit Facility provides up to $170.0 million of borrowings secured by qualifying commercial mortgage loans and real property owned assets. The Revolving Credit Facility has a term of three years, maturing in March 2026. The Revolving Credit Facility enables us to borrow on qualifying commercial mortgage loans for up to two years and real property owned assets for up to six months. As of September 30, 2023 we had no borrowings outstanding on the Revolving Credit Facility. During the three and nine months ended September 30, 2023, we recorded $86.9 thousand and $200.2 thousand, respectively in unused fees related to the Revolving Credit Facility.

The guarantees related to the Revolving Credit Facility contain the following financial covenants: (i) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 4:1; (iii) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; and (iv) maintain a minimum interest coverage ratio of 1.5:1. We were in compliance with the covenants under the Revolving Credit Facility as of September 30, 2023. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant to a minimum of 1.4 to 1.

Barclays Private Securitization

We are party to a private securitization with Barclays Bank plc (the "Barclays Private Securitization"). Commercial mortgage loans currently financed under the Barclays Securitization are denominated in GBP, EUR and SEK.

The Barclays Private Securitization does not include daily margining provisions and grants us significant discretion to modify certain terms of the underlying collateral including waiving certain loan-level covenant breaches and deferring or waiving of debt service payments for up to 18 months. The securitization includes loan-to-value based covenants with deleveraging requirements that are based on significant declines in the value of the collateral as determined by an annual third-party (engaged by us) appraisal process tied to the provisions of the underlying loan agreements. We believe this provides us with both cushion and predictability to avoid sudden unexpected outcomes and material repayment requirements.

The table below provides principal balances and the carrying value for commercial mortgage loans pledged to the Barclays Private Securitization as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,537,840	$	1,519,137
EUR	5	726,912		723,610
SEK	1	236,381		234,376
Total	13	$	2,501,133	$	2,477,123

	December 31, 2022
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,495,616	$	1,475,241
EUR	5	752,531		747,240
SEK	1	248,064		245,714
Total	13	$	2,496,211	$	2,468,195

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of September 30, 2023 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	$	1,114,701	June 2026
Total/Weighted-Average EUR	514,393		June 2025(3)
Total/Weighted-Average SEK	189,105		May 2026
Total/Weighted-Average Securitization	$	1,818,199	February 2026

———————

(1)As of September 30, 2023, we had £913.8 million, €486.5 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of December 31, 2022 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	1,125,420		May 2026
Total/Weighted-Average EUR	526,204		July 2025(3)
Total/Weighted-Average SEK	198,452		May 2026
Total/Weighted-Average Securitization	$	1,850,076	February 2026

———————

(1)As of December 31, 2022, we had £931.4 million, €491.6 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Assets:
Cash	$	1,740	$	758
Commercial mortgage loans, net(1)	2,477,123		2,468,195
Other Assets	39,055		30,992
Total Assets	$	2,517,918	$	2,499,945
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.0 million and $2.3 million in 2023 and 2022, respectively)	$	1,816,213	$	1,847,799
Accounts payable, accrued expenses and other liabilities(2)	7,623		8,814
Total Liabilities	$	1,823,836	$	1,856,613

———————

(1)Net of the General CECL Allowance of $7.2 million and $8.2 million as of September 30, 2023 and December 31, 2022, respectively.

(2)Includes General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $2.7 million and $2.9 million as of September 30, 2023 and December 31, 2022, respectively.

The table below provides the net income (loss) of the Barclays Private Securitization VIE included in our condensed consolidated statement of operations ($ in thousands):

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Net Interest Income:
Interest income from commercial mortgage loans	$	56,537	$	30,518	$	156,295	$	86,695
Interest expense	(30,379)		(12,668)		(80,753)		(32,830)
Net interest income	$	26,158	$	17,850	$	75,542	$	53,865
General and administrative expense	(2)		—		(9)		—
Decrease (increase) in current expected credit loss allowance, net	1,744		889		1,169		4,698
Foreign currency translation gain (loss)	(24,266)		(50,237)		(3,555)		(111,745)
Net Income (Loss)	$	3,634	$	(31,498)	$	73,147	$	(53,182)

At September 30, 2023, our borrowings had the following remaining maturities ($ in thousands):

	Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years		Total
JPMorgan Facility	$	356,095	$	586,476	$	229,648	$	—	$	1,172,219
Deutsche Bank Facility	95,686		180,129		—		—		275,815
Atlas Facility	—		83,300		580,517		—		663,817
HSBC Facility	—		637,440		—		—		637,440

Goldman Sachs Facility	—		17,868		—		—		17,868
Barclays Facility	—		—		109,843		—		109,843
MUFG Securities Facility	—		196,137		—		—		196,137
Churchill Facility	—		127,822		—		—		127,822
Santander Facility - USD	—		75,000		—		—		75,000
Santander Facility - EUR	53,267		—		—		—		53,267
Barclays Private Securitization	253,436		781,989		782,774		—		1,818,199
Total	$	758,484	$	2,686,161	$	1,702,782	$	—	$	5,147,427

The table above reflects the fully extended maturity date of the facility and assumes facilities with an "evergreen" feature continue to extend through the fully-extended maturity of the underlying asset and assumes underlying loans are extended with consent of financing providers.

The table below summarizes the outstanding balances at September 30, 2023, as well as the maximum and average month-end balances for the nine months ended September 30, 2023 for our borrowings under secured debt arrangements ($ in thousands).

	As of September 30, 2023				For the nine months ended September 30, 2023
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,172,219	$	1,981,220	$	1,324,226	$	1,226,645
Deutsche Bank Facility	275,815		417,733		385,818		338,297
Goldman Sachs Facility	17,868		35,852		70,249		35,181
Atlas Facility	663,817		932,656		688,126		668,655
HSBC Facility	637,440		822,049		667,430		651,260
Barclays Facility	109,843		136,354		111,909		111,450
MUFG Securities Facility	196,137		266,007		206,362		200,256
Churchill Facility	127,822		169,707		130,000		128,780
Santander Facility - USD	75,000		99,560		75,000		66,667
Santander Facility - EUR	53,267		71,023		55,403		54,244
Barclays Private Securitization	1,818,199		2,484,328		1,937,131		1,877,409
Total	$	5,147,427	$	7,416,489

The table below summarizes the outstanding balances at December 31, 2022, as well as the maximum and average month-end balances for the year ended December 31, 2022 for our borrowings under secured debt arrangements ($ in thousands).

	As of December 31, 2022				For the year ended December 31, 2022
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,373,598	$	2,376,154	$	1,584,171	$	1,411,644
Deutsche Bank Facility	385,818		565,387		432,455		400,337
Goldman Sachs Facility	70,249		116,619		164,607		140,599
Atlas Facility	632,747		855,119		633,143		541,245
HSBC Facility	637,313		813,716		660,004		501,674
Barclays Facility	111,909		138,510		172,693		102,664
MUFG Securities Facility	194,272		261,319		194,272		156,499
Santander Facility	53,320		71,093		53,320		50,450
Barclays Private Securitization	1,850,076		2,476,349		1,963,837		1,828,794
Total	$	5,309,302	$	7,674,266

Debt Covenants

The guarantees related to our secured debt arrangements contain the following financial covenants: (i) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 3.75:1; and (iii) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million. Under these covenants, our General CECL Allowance is added back to our tangible net worth calculation. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant related to our Revolving Credit Facility to a minimum of 1.4 to 1 from a minimum of 1.5 to 1.

We were in compliance with the covenants under each of our secured debt arrangements and Revolving Credit Facility at September 30, 2023 and December 31, 2022. The impact of macroeconomic conditions on the commercial real estate markets and global capital markets, including increased interest rates, foreign currency fluctuations, changes to fiscal and monetary policy, slower economic growth or recession, labor shortages, and recent distress in the banking sector, may make it more difficult to meet or satisfy these covenants in the future.

Senior Secured Term Loans, Net

In May 2019, we entered into a $500.0 million senior secured term loan (the "2026 Term Loan"), which matures in May 2026 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2026 Term Loan was issued at a price of 99.5%. During the second quarter of 2023, the 2026 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR plus 2.86%.

In March 2021, we entered into an additional $300.0 million senior secured term loan, with substantially the same terms as the 2026 Term Loan, (the "2028 Term Loan" and, together with the 2026 Term Loan, the "Term Loans"), which matures in March 2028 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2028 Term Loan was issued at a price of 99.0%. During the second quarter of 2023, the 2028 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR (with a floor of 0.50%) plus 3.61%.

The Term Loans are amortizing with repayments of 0.25% per quarter of the total committed principal. During the three and nine months ended September 30, 2023 and 2022, we repaid $1.3 million and $3.8 million, of principal respectively related to the 2026 Term Loan. During the three and nine months ended September 30, 2023 and 2022, we repaid $0.75 million and $2.25 million, of principal respectively related to the 2028 Term Loan.

The following table summarizes the terms of the Term Loans as of September 30, 2023 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	478,750	$	(923)	$	(4,685)	$	473,142	2.86	%	5/15/2026
2028 Term Loan	292,500		(1,893)		(3,368)		287,239		3.61	%	3/11/2028
Total	$	771,250	$	(2,816)	$	(8,053)	$	760,381

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

The following table summarizes the terms of the Term Loans as of December 31, 2022 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	482,500	$	(1,190)	$	(6,106)	$	475,204	2.75	%	5/15/2026
2028 Term Loan	294,750		(2,214)		(3,927)		288,609		3.50	%	3/11/2028
Total	$	777,250	$	(3,404)	$	(10,033)	$	763,813

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

Covenants

The financial covenants of the Term Loans include the requirements that we maintain: (i) a maximum ratio of total recourse debt to tangible net worth of 4:1; and (ii) a maximum ratio of total unencumbered assets to total pari-passu

indebtedness of 2.50:1. We were in compliance with the covenants under the Term Loans at September 30, 2023 and December 31, 2022.

Interest Rate Cap

During the second quarter of 2020, we entered into a three-year interest rate cap to cap LIBOR at 0.75%. This effectively limited the maximum all-in coupon on our 2026 Term Loan to 3.50%. The interest rate cap matured on June 15, 2023 and the effective all-in coupon on our 2026 Term Loan increased to one month SOFR plus the spread of 2.86%.

During 2023, through the interest rate cap maturity, LIBOR exceeded the cap rate of 0.75%. As such, during the nine months ended September 30, 2023, we realized a gain from the interest rate cap in the amount of $9.1 million, which is included in gain (loss) on interest rate hedging instruments in our condensed consolidated statement of operations. The realized gain was a result of the increase in the current interest rate forward curve. As the interest rate cap matured during the three months ended June 30, 2023, there was no realized gain or loss recorded during three months ended September 30, 2023.

Senior Secured Notes, Net

In June 2021, we issued $500.0 million of 4.625% Senior Secured Notes due 2029 (the "2029 Notes"), for which we received net proceeds of $495.0 million, after deducting initial purchasers' discounts and commissions. The 2029 Notes will mature on June 15, 2029, unless earlier repurchased or redeemed. The 2029 Notes are secured by a first-priority lien, and rank pari-passu in right of payment with all of our existing and future first lien obligations, including indebtedness under the Term Loans. The 2029 Notes were issued at par and contain covenants relating to liens, indebtedness, and investments in non-wholly owned entities. The 2029 Notes had a carrying value of $495.4 million and $494.8 million, net of deferred financing costs of $4.6 million and $5.2 million, as of September 30, 2023 and December 31, 2022, respectively.

Covenants

The 2029 Notes include certain covenants including a requirement that we maintain a ratio of total unencumbered assets to total pari-passu indebtedness of at least 1.20:1. As of September 30, 2023 and December 31, 2022, we were in compliance with all covenants.

Participations Sold

Participations sold represents the subordinate interests in loans we originated and subsequently partially sold. We account for participations sold as secured borrowings on our condensed consolidated balance sheet with both assets and non-recourse liabilities because the participations do not qualify as a sale under ASC 860. The income earned on the participations sold is recorded as interest income and an identical amount is recorded as interest expense in our condensed consolidated statements of operations.

In December 2020, we sold a £6.7 million ($8.9 million assuming conversion into USD at time of transfer) interest, at par, in a first mortgage loan collateralized by an office building located in London, United Kingdom that was originated by us in December 2017. In connection with this sale, we transferred our remaining unfunded commitment of £19.1 million ($25.3 million assuming conversion into USD at time of transfer). The participation interest sold was subordinate to our first mortgage loan and was accounted for as a secured borrowing on our consolidated balance sheet. In January 2023, the first mortgage loan, including participations sold, was fully satisfied, including all contractual and default interest accrued to date.

The table below details participations sold included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Participation sold on commercial mortgage loans	$	—	$	25,130
Total participations sold	$	—	$	25,130

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Senior Secured Term Loan, Net

9 Months Ended

Sep. 30, 2023

Debt Disclosure [Abstract]

Senior Secured Term Loan, Net

Secured Debt Arrangements, Net

We utilize secured debt arrangements to finance the origination activity in our loan portfolio. Our secured debt arrangements are comprised of secured credit facilities, a private securitization, and a revolving credit facility. During the nine months ended September 30, 2023, we entered into three new secured debt arrangements, including credit facilities with Banco Santander, S.A., New York Branch and Churchill MRA Funding I LLC, and a revolving credit facility administered by Bank of America, N.A. ("Revolving Credit Facility") which provided a combined $600.0 million of additional capacity, and upsized the Atlas Facility, as defined in this Form 10-Q, by $83.3 million.

Our borrowings under secured debt arrangements at September 30, 2023 and December 31, 2022 are detailed in the following table ($ in thousands):

	September 30, 2023					December 31, 2022
	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)
JPMorgan Facility - USD(3)(4)	$	1,483,312	$	1,155,531	September 2026	$	1,532,722	$	1,306,320	September 2026
JPMorgan Facility - GBP(3)(4)	16,688		16,688		September 2026	67,278		67,278		September 2026
Deutsche Bank Facility - USD(3)	700,000		275,815		March 2026	700,000		385,818		March 2026
Atlas Facility - USD(5)	689,770		663,817		April 2027(6)(7)	635,653		632,747		August 2026(6)(7)
HSBC Facility - GBP	367,922		367,922		April 2025	364,423		364,423		April 2025
HSBC Facility - EUR	269,518		269,518		January 2026(7)	272,890		272,890		January 2026
Goldman Sachs Facility - USD	300,000		17,868		November 2025(8)	300,000		70,249		November 2025(8)
Barclays Facility - USD	200,000		109,843		June 2027(6)	200,000		111,909		June 2027
MUFG Securities Facility - GBP	196,137		196,137		June 2025(6)	194,272		194,272		June 2025

Churchill Facility - USD	130,000		127,822		March 2026	—		—		N/A
Santander Facility - USD	300,000		75,000		February 2026(6)	—		—		N/A
Santander Facility - EUR	57,094		53,267		August 2024	57,807		53,320		August 2024
Total Secured Credit Facilities	4,710,441		3,329,228			4,325,045		3,459,226
Barclays Private Securitization - GBP, EUR, SEK	1,818,199		1,818,199		February 2026(7)	1,850,076		1,850,076		February 2026(7)
Revolving Credit Facility - USD(9)	170,000		—		March 2026	—		—		N/A
Total Secured Debt Arrangements	6,698,640		5,147,427			6,175,121		5,309,302
Less: deferred financing costs	N/A		(11,572)			N/A		(12,477)
Total Secured Debt Arrangements, net(10)(11)(12)	$	6,698,640	$	5,135,855		$	6,175,121	$	5,296,825

———————

(1)As of September 30, 2023, British Pound Sterling("GBP"), Euro ("EUR"), and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.22, 1.06, and 0.09, respectively. As of December 31, 2022, GBP, EUR and SEK borrowings were converted to USD at a rate of 1.21, 1.07 and 0.10, respectively.

(2)Maturity date assumes extensions at our option are exercised with consent of financing providers, where applicable.

(3)The JPMorgan Facility and Deutsche Bank Facility enable us to elect to receive advances in USD, GBP, or EUR.

(4)The JPMorgan Facility allows for $1.5 billion of maximum borrowings in total as of September 30, 2023. The JPMorgan Facility was temporarily upsized from $1.5 billion to $1.6 billion during August 2022 and the maximum borrowings decreased to $1.5 billion as of January 2023.

(5)The Atlas Facility was formerly the Credit Suisse Facility. See "—Atlas Facility" below for additional discussion.

(6)Assumes financings are extended in line with the underlying loans.

(7)Represents weighted average maturity across various financings with the counterparty. See below for additional details.

(8)Assumes facility enters the two-year amortization period subsequent to the November 2023 maturity, which allows for the refinancing or pay down of assets under the facility.

(9)The current stated maturity of the Revolving Credit Facility is March 2026. Borrowings under the Revolving Credit Facility bear interest at a per annum rate equal to the sum of (i) a floating rate index and (ii) a fixed margin. Borrowings under the Revolving Credit Facility are full recourse to certain guarantor wholly-owned subsidiaries of the Company. See "—Revolving Credit Facility" below for additional discussion.

(10)Weighted-average borrowing costs as of September 30, 2023 and December 31, 2022 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.45% / GBP: +1.99% / EUR: +1.65% / SEK: +1.50% and USD: +2.28% / GBP: +2.02% / EUR: +1.54%/ SEK: +1.50%, respectively.

(11)Weighted average advance rates based on cost as of September 30, 2023 and December 31, 2022 were 68.7% (65.0% (USD) / 71.6% (GBP) / 72.1% (EUR) / 80.4% (SEK)) and 68.8% (63.9% (USD) / 74.0% (GBP) / 72.1% (EUR) / 80.5% (SEK)), respectively.

(12)As of September 30, 2023 and December 31, 2022, approximately 58% and 58% of the outstanding balance under these secured borrowings were recourse to us.

Terms of our secured credit facilities are designed to keep each lender's credit exposure generally constant as a percentage of the underlying value of the assets pledged as security to the facility. If the credit of the underlying collateral value decreases, the amount of leverage to us may be reduced. As of September 30, 2023 and December 31, 2022, the weighted average haircut under our secured debt arrangements was approximately 31.3% and 31.2%, respectively. Our secured credit facilities do not contain capital markets-based mark-to-market provisions.

Atlas Facility

On February 8, 2023, in connection with the acquisition by certain subsidiaries of Atlas Securitized Products Holdings (“Atlas”), which is a wholly-owned investment of a fund managed by an affiliate of the Manager, of certain warehouse assets and liabilities of the Credit Suisse AG Securitized Products Group ("Credit Suisse AG")(the “Transaction”), the Credit Suisse Facility was acquired by Atlas ("Atlas Facility"). In order to effect the assignment of the Credit Suisse Facility and related agreements, the Company and one of its subsidiaries, similar to the other sellers and guarantors party to the subject agreements in the Transaction, entered into an Omnibus Assignment, Assumption and Amendment Agreement as well as certain related agreements with Credit Suisse AG and Atlas. Refer to "Note 15 - Related Party Transactions" for further discussion regarding the transaction.

Revolving Credit Facility

On March 3, 2023, we entered into the Revolving Credit Facility administered by Bank of America, N.A. Revolving Credit Facility provides up to $170.0 million of borrowings secured by qualifying commercial mortgage loans and real property owned assets. The Revolving Credit Facility has a term of three years, maturing in March 2026. The Revolving Credit Facility enables us to borrow on qualifying commercial mortgage loans for up to two years and real property owned assets for up to six months. As of September 30, 2023 we had no borrowings outstanding on the Revolving Credit Facility. During the three and nine months ended September 30, 2023, we recorded $86.9 thousand and $200.2 thousand, respectively in unused fees related to the Revolving Credit Facility.

The guarantees related to the Revolving Credit Facility contain the following financial covenants: (i) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 4:1; (iii) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; and (iv) maintain a minimum interest coverage ratio of 1.5:1. We were in compliance with the covenants under the Revolving Credit Facility as of September 30, 2023. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant to a minimum of 1.4 to 1.

Barclays Private Securitization

We are party to a private securitization with Barclays Bank plc (the "Barclays Private Securitization"). Commercial mortgage loans currently financed under the Barclays Securitization are denominated in GBP, EUR and SEK.

The Barclays Private Securitization does not include daily margining provisions and grants us significant discretion to modify certain terms of the underlying collateral including waiving certain loan-level covenant breaches and deferring or waiving of debt service payments for up to 18 months. The securitization includes loan-to-value based covenants with deleveraging requirements that are based on significant declines in the value of the collateral as determined by an annual third-party (engaged by us) appraisal process tied to the provisions of the underlying loan agreements. We believe this provides us with both cushion and predictability to avoid sudden unexpected outcomes and material repayment requirements.

The table below provides principal balances and the carrying value for commercial mortgage loans pledged to the Barclays Private Securitization as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,537,840	$	1,519,137
EUR	5	726,912		723,610
SEK	1	236,381		234,376
Total	13	$	2,501,133	$	2,477,123

	December 31, 2022
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,495,616	$	1,475,241
EUR	5	752,531		747,240
SEK	1	248,064		245,714
Total	13	$	2,496,211	$	2,468,195

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of September 30, 2023 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	$	1,114,701	June 2026
Total/Weighted-Average EUR	514,393		June 2025(3)
Total/Weighted-Average SEK	189,105		May 2026
Total/Weighted-Average Securitization	$	1,818,199	February 2026

———————

(1)As of September 30, 2023, we had £913.8 million, €486.5 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of December 31, 2022 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	1,125,420		May 2026
Total/Weighted-Average EUR	526,204		July 2025(3)
Total/Weighted-Average SEK	198,452		May 2026
Total/Weighted-Average Securitization	$	1,850,076	February 2026

———————

(1)As of December 31, 2022, we had £931.4 million, €491.6 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Assets:
Cash	$	1,740	$	758
Commercial mortgage loans, net(1)	2,477,123		2,468,195
Other Assets	39,055		30,992
Total Assets	$	2,517,918	$	2,499,945
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.0 million and $2.3 million in 2023 and 2022, respectively)	$	1,816,213	$	1,847,799
Accounts payable, accrued expenses and other liabilities(2)	7,623		8,814
Total Liabilities	$	1,823,836	$	1,856,613

———————

(1)Net of the General CECL Allowance of $7.2 million and $8.2 million as of September 30, 2023 and December 31, 2022, respectively.

(2)Includes General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $2.7 million and $2.9 million as of September 30, 2023 and December 31, 2022, respectively.

The table below provides the net income (loss) of the Barclays Private Securitization VIE included in our condensed consolidated statement of operations ($ in thousands):

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Net Interest Income:
Interest income from commercial mortgage loans	$	56,537	$	30,518	$	156,295	$	86,695
Interest expense	(30,379)		(12,668)		(80,753)		(32,830)
Net interest income	$	26,158	$	17,850	$	75,542	$	53,865
General and administrative expense	(2)		—		(9)		—
Decrease (increase) in current expected credit loss allowance, net	1,744		889		1,169		4,698
Foreign currency translation gain (loss)	(24,266)		(50,237)		(3,555)		(111,745)
Net Income (Loss)	$	3,634	$	(31,498)	$	73,147	$	(53,182)

At September 30, 2023, our borrowings had the following remaining maturities ($ in thousands):

	Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years		Total
JPMorgan Facility	$	356,095	$	586,476	$	229,648	$	—	$	1,172,219
Deutsche Bank Facility	95,686		180,129		—		—		275,815
Atlas Facility	—		83,300		580,517		—		663,817
HSBC Facility	—		637,440		—		—		637,440

Goldman Sachs Facility	—		17,868		—		—		17,868
Barclays Facility	—		—		109,843		—		109,843
MUFG Securities Facility	—		196,137		—		—		196,137
Churchill Facility	—		127,822		—		—		127,822
Santander Facility - USD	—		75,000		—		—		75,000
Santander Facility - EUR	53,267		—		—		—		53,267
Barclays Private Securitization	253,436		781,989		782,774		—		1,818,199
Total	$	758,484	$	2,686,161	$	1,702,782	$	—	$	5,147,427

The table above reflects the fully extended maturity date of the facility and assumes facilities with an "evergreen" feature continue to extend through the fully-extended maturity of the underlying asset and assumes underlying loans are extended with consent of financing providers.

The table below summarizes the outstanding balances at September 30, 2023, as well as the maximum and average month-end balances for the nine months ended September 30, 2023 for our borrowings under secured debt arrangements ($ in thousands).

	As of September 30, 2023				For the nine months ended September 30, 2023
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,172,219	$	1,981,220	$	1,324,226	$	1,226,645
Deutsche Bank Facility	275,815		417,733		385,818		338,297
Goldman Sachs Facility	17,868		35,852		70,249		35,181
Atlas Facility	663,817		932,656		688,126		668,655
HSBC Facility	637,440		822,049		667,430		651,260
Barclays Facility	109,843		136,354		111,909		111,450
MUFG Securities Facility	196,137		266,007		206,362		200,256
Churchill Facility	127,822		169,707		130,000		128,780
Santander Facility - USD	75,000		99,560		75,000		66,667
Santander Facility - EUR	53,267		71,023		55,403		54,244
Barclays Private Securitization	1,818,199		2,484,328		1,937,131		1,877,409
Total	$	5,147,427	$	7,416,489

The table below summarizes the outstanding balances at December 31, 2022, as well as the maximum and average month-end balances for the year ended December 31, 2022 for our borrowings under secured debt arrangements ($ in thousands).

	As of December 31, 2022				For the year ended December 31, 2022
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,373,598	$	2,376,154	$	1,584,171	$	1,411,644
Deutsche Bank Facility	385,818		565,387		432,455		400,337
Goldman Sachs Facility	70,249		116,619		164,607		140,599
Atlas Facility	632,747		855,119		633,143		541,245
HSBC Facility	637,313		813,716		660,004		501,674
Barclays Facility	111,909		138,510		172,693		102,664
MUFG Securities Facility	194,272		261,319		194,272		156,499
Santander Facility	53,320		71,093		53,320		50,450
Barclays Private Securitization	1,850,076		2,476,349		1,963,837		1,828,794
Total	$	5,309,302	$	7,674,266

Debt Covenants

The guarantees related to our secured debt arrangements contain the following financial covenants: (i) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 3.75:1; and (iii) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million. Under these covenants, our General CECL Allowance is added back to our tangible net worth calculation. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant related to our Revolving Credit Facility to a minimum of 1.4 to 1 from a minimum of 1.5 to 1.

We were in compliance with the covenants under each of our secured debt arrangements and Revolving Credit Facility at September 30, 2023 and December 31, 2022. The impact of macroeconomic conditions on the commercial real estate markets and global capital markets, including increased interest rates, foreign currency fluctuations, changes to fiscal and monetary policy, slower economic growth or recession, labor shortages, and recent distress in the banking sector, may make it more difficult to meet or satisfy these covenants in the future.

Senior Secured Term Loans, Net

In May 2019, we entered into a $500.0 million senior secured term loan (the "2026 Term Loan"), which matures in May 2026 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2026 Term Loan was issued at a price of 99.5%. During the second quarter of 2023, the 2026 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR plus 2.86%.

In March 2021, we entered into an additional $300.0 million senior secured term loan, with substantially the same terms as the 2026 Term Loan, (the "2028 Term Loan" and, together with the 2026 Term Loan, the "Term Loans"), which matures in March 2028 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2028 Term Loan was issued at a price of 99.0%. During the second quarter of 2023, the 2028 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR (with a floor of 0.50%) plus 3.61%.

The Term Loans are amortizing with repayments of 0.25% per quarter of the total committed principal. During the three and nine months ended September 30, 2023 and 2022, we repaid $1.3 million and $3.8 million, of principal respectively related to the 2026 Term Loan. During the three and nine months ended September 30, 2023 and 2022, we repaid $0.75 million and $2.25 million, of principal respectively related to the 2028 Term Loan.

The following table summarizes the terms of the Term Loans as of September 30, 2023 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	478,750	$	(923)	$	(4,685)	$	473,142	2.86	%	5/15/2026
2028 Term Loan	292,500		(1,893)		(3,368)		287,239		3.61	%	3/11/2028
Total	$	771,250	$	(2,816)	$	(8,053)	$	760,381

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

The following table summarizes the terms of the Term Loans as of December 31, 2022 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	482,500	$	(1,190)	$	(6,106)	$	475,204	2.75	%	5/15/2026
2028 Term Loan	294,750		(2,214)		(3,927)		288,609		3.50	%	3/11/2028
Total	$	777,250	$	(3,404)	$	(10,033)	$	763,813

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

Covenants

The financial covenants of the Term Loans include the requirements that we maintain: (i) a maximum ratio of total recourse debt to tangible net worth of 4:1; and (ii) a maximum ratio of total unencumbered assets to total pari-passu

indebtedness of 2.50:1. We were in compliance with the covenants under the Term Loans at September 30, 2023 and December 31, 2022.

