CLAROS MORTGAGE TRUST, INC. Management report and analysis of the financial situation and operating results. (Form 10-Q)

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The following discussion should be read in conjunction with our unaudited
consolidated financial statements and notes thereto appearing elsewhere in this
quarterly report on Form 10-Q. References herein to "Claros Mortgage Trust,"
"Company", "we", "us" or "our" refer to Claros Mortgage Trust, Inc. and its
subsidiaries unless the context specifically require otherwise.



              CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS



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 (the "Securities Act"), 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; the severity and duration of the COVID-19 pandemic; actions
taken by governmental authorities to contain the COVID-19 pandemic or treat its
impact; the efficacy of the vaccines or other remedies and the speed of their
distribution and administration; the impact of the COVID-19 pandemic on our
financial condition, results of operations, liquidity and capital resources;
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" of this Quarterly Report on Form 10-Q and our Annual
Report. 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.

Introduction

We are a CRE finance company focused primarily on originating senior and
subordinate loans on transitional CRE assets located in major U.S. markets,
including mortgage loans secured by a first priority or subordinate mortgage on
transitional CRE assets, and subordinate loans including mezzanine loans secured
by a pledge of equity ownership interests in the direct or indirect property
owner rather than directly in the underlying commercial properties. These loans
are subordinate to a mortgage loan but senior to the property owner's equity
ownership interests. Transitional CRE assets are properties that require
repositioning, renovation, rehabilitation, leasing, development or redevelopment
or other value-added elements in order to maximize value. We believe our
Sponsor's real estate development, ownership and operations experience and
infrastructure differentiates us in lending on these transitional CRE assets.
Our objective is to be a premier provider of debt capital for transitional CRE
assets and, in doing so, to generate attractive risk-adjusted returns for our
stockholders over time, primarily through dividends. We strive to create a
diversified investment portfolio of CRE loans

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that we generally intend to hold to maturity. We focus primarily on originating
loans ranging from $50 million to $300 million on transitional CRE assets
located in major markets with attractive fundamental characteristics supported
by macroeconomic tailwinds.

We were organized as a Maryland corporation on April 29, 2015 and commenced
operations on August 25, 2015, and are traded on the New York Stock Exchange, or
NYSE, under the symbol "CMTG". We have elected and believe we have qualified to
be taxed as a REIT for U.S. federal income tax purposes commencing with our
taxable year ended December 31, 2015. We are externally managed and advised by
our Manager, an investment adviser registered with the SEC pursuant to the
Investment Advisers Act of 1940, as amended. We operate our business in a manner
that permits us to maintain our exclusion from registration under the 1940 Act.

I. Main financial measures and indicators

As a CRE finance company, we believe the key financial measures and indicators
for our business are net income per share, dividends declared per share,
Distributable Earnings per share, book value per share, adjusted book value per
share, Net Debt-to-Equity Ratio and Total Leverage Ratio. During the three
months ended June 30, 2022, we had net income per share of $0.45, Distributable
Earnings per share of $0.43, Distributable Earnings excluding realized losses
per share of $0.51, and declared dividends of $0.37 per share. As of June 30,
2022, our book value per share was $18.00, our adjusted book value per share was
$18.59, our Net-Debt-to-Equity Ratio was 1.9x, and our Total Leverage Ratio was
2.3x. We use Net Debt-to-Equity Ratio and Total Leverage Ratio, financial
measures which are not prepared in accordance with GAAP, to evaluate our
financial leverage, which in the case of our Total Leverage Ratio, makes certain
adjustments that we believe provide a more conservative measure of our financial
condition.

Net earnings per share and dividends declared per share

The following table sets forth the calculation of basic and diluted net income
per share and dividends declared per share ($ in thousands, except share and per
share data):


                                                                Three Months Ended
                                                        June 30, 2022       March 31, 2022
Basic and diluted earnings                              $       62,404    

$29,412 Weighted average number of common shares outstanding, basic and diluted

                                          139,637,949      

139,712,501

Basic and diluted net income per share of common
stock                                                   $         0.45     $           0.21
Dividends declared per share of common stock            $         0.37     $           0.37




Distributable Earnings

Distributable Earnings is a non-GAAP measures used to evaluate our performance
excluding the effects of certain transactions, non-cash items and GAAP
adjustments, as determined by our Manager, that we believe are not necessarily
indicative of our current performance and operations. Distributable Earnings is
a non-GAAP measure, which we define as net income as determined in accordance
with GAAP, excluding (i) non-cash stock-based compensation expense (income),
(ii) real estate depreciation and amortization, (iii) any unrealized gains or
losses from mark-to-market valuation changes (other than permanent impairments)
that are included in net income for the applicable period, (iv) one-time events
pursuant to changes in GAAP and (v) certain non-cash items, which in the
judgment of our Manager, should not be included in Distributable Earnings.
Pursuant to the Management Agreement, we use Core Earnings, which is
substantially the same as Distributable Earnings excluding incentive fees, to
determine the incentive fees we pay our Manager. Distributable Earnings is
substantially the same as Core Earnings, as defined in the Management Agreement,
for the periods presented.