Interest Rate Cap

During the second quarter of 2020, we entered into a three-year interest rate cap to cap LIBOR at 0.75%. This effectively limited the maximum all-in coupon on our 2026 Term Loan to 3.50%. The interest rate cap matured on June 15, 2023 and the effective all-in coupon on our 2026 Term Loan increased to one month SOFR plus the spread of 2.86%.

During 2023, through the interest rate cap maturity, LIBOR exceeded the cap rate of 0.75%. As such, during the nine months ended September 30, 2023, we realized a gain from the interest rate cap in the amount of $9.1 million, which is included in gain (loss) on interest rate hedging instruments in our condensed consolidated statement of operations. The realized gain was a result of the increase in the current interest rate forward curve. As the interest rate cap matured during the three months ended June 30, 2023, there was no realized gain or loss recorded during three months ended September 30, 2023.

Senior Secured Notes, Net

In June 2021, we issued $500.0 million of 4.625% Senior Secured Notes due 2029 (the "2029 Notes"), for which we received net proceeds of $495.0 million, after deducting initial purchasers' discounts and commissions. The 2029 Notes will mature on June 15, 2029, unless earlier repurchased or redeemed. The 2029 Notes are secured by a first-priority lien, and rank pari-passu in right of payment with all of our existing and future first lien obligations, including indebtedness under the Term Loans. The 2029 Notes were issued at par and contain covenants relating to liens, indebtedness, and investments in non-wholly owned entities. The 2029 Notes had a carrying value of $495.4 million and $494.8 million, net of deferred financing costs of $4.6 million and $5.2 million, as of September 30, 2023 and December 31, 2022, respectively.

Covenants

The 2029 Notes include certain covenants including a requirement that we maintain a ratio of total unencumbered assets to total pari-passu indebtedness of at least 1.20:1. As of September 30, 2023 and December 31, 2022, we were in compliance with all covenants.

Participations Sold

Participations sold represents the subordinate interests in loans we originated and subsequently partially sold. We account for participations sold as secured borrowings on our condensed consolidated balance sheet with both assets and non-recourse liabilities because the participations do not qualify as a sale under ASC 860. The income earned on the participations sold is recorded as interest income and an identical amount is recorded as interest expense in our condensed consolidated statements of operations.

In December 2020, we sold a £6.7 million ($8.9 million assuming conversion into USD at time of transfer) interest, at par, in a first mortgage loan collateralized by an office building located in London, United Kingdom that was originated by us in December 2017. In connection with this sale, we transferred our remaining unfunded commitment of £19.1 million ($25.3 million assuming conversion into USD at time of transfer). The participation interest sold was subordinate to our first mortgage loan and was accounted for as a secured borrowing on our consolidated balance sheet. In January 2023, the first mortgage loan, including participations sold, was fully satisfied, including all contractual and default interest accrued to date.

The table below details participations sold included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Participation sold on commercial mortgage loans	$	—	$	25,130
Total participations sold	$	—	$	25,130

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Senior Secured Notes, Net

9 Months Ended

Sep. 30, 2023

Receivables [Abstract]

Secured Debt Arrangement, Net/Participations Sold

Secured Debt Arrangements, Net

We utilize secured debt arrangements to finance the origination activity in our loan portfolio. Our secured debt arrangements are comprised of secured credit facilities, a private securitization, and a revolving credit facility. During the nine months ended September 30, 2023, we entered into three new secured debt arrangements, including credit facilities with Banco Santander, S.A., New York Branch and Churchill MRA Funding I LLC, and a revolving credit facility administered by Bank of America, N.A. ("Revolving Credit Facility") which provided a combined $600.0 million of additional capacity, and upsized the Atlas Facility, as defined in this Form 10-Q, by $83.3 million.

Our borrowings under secured debt arrangements at September 30, 2023 and December 31, 2022 are detailed in the following table ($ in thousands):

	September 30, 2023					December 31, 2022
	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)
JPMorgan Facility - USD(3)(4)	$	1,483,312	$	1,155,531	September 2026	$	1,532,722	$	1,306,320	September 2026
JPMorgan Facility - GBP(3)(4)	16,688		16,688		September 2026	67,278		67,278		September 2026
Deutsche Bank Facility - USD(3)	700,000		275,815		March 2026	700,000		385,818		March 2026
Atlas Facility - USD(5)	689,770		663,817		April 2027(6)(7)	635,653		632,747		August 2026(6)(7)
HSBC Facility - GBP	367,922		367,922		April 2025	364,423		364,423		April 2025
HSBC Facility - EUR	269,518		269,518		January 2026(7)	272,890		272,890		January 2026
Goldman Sachs Facility - USD	300,000		17,868		November 2025(8)	300,000		70,249		November 2025(8)
Barclays Facility - USD	200,000		109,843		June 2027(6)	200,000		111,909		June 2027
MUFG Securities Facility - GBP	196,137		196,137		June 2025(6)	194,272		194,272		June 2025

Churchill Facility - USD	130,000		127,822		March 2026	—		—		N/A
Santander Facility - USD	300,000		75,000		February 2026(6)	—		—		N/A
Santander Facility - EUR	57,094		53,267		August 2024	57,807		53,320		August 2024
Total Secured Credit Facilities	4,710,441		3,329,228			4,325,045		3,459,226
Barclays Private Securitization - GBP, EUR, SEK	1,818,199		1,818,199		February 2026(7)	1,850,076		1,850,076		February 2026(7)
Revolving Credit Facility - USD(9)	170,000		—		March 2026	—		—		N/A
Total Secured Debt Arrangements	6,698,640		5,147,427			6,175,121		5,309,302
Less: deferred financing costs	N/A		(11,572)			N/A		(12,477)
Total Secured Debt Arrangements, net(10)(11)(12)	$	6,698,640	$	5,135,855		$	6,175,121	$	5,296,825

———————

(1)As of September 30, 2023, British Pound Sterling("GBP"), Euro ("EUR"), and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.22, 1.06, and 0.09, respectively. As of December 31, 2022, GBP, EUR and SEK borrowings were converted to USD at a rate of 1.21, 1.07 and 0.10, respectively.

(2)Maturity date assumes extensions at our option are exercised with consent of financing providers, where applicable.

(3)The JPMorgan Facility and Deutsche Bank Facility enable us to elect to receive advances in USD, GBP, or EUR.

(4)The JPMorgan Facility allows for $1.5 billion of maximum borrowings in total as of September 30, 2023. The JPMorgan Facility was temporarily upsized from $1.5 billion to $1.6 billion during August 2022 and the maximum borrowings decreased to $1.5 billion as of January 2023.

(5)The Atlas Facility was formerly the Credit Suisse Facility. See "—Atlas Facility" below for additional discussion.

(6)Assumes financings are extended in line with the underlying loans.

(7)Represents weighted average maturity across various financings with the counterparty. See below for additional details.

(8)Assumes facility enters the two-year amortization period subsequent to the November 2023 maturity, which allows for the refinancing or pay down of assets under the facility.

(9)The current stated maturity of the Revolving Credit Facility is March 2026. Borrowings under the Revolving Credit Facility bear interest at a per annum rate equal to the sum of (i) a floating rate index and (ii) a fixed margin. Borrowings under the Revolving Credit Facility are full recourse to certain guarantor wholly-owned subsidiaries of the Company. See "—Revolving Credit Facility" below for additional discussion.

(10)Weighted-average borrowing costs as of September 30, 2023 and December 31, 2022 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.45% / GBP: +1.99% / EUR: +1.65% / SEK: +1.50% and USD: +2.28% / GBP: +2.02% / EUR: +1.54%/ SEK: +1.50%, respectively.

(11)Weighted average advance rates based on cost as of September 30, 2023 and December 31, 2022 were 68.7% (65.0% (USD) / 71.6% (GBP) / 72.1% (EUR) / 80.4% (SEK)) and 68.8% (63.9% (USD) / 74.0% (GBP) / 72.1% (EUR) / 80.5% (SEK)), respectively.

(12)As of September 30, 2023 and December 31, 2022, approximately 58% and 58% of the outstanding balance under these secured borrowings were recourse to us.

Terms of our secured credit facilities are designed to keep each lender's credit exposure generally constant as a percentage of the underlying value of the assets pledged as security to the facility. If the credit of the underlying collateral value decreases, the amount of leverage to us may be reduced. As of September 30, 2023 and December 31, 2022, the weighted average haircut under our secured debt arrangements was approximately 31.3% and 31.2%, respectively. Our secured credit facilities do not contain capital markets-based mark-to-market provisions.

Atlas Facility

On February 8, 2023, in connection with the acquisition by certain subsidiaries of Atlas Securitized Products Holdings (“Atlas”), which is a wholly-owned investment of a fund managed by an affiliate of the Manager, of certain warehouse assets and liabilities of the Credit Suisse AG Securitized Products Group ("Credit Suisse AG")(the “Transaction”), the Credit Suisse Facility was acquired by Atlas ("Atlas Facility"). In order to effect the assignment of the Credit Suisse Facility and related agreements, the Company and one of its subsidiaries, similar to the other sellers and guarantors party to the subject agreements in the Transaction, entered into an Omnibus Assignment, Assumption and Amendment Agreement as well as certain related agreements with Credit Suisse AG and Atlas. Refer to "Note 15 - Related Party Transactions" for further discussion regarding the transaction.

Revolving Credit Facility

On March 3, 2023, we entered into the Revolving Credit Facility administered by Bank of America, N.A. Revolving Credit Facility provides up to $170.0 million of borrowings secured by qualifying commercial mortgage loans and real property owned assets. The Revolving Credit Facility has a term of three years, maturing in March 2026. The Revolving Credit Facility enables us to borrow on qualifying commercial mortgage loans for up to two years and real property owned assets for up to six months. As of September 30, 2023 we had no borrowings outstanding on the Revolving Credit Facility. During the three and nine months ended September 30, 2023, we recorded $86.9 thousand and $200.2 thousand, respectively in unused fees related to the Revolving Credit Facility.

The guarantees related to the Revolving Credit Facility contain the following financial covenants: (i) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 4:1; (iii) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; and (iv) maintain a minimum interest coverage ratio of 1.5:1. We were in compliance with the covenants under the Revolving Credit Facility as of September 30, 2023. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant to a minimum of 1.4 to 1.

Barclays Private Securitization

We are party to a private securitization with Barclays Bank plc (the "Barclays Private Securitization"). Commercial mortgage loans currently financed under the Barclays Securitization are denominated in GBP, EUR and SEK.

The Barclays Private Securitization does not include daily margining provisions and grants us significant discretion to modify certain terms of the underlying collateral including waiving certain loan-level covenant breaches and deferring or waiving of debt service payments for up to 18 months. The securitization includes loan-to-value based covenants with deleveraging requirements that are based on significant declines in the value of the collateral as determined by an annual third-party (engaged by us) appraisal process tied to the provisions of the underlying loan agreements. We believe this provides us with both cushion and predictability to avoid sudden unexpected outcomes and material repayment requirements.

The table below provides principal balances and the carrying value for commercial mortgage loans pledged to the Barclays Private Securitization as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,537,840	$	1,519,137
EUR	5	726,912		723,610
SEK	1	236,381		234,376
Total	13	$	2,501,133	$	2,477,123

	December 31, 2022
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,495,616	$	1,475,241
EUR	5	752,531		747,240
SEK	1	248,064		245,714
Total	13	$	2,496,211	$	2,468,195

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of September 30, 2023 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	$	1,114,701	June 2026
Total/Weighted-Average EUR	514,393		June 2025(3)
Total/Weighted-Average SEK	189,105		May 2026
Total/Weighted-Average Securitization	$	1,818,199	February 2026

———————

(1)As of September 30, 2023, we had £913.8 million, €486.5 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of December 31, 2022 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	1,125,420		May 2026
Total/Weighted-Average EUR	526,204		July 2025(3)
Total/Weighted-Average SEK	198,452		May 2026
Total/Weighted-Average Securitization	$	1,850,076	February 2026

———————

(1)As of December 31, 2022, we had £931.4 million, €491.6 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Assets:
Cash	$	1,740	$	758
Commercial mortgage loans, net(1)	2,477,123		2,468,195
Other Assets	39,055		30,992
Total Assets	$	2,517,918	$	2,499,945
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.0 million and $2.3 million in 2023 and 2022, respectively)	$	1,816,213	$	1,847,799
Accounts payable, accrued expenses and other liabilities(2)	7,623		8,814
Total Liabilities	$	1,823,836	$	1,856,613

———————

(1)Net of the General CECL Allowance of $7.2 million and $8.2 million as of September 30, 2023 and December 31, 2022, respectively.

(2)Includes General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $2.7 million and $2.9 million as of September 30, 2023 and December 31, 2022, respectively.

The table below provides the net income (loss) of the Barclays Private Securitization VIE included in our condensed consolidated statement of operations ($ in thousands):

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Net Interest Income:
Interest income from commercial mortgage loans	$	56,537	$	30,518	$	156,295	$	86,695
Interest expense	(30,379)		(12,668)		(80,753)		(32,830)
Net interest income	$	26,158	$	17,850	$	75,542	$	53,865
General and administrative expense	(2)		—		(9)		—
Decrease (increase) in current expected credit loss allowance, net	1,744		889		1,169		4,698
Foreign currency translation gain (loss)	(24,266)		(50,237)		(3,555)		(111,745)
Net Income (Loss)	$	3,634	$	(31,498)	$	73,147	$	(53,182)

At September 30, 2023, our borrowings had the following remaining maturities ($ in thousands):

	Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years		Total
JPMorgan Facility	$	356,095	$	586,476	$	229,648	$	—	$	1,172,219
Deutsche Bank Facility	95,686		180,129		—		—		275,815
Atlas Facility	—		83,300		580,517		—		663,817
HSBC Facility	—		637,440		—		—		637,440

Goldman Sachs Facility	—		17,868		—		—		17,868
Barclays Facility	—		—		109,843		—		109,843
MUFG Securities Facility	—		196,137		—		—		196,137
Churchill Facility	—		127,822		—		—		127,822
Santander Facility - USD	—		75,000		—		—		75,000
Santander Facility - EUR	53,267		—		—		—		53,267
Barclays Private Securitization	253,436		781,989		782,774		—		1,818,199
Total	$	758,484	$	2,686,161	$	1,702,782	$	—	$	5,147,427

The table above reflects the fully extended maturity date of the facility and assumes facilities with an "evergreen" feature continue to extend through the fully-extended maturity of the underlying asset and assumes underlying loans are extended with consent of financing providers.

The table below summarizes the outstanding balances at September 30, 2023, as well as the maximum and average month-end balances for the nine months ended September 30, 2023 for our borrowings under secured debt arrangements ($ in thousands).

	As of September 30, 2023				For the nine months ended September 30, 2023
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,172,219	$	1,981,220	$	1,324,226	$	1,226,645
Deutsche Bank Facility	275,815		417,733		385,818		338,297
Goldman Sachs Facility	17,868		35,852		70,249		35,181
Atlas Facility	663,817		932,656		688,126		668,655
HSBC Facility	637,440		822,049		667,430		651,260
Barclays Facility	109,843		136,354		111,909		111,450
MUFG Securities Facility	196,137		266,007		206,362		200,256
Churchill Facility	127,822		169,707		130,000		128,780
Santander Facility - USD	75,000		99,560		75,000		66,667
Santander Facility - EUR	53,267		71,023		55,403		54,244
Barclays Private Securitization	1,818,199		2,484,328		1,937,131		1,877,409
Total	$	5,147,427	$	7,416,489

The table below summarizes the outstanding balances at December 31, 2022, as well as the maximum and average month-end balances for the year ended December 31, 2022 for our borrowings under secured debt arrangements ($ in thousands).

	As of December 31, 2022				For the year ended December 31, 2022
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,373,598	$	2,376,154	$	1,584,171	$	1,411,644
Deutsche Bank Facility	385,818		565,387		432,455		400,337
Goldman Sachs Facility	70,249		116,619		164,607		140,599
Atlas Facility	632,747		855,119		633,143		541,245
HSBC Facility	637,313		813,716		660,004		501,674
Barclays Facility	111,909		138,510		172,693		102,664
MUFG Securities Facility	194,272		261,319		194,272		156,499
Santander Facility	53,320		71,093		53,320		50,450
Barclays Private Securitization	1,850,076		2,476,349		1,963,837		1,828,794
Total	$	5,309,302	$	7,674,266

Debt Covenants

The guarantees related to our secured debt arrangements contain the following financial covenants: (i) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 3.75:1; and (iii) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million. Under these covenants, our General CECL Allowance is added back to our tangible net worth calculation. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant related to our Revolving Credit Facility to a minimum of 1.4 to 1 from a minimum of 1.5 to 1.

We were in compliance with the covenants under each of our secured debt arrangements and Revolving Credit Facility at September 30, 2023 and December 31, 2022. The impact of macroeconomic conditions on the commercial real estate markets and global capital markets, including increased interest rates, foreign currency fluctuations, changes to fiscal and monetary policy, slower economic growth or recession, labor shortages, and recent distress in the banking sector, may make it more difficult to meet or satisfy these covenants in the future.

Senior Secured Term Loans, Net

In May 2019, we entered into a $500.0 million senior secured term loan (the "2026 Term Loan"), which matures in May 2026 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2026 Term Loan was issued at a price of 99.5%. During the second quarter of 2023, the 2026 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR plus 2.86%.

In March 2021, we entered into an additional $300.0 million senior secured term loan, with substantially the same terms as the 2026 Term Loan, (the "2028 Term Loan" and, together with the 2026 Term Loan, the "Term Loans"), which matures in March 2028 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2028 Term Loan was issued at a price of 99.0%. During the second quarter of 2023, the 2028 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR (with a floor of 0.50%) plus 3.61%.

The Term Loans are amortizing with repayments of 0.25% per quarter of the total committed principal. During the three and nine months ended September 30, 2023 and 2022, we repaid $1.3 million and $3.8 million, of principal respectively related to the 2026 Term Loan. During the three and nine months ended September 30, 2023 and 2022, we repaid $0.75 million and $2.25 million, of principal respectively related to the 2028 Term Loan.

The following table summarizes the terms of the Term Loans as of September 30, 2023 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	478,750	$	(923)	$	(4,685)	$	473,142	2.86	%	5/15/2026
2028 Term Loan	292,500		(1,893)		(3,368)		287,239		3.61	%	3/11/2028
Total	$	771,250	$	(2,816)	$	(8,053)	$	760,381

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

The following table summarizes the terms of the Term Loans as of December 31, 2022 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	482,500	$	(1,190)	$	(6,106)	$	475,204	2.75	%	5/15/2026
2028 Term Loan	294,750		(2,214)		(3,927)		288,609		3.50	%	3/11/2028
Total	$	777,250	$	(3,404)	$	(10,033)	$	763,813

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

Covenants

The financial covenants of the Term Loans include the requirements that we maintain: (i) a maximum ratio of total recourse debt to tangible net worth of 4:1; and (ii) a maximum ratio of total unencumbered assets to total pari-passu

indebtedness of 2.50:1. We were in compliance with the covenants under the Term Loans at September 30, 2023 and December 31, 2022.

Interest Rate Cap

During the second quarter of 2020, we entered into a three-year interest rate cap to cap LIBOR at 0.75%. This effectively limited the maximum all-in coupon on our 2026 Term Loan to 3.50%. The interest rate cap matured on June 15, 2023 and the effective all-in coupon on our 2026 Term Loan increased to one month SOFR plus the spread of 2.86%.

During 2023, through the interest rate cap maturity, LIBOR exceeded the cap rate of 0.75%. As such, during the nine months ended September 30, 2023, we realized a gain from the interest rate cap in the amount of $9.1 million, which is included in gain (loss) on interest rate hedging instruments in our condensed consolidated statement of operations. The realized gain was a result of the increase in the current interest rate forward curve. As the interest rate cap matured during the three months ended June 30, 2023, there was no realized gain or loss recorded during three months ended September 30, 2023.

Senior Secured Notes, Net

In June 2021, we issued $500.0 million of 4.625% Senior Secured Notes due 2029 (the "2029 Notes"), for which we received net proceeds of $495.0 million, after deducting initial purchasers' discounts and commissions. The 2029 Notes will mature on June 15, 2029, unless earlier repurchased or redeemed. The 2029 Notes are secured by a first-priority lien, and rank pari-passu in right of payment with all of our existing and future first lien obligations, including indebtedness under the Term Loans. The 2029 Notes were issued at par and contain covenants relating to liens, indebtedness, and investments in non-wholly owned entities. The 2029 Notes had a carrying value of $495.4 million and $494.8 million, net of deferred financing costs of $4.6 million and $5.2 million, as of September 30, 2023 and December 31, 2022, respectively.

Covenants

The 2029 Notes include certain covenants including a requirement that we maintain a ratio of total unencumbered assets to total pari-passu indebtedness of at least 1.20:1. As of September 30, 2023 and December 31, 2022, we were in compliance with all covenants.

Participations Sold

Participations sold represents the subordinate interests in loans we originated and subsequently partially sold. We account for participations sold as secured borrowings on our condensed consolidated balance sheet with both assets and non-recourse liabilities because the participations do not qualify as a sale under ASC 860. The income earned on the participations sold is recorded as interest income and an identical amount is recorded as interest expense in our condensed consolidated statements of operations.

In December 2020, we sold a £6.7 million ($8.9 million assuming conversion into USD at time of transfer) interest, at par, in a first mortgage loan collateralized by an office building located in London, United Kingdom that was originated by us in December 2017. In connection with this sale, we transferred our remaining unfunded commitment of £19.1 million ($25.3 million assuming conversion into USD at time of transfer). The participation interest sold was subordinate to our first mortgage loan and was accounted for as a secured borrowing on our consolidated balance sheet. In January 2023, the first mortgage loan, including participations sold, was fully satisfied, including all contractual and default interest accrued to date.

The table below details participations sold included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Participation sold on commercial mortgage loans	$	—	$	25,130
Total participations sold	$	—	$	25,130

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Convertible Senior Notes, Net

9 Months Ended

Sep. 30, 2023

Debt Disclosure [Abstract]

Convertible Senior Notes, Net

Convertible Senior Notes, Net

In two separate offerings during 2017, we issued an aggregate principal amount of $345.0 million of 4.75% Convertible Senior Notes due 2022 (the "2022 Notes"), for which we received $337.5 million, after deducting the underwriting discount and offering expenses. During the third quarter of 2022, we repaid the $345.0 million aggregate principal amount of the 2022 Notes in cash at par.

During the fourth quarter of 2018, we issued $230.0 million of 5.375% Convertible Senior Notes due 2023 (the "2023 Notes" and, together with the 2022 Notes, the "Convertible Notes"), for which we received $223.7 million after deducting the underwriting discount and offering expenses. At September 30, 2023, the 2023 Notes had a carrying value of $176.0 million, inclusive of an unamortized discount of $0.1 million.

The following table summarizes the terms of the 2023 Notes as of September 30, 2023 ($ in thousands):

	Principal Amount		Coupon Rate		Effective Rate (1)		Conversion Rate (2)	Maturity Date	Remaining Period of Amortization
2023 Notes	176,064		5.38	%	5.74	%	48.7187	10/15/2023	0.04
Total	$	176,064

The following table summarizes the terms of the 2023 Notes as of December 31, 2022 ($ in thousands):

	Principal Amount		Coupon Rate		Effective Rate (1)		Conversion Rate (2)	Maturity Date	Remaining Period of Amortization
2023 Notes	230,000		5.38	%	5.85	%	48.7187	10/15/2023	0.79
Total	$	230,000

———————

(1)Effective rate includes the effect of the adjustment for the conversion option (See footnote (2) below), the value of which reduced the initial liability and

was recorded in additional paid-in-capital. The effective rate as of both September 30, 2023 and December 31, 2022 reflects adoption of ASU 2020-06 "Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in Entity's Own Equity" ("ASU 2020-06") and early extinguishment of debt.

(2)We have the option to settle any conversions in cash, shares of common stock or a combination thereof. The conversion rate represents the number of shares of common stock issuable per one thousand principal amount of the Convertible Notes converted and includes adjustments relating to cash dividend payments made by us to stockholders that have been deferred and carried-forward in accordance with, and are not yet required to be made pursuant to, the terms of the applicable supplemental indenture.

On January 1, 2022, we adopted ASU 2020-06, which no longer require the liability and equity components of convertible debt instruments that may be settled in cash upon conversion (including partial cash settlement) to be separately accounted for in a manner that reflects the issuer’s nonconvertible debt borrowing rate. Prior to the adoption of ASU 2020-06, we attributed $15.4 million of the proceeds to the equity component of the Convertible Notes ($11.0 million to the 2022 Notes and $4.4 million to the 2023 Notes), which represented the excess proceeds received over the fair value of the liability component of the Convertible Notes at the date of issuance. The equity component of the Convertible Notes had been reflected within additional paid-in capital on our consolidated balance sheets until January 1, 2022 when we adopted ASU 2020-06 through the modified retrospective approach. Upon adoption, we (i) reclassified $12.0 million of previously recorded amortization related to the equity component of the Convertible Notes from retained earnings to additional paid-in-capital and (ii) reclassified the remaining unamortized balance of $3.4 million to additional paid-in-capital, which increased the cost basis of convertible notes and decreased additional paid-in-capital on the consolidated balance sheets.

We may not redeem the 2023 Notes prior to maturity except in limited circumstances. During the first and second quarters of 2023, we repurchased $7.1 million and $36.8 million, respectively, in aggregate principal of the 2023 Notes at a weighted average price of 97.0% and 99.3%, respectively. During the third quarter of 2023, we repurchased an additional $10.0 million aggregate principal of the 2023 Notes at a price of 99.7%. These transactions happened in the open market as a result of reverse inquiries from investors with no solicitation from us. As a result of these transactions, during the three and nine months ended September 30, 2023, we recorded a gain of $30.0 thousand and $0.5 million, respectively, within realized gain on extinguishment of debt in our September 30, 2023 condensed consolidated statement of operations. The gain represents the difference between the repurchase price and the carrying amount of the 2023 Notes, net of the proportionate amount of unamortized debt issuance costs. The closing price of our common stock on September 30, 2023 of $10.13 was less than the per share conversion price of the 2023 Notes at such time. Subsequent to September 30, 2023, we repaid the remaining principal of the 2023 Notes of $176.1 million at par.

The aggregate contractual interest expense was approximately $2.4 million and $8.2 million for the three and nine months ended September 30, 2023 and $5.5 million and $19.8 million for the three and nine months ended September 30, 2022, respectively. With respect to the amortization of the discount on the liability component of the Convertible Notes as well as the amortization of deferred financing costs, we reported additional non-cash interest expense of approximately $0.3 million and $1.1 million for the three and nine months ended September 30, 2023 as compared to $0.6 million and $2.1 million for the three and nine months ended September 30, 2022, respectively.

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Derivatives

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives

Derivatives

We use forward currency contracts to economically hedge interest and principal payments due under our loans denominated in currencies other than USD.

We have entered into a series of forward contracts to sell an amount of foreign currency (GBP, EUR and SEK) for an agreed upon amount of USD at various dates through February 2027. These forward contracts were executed to economically fix the USD amounts of foreign denominated cash flows expected to be received by us related to foreign denominated loan investments.

The agreements with our derivative counterparties require that we post collateral to secure net liability positions. As of both September 30, 2023 and December 31, 2022, we were in a net asset position with all of our derivative counterparties and did not have any collateral posted under these derivative contracts.

The following table summarizes our non-designated Fx forwards and interest rate cap as of September 30, 2023:

	September 30, 2023
Type of Derivatives	Number of Contracts	Aggregate Notional Amount (in thousands)	Notional Currency	Maturity	Weighted-Average Years to Maturity
Fx contracts - GBP	110	934,662	GBP	October 2023 - February 2027	1.29
Fx contracts - EUR	99	424,355	EUR	October 2023 - August 2026	1.17
Fx contracts - SEK	17	689,627	SEK	November 2023 - May 2026	2.36
Interest rate cap	1	164,835	USD	October 2024	1.00

    

The following table summarizes our non-designated Fx forwards and interest rate cap as of December 31, 2022:

	December 31, 2022
Type of Derivatives	Number of Contracts	Aggregate Notional Amount (in thousands)	Notional Currency	Maturity	Weighted-Average Years to Maturity
Fx contracts - GBP	124	936,930	GBP	January 2023 - February 2027	1.78
Fx contracts - EUR	130	576,240	EUR	January 2023 - November 2025	1.78
Fx contracts - SEK	19	730,432	SEK	February 2023 - May 2026	2.95
Interest rate cap	1	500,000	USD	June 2023	0.46

We have not designated any of our derivative instruments as hedges as defined in ASC 815, "Derivatives and Hedging" and, therefore, changes in the fair value of our derivative instruments are recorded directly in earnings. The following table summarizes the amounts recognized on our condensed consolidated statements of operations related to our forward currency contracts for the nine months ended September 30, 2023 and 2022 ($ in thousands):

		Amount of gain (loss) recognized in income
		Three months ended September 30,				Nine months ended September 30,
	Location of Gain (Loss) Recognized in Income	2023		2022		2023		2022
Forward currency contracts	Unrealized gain (loss) on derivative instruments	$	28,244	$	108,428	$	(27,709)	$	221,623
Forward currency contracts	Realized gain on derivative instruments	11,246		20,824		35,948		35,604
Total		$	39,490	$	129,252	$	8,239	$	257,227

In June 2020, we entered into an interest rate cap for approximately $1.1 million, which matured on June 15, 2023. Our interest rate cap managed our exposure to variable cash flows on our borrowings under the senior secured term loan by effectively limiting LIBOR from exceeding 0.75%. This effectively limited the maximum all-in coupon on our senior secured term loan to 3.50%. The unrealized gain or loss related to the interest rate cap was recorded net under unrealized gain on interest rate hedging instruments in our consolidated statement of operations. During 2023, through the interest rate cap maturity, LIBOR exceeded the cap rate of 0.75%. As such, during the nine months ended September 30, 2023, we realized a gain from the interest rate cap in the amount of $9.1 million, which is included in gain (loss) on interest rate hedging instruments in our condensed consolidated statement of operations. The realized gain was a result of the increase in current interest rates. As the interest rate cap matured during the second quarter of 2023, there was no realized gain or loss recorded during three months ended September 30, 2023. There was no realized gain recorded during the nine months ended September 30, 2022.

On September 26, 2023, we entered into an interest rate cap with a notional amount of $164.8 million. We use our interest rate cap to hedge our exposure to variable cash flows on our construction loan. The interest rate cap effectively limits SOFR from exceeding 4.00% which results in the maximum all-in coupon on our construction financing of 6.55%. The unrealized gain or loss related to the interest rate cap was recorded under gain on interest rate hedging instruments in our condensed consolidated statement of operations. There was no realized gain or loss recorded during the three and nine months ended September 30, 2023.

The following table summarizes the amounts recognized on our condensed consolidated statements of operations related to our interest rate caps for the three and nine months ended September 30, 2023 and 2022 ($ in thousands):

		Amount of gain (loss) recognized in income
		Three months ended September 30,				Nine months ended September 30,
	Location of Gain (Loss)  Recognized in Income	2023		2022		2023		2022
Interest rate cap	Unrealized gain (loss) on interest rate hedging instruments	$	(70)	$	1,044	$	(9,211)	$	10,808
Interest rate cap	Realized gain on interest rate hedging instruments	—		—		9,089		—
Total		$	(70)	$	1,044	$	(122)	$	10,808

The following tables summarize the gross asset and liability amounts related to our derivatives at September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023						December 31, 2022
	Gross Amount of Recognized Assets		Gross Amounts Offset in our Condensed Consolidated Balance Sheet		Net Amounts of Assets Presented in our Condensed Consolidated Balance Sheet		Gross Amount of Recognized Assets		Gross Amounts Offset in our  Consolidated Balance Sheet		Net Amounts of Assets Presented in our Consolidated Balance Sheet
Forward currency contracts	$	112,698	$	(20,908)	$	91,790	$	143,285	$	(23,786)	$	119,499
Interest rate cap	2,247		—		2,247		9,141		—		9,141
Total derivative assets (liabilities)	$	114,945	$	(20,908)	$	94,037	$	152,426	$	(23,786)	$	128,640

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Participations Sold

9 Months Ended

Sep. 30, 2023

Debt Disclosure [Abstract]

Secured Debt Arrangement, Net/Participations Sold

Secured Debt Arrangements, Net

We utilize secured debt arrangements to finance the origination activity in our loan portfolio. Our secured debt arrangements are comprised of secured credit facilities, a private securitization, and a revolving credit facility. During the nine months ended September 30, 2023, we entered into three new secured debt arrangements, including credit facilities with Banco Santander, S.A., New York Branch and Churchill MRA Funding I LLC, and a revolving credit facility administered by Bank of America, N.A. ("Revolving Credit Facility") which provided a combined $600.0 million of additional capacity, and upsized the Atlas Facility, as defined in this Form 10-Q, by $83.3 million.

Our borrowings under secured debt arrangements at September 30, 2023 and December 31, 2022 are detailed in the following table ($ in thousands):

	September 30, 2023					December 31, 2022
	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)
JPMorgan Facility - USD(3)(4)	$	1,483,312	$	1,155,531	September 2026	$	1,532,722	$	1,306,320	September 2026
JPMorgan Facility - GBP(3)(4)	16,688		16,688		September 2026	67,278		67,278		September 2026
Deutsche Bank Facility - USD(3)	700,000		275,815		March 2026	700,000		385,818		March 2026
Atlas Facility - USD(5)	689,770		663,817		April 2027(6)(7)	635,653		632,747		August 2026(6)(7)
HSBC Facility - GBP	367,922		367,922		April 2025	364,423		364,423		April 2025
HSBC Facility - EUR	269,518		269,518		January 2026(7)	272,890		272,890		January 2026
Goldman Sachs Facility - USD	300,000		17,868		November 2025(8)	300,000		70,249		November 2025(8)
Barclays Facility - USD	200,000		109,843		June 2027(6)	200,000		111,909		June 2027
MUFG Securities Facility - GBP	196,137		196,137		June 2025(6)	194,272		194,272		June 2025

Churchill Facility - USD	130,000		127,822		March 2026	—		—		N/A
Santander Facility - USD	300,000		75,000		February 2026(6)	—		—		N/A
Santander Facility - EUR	57,094		53,267		August 2024	57,807		53,320		August 2024
Total Secured Credit Facilities	4,710,441		3,329,228			4,325,045		3,459,226
Barclays Private Securitization - GBP, EUR, SEK	1,818,199		1,818,199		February 2026(7)	1,850,076		1,850,076		February 2026(7)
Revolving Credit Facility - USD(9)	170,000		—		March 2026	—		—		N/A
Total Secured Debt Arrangements	6,698,640		5,147,427			6,175,121		5,309,302
Less: deferred financing costs	N/A		(11,572)			N/A		(12,477)
Total Secured Debt Arrangements, net(10)(11)(12)	$	6,698,640	$	5,135,855		$	6,175,121	$	5,296,825

———————

(1)As of September 30, 2023, British Pound Sterling("GBP"), Euro ("EUR"), and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.22, 1.06, and 0.09, respectively. As of December 31, 2022, GBP, EUR and SEK borrowings were converted to USD at a rate of 1.21, 1.07 and 0.10, respectively.

(2)Maturity date assumes extensions at our option are exercised with consent of financing providers, where applicable.

(3)The JPMorgan Facility and Deutsche Bank Facility enable us to elect to receive advances in USD, GBP, or EUR.

(4)The JPMorgan Facility allows for $1.5 billion of maximum borrowings in total as of September 30, 2023. The JPMorgan Facility was temporarily upsized from $1.5 billion to $1.6 billion during August 2022 and the maximum borrowings decreased to $1.5 billion as of January 2023.

(5)The Atlas Facility was formerly the Credit Suisse Facility. See "—Atlas Facility" below for additional discussion.

(6)Assumes financings are extended in line with the underlying loans.

(7)Represents weighted average maturity across various financings with the counterparty. See below for additional details.

(8)Assumes facility enters the two-year amortization period subsequent to the November 2023 maturity, which allows for the refinancing or pay down of assets under the facility.

(9)The current stated maturity of the Revolving Credit Facility is March 2026. Borrowings under the Revolving Credit Facility bear interest at a per annum rate equal to the sum of (i) a floating rate index and (ii) a fixed margin. Borrowings under the Revolving Credit Facility are full recourse to certain guarantor wholly-owned subsidiaries of the Company. See "—Revolving Credit Facility" below for additional discussion.

(10)Weighted-average borrowing costs as of September 30, 2023 and December 31, 2022 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.45% / GBP: +1.99% / EUR: +1.65% / SEK: +1.50% and USD: +2.28% / GBP: +2.02% / EUR: +1.54%/ SEK: +1.50%, respectively.

(11)Weighted average advance rates based on cost as of September 30, 2023 and December 31, 2022 were 68.7% (65.0% (USD) / 71.6% (GBP) / 72.1% (EUR) / 80.4% (SEK)) and 68.8% (63.9% (USD) / 74.0% (GBP) / 72.1% (EUR) / 80.5% (SEK)), respectively.

(12)As of September 30, 2023 and December 31, 2022, approximately 58% and 58% of the outstanding balance under these secured borrowings were recourse to us.

Terms of our secured credit facilities are designed to keep each lender's credit exposure generally constant as a percentage of the underlying value of the assets pledged as security to the facility. If the credit of the underlying collateral value decreases, the amount of leverage to us may be reduced. As of September 30, 2023 and December 31, 2022, the weighted average haircut under our secured debt arrangements was approximately 31.3% and 31.2%, respectively. Our secured credit facilities do not contain capital markets-based mark-to-market provisions.

Atlas Facility

On February 8, 2023, in connection with the acquisition by certain subsidiaries of Atlas Securitized Products Holdings (“Atlas”), which is a wholly-owned investment of a fund managed by an affiliate of the Manager, of certain warehouse assets and liabilities of the Credit Suisse AG Securitized Products Group ("Credit Suisse AG")(the “Transaction”), the Credit Suisse Facility was acquired by Atlas ("Atlas Facility"). In order to effect the assignment of the Credit Suisse Facility and related agreements, the Company and one of its subsidiaries, similar to the other sellers and guarantors party to the subject agreements in the Transaction, entered into an Omnibus Assignment, Assumption and Amendment Agreement as well as certain related agreements with Credit Suisse AG and Atlas. Refer to "Note 15 - Related Party Transactions" for further discussion regarding the transaction.

Revolving Credit Facility

On March 3, 2023, we entered into the Revolving Credit Facility administered by Bank of America, N.A. Revolving Credit Facility provides up to $170.0 million of borrowings secured by qualifying commercial mortgage loans and real property owned assets. The Revolving Credit Facility has a term of three years, maturing in March 2026. The Revolving Credit Facility enables us to borrow on qualifying commercial mortgage loans for up to two years and real property owned assets for up to six months. As of September 30, 2023 we had no borrowings outstanding on the Revolving Credit Facility. During the three and nine months ended September 30, 2023, we recorded $86.9 thousand and $200.2 thousand, respectively in unused fees related to the Revolving Credit Facility.

The guarantees related to the Revolving Credit Facility contain the following financial covenants: (i) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 4:1; (iii) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; and (iv) maintain a minimum interest coverage ratio of 1.5:1. We were in compliance with the covenants under the Revolving Credit Facility as of September 30, 2023. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant to a minimum of 1.4 to 1.

Barclays Private Securitization

We are party to a private securitization with Barclays Bank plc (the "Barclays Private Securitization"). Commercial mortgage loans currently financed under the Barclays Securitization are denominated in GBP, EUR and SEK.

The Barclays Private Securitization does not include daily margining provisions and grants us significant discretion to modify certain terms of the underlying collateral including waiving certain loan-level covenant breaches and deferring or waiving of debt service payments for up to 18 months. The securitization includes loan-to-value based covenants with deleveraging requirements that are based on significant declines in the value of the collateral as determined by an annual third-party (engaged by us) appraisal process tied to the provisions of the underlying loan agreements. We believe this provides us with both cushion and predictability to avoid sudden unexpected outcomes and material repayment requirements.

The table below provides principal balances and the carrying value for commercial mortgage loans pledged to the Barclays Private Securitization as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,537,840	$	1,519,137
EUR	5	726,912		723,610
SEK	1	236,381		234,376
Total	13	$	2,501,133	$	2,477,123

	December 31, 2022
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,495,616	$	1,475,241
EUR	5	752,531		747,240
SEK	1	248,064		245,714
Total	13	$	2,496,211	$	2,468,195

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of September 30, 2023 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	$	1,114,701	June 2026
Total/Weighted-Average EUR	514,393		June 2025(3)
Total/Weighted-Average SEK	189,105		May 2026
Total/Weighted-Average Securitization	$	1,818,199	February 2026

———————

(1)As of September 30, 2023, we had £913.8 million, €486.5 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of December 31, 2022 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	1,125,420		May 2026
Total/Weighted-Average EUR	526,204		July 2025(3)
Total/Weighted-Average SEK	198,452		May 2026
Total/Weighted-Average Securitization	$	1,850,076	February 2026

———————

(1)As of December 31, 2022, we had £931.4 million, €491.6 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Assets:
Cash	$	1,740	$	758
Commercial mortgage loans, net(1)	2,477,123		2,468,195
Other Assets	39,055		30,992
Total Assets	$	2,517,918	$	2,499,945
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.0 million and $2.3 million in 2023 and 2022, respectively)	$	1,816,213	$	1,847,799
Accounts payable, accrued expenses and other liabilities(2)	7,623		8,814
Total Liabilities	$	1,823,836	$	1,856,613

———————

(1)Net of the General CECL Allowance of $7.2 million and $8.2 million as of September 30, 2023 and December 31, 2022, respectively.

(2)Includes General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $2.7 million and $2.9 million as of September 30, 2023 and December 31, 2022, respectively.

The table below provides the net income (loss) of the Barclays Private Securitization VIE included in our condensed consolidated statement of operations ($ in thousands):

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Net Interest Income:
Interest income from commercial mortgage loans	$	56,537	$	30,518	$	156,295	$	86,695
Interest expense	(30,379)		(12,668)		(80,753)		(32,830)
Net interest income	$	26,158	$	17,850	$	75,542	$	53,865
General and administrative expense	(2)		—		(9)		—
Decrease (increase) in current expected credit loss allowance, net	1,744		889		1,169		4,698
Foreign currency translation gain (loss)	(24,266)		(50,237)		(3,555)		(111,745)
Net Income (Loss)	$	3,634	$	(31,498)	$	73,147	$	(53,182)

At September 30, 2023, our borrowings had the following remaining maturities ($ in thousands):

	Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years		Total
JPMorgan Facility	$	356,095	$	586,476	$	229,648	$	—	$	1,172,219
Deutsche Bank Facility	95,686		180,129		—		—		275,815
Atlas Facility	—		83,300		580,517		—		663,817
HSBC Facility	—		637,440		—		—		637,440

Goldman Sachs Facility	—		17,868		—		—		17,868
Barclays Facility	—		—		109,843		—		109,843
MUFG Securities Facility	—		196,137		—		—		196,137
Churchill Facility	—		127,822		—		—		127,822
Santander Facility - USD	—		75,000		—		—		75,000
Santander Facility - EUR	53,267		—		—		—		53,267
Barclays Private Securitization	253,436		781,989		782,774		—		1,818,199
Total	$	758,484	$	2,686,161	$	1,702,782	$	—	$	5,147,427

The table above reflects the fully extended maturity date of the facility and assumes facilities with an "evergreen" feature continue to extend through the fully-extended maturity of the underlying asset and assumes underlying loans are extended with consent of financing providers.

The table below summarizes the outstanding balances at September 30, 2023, as well as the maximum and average month-end balances for the nine months ended September 30, 2023 for our borrowings under secured debt arrangements ($ in thousands).

	As of September 30, 2023				For the nine months ended September 30, 2023
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,172,219	$	1,981,220	$	1,324,226	$	1,226,645
Deutsche Bank Facility	275,815		417,733		385,818		338,297
Goldman Sachs Facility	17,868		35,852		70,249		35,181
Atlas Facility	663,817		932,656		688,126		668,655
HSBC Facility	637,440		822,049		667,430		651,260
Barclays Facility	109,843		136,354		111,909		111,450
MUFG Securities Facility	196,137		266,007		206,362		200,256
Churchill Facility	127,822		169,707		130,000		128,780
Santander Facility - USD	75,000		99,560		75,000		66,667
Santander Facility - EUR	53,267		71,023		55,403		54,244
Barclays Private Securitization	1,818,199		2,484,328		1,937,131		1,877,409
Total	$	5,147,427	$	7,416,489

The table below summarizes the outstanding balances at December 31, 2022, as well as the maximum and average month-end balances for the year ended December 31, 2022 for our borrowings under secured debt arrangements ($ in thousands).

	As of December 31, 2022				For the year ended December 31, 2022
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,373,598	$	2,376,154	$	1,584,171	$	1,411,644
Deutsche Bank Facility	385,818		565,387		432,455		400,337
Goldman Sachs Facility	70,249		116,619		164,607		140,599
Atlas Facility	632,747		855,119		633,143		541,245
HSBC Facility	637,313		813,716		660,004		501,674
Barclays Facility	111,909		138,510		172,693		102,664
MUFG Securities Facility	194,272		261,319		194,272		156,499
Santander Facility	53,320		71,093		53,320		50,450
Barclays Private Securitization	1,850,076		2,476,349		1,963,837		1,828,794
Total	$	5,309,302	$	7,674,266

Debt Covenants

The guarantees related to our secured debt arrangements contain the following financial covenants: (i) tangible net worth must be greater than $1.25 billion plus 75% of the net cash proceeds of any equity issuance after March 31, 2017; (ii) our ratio of total indebtedness to tangible net worth cannot be greater than 3.75:1; and (iii) our liquidity cannot be less than an amount equal to the greater of 5% of total recourse indebtedness or $30.0 million. Under these covenants, our General CECL Allowance is added back to our tangible net worth calculation. Subsequent to September 30, 2023, we modified our interest coverage ratio covenant related to our Revolving Credit Facility to a minimum of 1.4 to 1 from a minimum of 1.5 to 1.

We were in compliance with the covenants under each of our secured debt arrangements and Revolving Credit Facility at September 30, 2023 and December 31, 2022. The impact of macroeconomic conditions on the commercial real estate markets and global capital markets, including increased interest rates, foreign currency fluctuations, changes to fiscal and monetary policy, slower economic growth or recession, labor shortages, and recent distress in the banking sector, may make it more difficult to meet or satisfy these covenants in the future.

Senior Secured Term Loans, Net

In May 2019, we entered into a $500.0 million senior secured term loan (the "2026 Term Loan"), which matures in May 2026 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2026 Term Loan was issued at a price of 99.5%. During the second quarter of 2023, the 2026 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR plus 2.86%.

In March 2021, we entered into an additional $300.0 million senior secured term loan, with substantially the same terms as the 2026 Term Loan, (the "2028 Term Loan" and, together with the 2026 Term Loan, the "Term Loans"), which matures in March 2028 and contains restrictions relating to liens, asset sales, indebtedness, and investments in non-wholly owned entities. The 2028 Term Loan was issued at a price of 99.0%. During the second quarter of 2023, the 2028 Term Loan transitioned from LIBOR to SOFR and currently bears interest at SOFR (with a floor of 0.50%) plus 3.61%.

The Term Loans are amortizing with repayments of 0.25% per quarter of the total committed principal. During the three and nine months ended September 30, 2023 and 2022, we repaid $1.3 million and $3.8 million, of principal respectively related to the 2026 Term Loan. During the three and nine months ended September 30, 2023 and 2022, we repaid $0.75 million and $2.25 million, of principal respectively related to the 2028 Term Loan.

The following table summarizes the terms of the Term Loans as of September 30, 2023 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	478,750	$	(923)	$	(4,685)	$	473,142	2.86	%	5/15/2026
2028 Term Loan	292,500		(1,893)		(3,368)		287,239		3.61	%	3/11/2028
Total	$	771,250	$	(2,816)	$	(8,053)	$	760,381

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

The following table summarizes the terms of the Term Loans as of December 31, 2022 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	482,500	$	(1,190)	$	(6,106)	$	475,204	2.75	%	5/15/2026
2028 Term Loan	294,750		(2,214)		(3,927)		288,609		3.50	%	3/11/2028
Total	$	777,250	$	(3,404)	$	(10,033)	$	763,813

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

Covenants

The financial covenants of the Term Loans include the requirements that we maintain: (i) a maximum ratio of total recourse debt to tangible net worth of 4:1; and (ii) a maximum ratio of total unencumbered assets to total pari-passu

indebtedness of 2.50:1. We were in compliance with the covenants under the Term Loans at September 30, 2023 and December 31, 2022.

Interest Rate Cap

During the second quarter of 2020, we entered into a three-year interest rate cap to cap LIBOR at 0.75%. This effectively limited the maximum all-in coupon on our 2026 Term Loan to 3.50%. The interest rate cap matured on June 15, 2023 and the effective all-in coupon on our 2026 Term Loan increased to one month SOFR plus the spread of 2.86%.

During 2023, through the interest rate cap maturity, LIBOR exceeded the cap rate of 0.75%. As such, during the nine months ended September 30, 2023, we realized a gain from the interest rate cap in the amount of $9.1 million, which is included in gain (loss) on interest rate hedging instruments in our condensed consolidated statement of operations. The realized gain was a result of the increase in the current interest rate forward curve. As the interest rate cap matured during the three months ended June 30, 2023, there was no realized gain or loss recorded during three months ended September 30, 2023.

Senior Secured Notes, Net

In June 2021, we issued $500.0 million of 4.625% Senior Secured Notes due 2029 (the "2029 Notes"), for which we received net proceeds of $495.0 million, after deducting initial purchasers' discounts and commissions. The 2029 Notes will mature on June 15, 2029, unless earlier repurchased or redeemed. The 2029 Notes are secured by a first-priority lien, and rank pari-passu in right of payment with all of our existing and future first lien obligations, including indebtedness under the Term Loans. The 2029 Notes were issued at par and contain covenants relating to liens, indebtedness, and investments in non-wholly owned entities. The 2029 Notes had a carrying value of $495.4 million and $494.8 million, net of deferred financing costs of $4.6 million and $5.2 million, as of September 30, 2023 and December 31, 2022, respectively.

Covenants

The 2029 Notes include certain covenants including a requirement that we maintain a ratio of total unencumbered assets to total pari-passu indebtedness of at least 1.20:1. As of September 30, 2023 and December 31, 2022, we were in compliance with all covenants.

Participations Sold

Participations sold represents the subordinate interests in loans we originated and subsequently partially sold. We account for participations sold as secured borrowings on our condensed consolidated balance sheet with both assets and non-recourse liabilities because the participations do not qualify as a sale under ASC 860. The income earned on the participations sold is recorded as interest income and an identical amount is recorded as interest expense in our condensed consolidated statements of operations.

In December 2020, we sold a £6.7 million ($8.9 million assuming conversion into USD at time of transfer) interest, at par, in a first mortgage loan collateralized by an office building located in London, United Kingdom that was originated by us in December 2017. In connection with this sale, we transferred our remaining unfunded commitment of £19.1 million ($25.3 million assuming conversion into USD at time of transfer). The participation interest sold was subordinate to our first mortgage loan and was accounted for as a secured borrowing on our consolidated balance sheet. In January 2023, the first mortgage loan, including participations sold, was fully satisfied, including all contractual and default interest accrued to date.

The table below details participations sold included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Participation sold on commercial mortgage loans	$	—	$	25,130
Total participations sold	$	—	$	25,130

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Accounts Payable, Accrued Expenses and Other Liabilities

9 Months Ended

Sep. 30, 2023

Payables and Accruals [Abstract]

Accounts Payable, Accrued Expenses and Other Liabilities

Accounts Payable, Accrued Expenses and Other LiabilitiesThe following table details the components of our accounts payable, accrued expense and other liabilities ($ in thousands):

	September 30, 2023		December 31, 2022
Collateral held under derivative agreements	$	99,260	$	138,620
Accrued dividends payable	53,022		53,203
Accrued interest payable	38,624		23,943
Accounts payable and other liabilities(1)	8,023		7,247
General CECL Allowance on unfunded commitments(2)	3,972		4,347
Total	$	202,901	$	227,360

  ———————

(1)Includes $7.0 million and $1.1 million of accounts payable and other liabilities on the balance sheet of the Real Estate Owned, Held for Investment at September 30, 2023 and December 31, 2022, respectively.

(2)Refer to "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional disclosure related to the General CECL Allowance on unfunded commitments as of September 30, 2023 and December 31, 2022, respectively.

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Income Taxes

9 Months Ended

Sep. 30, 2023

Income Tax Disclosure [Abstract]

Income Taxes

Income Taxes

We have elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, commencing with the taxable year ended December 31, 2009. As a REIT, U.S. federal income tax law generally requires us to distribute annually at least 90% of our REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains, and that we pay tax at regular corporate rates to the extent that we annually distribute less than 100% of our net taxable income. We are also subject to U.S. federal, state and local income taxes on our domestic taxable REIT subsidiaries ("TRS") based on the tax jurisdictions in which they operate.

During the three and nine months ended September 30, 2023, we recorded a current income tax provision of $0.5 million related to activities of our taxable REIT subsidiaries. We did not record any income tax provision during the three and nine months ended September 30, 2022.

As of September 30, 2023, we had a $0.6 million income tax asset related to the operating activities of our TRS entities. There were no income tax assets or liabilities as of December 31, 2022. As of September 30, 2023 and December 31, 2022, there were no material deferred tax assets or liabilities.

As of September 30, 2023, we had net operating losses of $8.0 million and capital losses of $25.2 million that may be carried forward for use in subsequent periods.

As of September 30, 2023, tax years 2019 through 2022 remain subject to examination by taxing authorities.

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Related Party Transactions

9 Months Ended

Sep. 30, 2023

Related Party Transactions [Abstract]

Related Party Transactions

Related Party Transactions

Management Agreement

In connection with our initial public offering in September 2009, we entered into a management agreement (the "Management Agreement") with the Manager, which describes the services to be provided by the Manager and its compensation for those services. The Manager is responsible for managing our day-to-day operations, subject to the direction and oversight of our board of directors.

Pursuant to the terms of the Management Agreement, the Manager is paid a base management fee equal to 1.5% per annum of our stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears.

The term of the Management Agreement was automatically renewed for a successive one-year term on September 29, 2022 and will automatically renew on each anniversary thereafter. The Management Agreement may be terminated upon expiration of the one-year extension term only upon the affirmative vote of at least two-thirds of our independent directors, based upon (1) unsatisfactory performance by the Manager that is materially detrimental to ARI or (2) a determination that the management fee payable to the Manager is not fair, subject to the Manager’s right to prevent such a termination based on unfair fees by accepting a mutually acceptable reduction of management fees agreed to by at least two-thirds of our independent directors. The Manager must be provided with written notice of any such termination at least 180 days prior to the expiration of the then existing term and will be paid a termination fee equal to three times the sum of the average annual base management fee during the 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. Following a meeting of our independent directors in March 2023,

which included a discussion of the Manager’s performance and the level of the management fees thereunder, we determined not to seek termination of the Management Agreement.

We incurred approximately $9.5 million and $28.4 million in base management fees under the Management Agreement for the three and nine months ended September 30, 2023, respectively, as compared to $9.7 million and $28.6 million for the three and nine months ended September 30, 2022, respectively.

In addition to the base management fee, we are also responsible for reimbursing the Manager for certain expenses paid by the Manager on our behalf or for certain services provided by the Manager to us. For the three and nine months ended September 30, 2023, we paid expenses totaling $0.8 million and $2.1 million, respectively, related to reimbursements for certain expenses paid by the Manager on our behalf under the Management Agreement as compared to $0.9 million and $3.1 million for the three and nine months ended September 30, 2022, respectively. Expenses incurred by the Manager and reimbursed by us are reflected in the respective condensed consolidated statement of operations expense category or our condensed consolidated balance sheets based on the nature of the item.

Included in payable to related party on our condensed consolidated balance sheets at September 30, 2023 and December 31, 2022 is approximately $9.5 million and $9.7 million, respectively, for base management fees incurred but not yet paid under the Management Agreement.

Loans receivable

We own three mezzanine loans and a commercial mortgage that are secured by the same ultra-luxury residential property currently under construction in Manhattan, NY. During the third quarter of 2021, a vehicle managed by an affiliate of the Manager transferred its Junior Mezzanine B Loan position to the Company and in connection with this transfer, one of the property’s subordinate capital providers paid the vehicle a price representing the original principal balance on the Junior Mezzanine B Loan position with the vehicle agreeing to forego its accrued interest on the Junior Mezzanine B Loan. During the third quarter of 2022, we refinanced our mezzanine loans, and originated a commercial mortgage loan as part of an overall recapitalization. The mezzanine positions held by entities managed by affiliates of the Manager were repaid. Refer to "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional information.

During the third quarter of 2022, we transferred £293.4 million ($327.7 million assuming conversion into USD) of unfunded commitments related to a mixed-use development property located in London, United Kingdom to entities managed by affiliates of the Manager.

During the first quarter of 2023, we transferred interests in, (i) three commercial mortgage loans secured by various properties in Europe, with aggregate commitments of €205.7 million (of which €115.0 million was funded at the time of sale), and (ii) a partial interest of £15.0 million in a commercial mortgage loan secured by a mixed-use property located in London, United Kingdom. These transfers were made to entities managed by affiliates of the Manager. Refer to "Note 4 – Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional disclosure.