Distributable Earnings, and other similar measures, have historically been a
useful indicator of mortgage REITs' ability to cover their dividends, and to
mortgage REITs themselves in determining the amount of any dividends.
Distributable Earnings is a key factor, among others, considered by the board of
directors in setting the dividend and as such we believe Distributable Earnings
is useful to investors. Accordingly, we believe providing Distributable Earnings
on a supplemental basis to our net income as determined in accordance with GAAP
is helpful to our stockholders in assessing the overall performance of our
business.

We believe that Distributable Earnings provides meaningful information to
consider in addition to our net income and cash flows from operating activities
determined in accordance with GAAP. We believe Distributable Earnings helps us
to evaluate our performance excluding the effects of certain transactions,
non-cash items and GAAP adjustments, as determined by our Manager, that we
believe are not necessarily indicative of our current performance and
operations. Distributable Earnings does not represent net income or cash flows
from operating activities and should not be considered as an alternative to GAAP
net income, an indication of our cash flows from operating activities, a measure
of our liquidity or an indication of funds available for our cash needs. In
addition, our methodology for

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the calculation of distributable income may differ from methodologies employed by other companies to calculate the same or similar supplemental performance measures and, therefore, our reported distributable income may not be comparable to distributable income reported by other companies.

While Distributable Earnings excludes the impact of our unrealized current
provision for credit losses, loan losses are charged off and recognized through
Distributable Earnings when deemed non-recoverable. Non-recoverability is
determined (i) upon the resolution of a loan (i.e. when the loan is repaid,
fully or partially, or in the case of foreclosure, when the underlying asset is
sold), or (ii) with respect to any amount due under any loan, when such amount
is determined to be non-collectible. During the three months ended June 30,
2022, we recorded an $8.5 million increase in the CECL reserve, which has been
excluded from Distributable Earnings.

In determining distributable earnings per share, the dilutive effect of unvested
RSUs are considered. The weighted-average diluted shares outstanding used for
Distributable Earnings has been adjusted from weighted-average diluted shares
under GAAP to include unvested RSUs.

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
Weighted-Averages                         June 30, 2022       March 31, 2022
Diluted Shares - GAAP                        139,637,949          139,712,501
Unvested RSUs                                    407,565                    -

Diluted shares – Distributable profit 140,045,514 139,712,501



The following table provides a reconciliation of net income attributable to
common stock to Distributable Earnings ($ in thousands, except share and per
share data):

                                                        Three Months Ended
                                               June 30, 2022          March 31, 2022
Net income attributable to common stock:    $            63,234     $       

29,412

Adjustments:

Non-cash stock-based compensation expense                   604             

Provision for current expected credit
loss reserve                                              8,530             

2,102

Depreciation expense                                      1,998             

1,940

Unrealized gain on interest rate cap                     (2,837 )           

Distributable Earnings prior to principal
charge-offs                                 $            71,529     $            33,454
Principal charge-offs                                   (11,500 )                     -
Distributable Earnings                      $            60,029     $            33,454
Weighted average diluted shares -
Distributable Earnings                              140,045,514             

139,712,501

Diluted Distributable Earnings per share
prior to principal charge-offs              $              0.51     $       

0.24

Diluted Distributable Earnings per share    $              0.43     $              0.24




Book Value Per Share

We believe that presenting book value per share adjusted for the general
allowance for loan losses and accumulated depreciation is useful for investors
as it enhances the comparability across the industry. We believe that our
investors and lenders consider book value excluding these items as an important
metric related to our overall capitalization.

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The following table sets forth the calculation of our book value and our
adjusted book value per share ($ in thousands, except share and per share data):

                                                      June 30, 2022       December 31, 2021
Total Stockholders' Equity                            $    2,590,406     $         2,604,267
Non-controlling interest                                     (38,456 )               (37,636 )
Stockholders' Equity, net of non-controlling
interest                                              $    2,551,950     $  

2,566,631

Number of Shares Common Stock Outstanding and
unvested RSUs at Period End                              141,779,358        

139 840 088

Book Value per share(1)                               $        18.00     $             18.35
Add back: accumulated depreciation on real estate
owned                                                           0.08                    0.05
Add back: general CECL reserve                                  0.51                    0.48
Adjusted Book Value per share                         $        18.59     $             18.88



(1)

Calculated as (i) total equity less non-controlling interest divided by (ii) number of common shares outstanding at the end of the period.