Term Loan

In March 2021, Apollo Global Funding, LLC, an affiliate of the Manager, served as one of the eight arrangers for the issuance of our 2028 Term Loan and received $0.2 million of arrangement fees. In addition, funds managed by an affiliate of the Manager invested in $30.0 million of the 2028 Term Loan.

Senior Secured Notes

In June 2021, Apollo Global Securities, LLC, an affiliate of the Manager, served as one of the eight initial purchasers in the issuance of our 2029 Notes and received $0.4 million of initial purchasers' discounts and commissions.

Italian Direct Lending Structure

In the fourth quarter of 2021, we formed an Italian closed-end alternative investment fund (the "AIF"), managed by

Apollo Investment Management Europe (Luxembourg) S.A R.L, a regulated alternative investment fund manager (the

"AIFM"), an affiliate of the Manager. The fees incurred during the nine months ended September 30, 2023 were de minimis. During three and nine months ended September 30, 2022, the AIF incurred $11,000 and $57,000 in fees payable to the AIFM, which is recorded in Management fees to related party in our condensed consolidated statement of operations.

Atlas Facility

On February 8, 2023, in connection with the acquisition by certain subsidiaries of Atlas, which is a wholly-owned

investment of a fund managed by an affiliate of the Manager, the Credit Suisse Facility was acquired by Atlas. In order to effect the assignment of the Credit Suisse Facility and related agreements, the Company and one of its subsidiaries, similar to the other sellers and guarantors party to the subject agreements in the Transaction, entered into an Omnibus Assignment, Assumption and Amendment Agreement as well as certain related agreements with Credit Suisse AG and Atlas. At the time of acquisition, we had $632.3 million of secured debt on the Credit Suisse Facility consisting of four commercial mortgage loans. During the three months ended September 30, 2023, one commercial mortgage loan was added to the Atlas Facility totaling $83.0 million in secured debt. Refer to "Note 7 – Secured Debt Arrangements, Net" " for additional discussion.

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Share-Based Payments

9 Months Ended

Sep. 30, 2023

Share-Based Payment Arrangement [Abstract]

Share-Based Payments

Share-Based Payments

On September 23, 2009, our board of directors approved the Apollo Commercial Real Estate Finance, Inc. 2009 Equity Incentive Plan ("2009 LTIP") and on April 16, 2019, our board of directors approved the Amended and Restated Apollo Commercial Real Estate Finance, Inc. 2019 Equity Incentive Plan ("2019 LTIP," and together with the 2009 LTIP, the "LTIPs"), which amended and restated the 2009 LTIP. Following the approval of the 2019 LTIP by our stockholders at our 2019 annual meeting of stockholders on June 12, 2019, no additional awards have been or will be granted under the 2009 LTIP and all outstanding awards granted under the 2009 LTIP remain in effect in accordance with the terms in the 2009 LTIP.

The 2019 LTIP provides for grants of restricted common stock, restricted stock units ("RSUs") and other equity-based awards up to an aggregate of 7,000,000 shares of our common stock. The LTIPs are administered by the compensation committee of our board of directors (the "Compensation Committee") and all grants under the LTIPs must be approved by the Compensation Committee.

We recognized stock-based compensation expense of $4.4 million and $13.1 million during the three and nine months ended September 30, 2023. We recognized stock-based compensation expense of of $4.5 million and $13.7 million during the three and nine months ended September 30, 2022 respectively, related to restricted stock and RSU vesting.

The following table summarizes the grants, vesting and forfeitures of restricted common stock and RSUs during the nine months ended September 30, 2023:

	Type	Restricted Stock	RSUs	Grant Date Fair Value ($ in millions)
Outstanding at December 31, 2022		56,102	2,865,154
	Granted	75,754	—	$	0.7
	Vested	(52,768)	(30,641)	N/A
	Forfeiture	—	(17,328)	N/A
Outstanding at September 30, 2023		79,088	2,817,185

Below is a summary of restricted stock and RSU vesting dates as of September 30, 2023: 

Vesting Year	Restricted Stock	RSUs	Total Awards
2023	—	1,358,418	1,358,418
2024	79,088	948,636	1,027,724
2025	—	510,131	510,131
Total	79,088	2,817,185	2,896,273

At September 30, 2023, we had unrecognized compensation expense of approximately $0.4 million and $21.4 million related to the vesting of restricted stock awards and RSUs, respectively, noted in the table above. The unrecognized compensation expense related to the vesting of restricted awards and RSUs are expected to be recognized over a weighted average period of 1.3 years.

RSU Deliveries

During the nine months ended September 30, 2023 and 2022 we delivered 681,384 and 652,501 shares of common stock for 1,255,184 and 1,145,091 vested RSUs, respectively. We allow RSU participants to settle their tax liabilities with a reduction of their share delivery from the originally granted and vested RSUs. The amount, when agreed to by the participant, results in a cash payment to the Manager related to this tax liability and a corresponding adjustment to additional paid in capital on our condensed consolidated statement of changes in stockholders' equity. The adjustment was $6.8 million and $7.0 million for the

nine months ended September 30, 2023 and 2022, respectively. The adjustment is a reduction of capital related to our equity incentive plan and is presented net of increases of capital related to our equity incentive plan in our condensed consolidated statement of changes in stockholders' equity.

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Stockholders' Equity

9 Months Ended

Sep. 30, 2023

Equity [Abstract]

Stockholders' Equity

Stockholders’ Equity

Our authorized capital stock consists of 450,000,000 shares of common stock, $0.01 par value per share and 50,000,000 shares of preferred stock, $0.01 par value per share. As of September 30, 2023, 141,353,133 shares of common stock were issued and outstanding, and 6,770,393 shares of 7.25% Series B-1 Preferred Stock were issued and outstanding. The Series B-1 Preferred Stock, with a par value $0.01 per share, have a liquidation preference of $25.00 per share.

Dividends. The following table details our dividend activity:

	Three months ended September 30,		Nine months ended September 30,
Dividends declared per share of:	2023	2022	2023	2022
Common Stock	$0.35	$0.35	$1.05	$1.05
Series B-1 Preferred Stock	$0.45	$0.45	$1.35	$1.35

    

Common Stock Repurchases. There was no common stock repurchase activity during the nine months ended September 30, 2023 and 2022. As of September 30, 2023, there was $172.2 million remaining authorized under our stock repurchase program.

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Commitments and Contingencies

9 Months Ended

Sep. 30, 2023

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Commitments and Contingencies

Legal Proceedings. From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. On June 28, 2018, AmBase Corporation, 111 West 57th Street Manager Funding LLC and 111 West 57th Investment LLC commenced a now-dismissed action captioned AmBase Corporation et al v. ACREFI Mortgage Lending, LLC et al (No 653251/2018) in New York Supreme Court (the "Apollo Action"). The complaint named as defendants (i) a wholly-owned subsidiary of the Company (the "Subsidiary"), (ii) the Company, and (iii) certain funds managed by Apollo, who were co-lenders on a mezzanine loan against the development of a residential condominium building in Manhattan, New York. The plaintiffs alleged that the defendants tortiously interfered with the plaintiffs’ joint venture agreement with the developers of the project, and that the defendants aided and abetted breaches of fiduciary duty by the developers of the project. The plaintiffs alleged the loss of a $70.0 million investment plus punitive damages. The defendants' motion to dismiss was granted on October 23, 2019 and the Court entered judgment dismissing the complaint in its entirety on November 8, 2019. Plaintiffs appealed, the parties fully briefed the appeal, and then Plaintiffs dropped the appeal, and the case remains dismissed.

Plaintiffs amended the complaint in a separate action in 2021, 111 West 57th Investment LLC v. 111W57 Mezz Investor LLC (No. 655031/2017) also in New York Supreme Court (the "April 2021 Action") to name Apollo Global Management, Inc., the Subsidiary, the Company, and certain funds managed by Apollo as defendants. The April 2021 Action concerns overlapping claims and the same condominium development project that the Apollo Action concerned. The defendants filed a motion to dismiss, which was granted in part and denied in part on December 15, 2022. The Court dismissed the claim against Apollo Global Management, Inc. and the Company. Apollo appealed the decision with respect to the remaining claim. On October 5, 2023, the Appellate Division, First Department granted Apollo’s appeal, thereby dismissing the remaining claim against the Apollo entities who were co-lenders on the mezzanine loan, including the Subsidiary.

Loan Commitments. As described in "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" at September 30, 2023, we had $693 million of unfunded commitments related to our commercial mortgage and subordinate loans. The timings and amounts of fundings are uncertain as these commitments relate to loans for construction costs, capital expenditures, leasing costs, interest and carry costs, among others. As such, the timings and amounts of future fundings depend on the progress and performance of the underlying assets of our loans. Certain of our lenders are contractually obligated to fund their ratable portion of these loan commitments over time, while other lenders have some degree of discretion over future loan funding obligations. The total unfunded commitment is expected to be funded over the remaining 3.2 years weighted average tenor of these loans.

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Fair Value of Financial Instruments

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

Fair Value of Financial InstrumentsThe following table presents the carrying value and estimated fair value of our financial instruments not carried at fair value on our condensed consolidated balance sheets at September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023				December 31, 2022
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Cash and cash equivalents	$	307,845	$	307,845	$	222,030	$	222,030
Commercial mortgage loans, net	7,561,254		7,487,855		8,121,109		8,083,410
Subordinate loans and other lending assets, net(1)	412,777		412,897		560,881		558,740
Secured debt arrangements, net	(5,135,855)		(5,135,855)		(5,296,825)		(5,296,825)
Term loans, net	(760,381)		(746,119)		(763,813)		(731,709)
Senior secured notes, net	(495,437)		(378,750)		(494,844)		(400,950)
2023 Notes	(176,018)		(175,844)		(229,361)		(225,366)
Debt related to real estate owned, held for investment, net	(161,245)		(161,245)		(160,294)		(160,294)
Participations sold	—		—		(25,130)		(25,130)

———————

(1)Includes subordinate risk retention interests in securitization vehicles with an estimated fair value that approximates their carrying value.

To determine estimated fair values of the financial instruments listed above, market rates of interest, which include credit assumptions, are used to discount contractual cash flows. The estimated fair values are not necessarily indicative of the amount we could realize on disposition of the financial instruments. The use of different market assumptions or estimation methodologies could have a material effect on the estimated fair value amounts. Estimates of fair value for cash and cash equivalents, convertible senior notes, net, and Term Loans, net are measured using observable Level I inputs as defined in "Note 3 - Fair Value Disclosure." Estimates of fair value for all other financial instruments in the table above are measured using significant estimates, or unobservable Level III inputs as defined in "Note 3 - Fair Value Disclosure."

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Net Income (Loss) per Share

9 Months Ended

Sep. 30, 2023

Earnings Per Share [Abstract]

Net Income (Loss) per Share

Net Income (Loss) per Share

ASC 260, "Earnings per share" requires the use of the two-class method of computing earnings per share for all periods presented for each class of common stock and participating security as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity.

The remaining earnings are allocated to common stockholders and participating securities to the extent that each security shares in earnings as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes all outstanding shares of common stock and all potential shares of common stock assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential shares of common stock.

The table below presents the computation of basic and diluted net income (loss) per share of common stock for the three and nine months ended September 30, 2023 and 2022 ($ in thousands except per share data): 

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Basic Earnings
Net income (loss)	$	46,071	$	183,030	$	11,587	$	269,219
Less: Preferred dividends	(3,068)		(3,068)		(9,204)		(9,204)
Net income (loss) available to common stockholders	$	43,003	$	179,962	$	2,383	$	260,015
Less: Dividends on participating securities	(989)		(898)		(2,989)		(2,698)
Basic Earnings (Loss)	$	42,014	$	179,064	$	(606)	$	257,317
Diluted Earnings
Basic Earnings (Loss)	$	42,014	$	179,064	$	(606)	$	257,317
Add: Dividends on participating securities	—		898		—		2,698
Add: Interest expense on Convertible Notes	—		5,684		—		20,608
Diluted Earnings	$	42,014	$	185,646	$	(606)	$	280,623
Number of Shares:
Basic weighted-average shares of common stock outstanding	141,350,428		140,594,987		141,255,730		140,513,957
Diluted weighted-average shares of common stock outstanding	141,350,428		164,350,132		141,255,730		169,252,602
Earnings (Loss) Per Share Attributable to Common Stockholders
Basic	$	0.30	$	1.27	$	—	$	1.83
Diluted	$	0.30	$	1.13	$	—	$	1.66

The dilutive effect to earnings per share is determined using the "if-converted" method whereby interest expense on the outstanding Convertible Notes is added back to the diluted earnings per share numerator, and all of the potentially dilutive shares are included in the diluted earnings per share denominator. For the three and nine months ended September 30, 2023, 8,741,770 and 10,129,968, respectively, weighted-average potentially issuable shares with respect to the Convertible Notes were excluded in the dilutive earnings per share denominator because the effect was anti-dilutive. For the three and nine months ended September 30, 2022, 21,187,719 and 26,057,847 weighted-average potentially issuable shares with respect to the Convertible Notes were included in the dilutive earnings per share denominator because the effect was dilutive. Refer to "Note 10 - Convertible Senior Notes, Net" for further discussion.

For the three and nine months ended September 30, 2023, 2,832,265 and 2,966,277 weighted-average unvested RSUs were excluded in the calculation of diluted net income per share because the effect was anti-dilutive. For the three and nine months ended September 30, 2022, 2,567,427 and 2,680,798 weighted-average unvested RSUs, were included in the calculation of diluted net income per share because the effect was dilutive.

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Subsequent Events

9 Months Ended

Sep. 30, 2023

Subsequent Events [Abstract]

Subsequent Events

Subsequent Events

Subsequent to the quarter ended September 30, 2023, the following events took place:

Investment Activity: We funded approximately $42.8 million for previously closed loans and capitalized an additional $7.2 million of construction and financing costs related to our real estate owned, held for investment.

Loan Repayments: We received approximately $33.2 million from loan repayments.

2023 Notes Repayment: We repaid the remaining principal of the 2023 Notes of $176.1 million at par.

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Summary of Significant Accounting Policies (Policies)

9 Months Ended

Sep. 30, 2023

Accounting Policies [Abstract]

Basis of Presentation

Basis of Presentation

The accompanying condensed consolidated financial statements include our accounts and those of our consolidated subsidiaries. All intercompany amounts have been eliminated. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Our most significant estimates include current expected credit loss ("CECL") allowances. Actual results may differ from estimates.

These unaudited condensed consolidated financial statements have been prepared in accordance with the instructions to Form 10-Q and should be read in conjunction with the consolidated financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended December 31, 2022 ("Annual Report"), as filed with the Securities and Exchange Commission (the "SEC"). In the opinion of management, all adjustments (consisting only of normal recurring adjustments) necessary to present fairly our financial position, results of operations and cash flows have been included. Our results of operations for the three and nine months ended September 30, 2023 are not necessarily indicative of the results to be expected for the full year or any other future period.

Recent Accounting Pronouncements

Recent Accounting PronouncementsIn March 2020, the Financial Accounting Standards Board ("FASB") issued ASU 2020-04 "Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting" ("ASU 2020-04"). ASU 2020-04 provides optional expedients and exceptions for applying GAAP to debt instruments, derivatives, and other contracts that reference London Interbank Offered Rate ("LIBOR") or other reference rates expected to be discontinued as a result of reference rate reform. In December 2022, the FASB issued ASU 2022-06 "Reference Rate Reform (Topic 848): Deferral of Sunset Date of Topic 848 ("ASU 2022-06") which deferred the sunset date to December 31, 2024. As prescribed by the optional expedients within ASU 2020-04, we have accounted for applicable modified contracts that incorporate alternative benchmarks as if they are not substantially different. We will continue to apply such expedients or exceptions related to modifications for certain of our commercial mortgage loans and debt agreements as a result of reference rate reform. The application of ASU 2020-04 has not had a material impact, nor is it expected to have a material impact, on our consolidated financial statements.

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Fair Value Disclosure (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Schedule of Levels in Fair Value Hierarchy of Financial Instruments

The following table summarizes the levels in the fair value hierarchy into which our assets and liabilities with recurring fair value measurements were categorized as of September 30, 2023 and December 31, 2022 ($ in thousands): 

	Fair Value as of September 30, 2023								Fair Value as of December 31, 2022
	Level I		Level II		Level III		Total		Level I		Level II		Level III		Total
Recurring fair value measurements:
Foreign currency forward, net	$	—	$	91,790	$	—	$	91,790	$	—	$	119,499	$	—	$	119,499
Interest rate cap asset	—		2,247		—		2,247		—		9,141		—		9,141
Total financial instruments	$	—	$	94,037	$	—	$	94,037	$	—	$	128,640	$	—	$	128,640

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net (Tables)

9 Months Ended

Sep. 30, 2023

Receivables [Abstract]

Schedule of Loan Portfolio

Our loan portfolio was comprised of the following at September 30, 2023 and December 31, 2022 ($ in thousands):

Loan Type	September 30, 2023		December 31, 2022
Commercial mortgage loans, net(1)	$	7,561,254	$	8,121,109
Subordinate loans and other lending assets, net	412,777		560,881
Carrying value, net	$	7,974,031	$	8,681,990

  ———————

(1)Includes $102.6 million and $138.3 million in 2023 and 2022, respectively, of contiguous financing structured as subordinate loans.

Schedule of Activity Related to Loan Investment Portfolio

Activity relating to our loan portfolio for the nine months ended September 30, 2023 was as follows ($ in thousands):

	Principal Balance		Deferred Fees/Other Items (1)		Specific CECL Allowance		Carrying Value, Net
December 31, 2022	$	8,892,767	$	(51,053)	$	(133,500)	$	8,708,214
New funding of loans	181,017		—		—		181,017
Add-on loan fundings(2)	341,796		—		—		341,796
Loan repayments and sales	(1,020,590)		—		—		(1,020,590)
Gain (loss) on foreign currency translation	(4,999)		83		—		(4,916)
Increase in Specific CECL Allowance, net	—		—		(59,500)		(59,500)
Net realized loss on investment	(87,367)		763		—		(86,604)
Transfer to real estate owned	(75,000)		—		—		(75,000)
Deferred fees and other items	—		(9,191)		—		(9,191)
Payment-in-kind interest and amortization of fees	—		26,110		—		26,110
September 30, 2023	$	8,227,624	$	(33,288)	$	(193,000)	$	8,001,336
General CECL Allowance(3)							(27,305)
Carrying value, net							$	7,974,031

———————

(1)Other items primarily consist of purchase discounts or premiums, cost recovery interest, exit fees, deferred origination expenses, and the activity of unconsolidated joint ventures.

(2)Represents fundings committed prior to 2023.

(3)$4.0 million of the General CECL Allowance is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheet.

Schedule of Overall Statistics for the Loan Portfolio

The following table details overall statistics for our loan portfolio at the dates indicated ($ in thousands):

	September 30, 2023			December 31, 2022
Number of loans	49			61
Principal balance	$	8,227,624		$	8,892,767
Carrying value, net	$	7,974,031		$	8,681,990
Unfunded loan commitments(1)	$	693,125		$	1,041,654
Weighted-average cash coupon(2)	8.3		%	7.2		%
Weighted-average remaining fully-extended term(3)	2.4 years			2.8 years
Weighted-average expected term(4)	1.8 years			1.7 years

———————

(1)Unfunded loan commitments are funded to finance construction costs, tenant improvements, leasing commissions, or carrying costs. These future commitments are funded over the term of each loan, subject in certain cases to an expiration date.

(2)For floating rate loans, based on applicable benchmark rates as of the specified dates. For loans placed on non-accrual the interest rate used in calculating weighted-average cash coupon is 0%.

(3)Assumes all extension options are exercised.

(4)Expected term represents our estimated timing of repayments as of the specified dates. Excludes risk-rated 5 loans.

Schedule of Mortgage Loans on Real Estate

The table below details the property type of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):

	September 30, 2023				December 31, 2022
Property Type	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
Hotel	$	1,903,246	23.8	%	$	2,117,079	24.3	%
Office	1,494,101		18.7		1,671,006		19.2
Retail	1,375,338		17.2		1,364,752		15.7
Residential	1,245,131		15.5		1,537,541		17.7
Mixed Use	637,492		8.0		559,809		6.4
Healthcare	520,208		6.5		575,144		6.6
Industrial	282,758		3.5		296,860		3.4
Other(2)	543,062		6.8		586,023		6.7
Total	$	8,001,336	100.0	%	$	8,708,214	100.0	%
General CECL Allowance(3)	(27,305)				(26,224)
Carrying value, net	$	7,974,031			$	8,681,990

———————

(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance.

(2)Other property types include parking garages (2.7%), caravan parks (2.5%) and urban predevelopment (1.6%) in 2023, and parking garages (3.1%), caravan parks (2.3%) and urban predevelopment (1.3%) in 2022.

(3)$4.0 million and $4.3 million of the General CECL Allowance for 2023 and 2022, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

Geography

The table below details the geographic distribution of the properties securing the loans in our portfolio at the dates indicated ($ in thousands):

	September 30, 2023				December 31, 2022
Geographic Location	Carrying Value		% of Portfolio(1)		Carrying Value		% of Portfolio(1)
United Kingdom	$	2,482,587	31.0	%	$	2,470,532	28.4	%
New York City	1,723,669		21.5		2,049,493		23.5
Other Europe(2)	1,396,418		17.5		1,542,462		17.7

West	577,416		7.2		584,247		6.7
Southeast	533,852		6.7		642,542		7.4
Midwest	533,692		6.7		592,756		6.8
Other(3)	753,702		9.4		826,182		9.5
Total	$	8,001,336	100.0	%	$	8,708,214	100.0	%
General CECL Allowance(4)	(27,305)				(26,224)
Carrying value, net	$	7,974,031			$	8,681,990

———————

(1)Percentage of portfolio calculations are made prior to consideration of General CECL Allowance.

(2)Other Europe includes Germany (5.2%), Italy (4.7%), Spain (4.2%), Sweden (2.9%) and Ireland (0.5%) in 2023 and Italy (5.4%), Germany (4.9%), Spain (3.8%), Sweden (2.8%) and Ireland (0.7%) in 2022.

(3)Other includes Northeast (5.5%), Southwest (1.8%), Mid-Atlantic (1.2%) and Other (0.9%) in 2023 and Northeast (5.5%), Southwest (2.3%), Mid-Atlantic (1.4%) and Other (0.3%) in 2022.

(4)$4.0 million and $4.3 million of the General CECL Allowance for 2023 and 2022, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

Schedule of Carrying Value of Loan Portfolio Based on Internal Risk Ratings

The following tables present the carrying value of our loan portfolio by year of origination and internal risk rating and gross write-offs by year of origination as of September 30, 2023 and December 31, 2022, respectively ($ in thousands):

September 30, 2023
						Amortized Cost by Year Originated
Risk Rating	Number of Loans	Total		% of Portfolio		2023		2022		2021		2020		2019		Prior
1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	3	192,291		2.4	%	—		—		—		—		126,658		65,633
3	42	7,452,050		93.1	%	169,707		2,610,749		2,271,332		372,957		1,414,255		613,051
4	2	88,312		1.1	%	—		—		—		—		—		88,312
5	2	268,683		3.4	%	—		—		—		169,881		—		98,802
Total	49	$	8,001,336	100.0	%	$	169,707	$	2,610,749	$	2,271,332	$	542,838	$	1,540,913	$	865,798
General CECL Allowance(1)		(27,305)
Total carrying value, net		$	7,974,031
Weighted Average Risk Rating		3.1
Gross write-offs		$	81,890			$	—	$	—	$	—	$	—	$	—	$	81,890

December 31, 2022
						Amortized Cost by Year Originated
Risk Rating	Number of Loans	Total		% of Portfolio		2022		2021		2020		2019		2017		Prior
1	—	$	—	—	%	$	—	$	—	$	—	$	—	$	—	$	—
2	2	65,943		0.8	%	—		—		—		—		—		65,943
3	54	8,401,925		96.5	%	2,575,455		2,462,499		687,329		1,637,050		479,769		559,823
4	2	27,451		0.3	%	—		—		—		—		19,951		7,500
5	3	212,895		2.4	%	—		—		—		—		—		212,895
Total	61	$	8,708,214	100.0	%	$	2,575,455	$	2,462,499	$	687,329	$	1,637,050	$	499,720	$	846,161
General CECL Allowance(1)		(26,224)
Total carrying value, net		$	8,681,990
Weighted Average Risk Rating		3.0
Gross write-offs		$	7,000			$	—	$	—	$	—	$	—	$	—	$	7,000

———————

(1)$4.0 million and $4.3 million of the General CECL Allowance for 2023 and 2022, respectively, is excluded from this table because it relates to unfunded commitments and has been recorded as a liability under accounts payable, accrued expenses and other liabilities in our condensed consolidated balance sheets.

Schedule of CECL Reserves

The following schedule illustrates changes in CECL Allowances for the nine months ended September 30, 2023 ($ in thousands):

		Specific CECL Allowance(1)		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost(1)
				Funded		Unfunded		Total				General		Total
December 31, 2022		$	133,500	$	26,224	$	4,347	$	30,571	$	164,071	0.36	%	1.86	%
Changes:
	Q1 Allowances(2)	—		4,043		348		4,391		$	4,391
March 31, 2023		$	133,500	$	30,267	$	4,695	$	34,962	$	168,462	0.42	%	1.95	%
Changes:
	Q2 Allowances(3)	141,480		2,009		139		2,148		143,628
	Q2 Write-offs(4)	(81,980)		—		—		—		(81,980)
June 30, 2023		$	193,000	$	32,276	$	4,834	$	37,110	$	230,110	0.46	%	2.70	%
Changes:
	Q3 Reversals(5)	—		(4,971)		(862)		(5,833)		(5,833)
September 30, 2023		$	193,000	$	27,305	$	3,972	$	31,277	$	224,277	0.40	%	2.74	%

———————

(1)Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.

(2)During the three months ended March 31, 2023, our General CECL Allowance increased by $4.4 million primarily due to an increase in our view of the remaining expected term of our loan portfolio. This increase was partially offset by the impact of portfolio seasoning and loan repayments and sales.

(3)During the three months ended June 30, 2023, our General CECL Allowance increased by $2.1 million primarily due to a more adverse macroeconomic outlook and an increase in our view of the remaining expected term of certain of our loans. This increase was partially offset by the impact of portfolio seasoning. Additionally, during the three months ended June 30, 2023, we recorded an increase of $141.5 million to our Specific CECL Allowance. The increase was related to two mezzanine loans secured by the same ultra-luxury property. Refer to discussion below.

(4)As of June 30, 2023, $82.0 million related to the most junior mezzanine loan secured by the ultra-luxury residential property was deemed unrecoverable. Accordingly, $82.0 million of previously recorded Specific CECL was written-off and recorded as a realized loss within net realized loss on investments in our June 30, 2023 condensed consolidated statement of operations. Refer to "Specific CECL Allowance" section below for further detail.

(5)During the three months ended September 30, 2023, our General CECL Allowance decreased by $5.8 million, primarily due to loan prepayments and portfolio seasoning.

The following schedule illustrates changes in CECL Allowances for the nine months ended September 30, 2022 ($ in thousands):

		Specific CECL Allowance(1)		General CECL Allowance						Total CECL Allowance		CECL Allowance as % of Amortized Cost(1)
				Funded		Unfunded		Total				General		Total
December 31, 2021		$	145,000	$	33,588	$	3,106	$	36,694	$	181,694	0.49	%	2.26	%
Changes:
	Q1 Allowances (Reversals)(2)	30,000		(12,211)		822		(11,389)		18,611
March 31, 2022		$	175,000	$	21,377	$	3,928	$	25,305	$	200,305	0.32	%	2.34	%
Changes:
	Q2 Allowances (Reversals)(3)	(3,000)		1,985		71		2,056		(944)
June 30, 2022		$	172,000	$	23,362	$	3,999	$	27,361	$	199,361	0.33	%	2.18	%
Changes:
	Q3 (Reversals), net(4)	$	(53,000)	$	(1,377)	$	(1,187)	(2,564)		(55,564)
September 30, 2022		$	119,000	$	21,985	$	2,812	$	24,797	$	143,797	0.30	%	1.62	%

———————

(1)Loans evaluated for Specific CECL Allowance are excluded from General CECL Allowance pool.

(2)During the three months ended March 31, 2022, a $30.0 million Specific CECL Allowance was recorded on a subordinate loan secured by an ultra luxury residential property in Manhattan, NY. During the three months ended March 31, 2022, the General CECL Allowance decreased by $11.4 million primarily due to changes in expected loan repayment dates, as well as portfolio seasoning, which was partially offset by new loan originations.

(3)During the three months ended June 30, 2022, the $3.0 million net reversal of Specific CECL Allowance was comprised of (i) the reversal of $10.0 million of previously recorded allowance on a loan related to a multifamily development in Brooklyn, NY as a result of market rent growth and value created from development activities and (ii) a $7.0 million allowance recorded on a loan secured by a hotel in Atlanta, GA due to slower than expected recovery from COVID-19. General CECL Allowance increased by $2.1 million due to new loan originations and more adverse macroeconomic outlook, which was partially offset by portfolio seasoning.

(4)During the three months ended September 30, 2022, the $53.0 million Specific CECL Allowance was reversed on an urban predevelopment first mortgage loan in Miami, FL because the collateral which secures the loan was under contract to be sold in the near term at a higher value than the carrying value of the loan pre-reversal. General CECL Allowance decreased by $2.6 million primarily due to portfolio seasoning and sale of unfunded

commitments, which was partially offset by one new loan origination and a more adverse macroeconomic outlook.

The following schedule sets forth our General CECL Allowance as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023		December 31, 2022
Commercial mortgage loans, net	$	26,340	$	22,848
Subordinate loans and other lending assets, net	965		3,376
Unfunded commitments(1)	3,972		4,347
Total General CECL Allowance	$	31,277	$	30,571

 ———————

(1)The General CECL Allowance on unfunded commitments is recorded as a liability on our condensed consolidated balance sheets within accounts payable, accrued expenses and other liabilities.

Financing Receivable Cost Recovery

The following table summarizes our risk rated 5 loans as of September 30, 2023, which were analyzed for Specific CECL Allowances ($ in thousands):

Type	Property type	Location	Amortized cost prior to Specific CECL Allowance	Specific CECL Allowance	Amortized cost	Interest recognition status/ as of date	Risk rating
Mortgage
	Retail(1)(2)	Cincinnati, OH	$165,802	$67,000	$98,802	Non-Accrual/ 10/1/2019	5
Mortgage total:			$165,802	$67,000	$98,802
Mezzanine
	Residential(3)	Manhattan, NY	$295,881	$126,000	$169,881	Non-Accrual/ 7/1/2021	5
Mezzanine total:			$295,881	$126,000	$169,881
Total:			$461,683	$193,000	$268,683

———————

(1)The fair value of retail collateral was determined by applying a capitalization rate of 8.5%.

(2)In September 2018, we entered a joint venture with Turner Consulting II, LLC ("Turner Consulting"), through an entity which owns the underlying property that secures our loan. Turner Consulting contributed 10% of the venture’s equity and we contributed 90%. The entity was deemed to be a Variable Interest Entity (a "VIE") and we determined that we are not the primary beneficiary of that VIE as we do not have the power to direct the entity's activities. During the three and nine months ended September 30, 2023 and 2022, $0.6 million and $1.9 million, respectively and $0.6 million and $1.2 million, respectively, of interest paid was applied towards reducing the carrying value of the loan. The related profit and loss from the joint venture was immaterial for the three and nine months ended September 30, 2023 and 2022. During the three months ended June 30, 2023, the loan's maturity was extended from September 2023 to September 2024.

(3)The fair value of the residential collateral was determined by making certain projections and assumptions with respect to future performance and a discount rate of 10%.

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Other Assets (Tables)

9 Months Ended

Sep. 30, 2023

Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]

Schedule of Components of Other Assets

The following table details the components of our other assets at the dates indicated ($ in thousands):

	September 30, 2023		December 31, 2022
Interest receivable	$	68,643	$	65,383
Loan proceeds held by servicer	133,041		3,371
Other(1)	4,894		1,853
Total	$	206,578	$	70,607

  ———————

(1)Includes $2.3 million of other assets from Real Estate Owned, Held for Investment as of September 30, 2023. Refer to "Note 5 – Real Estate Owned" for additional information.

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Secured Debt Arrangements, Net (Tables)

9 Months Ended

Sep. 30, 2023

Debt Disclosure [Abstract]

Schedule of Weighted Average Maturities and Interest Rates of Borrowings

Our borrowings under secured debt arrangements at September 30, 2023 and December 31, 2022 are detailed in the following table ($ in thousands):

	September 30, 2023					December 31, 2022
	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)	Maximum Amount of Borrowings(1)		Borrowings Outstanding(1)		Maturity (2)
JPMorgan Facility - USD(3)(4)	$	1,483,312	$	1,155,531	September 2026	$	1,532,722	$	1,306,320	September 2026
JPMorgan Facility - GBP(3)(4)	16,688		16,688		September 2026	67,278		67,278		September 2026
Deutsche Bank Facility - USD(3)	700,000		275,815		March 2026	700,000		385,818		March 2026
Atlas Facility - USD(5)	689,770		663,817		April 2027(6)(7)	635,653		632,747		August 2026(6)(7)
HSBC Facility - GBP	367,922		367,922		April 2025	364,423		364,423		April 2025
HSBC Facility - EUR	269,518		269,518		January 2026(7)	272,890		272,890		January 2026
Goldman Sachs Facility - USD	300,000		17,868		November 2025(8)	300,000		70,249		November 2025(8)
Barclays Facility - USD	200,000		109,843		June 2027(6)	200,000		111,909		June 2027
MUFG Securities Facility - GBP	196,137		196,137		June 2025(6)	194,272		194,272		June 2025

Churchill Facility - USD	130,000		127,822		March 2026	—		—		N/A
Santander Facility - USD	300,000		75,000		February 2026(6)	—		—		N/A
Santander Facility - EUR	57,094		53,267		August 2024	57,807		53,320		August 2024
Total Secured Credit Facilities	4,710,441		3,329,228			4,325,045		3,459,226
Barclays Private Securitization - GBP, EUR, SEK	1,818,199		1,818,199		February 2026(7)	1,850,076		1,850,076		February 2026(7)
Revolving Credit Facility - USD(9)	170,000		—		March 2026	—		—		N/A
Total Secured Debt Arrangements	6,698,640		5,147,427			6,175,121		5,309,302
Less: deferred financing costs	N/A		(11,572)			N/A		(12,477)
Total Secured Debt Arrangements, net(10)(11)(12)	$	6,698,640	$	5,135,855		$	6,175,121	$	5,296,825

———————

(1)As of September 30, 2023, British Pound Sterling("GBP"), Euro ("EUR"), and Swedish Krona ("SEK") borrowings were converted to USD at a rate of 1.22, 1.06, and 0.09, respectively. As of December 31, 2022, GBP, EUR and SEK borrowings were converted to USD at a rate of 1.21, 1.07 and 0.10, respectively.

(2)Maturity date assumes extensions at our option are exercised with consent of financing providers, where applicable.

(3)The JPMorgan Facility and Deutsche Bank Facility enable us to elect to receive advances in USD, GBP, or EUR.

(4)The JPMorgan Facility allows for $1.5 billion of maximum borrowings in total as of September 30, 2023. The JPMorgan Facility was temporarily upsized from $1.5 billion to $1.6 billion during August 2022 and the maximum borrowings decreased to $1.5 billion as of January 2023.

(5)The Atlas Facility was formerly the Credit Suisse Facility. See "—Atlas Facility" below for additional discussion.

(6)Assumes financings are extended in line with the underlying loans.

(7)Represents weighted average maturity across various financings with the counterparty. See below for additional details.

(8)Assumes facility enters the two-year amortization period subsequent to the November 2023 maturity, which allows for the refinancing or pay down of assets under the facility.

(9)The current stated maturity of the Revolving Credit Facility is March 2026. Borrowings under the Revolving Credit Facility bear interest at a per annum rate equal to the sum of (i) a floating rate index and (ii) a fixed margin. Borrowings under the Revolving Credit Facility are full recourse to certain guarantor wholly-owned subsidiaries of the Company. See "—Revolving Credit Facility" below for additional discussion.

(10)Weighted-average borrowing costs as of September 30, 2023 and December 31, 2022 were applicable benchmark rates and credit spread adjustments, plus spreads of USD: +2.45% / GBP: +1.99% / EUR: +1.65% / SEK: +1.50% and USD: +2.28% / GBP: +2.02% / EUR: +1.54%/ SEK: +1.50%, respectively.

(11)Weighted average advance rates based on cost as of September 30, 2023 and December 31, 2022 were 68.7% (65.0% (USD) / 71.6% (GBP) / 72.1% (EUR) / 80.4% (SEK)) and 68.8% (63.9% (USD) / 74.0% (GBP) / 72.1% (EUR) / 80.5% (SEK)), respectively.

(12)As of September 30, 2023 and December 31, 2022, approximately 58% and 58% of the outstanding balance under these secured borrowings were recourse to us.

Schedule of Assets Under the Private Barclays Securitization

The table below provides principal balances and the carrying value for commercial mortgage loans pledged to the Barclays Private Securitization as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,537,840	$	1,519,137
EUR	5	726,912		723,610
SEK	1	236,381		234,376
Total	13	$	2,501,133	$	2,477,123

	December 31, 2022
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,495,616	$	1,475,241
EUR	5	752,531		747,240
SEK	1	248,064		245,714
Total	13	$	2,496,211	$	2,468,195

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of September 30, 2023 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	$	1,114,701	June 2026
Total/Weighted-Average EUR	514,393		June 2025(3)
Total/Weighted-Average SEK	189,105		May 2026
Total/Weighted-Average Securitization	$	1,818,199	February 2026

———————

(1)As of September 30, 2023, we had £913.8 million, €486.5 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of December 31, 2022 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	1,125,420		May 2026
Total/Weighted-Average EUR	526,204		July 2025(3)
Total/Weighted-Average SEK	198,452		May 2026
Total/Weighted-Average Securitization	$	1,850,076	February 2026

———————

(1)As of December 31, 2022, we had £931.4 million, €491.6 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The following table summarizes the terms of the Term Loans as of September 30, 2023 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	478,750	$	(923)	$	(4,685)	$	473,142	2.86	%	5/15/2026
2028 Term Loan	292,500		(1,893)		(3,368)		287,239		3.61	%	3/11/2028
Total	$	771,250	$	(2,816)	$	(8,053)	$	760,381

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

The following table summarizes the terms of the Term Loans as of December 31, 2022 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	482,500	$	(1,190)	$	(6,106)	$	475,204	2.75	%	5/15/2026
2028 Term Loan	294,750		(2,214)		(3,927)		288,609		3.50	%	3/11/2028
Total	$	777,250	$	(3,404)	$	(10,033)	$	763,813

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

Schedule of Assets and Liabilities

The table below provides the assets and liabilities of the Barclays Private Securitization VIE included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Assets:
Cash	$	1,740	$	758
Commercial mortgage loans, net(1)	2,477,123		2,468,195
Other Assets	39,055		30,992
Total Assets	$	2,517,918	$	2,499,945
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.0 million and $2.3 million in 2023 and 2022, respectively)	$	1,816,213	$	1,847,799
Accounts payable, accrued expenses and other liabilities(2)	7,623		8,814
Total Liabilities	$	1,823,836	$	1,856,613

———————

(1)Net of the General CECL Allowance of $7.2 million and $8.2 million as of September 30, 2023 and December 31, 2022, respectively.

(2)Includes General CECL Allowance related to unfunded commitments on commercial mortgage loans, net of $2.7 million and $2.9 million as of September 30, 2023 and December 31, 2022, respectively.

Interest Income and Interest Expense Disclosure

The table below provides the net income (loss) of the Barclays Private Securitization VIE included in our condensed consolidated statement of operations ($ in thousands):

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Net Interest Income:
Interest income from commercial mortgage loans	$	56,537	$	30,518	$	156,295	$	86,695
Interest expense	(30,379)		(12,668)		(80,753)		(32,830)
Net interest income	$	26,158	$	17,850	$	75,542	$	53,865
General and administrative expense	(2)		—		(9)		—
Decrease (increase) in current expected credit loss allowance, net	1,744		889		1,169		4,698
Foreign currency translation gain (loss)	(24,266)		(50,237)		(3,555)		(111,745)
Net Income (Loss)	$	3,634	$	(31,498)	$	73,147	$	(53,182)

Schedule of Remaining Maturities of Borrowings

At September 30, 2023, our borrowings had the following remaining maturities ($ in thousands):

	Less than 1 year		1 to 3 years		3 to 5 years		More than 5 years		Total
JPMorgan Facility	$	356,095	$	586,476	$	229,648	$	—	$	1,172,219
Deutsche Bank Facility	95,686		180,129		—		—		275,815
Atlas Facility	—		83,300		580,517		—		663,817
HSBC Facility	—		637,440		—		—		637,440

Goldman Sachs Facility	—		17,868		—		—		17,868
Barclays Facility	—		—		109,843		—		109,843
MUFG Securities Facility	—		196,137		—		—		196,137
Churchill Facility	—		127,822		—		—		127,822
Santander Facility - USD	—		75,000		—		—		75,000
Santander Facility - EUR	53,267		—		—		—		53,267
Barclays Private Securitization	253,436		781,989		782,774		—		1,818,199
Total	$	758,484	$	2,686,161	$	1,702,782	$	—	$	5,147,427

Schedule of Outstanding, Maximum and Average Balances of Debt

The table below summarizes the outstanding balances at September 30, 2023, as well as the maximum and average month-end balances for the nine months ended September 30, 2023 for our borrowings under secured debt arrangements ($ in thousands).

	As of September 30, 2023				For the nine months ended September 30, 2023
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,172,219	$	1,981,220	$	1,324,226	$	1,226,645
Deutsche Bank Facility	275,815		417,733		385,818		338,297
Goldman Sachs Facility	17,868		35,852		70,249		35,181
Atlas Facility	663,817		932,656		688,126		668,655
HSBC Facility	637,440		822,049		667,430		651,260
Barclays Facility	109,843		136,354		111,909		111,450
MUFG Securities Facility	196,137		266,007		206,362		200,256
Churchill Facility	127,822		169,707		130,000		128,780
Santander Facility - USD	75,000		99,560		75,000		66,667
Santander Facility - EUR	53,267		71,023		55,403		54,244
Barclays Private Securitization	1,818,199		2,484,328		1,937,131		1,877,409
Total	$	5,147,427	$	7,416,489

The table below summarizes the outstanding balances at December 31, 2022, as well as the maximum and average month-end balances for the year ended December 31, 2022 for our borrowings under secured debt arrangements ($ in thousands).

	As of December 31, 2022				For the year ended December 31, 2022
	Balance		Amortized Cost of Collateral		Maximum Month-End Balance		Average Month-End Balance
JPMorgan Facility	$	1,373,598	$	2,376,154	$	1,584,171	$	1,411,644
Deutsche Bank Facility	385,818		565,387		432,455		400,337
Goldman Sachs Facility	70,249		116,619		164,607		140,599
Atlas Facility	632,747		855,119		633,143		541,245
HSBC Facility	637,313		813,716		660,004		501,674
Barclays Facility	111,909		138,510		172,693		102,664
MUFG Securities Facility	194,272		261,319		194,272		156,499
Santander Facility	53,320		71,093		53,320		50,450
Barclays Private Securitization	1,850,076		2,476,349		1,963,837		1,828,794
Total	$	5,309,302	$	7,674,266

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Senior Secured Term Loan, Net (Tables)

9 Months Ended

Sep. 30, 2023

Debt Disclosure [Abstract]

Schedule of Long-term Debt Instruments

The table below provides principal balances and the carrying value for commercial mortgage loans pledged to the Barclays Private Securitization as of September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,537,840	$	1,519,137
EUR	5	726,912		723,610
SEK	1	236,381		234,376
Total	13	$	2,501,133	$	2,477,123

	December 31, 2022
Local Currency	Count	Outstanding Principal		Carrying Value
GBP	7	$	1,495,616	$	1,475,241
EUR	5	752,531		747,240
SEK	1	248,064		245,714
Total	13	$	2,496,211	$	2,468,195

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of September 30, 2023 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	$	1,114,701	June 2026
Total/Weighted-Average EUR	514,393		June 2025(3)
Total/Weighted-Average SEK	189,105		May 2026
Total/Weighted-Average Securitization	$	1,818,199	February 2026

———————

(1)As of September 30, 2023, we had £913.8 million, €486.5 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The table below provides the borrowings outstanding (on an as converted basis) and weighted-average fully-extended maturities by currency for the assets financed under the Barclays Private Securitization as of December 31, 2022 ($ in thousands):

	Borrowings Outstanding(1)		Fully-Extended Maturity(2)
Total/Weighted-Average GBP	1,125,420		May 2026
Total/Weighted-Average EUR	526,204		July 2025(3)
Total/Weighted-Average SEK	198,452		May 2026
Total/Weighted-Average Securitization	$	1,850,076	February 2026

———————

(1)As of December 31, 2022, we had £931.4 million, €491.6 million, and kr2.1 billion of borrowings outstanding under the Barclays Private Securitization secured by certain of our commercial mortgage loans.

(2)Assumes underlying loans extend to fully extended maturity and extensions at our option are exercised.

(3)The EUR portion of the Barclays Private Securitization has an "evergreen" feature such that the facility continues for one year and can be terminated by either party on certain dates with, depending on the date of notice, a minimum of nine to twelve months' notice.

The following table summarizes the terms of the Term Loans as of September 30, 2023 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	478,750	$	(923)	$	(4,685)	$	473,142	2.86	%	5/15/2026
2028 Term Loan	292,500		(1,893)		(3,368)		287,239		3.61	%	3/11/2028
Total	$	771,250	$	(2,816)	$	(8,053)	$	760,381

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

The following table summarizes the terms of the Term Loans as of December 31, 2022 ($ in thousands):

	Principal Amount		Unamortized Issuance Discount(1)		Deferred Financing Costs(1)		Carrying Value		Rate		Maturity Date
2026 Term Loan	$	482,500	$	(1,190)	$	(6,106)	$	475,204	2.75	%	5/15/2026
2028 Term Loan	294,750		(2,214)		(3,927)		288,609		3.50	%	3/11/2028
Total	$	777,250	$	(3,404)	$	(10,033)	$	763,813

———————

(1)     Unamortized issuance discount and deferred financing costs will be amortized to interest expense over remaining life of respective term loans.

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Convertible Senior Notes, Net (Tables)

9 Months Ended

Sep. 30, 2023

Debt Disclosure [Abstract]

Schedule of Convertible Senior Notes

The following table summarizes the terms of the 2023 Notes as of September 30, 2023 ($ in thousands):

	Principal Amount		Coupon Rate		Effective Rate (1)		Conversion Rate (2)	Maturity Date	Remaining Period of Amortization
2023 Notes	176,064		5.38	%	5.74	%	48.7187	10/15/2023	0.04
Total	$	176,064

The following table summarizes the terms of the 2023 Notes as of December 31, 2022 ($ in thousands):

	Principal Amount		Coupon Rate		Effective Rate (1)		Conversion Rate (2)	Maturity Date	Remaining Period of Amortization
2023 Notes	230,000		5.38	%	5.85	%	48.7187	10/15/2023	0.79
Total	$	230,000

———————

(1)Effective rate includes the effect of the adjustment for the conversion option (See footnote (2) below), the value of which reduced the initial liability and

was recorded in additional paid-in-capital. The effective rate as of both September 30, 2023 and December 31, 2022 reflects adoption of ASU 2020-06 "Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging – Contracts in Entity's Own Equity" ("ASU 2020-06") and early extinguishment of debt.

(2)We have the option to settle any conversions in cash, shares of common stock or a combination thereof. The conversion rate represents the number of shares of common stock issuable per one thousand principal amount of the Convertible Notes converted and includes adjustments relating to cash dividend payments made by us to stockholders that have been deferred and carried-forward in accordance with, and are not yet required to be made pursuant to, the terms of the applicable supplemental indenture.

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Derivatives (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Non-Designated Foreign Exchange Forwards

The following table summarizes our non-designated Fx forwards and interest rate cap as of September 30, 2023:

	September 30, 2023
Type of Derivatives	Number of Contracts	Aggregate Notional Amount (in thousands)	Notional Currency	Maturity	Weighted-Average Years to Maturity
Fx contracts - GBP	110	934,662	GBP	October 2023 - February 2027	1.29
Fx contracts - EUR	99	424,355	EUR	October 2023 - August 2026	1.17
Fx contracts - SEK	17	689,627	SEK	November 2023 - May 2026	2.36
Interest rate cap	1	164,835	USD	October 2024	1.00

    

The following table summarizes our non-designated Fx forwards and interest rate cap as of December 31, 2022:

	December 31, 2022
Type of Derivatives	Number of Contracts	Aggregate Notional Amount (in thousands)	Notional Currency	Maturity	Weighted-Average Years to Maturity
Fx contracts - GBP	124	936,930	GBP	January 2023 - February 2027	1.78
Fx contracts - EUR	130	576,240	EUR	January 2023 - November 2025	1.78
Fx contracts - SEK	19	730,432	SEK	February 2023 - May 2026	2.95
Interest rate cap	1	500,000	USD	June 2023	0.46

Schedule of Amounts Recognized on Consolidated Statements of Operations Related to Company's Derivatives

The following table summarizes the amounts recognized on our condensed consolidated statements of operations related to our forward currency contracts for the nine months ended September 30, 2023 and 2022 ($ in thousands):

		Amount of gain (loss) recognized in income
		Three months ended September 30,				Nine months ended September 30,
	Location of Gain (Loss) Recognized in Income	2023		2022		2023		2022
Forward currency contracts	Unrealized gain (loss) on derivative instruments	$	28,244	$	108,428	$	(27,709)	$	221,623
Forward currency contracts	Realized gain on derivative instruments	11,246		20,824		35,948		35,604
Total		$	39,490	$	129,252	$	8,239	$	257,227

The following table summarizes the amounts recognized on our condensed consolidated statements of operations related to our interest rate caps for the three and nine months ended September 30, 2023 and 2022 ($ in thousands):

		Amount of gain (loss) recognized in income
		Three months ended September 30,				Nine months ended September 30,
	Location of Gain (Loss)  Recognized in Income	2023		2022		2023		2022
Interest rate cap	Unrealized gain (loss) on interest rate hedging instruments	$	(70)	$	1,044	$	(9,211)	$	10,808
Interest rate cap	Realized gain on interest rate hedging instruments	—		—		9,089		—
Total		$	(70)	$	1,044	$	(122)	$	10,808

Schedule of Gross Asset and Liability Amounts Related to Derivatives

The following tables summarize the gross asset and liability amounts related to our derivatives at September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023						December 31, 2022
	Gross Amount of Recognized Assets		Gross Amounts Offset in our Condensed Consolidated Balance Sheet		Net Amounts of Assets Presented in our Condensed Consolidated Balance Sheet		Gross Amount of Recognized Assets		Gross Amounts Offset in our  Consolidated Balance Sheet		Net Amounts of Assets Presented in our Consolidated Balance Sheet
Forward currency contracts	$	112,698	$	(20,908)	$	91,790	$	143,285	$	(23,786)	$	119,499
Interest rate cap	2,247		—		2,247		9,141		—		9,141
Total derivative assets (liabilities)	$	114,945	$	(20,908)	$	94,037	$	152,426	$	(23,786)	$	128,640

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Participations Sold (Tables)

9 Months Ended

Sep. 30, 2023

Debt Disclosure [Abstract]

Schedule of Participating Mortgage Loans

The table below details participations sold included in our condensed consolidated balance sheets ($ in thousands):

	September 30, 2023		December 31, 2022
Participation sold on commercial mortgage loans	$	—	$	25,130
Total participations sold	$	—	$	25,130

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Accounts Payable, Accrued Expenses and Other Liabilities (Tables)

9 Months Ended

Sep. 30, 2023

Payables and Accruals [Abstract]

Schedule of Accounts Payable, Accrued Expense and Other Liabilities

The following table details the components of our accounts payable, accrued expense and other liabilities ($ in thousands):

	September 30, 2023		December 31, 2022
Collateral held under derivative agreements	$	99,260	$	138,620
Accrued dividends payable	53,022		53,203
Accrued interest payable	38,624		23,943
Accounts payable and other liabilities(1)	8,023		7,247
General CECL Allowance on unfunded commitments(2)	3,972		4,347
Total	$	202,901	$	227,360

  ———————

(1)Includes $7.0 million and $1.1 million of accounts payable and other liabilities on the balance sheet of the Real Estate Owned, Held for Investment at September 30, 2023 and December 31, 2022, respectively.

(2)Refer to "Note 4 - Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net" for additional disclosure related to the General CECL Allowance on unfunded commitments as of September 30, 2023 and December 31, 2022, respectively.

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Share-Based Payments (Tables)

9 Months Ended

Sep. 30, 2023

Share-Based Payment Arrangement [Abstract]

Summary of Grants, Exchanges and Forfeitures of Restricted Stock and RSUs

The following table summarizes the grants, vesting and forfeitures of restricted common stock and RSUs during the nine months ended September 30, 2023:

	Type	Restricted Stock	RSUs	Grant Date Fair Value ($ in millions)
Outstanding at December 31, 2022		56,102	2,865,154
	Granted	75,754	—	$	0.7
	Vested	(52,768)	(30,641)	N/A
	Forfeiture	—	(17,328)	N/A
Outstanding at September 30, 2023		79,088	2,817,185

Below is a summary of restricted stock and RSU vesting dates as of September 30, 2023: 

Vesting Year	Restricted Stock	RSUs	Total Awards
2023	—	1,358,418	1,358,418
2024	79,088	948,636	1,027,724
2025	—	510,131	510,131
Total	79,088	2,817,185	2,896,273

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Stockholders' Equity (Tables)

9 Months Ended

Sep. 30, 2023

Equity [Abstract]

Schedule of Dividends Activity

The following table details our dividend activity:

	Three months ended September 30,		Nine months ended September 30,
Dividends declared per share of:	2023	2022	2023	2022
Common Stock	$0.35	$0.35	$1.05	$1.05
Series B-1 Preferred Stock	$0.45	$0.45	$1.35	$1.35

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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Carrying Value and Estimated Fair Value of Company's Financial Instruments

The following table presents the carrying value and estimated fair value of our financial instruments not carried at fair value on our condensed consolidated balance sheets at September 30, 2023 and December 31, 2022 ($ in thousands):

	September 30, 2023				December 31, 2022
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Cash and cash equivalents	$	307,845	$	307,845	$	222,030	$	222,030
Commercial mortgage loans, net	7,561,254		7,487,855		8,121,109		8,083,410
Subordinate loans and other lending assets, net(1)	412,777		412,897		560,881		558,740
Secured debt arrangements, net	(5,135,855)		(5,135,855)		(5,296,825)		(5,296,825)
Term loans, net	(760,381)		(746,119)		(763,813)		(731,709)
Senior secured notes, net	(495,437)		(378,750)		(494,844)		(400,950)
2023 Notes	(176,018)		(175,844)		(229,361)		(225,366)
Debt related to real estate owned, held for investment, net	(161,245)		(161,245)		(160,294)		(160,294)
Participations sold	—		—		(25,130)		(25,130)

———————

(1)Includes subordinate risk retention interests in securitization vehicles with an estimated fair value that approximates their carrying value.