II. Our portfolio

The below table summarizes our loan portfolio as of June 30, 2022 ($ in
thousands):

                                                                                            Weighted Average(2)
                                                                                                             Term to
                                                                                                              Fully
                                                                      Unpaid                                 Extended
                            Number of                                Principal         Yield to            Maturity (in
                              Loans         Loan Commitment(1)        Balance         Maturity(3)           years) (4)         LTV(5)
Senior loans                        69     $          8,544,463     $ 6,877,260                 6.1 %                3.6           66.9 %
Subordinate loans                    5                  265,046         262,311                 7.2 %                2.4           68.1 %
Total / Weighted Average            74     $          8,809,509     $ 7,139,571                 6.1 %                3.6           67.8 %



(1)
Loan commitment represents principal outstanding plus remaining unfunded loan
commitments.
(2)
Weighted averages are based on unpaid principal balance.
(3)
All-in yield represents the weighted average annualized yield to initial
maturity of each loan, inclusive of coupon, and fees received, based on the
applicable floating benchmark rate/floors (if applicable), in place as of June
30, 2022.
(4)
Fully extended maturity assumes all extension options are exercised by the
borrower upon satisfaction of the applicable conditions.
(5)
LTV represents "loan-to-value" or "loan-to-cost", which is calculated as our
total loan commitment from time to time, as if fully funded, plus any financings
that are pari passu with or senior to our loan, divided by our estimate of
either (1) the value of the underlying real estate, determined in accordance
with our underwriting process (typically consistent with, if not less than, the
value set forth in a third-party appraisal) or (2) the borrower's projected,
fully funded cost basis in the asset, in each case as we deem appropriate for
the relevant loan and other loans with similar characteristics. Underwritten
values and projected costs should not be assumed to reflect our judgment of
current market values or project costs, which may have changed materially since
the date of origination. LTV is updated only in connection with a partial loan
paydown and/or release of collateral, material changes to expected project
costs, the receipt of a new appraisal (typically in connection with financing or
refinancing activity) or a change in our loan commitment. Totals represent
weighted average based on loan commitment, including non-consolidated senior
interests.


Portfolio activity and overview

The following table summarizes changes in unpaid principal balance within our
portfolio, for both our loans and for our interests in loans (i.e., loans in
which we have acquired an interest in a loan for which the transferor did not
account for the transaction as a sale under GAAP) for the three and six months
ended June 30, 2022 ($ in thousands):


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                                         Three Months Ended June 30, 2022                   Six Months Ended June 30, 2022
                                                     Interests                                         Interests
                                      Loans           in Loans                          Loans           in Loans
                                    Receivable       Receivable        

Total Receivable Receivable Total Principal Outstanding Balance, Beginning of Period

                $  7,080,932     $    152,841     $ 

7,233,773 $6,441,238 $161,566 $6,602,804
Initial Loan Funding

                623,747                -         623,747        1,308,536                -       1,308,536
Advances on loans                       171,725                -         171,725          295,211           17,080         312,291
Loan repayments                        (609,313 )       (152,841 )      

(762,154 ) (777,894 ) (178,646 ) (956,540 ) Sale of a loan receivable

                (116,020 )              -        (116,020 )       (116,020 )              -        (116,020 )
Principal charge-offs                   (11,500 )              -         (11,500 )        (11,500 )              -         (11,500 )
Total net fundings                 $     58,639     $   (152,841 )   $   (94,202 )   $    698,333     $   (161,566 )   $   536,767
Unpaid principal balance, end of
period                             $  7,139,571     $          -     $ 7,139,571     $  7,139,571     $          -     $ 7,139,571




The following table details our loan investments individually based on outstanding principal balances as of June 30, 2022 (in thousands of dollars):


                                                                           Unpaid                          Fully
                                                                        

Principal bearing the number of loans extended Loan type Date of origination Loan inception(1) Balance value Maturity(2) Property type Construction(5) Location Risk rating