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Net Income (Loss) per Share (Tables)

9 Months Ended

Sep. 30, 2023

Earnings Per Share [Abstract]

Basic and Diluted Net Income per Share of Common Stock Using Two-Class Method

The table below presents the computation of basic and diluted net income (loss) per share of common stock for the three and nine months ended September 30, 2023 and 2022 ($ in thousands except per share data): 

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Basic Earnings
Net income (loss)	$	46,071	$	183,030	$	11,587	$	269,219
Less: Preferred dividends	(3,068)		(3,068)		(9,204)		(9,204)
Net income (loss) available to common stockholders	$	43,003	$	179,962	$	2,383	$	260,015
Less: Dividends on participating securities	(989)		(898)		(2,989)		(2,698)
Basic Earnings (Loss)	$	42,014	$	179,064	$	(606)	$	257,317
Diluted Earnings
Basic Earnings (Loss)	$	42,014	$	179,064	$	(606)	$	257,317
Add: Dividends on participating securities	—		898		—		2,698
Add: Interest expense on Convertible Notes	—		5,684		—		20,608
Diluted Earnings	$	42,014	$	185,646	$	(606)	$	280,623
Number of Shares:
Basic weighted-average shares of common stock outstanding	141,350,428		140,594,987		141,255,730		140,513,957
Diluted weighted-average shares of common stock outstanding	141,350,428		164,350,132		141,255,730		169,252,602
Earnings (Loss) Per Share Attributable to Common Stockholders
Basic	$	0.30	$	1.27	$	—	$	1.83
Diluted	$	0.30	$	1.13	$	—	$	1.66

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Summary of Significant Accounting Policies - Additional Information (Details)	9 Months Ended
	Sep. 30, 2023 segment
Accounting Policies [Abstract]
Number of business segments	1

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Fair Value Disclosure - Summarizes Levels in Fair Value Hierarchy of Financial Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	$ 94,037	$ 128,640
Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	94,037	128,640
Level I | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	0	0
Level II | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	94,037	128,640
Level III | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	0	0
Foreign currency forward, net | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	91,790	119,499
Foreign currency forward, net | Level I | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	0	0
Foreign currency forward, net | Level II | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	91,790	119,499
Foreign currency forward, net | Level III | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	0	0
Interest rate cap | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	2,247	9,141
Interest rate cap | Level I | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	0	0
Interest rate cap | Level II | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	2,247	9,141
Interest rate cap | Level III | Estimate of Fair Value | Fair Value, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	$ 0	$ 0

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Fair Value Disclosure - Narrative (Details)			9 Months Ended		12 Months Ended
	Mar. 31, 2023 USD ($) ft²	May 24, 2021 USD ($)	Sep. 30, 2023 USD ($) instrument	Sep. 30, 2022 USD ($)	Dec. 31, 2022 USD ($) instrument	Aug. 03, 2022 USD ($)	Dec. 31, 2017 USD ($)
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items]
Impairment of real estate			$ 0		$ 0
Debt related to real estate owned, held for investment, net			161,245,000		160,294,000
Assumption of real estate		$ 154,300,000	75,000,000	$ 270,035,000
Hotel Property Through a deed-in-Lieu of Foreclosure
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items]
Real estate investment property, net	$ 75,000,000
Impairment of real estate	$ 0
Hotel Property Through a deed-in-Lieu of Foreclosure | Discount Rate
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items]
Real estate investment, measurement input | ft²	0.105
Hotel Property Through a deed-in-Lieu of Foreclosure | Measurement Input, Cap Rate
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items]
Real estate investment, measurement input | ft²	0.095
Deed-In-Lieu Of Foreclosure
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items]
Real estate investment property, net						$ 270,100,000
Impairment of real estate			$ 0		$ 0
Hotel - Washington D.C. | Subordinate Mortgage Portfolio Segment
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items]
Debt related to real estate owned, held for investment, net		$ 110,000,000					$ 110,000,000
Interest rate cap | Term Loan
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items]
Number of Contracts | instrument					1
Interest rate cap | Construction Financing
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items]
Number of Contracts | instrument			1

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net - Loan Portfolio (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Dec. 31, 2022
Financing Receivable, Allowance for Credit Loss [Line Items]
Total carrying value, net		$ 7,974,031	$ 8,681,990
Commercial Mortgage and Subordinated Portfolio Segment
Financing Receivable, Allowance for Credit Loss [Line Items]
Total carrying value, net		102,600	138,300
Commercial Mortgage Portfolio Segment
Financing Receivable, Allowance for Credit Loss [Line Items]
Total carrying value, net	[1],[2]	7,561,254	8,121,109
Subordinate Mortgage Portfolio Segment
Financing Receivable, Allowance for Credit Loss [Line Items]
Total carrying value, net	[2],[3]	$ 412,777	$ 560,881

[1] Includes $7,203,350 and $7,482,658 pledged as collateral under secured debt arrangements in 2023 and 2022, respectively.

[2] Net of $220,305 and $159,724 CECL Allowance in 2023 and 2022, respectively, comprised of $193,000 and $133,500 Specific CECL Allowance and $27,305 and $26,224 General CECL Allowance, respectively.

[3] Includes $213,139 and $191,608 pledged as collateral under secured debt arrangements in 2023 and 2022, respectively.

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net - Additional Information (Details) € in Millions, £ in Millions				3 Months Ended											9 Months Ended		12 Months Ended
		Mar. 31, 2022 USD ($)	May 24, 2021 USD ($)	Sep. 30, 2023 USD ($) loan	Jun. 30, 2023 USD ($)	Mar. 31, 2023 USD ($) loan	Mar. 31, 2023 GBP (£) loan	Dec. 31, 2022 USD ($)	Sep. 30, 2022 USD ($)	Sep. 30, 2022 GBP (£)	Jun. 30, 2022 USD ($)	Mar. 31, 2022 USD ($)	Jun. 30, 2021 USD ($)	Mar. 31, 2020 USD ($)	Sep. 30, 2023 USD ($) loan	Sep. 30, 2022 USD ($)	Dec. 31, 2022 USD ($) extension	Mar. 31, 2023 GBP (£)	Mar. 31, 2023 EUR (€)	Dec. 31, 2021 USD ($)
Financing Receivable, Allowance for Credit Loss [Line Items]
Mortgage loans on real estate, commercial and consumer, percentage of portfolio															100.00%		100.00%
Interest receivable				$ 68,643,000				$ 65,383,000							$ 68,643,000		$ 65,383,000
Amortized cost of loans in cost recovery				680,700,000				468,000,000							680,700,000		468,000,000
Interest received for loans in cost recovery				$ 600,000					$ 2,100,000						$ 1,900,000	$ 2,600,000
Number of loans | loan				3											3
Total carrying value, net				$ 7,974,031,000				8,681,990,000							$ 7,974,031,000		8,681,990,000
Financing receivable, allowance for credit loss, excluding accrued interest				193,000,000				133,500,000							193,000,000		133,500,000
Payment in kind interest				0					2,700,000						0	8,300,000
Increase in Specific CECL Allowance, net			$ 10,000,000								$ (10,000,000)		$ 20,000,000
Write-offs, specific CECL allowance, funded															81,890,000		$ 7,000,000
Realized gain on extinguishment of debt				(30,000)					0						(495,000)	0
Allowance for credit loss, current									7,000,000							7,000,000
Number of extensions available | extension																	2
Financing receivable, loan specific, realized gain (loss) on writeoff						$ 7,000,000
Off-balance sheet, credit loss, liability		$ 3,928,000		3,972,000	$ 4,834,000	4,695,000		4,347,000	2,812,000		3,999,000	$ 3,928,000			3,972,000	2,812,000	$ 4,347,000			$ 3,106,000
Proceeds from pre-payment penalties or accelerated fees				200,000					100,000						400,000	2,500,000
Debt instrument, amortized cost basis						25,100,000												£ 20.8
Proceeds received from the repayment and sale of commercial mortgage loans															749,716,000	1,316,431,000
Hotel Through a Died-in-Lieu Foreclosure
Financing Receivable, Allowance for Credit Loss [Line Items]
Financing receivable, loan specific, realized gain (loss) on writeoff						4,800,000
Nonoperating Income (Expense)
Financing Receivable, Allowance for Credit Loss [Line Items]
Realized gain on extinguishment of debt				1,000,000
Commercial Mortgage and Subordinated Portfolio Segment
Financing Receivable, Allowance for Credit Loss [Line Items]
Total carrying value, net				102,600,000				138,300,000							102,600,000		138,300,000
Financing receivable, allowance for credit loss, excluding accrued interest		175,000,000		193,000,000	193,000,000	133,500,000		133,500,000	119,000,000		172,000,000	175,000,000			193,000,000	$ 119,000,000	133,500,000			$ 145,000,000
Increase in Specific CECL Allowance, net															59,500,000
Write-offs, specific CECL allowance, funded					81,980,000
Loans and leases receivable, gain (loss) on sales, net						$ 200,000
Number of commercial mortgage loans | loan						3	3
Commercial Mortgage and Subordinated Portfolio Segment | Mixed Use Property - London
Financing Receivable, Allowance for Credit Loss [Line Items]
Total carrying value, net | £																		£ 15.0
Off-balance-sheet, credit loss, liability, transfers									327,700,000	£ 293.4
Loans and leases receivable, gain (loss) on sales, net									$ 0
Proceeds received from the repayment and sale of commercial mortgage loans						$ 18,200,000	£ 15.0
Financing receivable, default interest rate									2.00%							2.00%
Commercial Mortgage and Subordinated Portfolio Segment | Various Properties In Europe
Financing Receivable, Allowance for Credit Loss [Line Items]
Total carrying value, net						219,000,000													€ 205.7
Mortgage loans on real estate, commercial and consumer, funded, net						122,400,000													€ 115.0
Subordinate Mortgage Portfolio Segment
Financing Receivable, Allowance for Credit Loss [Line Items]
Total carrying value, net	[1],[2]			412,777,000				560,881,000							412,777,000		560,881,000
Maximum exposure to loss								51,100,000									$ 51,100,000
Maximum exposure to loss, term																	1 year 4 months 24 days
Residential-for-Sale - Manhattan, NY
Financing Receivable, Allowance for Credit Loss [Line Items]
Write-offs, specific CECL allowance, funded								7,000,000			$ 7,000,000
Residential-for-Sale - Manhattan, NY | Commercial Mortgage and Subordinated Portfolio Segment
Financing Receivable, Allowance for Credit Loss [Line Items]
Increase in Specific CECL Allowance, net												$ 30,000,000
Office - London UK
Financing Receivable, Allowance for Credit Loss [Line Items]
Proceeds from collection of loans receivable						88,400,000	£ 72.2
Proceeds from interest received						$ 700,000
Past Due 90
Financing Receivable, Allowance for Credit Loss [Line Items]
Amortized cost of loans in cost recovery				$ 680,700,000				581,300,000							$ 680,700,000		$ 581,300,000
Floating Rate Loan
Financing Receivable, Allowance for Credit Loss [Line Items]
Mortgage loans on real estate, commercial and consumer, percentage of portfolio															99.00%		98.00%
Senior Mezzanine Loans | Secured Overnight Financing Rate (SOFR)
Financing Receivable, Allowance for Credit Loss [Line Items]
Financing receivable, basis spread on variable rate				15.70%											15.70%
Senior Mezzanine Loans | Secured Overnight Financing Rate
Financing Receivable, Allowance for Credit Loss [Line Items]
Financing receivable, basis spread on variable rate				9.00%											9.00%
Junior Mezzanine A Loan
Financing Receivable, Allowance for Credit Loss [Line Items]
Increase in Specific CECL Allowance, net					126,000,000
Junior Mezzanine A Loan | Secured Overnight Financing Rate (SOFR)
Financing Receivable, Allowance for Credit Loss [Line Items]
Financing receivable, basis spread on variable rate				22.50%											22.50%
Junior Mezzanine A Loan | Secured Overnight Financing Rate
Financing Receivable, Allowance for Credit Loss [Line Items]
Financing receivable, basis spread on variable rate				15.00%											15.00%
Junior Mezzanine B Loan
Financing Receivable, Allowance for Credit Loss [Line Items]
Increase in Specific CECL Allowance, net		$ 30,000,000			$ 15,500,000			36,500,000									$ 66,500,000
Junior Mezzanine B Loan | Secured Overnight Financing Rate (SOFR)
Financing Receivable, Allowance for Credit Loss [Line Items]
Financing receivable, basis spread on variable rate				17.50%											17.50%
Junior Mezzanine B Loan | Secured Overnight Financing Rate
Financing Receivable, Allowance for Credit Loss [Line Items]
Financing receivable, basis spread on variable rate				15.00%											15.00%
Senior and Junior Mezzanine Loans
Financing Receivable, Allowance for Credit Loss [Line Items]
Mortgage loans on real estate, commercial and consumer, percentage of portfolio															4.80%
Total carrying value, net				$ 383,000,000											$ 383,000,000
Mezzanine Loans
Financing Receivable, Allowance for Credit Loss [Line Items]
Amortized cost of loans in cost recovery				169,881,000											169,881,000
Financing receivable, allowance for credit loss, excluding accrued interest				126,000,000											126,000,000
Mezzanine Loans | Subordinate Mortgage Portfolio Segment
Financing Receivable, Allowance for Credit Loss [Line Items]
Increase in Specific CECL Allowance, net														$ 10,000,000
Mezzanine Loans | Residential-for-Sale - Manhattan, NY
Financing Receivable, Allowance for Credit Loss [Line Items]
Amortized cost of loans in cost recovery				169,881,000											169,881,000
Financing receivable, allowance for credit loss, excluding accrued interest				$ 126,000,000											$ 126,000,000
Unfunded Loan Commitment
Financing Receivable, Allowance for Credit Loss [Line Items]
Off-balance sheet, credit loss, liability								$ 9,500,000									$ 9,500,000

[1] Includes $213,139 and $191,608 pledged as collateral under secured debt arrangements in 2023 and 2022, respectively.

[2] Net of $220,305 and $159,724 CECL Allowance in 2023 and 2022, respectively, comprised of $193,000 and $133,500 Specific CECL Allowance and $27,305 and $26,224 General CECL Allowance, respectively.

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net - Activity Relating to Loan Investment Portfolio (Details) - USD ($) $ in Thousands		3 Months Ended							9 Months Ended		12 Months Ended
	May 24, 2021	Sep. 30, 2023	Jun. 30, 2023	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Jun. 30, 2021	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Principal Balance
Principal value, beginning balance									$ 8,708,214
Principal value, ending balance		$ 8,001,336		$ 8,708,214					8,001,336		$ 8,708,214
Deferred Fees/Other Items
Net realized loss on investment									(763)
Specific CECL Allowance
Specific provision for loan loss, beginning									(133,500)
Specific provision for loan loss, ending		(193,000)		(133,500)					(193,000)		(133,500)
Carry Value, Net
Increase in Specific CECL Allowance, net	$ (10,000)					$ 10,000		$ (20,000)
Net realized loss on investment		0			$ 43,577				(86,604)	$ 43,577
General CECL allowance		(27,305)		(26,224)					(27,305)		(26,224)
Carrying value, net		7,974,031		8,681,990					7,974,031		8,681,990
Off-balance-sheet, credit loss, liability, amount excluded		4,000		4,300					4,000		4,300
Commercial Mortgage and Subordinated Portfolio Segment
Principal Balance
Principal value, beginning balance									8,892,767
New funding of loans									181,017
Add-on loan fundings									341,796
Loan repayments and sales									(1,020,590)
Gain (loss) on foreign currency translation									(4,999)
Net realized loss on investment									(87,367)
Transfer to real estate owned									(75,000)
Payment-in-kind interest and amortization of fees									0
Principal value, ending balance		8,227,624		8,892,767					8,227,624		8,892,767
Deferred Fees/Other Items
Deferred fees/other items, beginning									(51,053)
Gain (loss) on foreign currency translation									83
Transfer to real estate owned									0
Deferred fees and other items									(9,191)
Payment-in-kind interest and amortization of fees									26,110
Deferred fees/other items, ending		(33,288)		(51,053)					(33,288)		(51,053)
Specific CECL Allowance
Specific provision for loan loss, beginning		(193,000)	$ (133,500)	(119,000)	(172,000)	(175,000)	$ (145,000)		(133,500)	(145,000)	(145,000)
Specific provision for loan loss, ending		(193,000)	$ (193,000)	(133,500)	$ (119,000)	$ (172,000)	$ (175,000)		(193,000)	$ (119,000)	(133,500)
Carry Value, Net
Carrying value, beginning balance									8,708,214
New funding of loans									181,017
Add-on loan fundings									341,796
Loan repayments and sales									(1,020,590)
Gain (loss) on foreign currency translation									(4,916)
Increase in Specific CECL Allowance, net									(59,500)
Transfer to real estate owned, held for sale									(75,000)
Deferred fees and other items									(9,191)
Payment-in-kind interest and amortization of fees									26,110
Carrying value, ending balance		8,001,336		8,708,214					8,001,336		8,708,214
Carrying value, net		$ 102,600		$ 138,300					$ 102,600		$ 138,300

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net - Statistics for Loan Portfolio (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($) loan	Dec. 31, 2022 USD ($) loan
Accounts, Notes, Loans and Financing Receivable [Line Items]
Number of loans | loan	49	61
Principal balance	$ 8,001,336	$ 8,708,214
Carrying value, net	7,974,031	8,681,990
Unfunded loan commitments	$ 693,125	$ 1,041,654
Weighted-average cash coupon	8.30%	7.20%
Weighted-average remaining fully-extended term	2 years 4 months 24 days	2 years 9 months 18 days
Weighted-average expected term	1 year 9 months 18 days	1 year 8 months 12 days
Interest rate used in calculating weighted-average cash coupon for non-accrual or cost recovery loans	0.00%	0.00%
Principal balance
Accounts, Notes, Loans and Financing Receivable [Line Items]
Principal balance	$ 8,227,624	$ 8,892,767

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net - Schedule of Mortgage Loans by Property Type and Geographic Distribution (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 8,001,336	$ 8,708,214
General CECL allowance	(27,305)	(26,224)
Carrying value, net	$ 7,974,031	$ 8,681,990
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	100.00%	100.00%
Off-balance-sheet, credit loss, liability, amount excluded	$ 4,000	$ 4,300
United Kingdom
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 2,482,587	$ 2,470,532
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	31.00%	28.40%
New York City
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 1,723,669	$ 2,049,493
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	21.50%	23.50%
Other Europe
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 1,396,418	$ 1,542,462
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	17.50%	17.70%
Germany
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	5.20%	4.90%
Italy
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	470.00%	5.40%
Spain
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	4.20%	3.80%
Sweden
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	290.00%	2.80%
Ireland
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	0.50%	0.70%
Midwest
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 533,692	$ 592,756
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	6.70%	6.80%
Southeast
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 533,852	$ 642,542
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	6.70%	7.40%
West
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 577,416	$ 584,247
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	7.20%	6.70%
Other
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 753,702	$ 826,182
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	9.40%	9.50%
Percentage of Portfolio	90.00%	0.30%
Northeast
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	550.00%	5.50%
Southwest
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	180.00%	2.30%
Mid-Atlantic
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	120.00%	1.40%
Hotel
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 1,903,246	$ 2,117,079
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	23.80%	24.30%
Office
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 1,494,101	$ 1,671,006
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	18.70%	19.20%
Residential
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 1,245,131	$ 1,537,541
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	15.50%	17.70%
Retail Site
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 1,375,338	$ 1,364,752
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	17.20%	15.70%
Health Care
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 520,208	$ 575,144
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	6.50%	6.60%
Mixed Use
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 637,492	$ 559,809
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	8.00%	6.40%
Industrial Property
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 282,758	$ 296,860
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	3.50%	3.40%
Other
Accounts, Notes, Loans and Financing Receivable [Line Items]
Carrying Value	$ 543,062	$ 586,023
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	6.80%	6.70%
Parking Garage
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	270.00%	3.10%
Urban Predevelopment
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	160.00%	1.30%
Caravan Park
Accounts, Notes, Loans and Financing Receivable [Line Items]
Percentage of Portfolio	250.00%	2.30%

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net - Allocation of Carrying Value of Loan Portfolio Based on Internal Risk Ratings (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($) loan	Dec. 31, 2022 USD ($) loan
Financing Receivable, Credit Quality Indicator [Line Items]
Number of Loans | loan	49	61
Total	$ 8,001,336	$ 8,708,214
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	100.00%	100.00%
Year 1	$ 169,707	$ 2,575,455
Year 2	2,610,749	2,462,499
Year 3	2,271,332	687,329
Year 4	542,838	1,637,050
Year 5	1,540,913	499,720
Prior	865,798	846,161
General CECL Allowance	(27,305)	(26,224)
Total carrying value, net	$ 7,974,031	$ 8,681,990
Weighted Average Risk Rating	3.1	3.0
Gross write-offs	$ 81,890	$ 7,000
Off-balance-sheet, credit loss, liability, amount excluded	$ 4,000	$ 4,300
1
Financing Receivable, Credit Quality Indicator [Line Items]
Number of Loans | loan	0	0
Total	$ 0	$ 0
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	0.00%	0.00%
Year 1	$ 0	$ 0
Year 2	0	0
Year 3	0	0
Year 4	0	0
Year 5	0	0
Prior	$ 0	$ 0
2
Financing Receivable, Credit Quality Indicator [Line Items]
Number of Loans | loan	3	2
Total	$ 192,291	$ 65,943
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	2.40%	0.80%
Year 1	$ 0	$ 0
Year 2	0	0
Year 3	0	0
Year 4	0	0
Year 5	126,658	0
Prior	$ 65,633	$ 65,943
3
Financing Receivable, Credit Quality Indicator [Line Items]
Number of Loans | loan	42	54
Total	$ 7,452,050	$ 8,401,925
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	93.10%	96.50%
Year 1	$ 169,707	$ 2,575,455
Year 2	2,610,749	2,462,499
Year 3	2,271,332	687,329
Year 4	372,957	1,637,050
Year 5	1,414,255	479,769
Prior	$ 613,051	$ 559,823
4
Financing Receivable, Credit Quality Indicator [Line Items]
Number of Loans | loan	2	2
Total	$ 88,312	$ 27,451
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	1.10%	0.30%
Year 1	$ 0	$ 0
Year 2	0	0
Year 3	0	0
Year 4	0	0
Year 5	0	19,951
Prior	$ 88,312	$ 7,500
5
Financing Receivable, Credit Quality Indicator [Line Items]
Number of Loans | loan	2	3
Total	$ 268,683	$ 212,895
Mortgage loans on real estate, commercial and consumer, percentage of portfolio	3.40%	2.40%
Year 1	$ 0	$ 0
Year 2	0	0
Year 3	0	0
Year 4	169,881	0
Year 5	0	0
Prior	$ 98,802	$ 212,895

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net - CECL Allowance as Percentage of Amortized Cost and Total Commitment (Details) - USD ($) $ in Thousands		3 Months Ended								9 Months Ended	12 Months Ended
	May 24, 2021	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Jun. 30, 2021	Sep. 30, 2023	Dec. 31, 2022	Dec. 31, 2021
Allowance and Provision for Loan Credit Loss [Abstract]
Beginning balance, specific CECL allowance, funded				$ 133,500						$ 133,500
Write-offs, specific CECL allowance, funded										(81,890)	$ (7,000)
Ending balance, specific CECL allowance, funded		$ 193,000			$ 133,500					193,000	133,500
Financing Receivable, Funded, Allowance for Credit Loss [Roll Forward]
Beginning balance, General CECL allowance, funded		32,276	$ 30,267	26,224	21,985	$ 23,362	$ 21,377	$ 33,588		26,224	33,588
Quarter allowances (reversals), General CECL allowance, funded		(4,971)	2,009	4,043		(1,377)	1,985	(12,211)
Quarter writeoff, General CECL allowance, funded			0
Ending balance, General CECL allowance, funded		27,305	32,276	30,267	26,224	21,985	23,362	21,377		27,305	26,224	$ 33,588
Financing Receivable, Unfunded, Allowance for Credit Loss [Roll Forward]
Beginning balance, General CECL allowance, unfunded		4,834	4,695	4,347	2,812	3,999	3,928	3,106		4,347	3,106
Quarter allowances (reversals), General CECL allowance, unfunded		(862)	139	348		(1,187)	71	822
Quarter writeoff, General CECL allowance, unfunded			0
Ending balance, General CECL allowance, unfunded		3,972	4,834	4,695	4,347	2,812	3,999	3,928		3,972	4,347	3,106
Financing Receivable, General Allowance, Allowance for Credit Loss [Roll Forward]
General CECL Allowance		37,110	34,962	30,571	24,797	27,361	25,305	36,694		30,571	36,694
General CECL Allowance		31,277	37,110	34,962	30,571	24,797	27,361	25,305		31,277	30,571	36,694
Financing Receivable, Total Allowance for Credit Loss [Roll Forward]
Total CECL Allowance		230,110	168,462	164,071	143,797	199,361	200,305	181,694		164,071	181,694
Total CECL Allowance, Quarter allowances (reversals)		(5,833)	143,628	4,391		(55,564)	(944)	18,611
Total CECL Allowance, writeoff			(81,980)
Total CECL Allowance		$ 224,277	$ 230,110	$ 168,462	$ 164,071	$ 143,797	$ 199,361	$ 200,305		$ 224,277	$ 164,071	$ 181,694
General CECL allowance, % of amortized cost		0.40%	0.46%	0.42%	0.36%	0.30%	0.33%	0.32%		0.40%	0.36%	0.49%
Total CECL allowance, % of amortized cost		2.74%	2.70%	1.95%	1.86%	1.62%	2.18%	2.34%		2.74%	1.86%	2.26%
General CECL (allowance) reversal			$ 2,100	$ 4,400
Increase in Specific CECL Allowance, net	$ 10,000						$ (10,000)		$ 20,000
Residential-for-Sale - Manhattan, NY
Allowance and Provision for Loan Credit Loss [Abstract]
Write-offs, specific CECL allowance, funded					$ (7,000)		(7,000)
Commercial Mortgage and Subordinated Portfolio Segment
Allowance and Provision for Loan Credit Loss [Abstract]
Beginning balance, specific CECL allowance, funded		$ 193,000	133,500	133,500	119,000	$ 172,000	175,000	$ 145,000		$ 133,500	$ 145,000
Increase in current expected credit loss allowance, net		0	141,480	0		(53,000)	(3,000)	30,000
Write-offs, specific CECL allowance, funded			(81,980)
Ending balance, specific CECL allowance, funded		193,000	193,000	133,500	$ 133,500	119,000	172,000	175,000		193,000	$ 133,500	$ 145,000
Financing Receivable, General Allowance, Allowance for Credit Loss [Roll Forward]
Total quarter allowances (reversals), General CECL allowance		$ (5,833)	2,148	$ 4,391		(2,564)	2,056	(11,389)
General CECL Allowance writeoff			$ 0
Financing Receivable, Total Allowance for Credit Loss [Roll Forward]
Increase in Specific CECL Allowance, net										$ 59,500
Commercial Mortgage and Subordinated Portfolio Segment | Residential-for-Sale - Manhattan, NY
Financing Receivable, General Allowance, Allowance for Credit Loss [Roll Forward]
Total quarter allowances (reversals), General CECL allowance								11,400
Financing Receivable, Total Allowance for Credit Loss [Roll Forward]
Increase in Specific CECL Allowance, net								$ 30,000
Specific CECL allowance (reversal), net of previously recorded amount							3,000
Commercial Mortgage and Subordinated Portfolio Segment | Multifamily Development - Brooklyn, NY
Financing Receivable, Total Allowance for Credit Loss [Roll Forward]
Increase in Specific CECL Allowance, net							10,000
Decrease in general CECL Allowance							2,100
Commercial Mortgage and Subordinated Portfolio Segment | Hotel - Atlanta, GA
Financing Receivable, Total Allowance for Credit Loss [Roll Forward]
Increase in Specific CECL Allowance, net							$ 7,000
Commercial Mortgage and Subordinated Portfolio Segment | Urban predevelopment - Miami, FL
Financing Receivable, General Allowance, Allowance for Credit Loss [Roll Forward]
Total quarter allowances (reversals), General CECL allowance						2,600
Financing Receivable, Total Allowance for Credit Loss [Roll Forward]
Increase in Specific CECL Allowance, net						$ 53,000

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net - Current Expected Credit Losses (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2021
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance reserve	$ 27,305			$ 26,224
Unfunded commitments	3,972	$ 4,834	$ 4,695	4,347	$ 2,812	$ 3,999	$ 3,928	$ 3,106
Total General CECL Allowance	31,277	$ 37,110	$ 34,962	30,571	$ 24,797	$ 27,361	$ 25,305	$ 36,694
Commercial Mortgage Portfolio Segment
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance reserve	26,340			22,848
Subordinate Mortgage Portfolio Segment
Financing Receivable, Allowance for Credit Loss [Line Items]
Allowance reserve	$ 965			$ 3,376

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Commercial Mortgage Loans, Subordinate Loans and Other Lending Assets, Net - Cost Recovery Loans (Details)	3 Months Ended		9 Months Ended
	Sep. 30, 2023 USD ($)	Sep. 30, 2022 USD ($)	Sep. 30, 2023 USD ($)	Sep. 30, 2022 USD ($)	Dec. 31, 2022 USD ($)
Financing Receivable, Credit Quality Indicator [Line Items]
Specific CECL allowance	$ 193,000,000		$ 193,000,000		$ 133,500,000
Amortized cost	$ 680,700,000		$ 680,700,000		$ 468,000,000
Equity contribution rate	90.00%		90.00%
Payment in kind interest	$ 0	$ 2,700,000	$ 0	$ 8,300,000
Turner Consulting
Financing Receivable, Credit Quality Indicator [Line Items]
Equity contribution rate	10.00%		10.00%
Retail Center - Cincinnati, OH
Financing Receivable, Credit Quality Indicator [Line Items]
Payment in kind interest	$ 600,000	$ 600,000	$ 1,900,000	$ 1,200,000
Retail Center - Cincinnati, OH | Capitalization Rate
Financing Receivable, Credit Quality Indicator [Line Items]
Loan collateral, measurement input	0.085		0.085
Residential-for-Sale - Manhattan, NY | Discount Rate
Financing Receivable, Credit Quality Indicator [Line Items]
Loan collateral, measurement input	0.10		0.10
Mortgage, Amortized cost
Financing Receivable, Credit Quality Indicator [Line Items]
Amortized cost prior to Specific CECL Allowance	$ 165,802,000		$ 165,802,000
Specific CECL allowance	67,000,000		67,000,000
Amortized cost	98,802,000		98,802,000
Mortgage, Amortized cost | Retail Center - Cincinnati, OH
Financing Receivable, Credit Quality Indicator [Line Items]
Amortized cost prior to Specific CECL Allowance	165,802,000		165,802,000
Specific CECL allowance	67,000,000		67,000,000
Amortized cost	98,802,000		98,802,000
Mezzanine Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Amortized cost prior to Specific CECL Allowance	295,881,000		295,881,000
Specific CECL allowance	126,000,000		126,000,000
Amortized cost	169,881,000		169,881,000
Mezzanine Loans | Residential-for-Sale - Manhattan, NY
Financing Receivable, Credit Quality Indicator [Line Items]
Amortized cost prior to Specific CECL Allowance	295,881,000		295,881,000
Specific CECL allowance	126,000,000		126,000,000
Amortized cost	169,881,000		169,881,000
Real Estate and Mezzanine
Financing Receivable, Credit Quality Indicator [Line Items]
Amortized cost prior to Specific CECL Allowance	461,683,000		461,683,000
Specific CECL allowance	193,000,000		193,000,000
Amortized cost	$ 268,683,000		$ 268,683,000