     1          Senior         11/1/2019                    390,000          390,000        388,622       11/1/2026    Multifamily                          -        NY           3
     2          Senior         12/16/2021                   405,000          385,743        382,705       6/16/2027    Multifamily                          -        CA           3
     3          Senior         7/12/2018                    290,000          290,000        291,353        8/1/2023    Hospitality                          -        NY           4
     4          Senior         10/18/2019                   303,080          263,249        262,597      10/18/2024   For Sale Condo             Y                   CA           3
   5(3)         Senior         12/30/2021                   257,963          257,963        256,758      12/30/2026    Multifamily                          -        VA           1
     6          Senior         6/30/2022                    227,000          211,222        208,271       6/30/2029    Hospitality                          -        CA           3
     7          Senior         12/27/2018                   210,000          207,548        207,548        2/1/2025     Mixed-use                           -        NY           4
     8          Senior         10/4/2019                    263,000          202,051        201,582       10/1/2025     Mixed-use                Y                   DC           3
     9          Senior         7/26/2021                    225,000          200,529        198,908       7/26/2026    Hospitality                          -        GA           3
    10          Senior          9/7/2018                    192,600          192,600        192,208      10/18/2024        Land                             -        NY           3
    11          Senior         1/14/2022                    170,000          170,000        168,564       1/14/2027    Multifamily                          -        CO           3
    12          Senior         4/14/2022                    193,400          166,700        164,900       4/14/2027    Multifamily                          -        MI           3
    13          Senior         9/27/2019                    258,400          155,668        154,081       9/26/2026       Office                            -        GA           4
    14          Senior         2/28/2019                    150,000          150,000        149,750       2/28/2024       Office                            -        CT           3
    15          Senior         2/15/2022                    262,500          149,423        146,961       2/15/2027    Multifamily               Y                   CA           3
    16          Senior          1/9/2018                    148,500          148,500        148,182        1/9/2024    Hospitality                          -        VA           3
    17          Senior         12/30/2021                   147,500          147,500        147,072      12/30/2025    Multifamily                          -        PA           3
    18          Senior         9/20/2019                    225,000          145,685        143,941      12/31/2025   For Sale Condo             Y                   FL           3
    19          Senior          8/8/2019                    154,999          136,093        135,416        8/8/2026    Multifamily                          -        CA           3
    20          Senior          9/2/2021                    166,812          133,705        131,624        9/2/2026       Other                  Y                   GA           3
    21          Senior         4/26/2022                    151,698          133,059        131,295       4/26/2027    Multifamily                          -        TX           3
    22          Senior         12/10/2021                   130,000          130,000        129,095      12/10/2026    Multifamily                          -        VA           3
    23        Subordinate      12/9/2021                    125,000          125,000        124,724        1/1/2027       Office                            -        IL           3
    24          Senior         9/24/2021                    127,535          122,535        121,562       9/24/2028    Hospitality                          -        TX           3
    25          Senior         9/30/2019                    122,500          122,500        122,319        2/9/2027       Office                            -        NY           3
    26          Senior         4/29/2019                    120,000          119,377        119,377       4/29/2024     Mixed-use                           -        NY           3
    27          Senior          3/1/2022                    122,000          118,600        117,649       2/28/2027    Multifamily                          -        TX           3
    28          Senior         7/20/2021                    113,500          113,500        113,083       7/20/2026    Multifamily                          -        IL           3
    29          Senior         2/13/2020                    124,810          111,604        111,097       2/13/2025       Office                            -        CA           4
    30          Senior         6/17/2022                    127,250          108,096        106,505       6/17/2027    Multifamily                          -        TX           3
   31(4)        Senior          6/8/2018                    104,250          104,250        105,343       1/15/2022        Land                             -        NY           4
    32          Senior         12/15/2021                   103,000          103,000        102,242      12/15/2026    Multifamily                          -        TN           3
    33          Senior         10/11/2017                    97,500           97,500         97,457      10/31/2023    Hospitality                          -        CA           3
    34          Senior          8/2/2021                    100,000           95,474         94,852        8/2/2026       Office                            -        CA           3
    35          Senior         1/27/2022                    100,800           94,749         93,981       1/27/2027    Multifamily                          -        NV           3
    36          Senior         3/31/2020                     87,750           87,750         87,750        2/9/2025       Office                            -        TX           4
    37          Senior          4/1/2020                    141,084           81,807         80,614        4/1/2026       Office                 Y                   TN           3




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                                                                           Unpaid                                 Fully
                                                                          Principal                             Extended

Loan Number Loan Type Date Originated Loan Commitment(1) Balance Book Value Maturity(2) Property Type Construction(5) Location Risk Rating

    38          Senior         7/10/2018                     78,825            78,825               75,525       7/10/2025    Hospitality                        -        CA           4
   39(4)      Subordinate      3/29/2018                     77,619            77,619               78,109       1/26/2021        Land                           -        NY           4
    40          Senior          4/5/2019                     75,500            75,500               75,359        4/5/2024     Mixed-use                         -        NY           3
    41          Senior         12/14/2018                    75,000            74,996               74,918      12/14/2023    Multifamily                        -        DC           3
    42          Senior         8/26/2021                     84,810            69,869               69,206       8/27/2026       Office                          -        GA           3
   43(4)        Senior          8/2/2019                     67,000            67,000               67,000       1/30/2022        Land                           -        NY           4
    44          Senior         12/22/2021                    76,350            63,276               62,610      12/22/2026    Multifamily                        -        TX           3
    45          Senior         12/30/2021                    63,005            63,005               62,706      12/30/2025   For Sale Condo                      -        VA           3
    46          Senior         8/29/2018                     60,000            60,000               59,975       8/31/2023    Hospitality                        -        NY           3
    47          Senior         1/19/2022                     73,677            51,563               50,897       1/19/2027    Hospitality                        -        TN           3
    48          Senior         3/15/2022                     53,300            49,844               49,370       3/15/2027    Multifamily                        -        AZ           3
    49          Senior          6/3/2021                     79,600            46,700               46,065        6/3/2026       Other                           -        MI           3
    50          Senior         3/22/2021                    110,135            45,764               45,023       3/22/2026       Other                 Y                  MA           3
    51          Senior         11/2/2021                     77,115            42,376               41,649       11/2/2026    Multifamily              Y                  FL           3
    52          Senior          2/4/2022                     44,768            37,083               36,679        2/4/2027    Multifamily                        -        TX           3
   53(4)      Subordinate      12/21/2018                    31,300            31,300               31,456       6/21/2022        Land                           -        NY           3
    54          Senior         4/18/2019                     30,000            30,000               29,875        5/1/2023       Office                          -        MA           3
    55        Subordinate       7/2/2021                     30,200            27,465               27,368        7/2/2024        Land                           -        FL           3
    56          Senior         1/10/2022                    130,461            25,925               24,625        1/9/2027   Life Sciences             Y                  PA           3
    57          Senior          8/2/2019                     24,930            24,930               25,109        2/2/2024   For Sale Condo                      -        NY           3
    58          Senior         12/30/2021                   141,791            24,684               23,305      12/30/2026     Mixed-use               Y                  FL           3
    59          Senior         2/17/2022                     28,479            23,924               23,674       2/17/2027    Multifamily                        -        TX           3
    60          Senior          3/9/2018                     26,200            21,586               21,271       5/31/2023   For Sale Condo                      -        NY           4
    61          Senior         4/29/2021                     17,500            17,500               17,646       4/29/2023        Land                           -        PA           3
    62          Senior          2/2/2022                     90,000            10,170                9,274        2/2/2027       Office                Y                  WA           3
    63          Senior          5/5/2017                      5,705             5,705                5,705        1/1/2023       Other                           -      Other          5
    64          Senior         11/24/2021                    60,255             5,659                5,062      11/24/2026    Multifamily              Y                  NV           3
    65          Senior         1/31/2022                     34,641             5,226                4,884       1/31/2027       Other                 Y                  FL           3
    66          Senior         6/30/2022                     48,500             4,670                4,186       6/30/2026       Other                 Y                  NV           3
   67(4)        Senior          7/1/2019                      3,500             3,500                3,500      12/30/2020       Other                           -      Other          5
    68        Subordinate       8/2/2018                        927               927                  927        8/2/2023       Other                           -        NY           2
    69          Senior          1/4/2022                     32,795                 -                 (328 )      1/4/2027       Other                 Y                  GA           3
    70          Senior         2/18/2022                     32,083                 -                 (321 )     2/18/2027       Other                 Y                  FL           3
    71          Senior         2/25/2022                     53,984                 -                 (540 )     2/25/2027       Other                 Y                  GA           3
    72          Senior         4/19/2022                     23,378                 -                 (234 )     4/19/2027       Other                 Y                  GA           3
    73          Senior         4/19/2022                     24,245                 -                 (242 )     4/19/2027       Other                 Y                  GA           3
    74          Senior         5/13/2022                    202,500                 -               (2,025 )     5/13/2027     Mixed-use               Y                  VA           3
 Total                                                    8,809,509         7,139,571            7,089,256
 CECL Allowance                                                                                    (59,400 )
 Grand Total/Weighted Average                             8,809,509         7,139,571            7,029,856                                           27.5%



(1)
Loan commitment represents principal outstanding plus remaining unfunded loan
commitments.
(2)
Fully extended maturity assumes all extension options are exercised by the
borrower upon satisfaction of the applicable conditions.
(3)
Subsequent to June 30, 2022, this loan was repaid in full.
(4)
We are actively pursuing resolutions to these loans.
(5)
Weighted average is based on loan commitment as of June 30, 2022.