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Real Estate Owned - Narrative (Details)					3 Months Ended									9 Months Ended		12 Months Ended
		Aug. 03, 2022 USD ($)	Jun. 29, 2021 USD ($)	May 24, 2021 USD ($)	Sep. 30, 2023 USD ($) property	Jun. 30, 2023 USD ($)	Mar. 31, 2023 USD ($)	Dec. 31, 2022 USD ($)	Sep. 30, 2022 USD ($)	Jun. 30, 2022 USD ($)	Mar. 31, 2022 USD ($)	Jun. 30, 2021 USD ($)	Mar. 31, 2020 USD ($)	Sep. 30, 2023 USD ($) property	Sep. 30, 2022 USD ($)	Dec. 31, 2022 USD ($)	Dec. 31, 2021 USD ($)	Dec. 31, 2020 USD ($)	Jun. 30, 2020 USD ($)	Dec. 31, 2017 USD ($)	Dec. 31, 2015 USD ($)
Real Estate [Line Items]
Number of real estate properties | property					2									2
Total carrying value, net					$ 7,974,031,000			$ 8,681,990,000						$ 7,974,031,000		$ 8,681,990,000
Debt related to real estate owned, held for investment, net					161,245,000			160,294,000						161,245,000		160,294,000
Increase in Specific CECL Allowance, net				$ 10,000,000						$ (10,000,000)		$ 20,000,000
Depreciation and amortization on real estate owned					1,020,000				$ 0					7,208,000	$ 704,000
Real estate held for sale, gain (loss) on reclassification														0
Total net revenue					500,000				1,100,000					4,300,000	5,300,000
Net realized loss on investment					0				$ 43,577,000					(86,604,000)	$ 43,577,000
Debt instrument, covenant, unencumbered liquidity, threshold					100,000,000									100,000,000
Debt instrument, covenant, net worth threshold					600,000,000									600,000,000
Write-offs, specific CECL allowance, funded														81,890,000		7,000,000
Financing receivable, loan specific, realized gain (loss) on writeoff							$ 7,000,000
Interest rate cap
Real Estate [Line Items]
Aggregate Notional Amount (in thousands)																			$ 1,100,000
Interest rate cap | Not Designated as Hedging Instrument
Real Estate [Line Items]
Aggregate Notional Amount (in thousands)					164,835,000			500,000,000						164,835,000		500,000,000
Derivative Financial Instruments, Assets | Interest rate cap | Not Designated as Hedging Instrument
Real Estate [Line Items]
Aggregate Notional Amount (in thousands)					2,200,000									$ 2,200,000
Hotel Through a Died-in-Lieu Foreclosure
Real Estate [Line Items]
Financing receivable, loan specific, realized gain (loss) on writeoff							4,800,000
Secured Overnight Financing Rate
Real Estate [Line Items]
Interest rate for repurchase facility														2.55%
Letter of Credit
Real Estate [Line Items]
Maximum amount of borrowings					388,400,000									$ 388,400,000
Line of credit facility, option to extend, period														1 year
Mortgages
Real Estate [Line Items]
Debt related to real estate owned, held for investment, net					161,200,000			160,300,000						$ 161,200,000		160,300,000
Less: deferred financing costs					3,600,000			4,500,000						3,600,000		4,500,000
JV Partner
Real Estate [Line Items]
Financing receivable, loan in process		$ 164,800,000
JV Partner | Joint venture
Real Estate [Line Items]
Equity method investment, ownership percentage		100.00%
Discontinued Operations, Held-for-Sale
Real Estate [Line Items]
Depreciation and amortization on real estate owned														4,000,000
Subordinate Mortgage Portfolio Segment
Real Estate [Line Items]
Total carrying value, net	[1],[2]				412,777,000			560,881,000						412,777,000		560,881,000
Commercial Mortgage and Subordinated Portfolio Segment
Real Estate [Line Items]
Total carrying value, net					102,600,000			138,300,000						102,600,000		138,300,000
Increase in Specific CECL Allowance, net														59,500,000
Realized loss on investments																	$ 20,000,000
Write-offs, specific CECL allowance, funded						$ 81,980,000
Mezzanine Loans | Subordinate Mortgage Portfolio Segment
Real Estate [Line Items]
Increase in Specific CECL Allowance, net													$ 10,000,000
Hotel - Washington D.C.
Real Estate [Line Items]
Increase in Specific CECL Allowance, net																	$ 10,000,000
Net assets acquired					153,200,000			155,900,000						153,200,000		155,900,000
Hotel - Washington D.C. | Subordinate Mortgage Portfolio Segment
Real Estate [Line Items]
Debt related to real estate owned, held for investment, net				110,000,000																$ 110,000,000
Payments for mortgage loans			$ 110,000,000
Hotel - Washington D.C. | Junior Mezzanine Loans
Real Estate [Line Items]
Total carrying value, net																				20,000,000
Hotel - Washington D.C. | Senior Mezzanine Loans
Real Estate [Line Items]
Total carrying value, net																				$ 24,500,000
Payments to acquire mortgage notes receivable				$ 24,500,000
Multifamily Development - Brooklyn, NY | Subordinate Mortgage Portfolio Segment
Real Estate [Line Items]
Debt related to real estate owned, held for investment, net																					$ 122,200,000
Increase in Specific CECL Allowance, net																		$ 30,000,000
Multifamily Development - Brooklyn, NY | Commercial Mortgage and Subordinated Portfolio Segment
Real Estate [Line Items]
Increase in Specific CECL Allowance, net										10,000,000
Deed-In-Lieu Of Foreclosure
Real Estate [Line Items]
Total carrying value, net		$ 226,500,000			349,300,000			302,700,000						349,300,000		$ 302,700,000
Real estate investment property, net		270,100,000
Net realized loss on investment		$ 43,600,000
Financing receivable, construction and finance costs capitalized					17,600,000									46,700,000
Residential-for-Sale - Manhattan, NY
Real Estate [Line Items]
Write-offs, specific CECL allowance, funded								$ 7,000,000		7,000,000
Residential-for-Sale - Manhattan, NY | Commercial Mortgage and Subordinated Portfolio Segment
Real Estate [Line Items]
Increase in Specific CECL Allowance, net											$ 30,000,000
Hotel - Atlanta, GA
Real Estate [Line Items]
Total net revenue					500,000									1,900,000
Real estate investment property, net					$ 75,300,000		$ 75,000,000							$ 75,300,000
Hotel - Atlanta, GA | Commercial Mortgage and Subordinated Portfolio Segment
Real Estate [Line Items]
Increase in Specific CECL Allowance, net										$ 7,000,000

[1] Includes $213,139 and $191,608 pledged as collateral under secured debt arrangements in 2023 and 2022, respectively.

[2] Net of $220,305 and $159,724 CECL Allowance in 2023 and 2022, respectively, comprised of $193,000 and $133,500 Specific CECL Allowance and $27,305 and $26,224 General CECL Allowance, respectively.

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Other Assets (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Debt Securities, Available-for-sale [Line Items]
Interest receivable	$ 68,643	$ 65,383
Loan proceeds held by servicer	133,041	3,371
Other	4,894	1,853
Total	206,578	$ 70,607
Real Estate Owned, Held for Investment
Debt Securities, Available-for-sale [Line Items]
Other Real Estate	$ 2,300

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Secured Debt Arrangements, Net - Additional Information (Details)		3 Months Ended	9 Months Ended
	Mar. 03, 2023 USD ($)	Sep. 30, 2023 USD ($) facility	Sep. 30, 2023 USD ($) facility	Oct. 26, 2023	Jun. 30, 2023	Dec. 31, 2022
Line of Credit Facility [Line Items]
Number of credit facilities | facility		3	3
Weighted average haircut under repurchase agreements		31.30%	31.30%			31.20%
Debt instrument, covenant, interest coverage ratio, minimum		150.00%	150.00%
Maximum interest coverage ratio		375.00%	375.00%
Subsequent Event
Line of Credit Facility [Line Items]
Debt instrument, covenant, interest coverage ratio, minimum				140.00%
Barclays Securitization | Line of Credit | VIE
Line of Credit Facility [Line Items]
Deferring or waiving debt service payments, term			18 months
2022 New Credit Facilities | Line of Credit
Line of Credit Facility [Line Items]
Maximum amount of borrowings		$ 600,000,000	$ 600,000,000
Two Existing Credit Facilities | Line of Credit
Line of Credit Facility [Line Items]
Line of credit facility, increase (decrease), net			$ 83,300,000
Revolving Credit Facility | 2023 Revolving Credit Facility | Line of Credit
Line of Credit Facility [Line Items]
Recourse, percentage		5.00%	5.00%
Minimum unrestricted cash		$ 30,000,000	$ 30,000,000
Debt instrument, covenant, interest coverage ratio, maximum amount two		400.00%	400.00%
Net cash proceeds of additional equity issuances, amount		$ 1,250,000,000	$ 1,250,000,000
Tangible net worth, percentage		75.00%	75.00%
Debt instrument, covenant, interest coverage ratio, minimum		140.00%	140.00%		150.00%
Revolving Credit Facility | 2023 Revolving Credit Facility | Bank of America, N.A. | Line of Credit
Line of Credit Facility [Line Items]
Maximum amount of borrowings	$ 170,000,000
Maturity term	3 years
Line of Credit Facility, Qualifying Commercial Loan Borrowings, Term	2 years
Line of Credit Facility, Real Property Owned Asset Borrowings, Term	6 months
Line of credit facility, commitment fee amount		$ 86,900	$ 200,200

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Secured Debt Arrangements, Net - Weighted Average Maturities and Interest Rates of Borrowings (Details) kr in Thousands, € in Millions, £ in Millions	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($)	Dec. 31, 2022 USD ($)	Sep. 30, 2023 SEK (kr)	Sep. 30, 2023 GBP (£)	Sep. 30, 2023 EUR (€)	Jan. 31, 2023 USD ($)	Dec. 31, 2022 SEK (kr)	Dec. 31, 2022 GBP (£)	Dec. 31, 2022 EUR (€)	Aug. 31, 2022 USD ($)	Jul. 31, 2022 USD ($)	Nov. 30, 2019 USD ($)
Debt Instrument [Line Items]
Debt instrument, amortization period	2 years
Percentage of secured debt that is recourse debt	58.00%	58.00%	58.00%	58.00%	58.00%		58.00%	58.00%	58.00%
Line of Credit
Debt Instrument [Line Items]
Maximum amount of borrowings	$ 6,698,640,000	$ 6,175,121,000
Borrowings outstanding	5,135,855,000	5,296,825,000
Less: deferred financing costs	$ (11,572,000)	$ (12,477,000)
Line of Credit | Weighted Average
Debt Instrument [Line Items]
Weighted average advance rate	68.70%	68.80%
Line of Credit | Secured Overnight Financing Rate (SOFR) | Weighted Average
Debt Instrument [Line Items]
Weighted average rate	2.45%	2.28%
Line of Credit | GBP London Interbank Offered Rate (LIBOR) | Weighted Average
Debt Instrument [Line Items]
Weighted average rate	1.99%	2.02%
Line of Credit | EUR London Interbank Offered Rate (LIBOR) | Weighted Average
Debt Instrument [Line Items]
Weighted average rate	1.65%	1.54%
Line of Credit | SEK London Interbank Offered Rate (LIBOR) | Weighted Average
Debt Instrument [Line Items]
Weighted average rate	1.50%	1.50%
Line of Credit | JP Morgan Chase, DB Repurchase Facility, Goldman Sachs, Credit Suisse and HSBC Facilities
Debt Instrument [Line Items]
Maximum amount of borrowings	$ 4,710,441,000	$ 4,325,045,000
Borrowings outstanding	3,329,228,000	3,459,226,000
Line of Credit | JP Morgan Facility | Amended and Restated JPMorgan Facility
Debt Instrument [Line Items]
Maximum amount of borrowings						$ 1,500,000,000				$ 1,600,000,000	$ 1,500,000,000	$ 1,500,000,000
Line of Credit | Barclays Securitization
Debt Instrument [Line Items]
Borrowings outstanding			kr 2,100,000	£ 913.8	€ 486.5		kr 2,100,000	£ 931.4	€ 491.6
Line of Credit | JP Morgan Chase, DB Repurchase Facility, Goldman Sachs, Credit Suisse, Barclays Facility, HSBC Facilities And Barclays Securitization
Debt Instrument [Line Items]
Maximum amount of borrowings	6,698,640,000	6,175,121,000
Borrowings outstanding	5,147,427,000	5,309,302,000
USD | Line of Credit
Debt Instrument [Line Items]
Maximum amount of borrowings	170,000,000	0
Borrowings outstanding	$ 0	$ 0
USD | Line of Credit | Weighted Average
Debt Instrument [Line Items]
Weighted average advance rate	65.00%	63.90%
USD | Line of Credit | JP Morgan Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	$ 1,483,312,000	$ 1,532,722,000
Borrowings outstanding	1,155,531,000	1,306,320,000
USD | Line of Credit | Deutsche Bank Repurchase Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	700,000,000	700,000,000
Borrowings outstanding	275,815,000	385,818,000
USD | Line of Credit | Credit Suisse Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	689,770,000	635,653,000
Borrowings outstanding	663,817,000	632,747,000
USD | Line of Credit | Goldman Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	300,000,000	300,000,000
Borrowings outstanding	17,868,000	70,249,000
USD | Line of Credit | Barclays Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	200,000,000	200,000,000
Borrowings outstanding	109,843,000	111,909,000
USD | Line of Credit | Santander Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	300,000,000	0
Borrowings outstanding	75,000,000	0
USD | Line of Credit | Churchill
Debt Instrument [Line Items]
Maximum amount of borrowings	130,000,000	0
Borrowings outstanding	$ 127,822,000	$ 0
Fx contracts - GBP | Line of Credit
Debt Instrument [Line Items]
Currency conversion rate	1.22	1.21	1.22	1.22	1.22		1.21	1.21	1.21
Fx contracts - GBP | Line of Credit | Weighted Average
Debt Instrument [Line Items]
Weighted average advance rate	72.10%	74.00%
Fx contracts - GBP | Line of Credit | JP Morgan Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	$ 16,688,000	$ 67,278,000
Borrowings outstanding	16,688,000	67,278,000
Fx contracts - GBP | Line of Credit | HSBC Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	367,922,000	364,423,000
Borrowings outstanding	367,922,000	364,423,000
Fx contracts - GBP | Line of Credit | MUFG Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	196,137,000	194,272,000
Borrowings outstanding	$ 196,137,000	$ 194,272,000
Fx contracts - EUR | Line of Credit
Debt Instrument [Line Items]
Currency conversion rate	1.06	1.07	1.06	1.06	1.06		1.07	1.07	1.07
Fx contracts - EUR | Line of Credit | Weighted Average
Debt Instrument [Line Items]
Weighted average advance rate	71.60%	72.10%
Fx contracts - EUR | Line of Credit | HSBC Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	$ 269,518,000	$ 272,890,000
Borrowings outstanding	269,518,000	272,890,000
Fx contracts - EUR | Line of Credit | Santander Facility
Debt Instrument [Line Items]
Maximum amount of borrowings	57,094,000	57,807,000
Borrowings outstanding	$ 53,267,000	$ 53,320,000
SEK | Line of Credit
Debt Instrument [Line Items]
Currency conversion rate	0.09	0.10	0.09	0.09	0.09		0.10	0.10	0.10
SEK | Line of Credit | Weighted Average
Debt Instrument [Line Items]
Weighted average advance rate	80.40%	80.50%
VIE | Line of Credit | Barclays Securitization
Debt Instrument [Line Items]
Maximum amount of borrowings	$ 1,818,199,000	$ 1,850,076,000
Borrowings outstanding	1,818,199,000	1,850,076,000
VIE | Line of Credit | Barclays Securitization | Weighted Average
Debt Instrument [Line Items]
Borrowings outstanding	1,818,199,000	1,850,076,000
VIE | Fx contracts - GBP | Line of Credit | Barclays Securitization | Weighted Average
Debt Instrument [Line Items]
Borrowings outstanding	1,114,701,000	1,125,420,000
VIE | Fx contracts - EUR | Line of Credit | Barclays Securitization | Weighted Average
Debt Instrument [Line Items]
Borrowings outstanding	$ 514,393,000	$ 526,204,000
VIE | SEK | Line of Credit | Barclays Securitization | Weighted Average
Debt Instrument [Line Items]
Borrowings outstanding | kr			kr 189,105				kr 198,452

XML

Secured Debt Arrangements, Net - Commercial Mortgage Loans Pledged to the Barclays Private Securitization (Details) $ in Thousands	Sep. 30, 2023 USD ($) contract	Dec. 31, 2022 USD ($) contract
Line of Credit Facility [Line Items]
Total carrying value, net	$ 7,974,031	$ 8,681,990
Line of Credit
Line of Credit Facility [Line Items]
Balance	5,147,427	5,309,302
Line of Credit | Barclays Securitization
Line of Credit Facility [Line Items]
Balance	1,818,199	1,850,076
VIE
Line of Credit Facility [Line Items]
Total carrying value, net	$ 2,477,123	$ 2,468,195
VIE | Line of Credit | Barclays Securitization
Line of Credit Facility [Line Items]
Count | contract	13	13
Balance	$ 2,501,133,000	$ 2,496,211,000
Total carrying value, net	$ 2,477,123,000	$ 2,468,195,000
VIE | Fx contracts - GBP | Line of Credit | Barclays Securitization
Line of Credit Facility [Line Items]
Count | contract	7	7
Balance	$ 1,537,840,000	$ 1,495,616,000
Total carrying value, net	$ 1,519,137,000	$ 1,475,241,000
VIE | Fx contracts - EUR | Line of Credit | Barclays Securitization
Line of Credit Facility [Line Items]
Count | contract	5	5
Balance	$ 726,912,000	$ 752,531,000
Total carrying value, net	$ 723,610,000	$ 747,240,000
VIE | SEK | Line of Credit | Barclays Securitization
Line of Credit Facility [Line Items]
Count | contract	1	1
Balance	$ 236,381,000	$ 248,064,000
Total carrying value, net	$ 234,376,000	$ 245,714,000

XML

Secured Debt Arrangements, Net - Assets Under Barclays Private Securitization (Details) kr in Thousands, $ in Thousands, € in Millions, £ in Millions	9 Months Ended
	Sep. 30, 2023 USD ($)	Sep. 30, 2023 SEK (kr)	Sep. 30, 2023 GBP (£)	Sep. 30, 2023 EUR (€)	Dec. 31, 2022 USD ($)	Dec. 31, 2022 SEK (kr)	Dec. 31, 2022 GBP (£)	Dec. 31, 2022 EUR (€)
Debt Instrument [Line Items]
Debt instrument, facility feature, period	1 year
Line of Credit
Debt Instrument [Line Items]
Borrowings outstanding	$ 5,135,855				$ 5,296,825
Barclays Securitization | Line of Credit
Debt Instrument [Line Items]
Borrowings outstanding		kr 2,100,000	£ 913.8	€ 486.5		kr 2,100,000	£ 931.4	€ 491.6
VIE | Barclays Securitization | Line of Credit
Debt Instrument [Line Items]
Borrowings outstanding	1,818,199				1,850,076
Weighted Average | VIE | Barclays Securitization | Line of Credit
Debt Instrument [Line Items]
Borrowings outstanding	1,818,199				1,850,076
Weighted Average | VIE | Fx contracts - GBP | Barclays Securitization | Line of Credit
Debt Instrument [Line Items]
Borrowings outstanding	1,114,701				1,125,420
Weighted Average | VIE | Fx contracts - EUR | Barclays Securitization | Line of Credit
Debt Instrument [Line Items]
Borrowings outstanding	$ 514,393				$ 526,204
Weighted Average | VIE | SEK | Barclays Securitization | Line of Credit
Debt Instrument [Line Items]
Borrowings outstanding | kr		kr 189,105				kr 198,452

XML

Secured Debt Arrangements, Net - Schedule of Assets and Liabilities (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2021
Assets:
Cash and cash equivalents		$ 307,845			$ 222,030
Carrying value, net		7,974,031			8,681,990
Other assets		206,578			70,607
Total Assets		9,156,978			9,568,352
Liabilities:
Total Liabilities		6,945,196			7,213,848
Allowance reserve		27,305			26,224
Off-balance sheet, credit loss, liability		3,972	$ 4,834	$ 4,695	4,347	$ 2,812	$ 3,999	$ 3,928	$ 3,106
Commercial Mortgage Portfolio Segment
Assets:
Carrying value, net	[1],[2]	7,561,254			8,121,109
Liabilities:
Allowance reserve		26,340			22,848
VIE
Assets:
Cash and cash equivalents		1,740			758
Carrying value, net		2,477,123			2,468,195
Other assets		39,055			30,992
Total Assets		2,517,918			2,499,945
Liabilities:
Secured debt arrangements, net (net of deferred financing costs of $2.0 million and $2.3 million in 2023 and 2022, respectively)		1,816,213			1,847,799
Accounts payable, accrued expenses and other liabilities		7,623			8,814
Total Liabilities		1,823,836			1,856,613
Deferred financing costs		2,000			2,300
VIE | Commercial Mortgage Portfolio Segment
Liabilities:
Allowance reserve		7,200			8,200
Off-balance sheet, credit loss, liability		$ 2,700			$ 2,900

[1] Includes $7,203,350 and $7,482,658 pledged as collateral under secured debt arrangements in 2023 and 2022, respectively.

[2] Net of $220,305 and $159,724 CECL Allowance in 2023 and 2022, respectively, comprised of $193,000 and $133,500 Specific CECL Allowance and $27,305 and $26,224 General CECL Allowance, respectively.

XML

Secured Debt Arrangements, Net - Schedule of Net Income (Details) - USD ($) $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022
Securitization or Asset-backed Financing Arrangement, Financial Asset for which Transfer is Accounted as Sale [Line Items]
Interest income from commercial mortgage loans	$ 180,441			$ 120,821			$ 520,712	$ 304,631
Interest expense	(121,817)			(72,302)			(342,963)	(173,949)
Net interest income	60,223			61,873			194,165	174,401
General and administrative expenses	(7,664)			(7,184)			(22,150)	(21,501)
Decrease (increase) in current expected credit loss allowance, net	5,833			55,564			(60,205)	37,897
Foreign currency translation gain (loss)	(44,165)			(92,782)			(3,974)	(210,138)
Net income	46,071	$ (83,400)	$ 48,916	183,030	$ 70,951	$ 15,238	11,587	269,219
VIE
Securitization or Asset-backed Financing Arrangement, Financial Asset for which Transfer is Accounted as Sale [Line Items]
Interest income from commercial mortgage loans	56,537			30,518			156,295	86,695
Interest expense	(30,379)			(12,668)			(80,753)	(32,830)
Net interest income	26,158			17,850			75,542	53,865
General and administrative expenses	(2)			0			(9)	0
Decrease (increase) in current expected credit loss allowance, net	1,744			889			1,169	4,698
Foreign currency translation gain (loss)	(24,266)			(50,237)			(3,555)	(111,745)
Net income	$ 3,634			$ (31,498)			$ 73,147	$ (53,182)

XML

Secured Debt Arrangements, Net - Remaining Maturities of Borrowings (Details) - Line of Credit $ in Thousands	Sep. 30, 2023 USD ($)
Line of Credit Facility [Line Items]
Less than 1 year	$ 758,484
1 to 3 years	2,686,161
3 to 5 years	1,702,782
More than 5 years	0
Total	5,147,427
JPMorgan
Line of Credit Facility [Line Items]
Less than 1 year	356,095
1 to 3 years	586,476
3 to 5 years	229,648
More than 5 years	0
Total	1,172,219
DB
Line of Credit Facility [Line Items]
Less than 1 year	95,686
1 to 3 years	180,129
3 to 5 years	0
More than 5 years	0
Total	275,815
Goldman
Line of Credit Facility [Line Items]
Less than 1 year	0
1 to 3 years	17,868
3 to 5 years	0
More than 5 years	0
Total	17,868
CS Facility | USD
Line of Credit Facility [Line Items]
Less than 1 year	0
1 to 3 years	83,300
3 to 5 years	580,517
More than 5 years	0
Total	663,817
HSBC Facility | Fx contracts - EUR
Line of Credit Facility [Line Items]
Less than 1 year	0
1 to 3 years	637,440
3 to 5 years	0
More than 5 years	0
Total	637,440
Barclays Facility | USD
Line of Credit Facility [Line Items]
Less than 1 year	0
1 to 3 years	0
3 to 5 years	109,843
More than 5 years	0
Total	109,843
MUFG Facility | USD
Line of Credit Facility [Line Items]
Less than 1 year	0
1 to 3 years	196,137
3 to 5 years	0
More than 5 years	0
Total	196,137
Churchill | USD
Line of Credit Facility [Line Items]
Less than 1 year	0
1 to 3 years	127,822
3 to 5 years	0
More than 5 years	0
Total	127,822
Santander Facility | USD
Line of Credit Facility [Line Items]
Less than 1 year	0
1 to 3 years	75,000
3 to 5 years	0
More than 5 years	0
Total	75,000
Santander Facility | Fx contracts - EUR
Line of Credit Facility [Line Items]
Less than 1 year	53,267
1 to 3 years	0
3 to 5 years	0
More than 5 years	0
Total	53,267
Barclays Securitization
Line of Credit Facility [Line Items]
Less than 1 year	253,436
1 to 3 years	781,989
3 to 5 years	782,774
More than 5 years	0
Total	$ 1,818,199

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Secured Debt Arrangements, Net - Summary of Outstanding Balances, Maximum and Average Balances of Borrowings (Details) - Line of Credit - USD ($) $ in Thousands	3 Months Ended	9 Months Ended
	Mar. 31, 2023	Sep. 30, 2023	Dec. 31, 2022
Line of Credit Facility [Line Items]
Balance		$ 5,147,427	$ 5,309,302
Amortized Cost of Collateral		7,416,489	7,674,266
JPMorgan
Line of Credit Facility [Line Items]
Balance		1,172,219	1,373,598
Amortized Cost of Collateral		1,981,220	2,376,154
Maximum Month-End Balance	$ 1,584,171	1,324,226
Average Month-End Balance	1,411,644	1,226,645
DB
Line of Credit Facility [Line Items]
Balance		275,815	385,818
Amortized Cost of Collateral		417,733	565,387
Maximum Month-End Balance	432,455	385,818
Average Month-End Balance	400,337	338,297
Goldman
Line of Credit Facility [Line Items]
Balance		17,868	70,249
Amortized Cost of Collateral		35,852	116,619
Maximum Month-End Balance	164,607	70,249
Average Month-End Balance	140,599	35,181
CS Facility | USD
Line of Credit Facility [Line Items]
Balance		663,817	632,747
Amortized Cost of Collateral		932,656	855,119
Maximum Month-End Balance	633,143	688,126
Average Month-End Balance	541,245	668,655
HSBC Facility | Fx contracts - EUR
Line of Credit Facility [Line Items]
Balance		637,440	637,313
Amortized Cost of Collateral		822,049	813,716
Maximum Month-End Balance	660,004	667,430
Average Month-End Balance	501,674	651,260
Barclays Facility | USD
Line of Credit Facility [Line Items]
Balance		109,843	111,909
Amortized Cost of Collateral		136,354	138,510
Maximum Month-End Balance	172,693	111,909
Average Month-End Balance	102,664	111,450
MUFG Facility | USD
Line of Credit Facility [Line Items]
Balance		196,137	194,272
Amortized Cost of Collateral		266,007	261,319
Maximum Month-End Balance	194,272	206,362
Average Month-End Balance	156,499	200,256
Churchill | USD
Line of Credit Facility [Line Items]
Balance		127,822
Amortized Cost of Collateral		169,707
Maximum Month-End Balance		130,000
Average Month-End Balance		128,780
Santander Facility | USD
Line of Credit Facility [Line Items]
Balance		75,000	53,320
Amortized Cost of Collateral		99,560	71,093
Maximum Month-End Balance	53,320	75,000
Average Month-End Balance	50,450	66,667
Santander Facility | Fx contracts - EUR
Line of Credit Facility [Line Items]
Balance		53,267
Amortized Cost of Collateral		71,023
Maximum Month-End Balance		55,403
Average Month-End Balance		54,244
Barclays Securitization
Line of Credit Facility [Line Items]
Balance		1,818,199	1,850,076
Amortized Cost of Collateral		2,484,328	$ 2,476,349
Maximum Month-End Balance	1,963,837	1,937,131
Average Month-End Balance	$ 1,828,794	$ 1,877,409