Real estate, net

On February 8, 2021, we acquired legal title to a portfolio of hotel properties
located in New York, NY through a foreclosure. Prior to February 8, 2021, the
hotel portfolio represented the collateral for the $103.9 million mezzanine loan
that we held, which was in default as a result of the borrower failing to pay
debt service. The hotel portfolio appears as real estate owned, net on our
balance sheet and, as of June 30, 2022, was encumbered by a $290.0 million
securitized senior mortgage, which is included as a liability on our balance
sheet. Refer to Note 4 to our consolidated financial statements for additional
details.

Asset Management

Our Manager proactively manages the loans in our portfolio from closing to final
repayment and our Sponsor has dedicated asset management employees to perform
asset management services. Following the closing of an investment, the asset
management team rigorously monitors the loan, with an emphasis on ongoing
financial, legal, market condition and quantitative analyses. Through the final
repayment of a loan, the asset management team maintains regular contact with
borrowers, servicers and local market experts monitoring performance of the
collateral, anticipating borrower, property and market issues, and enforcing our
rights and remedies when appropriate.

From time to time, some of our borrowers may experience delays in the execution
of their business plans. As a transitional lender, we work with our borrowers to
execute loan modifications which typically include additional equity
contributions from borrowers, repurposing of reserves, temporary deferrals of
interest or principal, and partial deferral of coupon interest as
payment-in-kind interest.

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We have made a number of loan modifications to date and may continue to make additional modifications depending on the business plans, financial condition, liquidity and operating results of our borrowers.

Our Manager reviews our entire loan portfolio at least quarterly, undertakes an
assessment of the performance of each loan, and assigns it a risk rating between
"1" and "5," from least risk to greatest risk, respectively. The weighted
average risk rating of our total loan exposure was 3.1 at June 30, 2022.

Expected credit losses and current loan risk ratings

On January 1, 2021, we adopted ASU 2016-13, which implements the CECL accounting model. Following the adoption, we recorded a $78.3 million cumulative adjustment to retained earnings.

During the three months ended June 30, 2022, we recorded a principal charge-off
of $11.5 million against a loan made to the personal estate of a former
borrower. Prior to the charge-off, the loan had an unpaid principal balance
$15.0 million and a specific CECL reserve of $6.0 million, resulting in a
carrying value of $9.0 million. Following the charge-off, the loan carrying
value was $3.5 million, which represents estimated collection. The loan is on
non-accrual status and is in maturity default.

During three months ended June 30, 2022, we recorded a provision of $8.5 million
in the allowance for credit losses, which was offset by the principal charge-off
of $11.5 million, bringing our total reserve to $72.7 million as of June 30,
2022.

In December 2021, we received a partial principal repayment of $81.7 million on
a senior loan with an outstanding principal balance of $95.0 million, and a
maturity date of May 31, 2021, and recorded a principal charge-off of $1.8
million. Following the repayment, the maturity date of the loan was extended to
January 1, 2023. As of June 30, 2022, the loan had a specific CECL reserve of
$0.1 million.

Portfolio Financing

Our portfolio financing arrangements include repurchase facilities, asset specific financing structures, mortgages on owned real estate and secured term loans.

The following table summarizes our loan portfolio financing ($ in thousands):


                                                  June 30, 2022
                                                      Unpaid         Weighted
                                                     Principal       Average
                                     Capacity         Balance       Spread(1)
Repurchase agreements               $ 4,515,000     $ 3,703,306        + 2.05%
Repurchase agreements - Side Car        271,171         215,397        + 4.51%
Loan participations sold                274,252         274,252        + 3.84%
Notes payable                           229,950         100,512        + 3.04%
Secured Term Loan                       758,904         758,904        + 4.50%

Debts related to real estate held 290,000 290,000 +2.78% Total / weighted average

            $ 6,339,277     $ 5,342,371        + 2.65%



(1)
Weighted average spread over the applicable benchmark is based on unpaid
principal balance. One-month LIBOR as of June 30, 2022 was 1.79%. Term SOFR as
of June 30, 2022 was 1.69%. Fixed rate loans are presented as a spread over the
relevant floating benchmark rates.

Buy-back agreements

We finance certain of our loans using secured revolving repurchase facilities.
As of June 30, 2022, aggregate borrowings outstanding under our secured
revolving repurchase facilities totaled $3.9 billion, with a weighted average
coupon of one-month LIBOR or Term SOFR plus 2.18% per annum. All weighted
averages are based on unpaid principal balance. As of June 30, 2022, outstanding
borrowings under these facilities had a weighted average term to fully extended
maturity (assuming we exercise all extension options and our counterparty agrees
to such extension options) of 3.9 years.

Each of the Secured Revolving Repurchase Facilities contains “margin maintenance” provisions, which are designed to allow the lender to require additional collateral to secure borrowings against assets that are determined to have suffered impairment. .

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The amount of margin that may be required is generally determined by multiplying
the assessed diminution in value of the collateral by the then-current advance
rate applicable to such collateral. Since inception through June 30, 2022, we
have not received any margin calls under any of our repurchase facilities.

Loan participations sold

We finance certain investments through the sale of an interest in loans receivable held by us, and we present the interest in loans sold as a liability on our Consolidated Balance Sheet when such an arrangement does not qualify as a sale under GAAP. In cases where we have multiple loan participations with the same lender, the financings are generally not cross-guaranteed. Each of our loan participations sold generally has a term attached to its corresponding loan guarantee. From June 30, 2022we had three loans funded with separate equity interests sold to three counterparties.

Notes payable

We finance certain investments on a match-term, non-recourse basis with such
financings collateralized by our loans receivable, which we refer to as notes
payable. Each of our notes payable is generally term-matched to its
corresponding loan collateral. As of June 30, 2022, two of our loans were
financed with notes payable.

Guaranteed term loan

On August 9, 2019, we entered into our secured term loan of $450.0 million. Our
secured term loan is collateralized by a pledge of equity in certain
subsidiaries and their related assets, as well as a first priority security
interest in selected assets. On December 1, 2020, our secured term loan was
modified to increase the aggregate principal amount by $325.0 million, increase
the interest rate, and increase the quarterly amortization payment. Our secured
term loan is presented net of any original issue discount and transaction
expenses which are deferred and recognized as a component of interest expense
over the life of the loan using the effective interest method.

On December 2, 2021, we entered into a modification of our secured term loan
which reduced the interest rate to the greater of (i) 1-month SOFR plus a 0.10%
credit spread adjustment and (ii) 0.50%, plus a credit spread of 4.50%. The
Secured Term matures on August 9, 2026. As of June 30, 2022, our Secured Term
Loan has an unpaid principal balance of $758.9 million and a carrying value of
$738.2 million.

Our Secured Term Loan includes various customary affirmative and negative
covenants, including, but not limited to, reporting requirements and certain
operational restrictions, including restrictions on dividends, distributions or
other payments from our subsidiaries.

Debt related to real estate owned

On February 8, 2021 we assumed a $300.0 million securitized senior mortgage in
connection with a Uniform Commercial Code foreclosure on a portfolio of seven
limited service hotels located in New York, New York. In June 2021, we modified
the securitized senior mortgage, which resulted in an extension of the
contractual maturity date to February 9, 2024, a principal repayment of $10.0
million, and the payment of $7.6 million of fees and modification costs, among
other items. The securitized senior mortgage is non-recourse to us. Our debt
related to real estate owned as of June 30, 2022 has an outstanding principal
balance of $290.0 million, a carrying value of $289.9 million and a stated rate
of L+2.78%, subject to a LIBOR floor of 0.75%.

Derivatives

As part of the agreement to amend the terms of our debt related to real estate
owned on June 2, 2021, we have an interest rate cap with a notional amount of
$290.0 million and a maturity date of February 15, 2024 for $275,000.

The interest rate cap effectively limits the maximum interest rate of our debt
related to real estate owned to 5.78%. Increases or decreases in the fair value
of our interest rate cap are recorded as an unrealized gain or loss on interest
rate cap on our consolidated income statements and the fair value is recorded in
other assets on our consolidated balance sheets.

Ease of acquisition

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On June 29, 2022, we entered into a $150.0 million full recourse credit
facility. The facility generally provides interim financing for eligible loans
for up to 180 days at an initial advance rate of 75%, which begins to decline
after the 90th day. The facility matures on June 29, 2025 and earns interest at
a rate of 1-month SOFR, plus a 0.10% credit spread adjustment, plus a spread of
2.25%. With the consent of our lenders, and subject to certain conditions, the
commitment of the facility may be increased up to $500.0 million. As of June 30,
2022, the outstanding balance of the facility is $0.

From June 30, 2022we complied with all financial covenants in connection with our financings.

Divested unconsolidated first-tier interests and unconsolidated first-tier interests held by third parties

In some cases, we use structural leverage through the non-recourse syndication of an equal one-third term senior interest that qualifies for sale accounting under GAAP, or through the acquisition of a subordinated loan in which a non-recourse first-ranking interest is retained by a third party. In such cases, the Senior Loan is not included in our balance sheet.