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Senior Secured Term Loan, Net - Narrative (Details) - USD ($)	1 Months Ended	3 Months Ended				9 Months Ended		12 Months Ended
	May 31, 2019	Sep. 30, 2023	Jun. 30, 2023	Sep. 30, 2022	Jun. 30, 2020	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022	Mar. 31, 2021
Debt Instrument [Line Items]
Repayments of senior secured term loan principal						$ 6,000,000	$ 6,000,000
Interest rate cap
Debt Instrument [Line Items]
Debt interest rate cap					3 years
Realized (gain) loss on derivative instruments - interest rate swap realized						$ 9,100,000
London Interbank Offered Rate (LIBOR) | Interest rate cap
Debt Instrument [Line Items]
Fixed interest rate		0.75%			0.75%	0.75%
2026 Term Loan
Debt Instrument [Line Items]
Weighted average rate						2.86%		2.75%
Repayments of secured debt, amortizing percent						0.25%
Repayments of senior secured term loan principal		$ 1,300,000		$ 3,800,000		$ 1,300,000	3,800,000
2028 Term Loan
Debt Instrument [Line Items]
Weighted average rate						3.61%		3.50%
Repayments of secured debt, amortizing percent						0.25%
Repayments of senior secured term loan principal		$ 750,000		$ 2,250,000		$ 750,000	$ 2,250,000
Secured Debt
Debt Instrument [Line Items]
Debt instrument, face amount	$ 500,000,000								$ 300,000,000
Debt instrument, covenant, non-recourse debt to tangible net worth ratio, maximum		400.00%				400.00%
Debt instrument, covenant, unencumbered assets to pari-passu indebtedness ratio, maximum		250.00%				250.00%
Effective Rate					3.50%
Secured Debt | Secured Overnight Financing Rate (SOFR)
Debt Instrument [Line Items]
Weighted average rate	2.86%
Secured Debt | Secured Overnight Financing Rate (SOFR) | Minimum
Debt Instrument [Line Items]
Weighted average rate			0.50%
Secured Debt | Secured Overnight Financing Rate (SOFR) | Maximum
Debt Instrument [Line Items]
Weighted average rate			3.61%
Secured Debt | 2026 Term Loan
Debt Instrument [Line Items]
Debt instrument, issuance price as a percentage	99.50%
Secured Debt | 2028 Term Loan
Debt Instrument [Line Items]
Debt instrument, issuance price as a percentage									99.00%

XML

Senior Secured Term Loan, Net - Term Loans (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023	Dec. 31, 2022
Total Term Loans
Debt Instrument [Line Items]
Principal Amount	$ 771,250	$ 777,250
Unamortized issuance discount	(2,816)	(3,404)
Less: deferred financing costs	(8,053)	(10,033)
Carrying Value	760,381	763,813
2026 Term Loan
Debt Instrument [Line Items]
Principal Amount	478,750	482,500
Unamortized issuance discount	(923)	(1,190)
Less: deferred financing costs	(4,685)	(6,106)
Carrying Value	$ 473,142	$ 475,204
Weighted average rate	2.86%	2.75%
2028 Term Loan
Debt Instrument [Line Items]
Principal Amount	$ 292,500	$ 294,750
Unamortized issuance discount	(1,893)	(2,214)
Less: deferred financing costs	(3,368)	(3,927)
Carrying Value	$ 287,239	$ 288,609
Weighted average rate	3.61%	3.50%

XML

Senior Secured Notes, Net (Details)	1 Months Ended
	Jun. 30, 2021 USD ($)	Sep. 30, 2023 USD ($)	Dec. 31, 2022 USD ($)
Derivative [Line Items]
Debt instrument, pariu-passu, ratio		1.20
Senior Notes
Derivative [Line Items]
Senior notes		$ 495,437,000	$ 494,844,000
2029 Notes | Senior Notes
Derivative [Line Items]
Debt instrument, face amount	$ 500,000,000
Coupon Rate	4.625%
Proceeds from convertible debt	$ 495,000,000
Senior notes		495,400,000	494,800,000
Less: deferred financing costs		$ 4,600,000	$ 5,200,000

XML

Convertible Senior Notes, Net - Narrative (Details)		3 Months Ended					9 Months Ended		12 Months Ended
		Sep. 30, 2023 USD ($) $ / shares	Jun. 30, 2023 USD ($)	Mar. 31, 2023 USD ($)	Sep. 30, 2022 USD ($)	Jun. 30, 2019 USD ($)	Sep. 30, 2023 USD ($) $ / shares	Sep. 30, 2022 USD ($)	Dec. 31, 2017 USD ($) offering	Oct. 26, 2023 USD ($)	Dec. 31, 2022 USD ($)	Jun. 30, 2022 USD ($)	Mar. 31, 2022 USD ($)	Dec. 31, 2021 USD ($)	Dec. 31, 2018 USD ($)
Debt Instrument [Line Items]
Stockholders' equity attributable to parent		$ 2,211,782,000	$ 2,214,991,000	$ 2,347,561,000	$ 2,407,685,000		$ 2,211,782,000	$ 2,407,685,000			$ 2,354,504,000	$ 2,273,312,000	$ 2,251,018,000	$ 2,294,626,000
Realized gain on extinguishment of debt		30,000			0		495,000	0
Adjustment due to Adoption of ASU
Debt Instrument [Line Items]
Stockholders' equity attributable to parent	[1]													(3,416,000)
Common Stock
Debt Instrument [Line Items]
Stockholders' equity attributable to parent		$ 1,414,000	1,413,000	1,413,000	1,406,000		$ 1,414,000	1,406,000			1,406,000	1,406,000	1,405,000	1,399,000
Share price (in dollars per share) | $ / shares		$ 10.13					$ 10.13
Additional Paid-In-Capital
Debt Instrument [Line Items]
Stockholders' equity attributable to parent		$ 2,723,170,000	2,718,920,000	2,714,555,000	2,712,390,000		$ 2,723,170,000	2,712,390,000			2,716,907,000	2,707,872,000	2,703,354,000	2,721,042,000
Additional Paid-In-Capital | Adjustment due to Adoption of ASU
Debt Instrument [Line Items]
Stockholders' equity attributable to parent	[1]													(15,408,000)
Accumulated Deficit
Debt Instrument [Line Items]
Stockholders' equity attributable to parent		(512,870,000)	(505,410,000)	(368,475,000)	(306,179,000)		(512,870,000)	(306,179,000)			(363,877,000)	$ (436,034,000)	$ (453,809,000)	(427,883,000)
Accumulated Deficit | Adjustment due to Adoption of ASU
Debt Instrument [Line Items]
Stockholders' equity attributable to parent	[1]													11,992,000
2023 Notes
Debt Instrument [Line Items]
Debt instrument, repurchase amount		$ 10,000,000	$ 36,800,000	$ 7,100,000			10,000,000
Debt instrument, redemption price, percentage		99.70%	99.30%	97.00%
Realized gain on extinguishment of debt		$ 30,000					500,000
Convertible Debt
Debt Instrument [Line Items]
Debt instrument, face amount		176,064,000					176,064,000				230,000,000
Interest expense		2,400,000			5,500,000		8,200,000	19,800,000
Non-cash interest expense		300,000			600,000		1,100,000	2,100,000
Convertible Debt | 2022 Notes
Debt Instrument [Line Items]
Number of debt offerings issued | offering									2
Debt instrument, face amount					$ 345,000,000			$ 345,000,000	$ 345,000,000
Stated interest rate									4.75%
Proceeds from convertible debt									$ 337,500,000
Convertible Debt | 2022 Notes | Additional Paid-In-Capital
Debt Instrument [Line Items]
Convertible debt, carrying amount of equity component														11,000,000
Convertible Debt | 2023 Notes
Debt Instrument [Line Items]
Debt instrument, face amount		$ 176,064,000					$ 176,064,000				$ 230,000,000				$ 230,000,000
Stated interest rate		5.38%					5.38%				5.38%				5.375%
Proceeds from convertible debt						$ 223,700,000
Convertible senior notes, net		$ 176,000,000					$ 176,000,000
Unamortized discount		$ 100,000					$ 100,000
Convertible Debt | 2023 Notes | Subsequent Event
Debt Instrument [Line Items]
Debt instrument, face amount										$ 176,100,000
Convertible Debt | 2023 Notes | Additional Paid-In-Capital
Debt Instrument [Line Items]
Convertible debt, carrying amount of equity component														4,400,000
Convertible Debt | 2022 and 2023 Notes | Additional Paid-In-Capital
Debt Instrument [Line Items]
Convertible debt, carrying amount of equity component														$ 15,400,000

[1] Refer to "Note 10 - Convertible Senior Notes, Net" for detail

XML

Convertible Senior Notes, Net - Summary of Note Terms (Details) - Convertible Debt	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($)	Dec. 31, 2022 USD ($)	Dec. 31, 2018 USD ($)
Debt Instrument [Line Items]
Principal Amount	$ 176,064,000	$ 230,000,000
2023 Notes
Debt Instrument [Line Items]
Principal Amount	$ 176,064,000	$ 230,000,000	$ 230,000,000
Coupon Rate	5.38%	5.38%	5.375%
Effective Rate	5.74%	5.85%
Conversion Rate	0.0487187	0.0487187
Remaining Period of Amortization	14 days	9 months 14 days

XML

Derivatives - Summary of Non-Designated Foreign Exchange Forwards (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2023 USD ($) contract	Dec. 31, 2022 USD ($) contract	Jun. 30, 2020 USD ($)
Interest rate cap
Derivative [Line Items]
Aggregate Notional Amount (in thousands)			$ 1,100
Not Designated as Hedging Instrument | Interest rate cap
Derivative [Line Items]
Number of Contracts | contract	1	1
Aggregate Notional Amount (in thousands)	$ 164,835	$ 500,000
Weighted-Average Years to Maturity	1 year	5 months 15 days
Fx contracts - GBP | Not Designated as Hedging Instrument | Foreign currency forward, net
Derivative [Line Items]
Number of Contracts | contract	110	124
Aggregate Notional Amount (in thousands)	$ 934,662	$ 936,930
Weighted-Average Years to Maturity	1 year 3 months 14 days	1 year 9 months 10 days
Fx contracts - EUR | Not Designated as Hedging Instrument | Foreign currency forward, net
Derivative [Line Items]
Number of Contracts | contract	99	130
Aggregate Notional Amount (in thousands)	$ 424,355	$ 576,240
Weighted-Average Years to Maturity	1 year 2 months 1 day	1 year 9 months 10 days
SEK | Not Designated as Hedging Instrument | Foreign currency forward, net
Derivative [Line Items]
Number of Contracts | contract	17	19
Aggregate Notional Amount (in thousands)	$ 689,627	$ 730,432
Weighted-Average Years to Maturity	2 years 4 months 9 days	2 years 11 months 12 days

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Derivatives - Summary of Amounts Recognized on Consolidated Statements of Operations Related to Company's Derivatives (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, gain (loss), statement of income or comprehensive income	Gain (loss) on sale of derivatives	Gain (loss) on sale of derivatives	Gain (loss) on sale of derivatives	Gain (loss) on sale of derivatives
Foreign Exchange Forward
Derivative Instruments, Gain (Loss) [Line Items]
Unrealized loss on foreign currency contracts	$ 28,244	$ 108,428	$ (27,709)	$ 221,623
Realized (gain) loss on derivative instruments - interest rate swap realized	11,246	20,824	35,948	35,604
Gain (loss) on sale of derivatives	39,490	129,252	8,239	257,227
Interest rate cap and swaps
Derivative Instruments, Gain (Loss) [Line Items]
Unrealized loss on foreign currency contracts	(70)	1,044	(9,211)	10,808
Realized (gain) loss on derivative instruments - interest rate swap realized	0	0	9,089	0
Gain (loss) on sale of derivatives	$ (70)	1,044	$ (122)	10,808
Interest rate cap and swaps | Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss) [Line Items]
Aggregate Notional Amount (in thousands)		$ 164,800		$ 164,800

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Derivatives - Additional Information (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2023	Dec. 31, 2022	Jun. 30, 2020
Derivative [Line Items]
Derivative, cap interest rate	6.55%
Secured Debt
Derivative [Line Items]
Effective interest rate			3.50%
Interest rate cap
Derivative [Line Items]
Derivative notional amount			$ 1,100
Realized (gain) loss on derivative instruments - interest rate swap realized	$ 9,100
Interest rate cap | Not Designated as Hedging Instrument
Derivative [Line Items]
Derivative notional amount	$ 164,835	$ 500,000
London Interbank Offered Rate (LIBOR) | Interest rate cap
Derivative [Line Items]
Cap interest rate			0.75%
Fixed interest rate	0.75%		0.75%
Secured Overnight Financing Rate (SOFR)
Derivative [Line Items]
Derivative, cap interest rate	4.00%

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Derivatives - Summarizes Gross Asset and Liability Amounts Related to Derivatives (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Derivative [Line Items]
Gross Amount of Recognized Assets	$ 114,945	$ 152,426
Gross Amounts Offset in our Condensed Consolidated Balance Sheet	(20,908)	(23,786)
Net Amounts of Assets Presented in our Condensed Consolidated Balance Sheet	94,037	128,640
Foreign currency forward, net
Derivative [Line Items]
Gross Amount of Recognized Assets	112,698	143,285
Gross Amounts Offset in our Condensed Consolidated Balance Sheet	(20,908)	(23,786)
Net Amounts of Assets Presented in our Condensed Consolidated Balance Sheet	91,790	119,499
Interest rate cap
Derivative [Line Items]
Gross Amount of Recognized Assets	2,247	9,141
Gross Amounts Offset in our Condensed Consolidated Balance Sheet	0	0
Net Amounts of Assets Presented in our Condensed Consolidated Balance Sheet	$ 2,247	$ 9,141

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Participations Sold (Details) - Dec. 31, 2020 - Mezzanine Loans - Office Building - London £ in Millions, $ in Millions	USD ($)	GBP (£)
Participating Mortgage Loans [Line Items]
Debt instrument, face amount	$ 8.9	£ 6.7
Remaining unfunded commitment	$ 25.3	£ 19.1

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Participations Sold - Schedule of participations sold (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Participating Mortgage Loans [Line Items]
Participations sold	$ 0	$ 25,130
Commercial Mortgage Portfolio Segment
Participating Mortgage Loans [Line Items]
Participations sold	$ 0	$ 25,130

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Accounts Payable, Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands		Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2021
Payables and Accruals [Abstract]
Collateral held under derivative agreements		$ 99,260			$ 138,620
Accrued dividends payable		53,022			53,203
Accrued interest payable		38,624			23,943
Accounts payable and other liabilities		8,023			7,247
General CECL allowance on unfunded commitments		3,972	$ 4,834	$ 4,695	4,347	$ 2,812	$ 3,999	$ 3,928	$ 3,106
Total	[1]	202,901			227,360
Accounts payable, accrued expenses and other liabilities		$ 7,000			$ 1,100

[1] Includes $3,972 and $4,347 of General CECL Allowance related to unfunded commitments on commercial mortgage loans, subordinate loans and other lending assets, net in 2023 and 2022, respectively.

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Income Taxes (Details) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022
Income Tax Examination [Line Items]
Income tax provision	$ 517,000	$ 0	$ 517,000	$ 0
Deferred tax assets, net of valuation allowance					$ 0
Deferred tax liabilities, net					$ 0
General Business Tax Credit Carryforward
Income Tax Examination [Line Items]
Operating loss carryforwards	8,000,000		8,000,000
Capital Loss Carryforward
Income Tax Examination [Line Items]
Operating loss carryforwards	25,200,000		25,200,000
TRS Entities
Income Tax Examination [Line Items]
Deferred tax assets, net of valuation allowance	$ 600,000		$ 600,000

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Related Party Transactions (Details) $ in Thousands, € in Millions, £ in Millions	3 Months Ended				9 Months Ended
	Sep. 30, 2023 USD ($) loan Rate	Mar. 31, 2023 USD ($) loan	Sep. 30, 2022 USD ($)	Sep. 30, 2022 GBP (£)	Sep. 30, 2023 USD ($) loan Rate	Sep. 30, 2022 USD ($)	Mar. 31, 2023 EUR (€)	Mar. 31, 2023 GBP (£)	Feb. 08, 2023 USD ($)	Dec. 31, 2022 USD ($)	Jun. 30, 2021 USD ($)	Mar. 31, 2021 USD ($)
Related Party Transaction [Line Items]
Termination fee, percent fee of base management fee	300.00%				300.00%
Number of loans | loan	3				3
Total carrying value, net	$ 7,974,031				$ 7,974,031					$ 8,681,990
Increase in management fee payable					$ 11
Number of independent directors required | Rate	66.60%				66.60%
Atlas Facility
Related Party Transaction [Line Items]
Number of loans | loan	1				1
Secured Debt | Credit Suisse Facility | Line of Credit
Related Party Transaction [Line Items]
Line of credit facility, current borrowing capacity									$ 632,300
Secured Debt | Atlas Facility | Line of Credit
Related Party Transaction [Line Items]
Line of credit facility, current borrowing capacity	$ 83,000				$ 83,000
Commercial Mortgage and Subordinated Portfolio Segment
Related Party Transaction [Line Items]
Number of commercial mortgage loans | loan		3
Total carrying value, net	$ 102,600				$ 102,600					138,300
Mixed Use Property - London | Commercial Mortgage and Subordinated Portfolio Segment
Related Party Transaction [Line Items]
Off-balance-sheet, credit loss, liability, transfers			$ 327,700	£ 293.4
Total carrying value, net | £								£ 15.0
Various Properties In Europe | Commercial Mortgage and Subordinated Portfolio Segment
Related Party Transaction [Line Items]
Total carrying value, net		$ 219,000					€ 205.7
Mortgage loans on real estate, commercial and consumer, funded, net		$ 122,400					€ 115.0
Junior Mezzanine Loans
Related Party Transaction [Line Items]
Number of loans | loan	3				3
Arrangement fees
Related Party Transaction [Line Items]
Incentive Fee Payable											$ 400	$ 200
Management fees
Related Party Transaction [Line Items]
Increase in management fee payable						$ 57
Limited Liability Company
Related Party Transaction [Line Items]
Rate of management fees					1.50%
Extension period					1 year
Period of termination					180 days
Termination fee calculation period					24 months
Limited Liability Company | Management Agreement
Related Party Transaction [Line Items]
Payable to related party	$ 9,500				$ 9,500					$ 9,700
Affiliated Entity
Related Party Transaction [Line Items]
Debt instrument, face amount												$ 30,000
Affiliated Entity | Management Agreement
Related Party Transaction [Line Items]
Management fees to related party	9,500		9,700		28,400	28,600
Professional and Contract Services Expense	$ 800		$ 900		$ 2,100	$ 3,100

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Share-Based Payments - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022	Apr. 16, 2019
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Recognized stock-based compensation expense	$ 4,356	$ 4,518	$ 13,091	$ 13,734
Restricted Stock
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Unrecognized stock-based compensation expense	400		$ 400
Share-based payment arrangement, nonvested award, cost not yet recognized, period for recognition			1 year 3 months 18 days
RSUs
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Unrecognized stock-based compensation expense	$ 21,400		$ 21,400
LTIP
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares authorized (in shares)					7,000,000
Common stock, shares delivered (in shares)			681,384	652,501
LTIP | RSUs
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Stock units vested (in shares)			1,255,184	1,145,091
Adjustments to additional paid in capital, income tax deficiency from share-based compensation			$ 6,800	$ 7,000

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Share-Based Payments - Summary of Grants, Exchanges and Forfeitures of Restricted Stock and RSUs (Details) - LTIP $ in Millions	9 Months Ended
	Sep. 30, 2023 USD ($) shares
Restricted Stock
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward]
Outstanding, beginning balance (in shares)	56,102
Granted (in shares)	75,754
Vested (in shares)	(52,768)
Forfeitures (in shares)	0
Outstanding, ending balance (in shares)	79,088
Share-Based Compensation Arrangement by Share-Based Payment Award, Options, Additional Disclosures [Abstract]
Granted | $	$ 0.7
RSUs
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward]
Outstanding, beginning balance (in shares)	2,865,154
Granted (in shares)	0
Vested (in shares)	(30,641)
Forfeitures (in shares)	(17,328)
Outstanding, ending balance (in shares)	2,817,185

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Share-Based Payments - Summary of Restricted Stock and RSU Vesting Dates (Details) - LTIP	Sep. 30, 2023 shares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	2,896,273
2023
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	1,358,418
2024
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	1,027,724
2025
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	510,131
Restricted Stock
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	79,088
Restricted Stock | 2023
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	0
Restricted Stock | 2024
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	79,088
Restricted Stock | 2025
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	0
RSUs
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	2,817,185
RSUs | 2023
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	1,358,418
RSUs | 2024
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	948,636
RSUs | 2025
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares vesting	510,131

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Stockholders' Equity - Additional Information (Details) - USD ($)	9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022	Jul. 15, 2021
Class of Stock [Line Items]
Common stock, shares authorized	450,000,000		450,000,000
Common stock, par value (in dollars per share)	$ 0.01		$ 0.01
Preferred stock, shares authorized	50,000,000		50,000,000
Preferred stock, par value (in dollars per share)	$ 0.01		$ 0.01
Common stock, shares outstanding	141,353,133		140,595,995
Common stock, shares issued	141,353,133		140,595,995
Treasury stock, value, acquired, cost method	$ 0	$ 0
Remaining authorized repurchase amount	$ 172,200,000
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock, shares outstanding	6,770,393
Series B-1 Preferred Stock
Class of Stock [Line Items]
Preferred stock, par value (in dollars per share)				$ 0.01
Preferred stock, shares outstanding	6,770,393		6,770,393
Preferred stock dividend percentage	7.25%
Preferred stock, liquidation preference per share (in dollars per share)				$ 25.00

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Stockholders' Equity - Dividends Declared (Details) - $ / shares	3 Months Ended						9 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022
Class of Stock [Line Items]
Dividends declared on common stock (in dollars per share)	$ 0.35	$ 0.35	$ 0.35	$ 0.35	$ 0.35	$ 0.35	$ 1.05	$ 1.05
Dividends declared (in dollars per share)	0.45	$ 0.45	$ 0.45	0.45	$ 0.45	$ 0.45
Common Stock
Class of Stock [Line Items]
Dividends declared on common stock (in dollars per share)	0.35			0.35			1.05	1.05
Series B-1 Preferred Stock
Class of Stock [Line Items]
Dividends declared (in dollars per share)	$ 0.45			$ 0.45			$ 1.35	$ 1.35

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Commitments and Contingencies (Details) - USD ($) $ in Thousands		9 Months Ended
	Jun. 28, 2018	Sep. 30, 2023	Dec. 31, 2022
Schedule of Equity Method Investments [Line Items]
Total damages including punitive	$ 70,000
Unfunded loan commitments		$ 693,125	$ 1,041,654
Commercial Mortgage and Subordinated Portfolio Segment
Schedule of Equity Method Investments [Line Items]
Unfunded loan commitments		$ 693,000
Term of unfunded loan commitment		3 years 2 months 12 days

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Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Company's Financial Instruments (Details) - USD ($) $ in Thousands	Sep. 30, 2023	Dec. 31, 2022
Accounts, Notes, Loans and Financing Receivable [Line Items]
Participations sold	$ 0	$ (25,130)
Commercial Mortgage Portfolio Segment
Accounts, Notes, Loans and Financing Receivable [Line Items]
Participations sold	0	(25,130)
Carrying Value
Accounts, Notes, Loans and Financing Receivable [Line Items]
Cash and cash equivalents	307,845	222,030
Carrying Value | Level III
Accounts, Notes, Loans and Financing Receivable [Line Items]
Secured debt arrangements, net	(5,135,855)	(5,296,825)
Debt related to real estate owned, held for investment, net	(161,245)	(160,294)
Participations sold	0	(25,130)
Carrying Value | Level III | Secured Debt
Accounts, Notes, Loans and Financing Receivable [Line Items]
Term loans, net	(760,381)	(763,813)
Carrying Value | Level III | Senior Notes
Accounts, Notes, Loans and Financing Receivable [Line Items]
Term loans, net	(495,437)	(494,844)
Carrying Value | Level III | 2023 Notes
Accounts, Notes, Loans and Financing Receivable [Line Items]
Notes	(176,018)	(229,361)
Carrying Value | Level III | Commercial Mortgage Portfolio Segment
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	7,561,254	8,121,109
Carrying Value | Level III | Subordinate Mortgage Portfolio Segment
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	412,777	560,881
Estimate of Fair Value Measurement
Accounts, Notes, Loans and Financing Receivable [Line Items]
Cash and cash equivalents	307,845	222,030
Estimate of Fair Value Measurement | Level III
Accounts, Notes, Loans and Financing Receivable [Line Items]
Secured debt arrangements, net	(5,135,855)	(5,296,825)
Debt related to real estate owned, held for investment, net	(161,245)	(160,294)
Participations sold	0	(25,130)
Estimate of Fair Value Measurement | Level III | Secured Debt
Accounts, Notes, Loans and Financing Receivable [Line Items]
Term loans, net	(746,119)	(731,709)
Estimate of Fair Value Measurement | Level III | Senior Notes
Accounts, Notes, Loans and Financing Receivable [Line Items]
Term loans, net	(378,750)	(400,950)
Estimate of Fair Value Measurement | Level III | 2023 Notes
Accounts, Notes, Loans and Financing Receivable [Line Items]
Notes	(175,844)	(225,366)
Estimate of Fair Value Measurement | Level III | Commercial Mortgage Portfolio Segment
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	7,487,855	8,083,410
Estimate of Fair Value Measurement | Level III | Subordinate Mortgage Portfolio Segment
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loans	$ 412,897	$ 558,740

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Net Income (Loss) per Share - Basic and Diluted Net Income per Share of Common Stock Using Two-Class Method (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2023	Jun. 30, 2023	Mar. 31, 2023	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2023	Sep. 30, 2022
Basic Earnings
Net income (loss)	$ 46,071	$ (83,400)	$ 48,916	$ 183,030	$ 70,951	$ 15,238	$ 11,587	$ 269,219
Less: Preferred dividends	(3,068)			(3,068)			(9,204)	(9,204)
Net income available to common stockholders	43,003			179,962			2,383	260,015
Less: Dividends on participating securities	(989)			(898)			(2,989)	(2,698)
Basic Earnings (Loss)	42,014			179,064			(606)	257,317
Diluted Earnings
Basic Earnings (Loss)	42,014			179,064			(606)	257,317
Add: Dividends on participating securities	0			898			0	2,698
Add: Interest expense on Convertible Notes	0			5,684			0	20,608
Diluted Earnings	$ 42,014			$ 185,646			$ (606)	$ 280,623
Number of Shares:
Basic weighted-average shares of common stock outstanding	141,350,428			140,594,987			141,255,730	140,513,957
Diluted weighted-average shares of common stock outstanding	141,350,428			164,350,132			141,255,730	169,252,602
Earnings (Loss) Per Share Attributable to Common Stockholders
Basic (in dollars per share)	$ 0.30			$ 1.27			$ 0	$ 1.83
Diluted (in dollars per share)	$ 0.30			$ 1.13			$ 0	$ 1.66

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Net Income (Loss) per Share - Additional Information (Details) - shares	3 Months Ended		9 Months Ended
	Sep. 30, 2023	Sep. 30, 2022	Sep. 30, 2023	Sep. 30, 2022
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Effect of dilutive securities - potentially issuable shares (in shares)	8,741,770	21,187,719	10,129,968	26,057,847
RSUs
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Effect of dilutive securities - convertible notes (in shares)	2,832,265	2,567,427	2,966,277	2,680,798

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Subsequent Events (Details) - USD ($)	1 Months Ended	9 Months Ended
	Oct. 26, 2023	Sep. 30, 2023	Sep. 30, 2022	Dec. 31, 2022	Dec. 31, 2018
Subsequent Event [Line Items]
Loans funded		$ 181,017,000	$ 2,753,609,000
Convertible Debt
Subsequent Event [Line Items]
Debt instrument, face amount		176,064,000		$ 230,000,000
2023 Notes | Convertible Debt
Subsequent Event [Line Items]
Debt instrument, face amount		$ 176,064,000		$ 230,000,000	$ 230,000,000
Subsequent Event
Subsequent Event [Line Items]
Loans funded	$ 42,800,000
Commercial real estate loans held for sale construction and financing costs capitalized	7,200,000
Proceeds from loan repayments	33,200,000
Subsequent Event | 2023 Notes | Convertible Debt
Subsequent Event [Line Items]
Debt instrument, face amount	$ 176,100,000