The following table summarizes our unconsolidated senior interests and related retained subordinate interests at June 30, 2022 (in thousands of dollars):

                                                                                                                    Term to
                                                                                                                     Fully
                                                                  Unpaid                                           Extended
Non-Consolidated Senior            Loan            Loan         Principal      Carrying                            Maturity
Interests                          Count        Commitment       Balance   

Value difference(1) (in years)(2)(3) Unconsolidated floating rate senior loans

                             3     $    184,500     $  178,656           N/A         L + 4.47%                   0.6
Retained floating rate
subordinate loans                        3          139,119        136,384       136,933        L + 10.61%                   0.4
Fixed rate non-consolidated
senior loans                             2     $    867,000     $  859,660           N/A              3.47 %                 4.4
Retained fixed rate
subordinate loans                        2          125,927        125,927       125,651              8.49 %                 4.5




(1)
Non-consolidated senior interests are indexed to one-month LIBOR, which was
1.79% at June 30, 2022. Weighted average is based on unpaid principal balance.
(2)
Weighted average is based on unpaid principal balance.
(3)
Term to fully extended maturity is determined based on the maximum maturity of
each of the corresponding loans, assuming all extension options are exercised by
the borrower; provided, however, that our loans may be repaid prior to such
date.

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Variable and fixed rate portfolio

Our business model seeks to minimize our exposure to changing interest rates by
originating floating rate loans and as much as possible, match-funding the
duration of our financing of such loans and using the same benchmark indices,
typically one-month LIBOR or Term SOFR. As of June 30, 2022, 97.5% of our loans
based on unpaid principal balance were floating rate and the majority of our
floating rate loans were financed with liabilities that require interest
payments based on floating rates also determined by reference to one-month LIBOR
or Term SOFR plus a spread, which resulted in approximately $1.6 billion of net
floating rate exposure.

The following table details our net floating rate exposure as of June 30, 2022
($ in thousands):


                                Net Floating
                                Rate Exposure
Floating rate assets(1)        $     6,957,923
Floating rate liabilities(1)        (5,322,371 )
Net floating rate exposure     $     1,635,552




(1)
Our floating rate loans and related liabilities are all indexed to one-month
LIBOR or Term SOFR. One-month LIBOR as of June 30, 2022 was 1.79%. Term SOFR as
of June 30, 2022 was 1.69%.


LIBOR and certain other floating rate benchmark indices to which our floating
rate loans and other loan agreements are tied to, are the subject of recent
national, international and regulatory guidance and proposals for reform. On
March 5, 2021, the Financial Conduct Authority of the United Kingdom, or the
FCA, which regulates. LIBOR's administrator, ICE Benchmark Administration
Limited, or IBA, announced that all LIBOR tenors relevant to us will cease to be
published or will no longer be representative after June 30, 2023 (and that all
other LIBOR tenors will cease to be published or will no longer be
representative either after December 31, 2021, or after June 30, 2023). The U.S.
Federal Reserve, in conjunction with the Alternative Reference Rates Committee,
a steering committee comprised of large U.S. financial institutions, has
identified the Secured Overnight Financing Rate, or SOFR, a new index calculated
using short-term repurchase agreements backed by Treasury securities, as its
preferred alternative rate for USD LIBOR.


Our agreements generally provide for the use of a new interest rate index if LIBOR is no longer available. We have started and plan to continue to use alternative rates referenced in our agreements or negotiate an alternative reference rate for LIBOR.

We have an interest rate cap with a notional amount of $290.0 million and a
maturity date of February 15, 2024 on our debt related to real estate owned. The
interest rate cap effectively limits the maximum interest rate of our debt
related to real estate owned to 5.78%. We have not employed other interest rate
derivatives (interest rate swaps, caps, collars or swaptions) to hedge our loan
portfolio's cash flow or fair value exposure to increases in interest rates, but
we may do so in the future.

Results of operations – Quarters ended June 30, 2022 and March 31, 2022

As previously disclosed, beginning with our Quarterly Report on Form 10-Q for
the quarter ended September 30, 2021, and for all subsequent reporting periods,
we have elected to present results of operations by comparing to the immediately
preceding period, as well as the same year to date period in the prior year.
Given the dynamic nature of our business and the sensitivity to the real estate
and capital markets, we believe providing analysis of results of operations by
comparing to the immediately preceding period is more meaningful to our
stockholders in assessing the overall performance of our current business.

Operating results

The following table sets forth information regarding our consolidated results of
operations for the three months ended June 30, 2022, and March 31, 2022 ($ in
thousands, except per share data):

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                                                 Three Months Ended
                                          June 30, 2022      March 31, 2022      $ Change      % Change
Revenue
Interest and related income              $        98,993     $        90,694     $   8,299             9 %
Less: interest and related expense                46,871              39,580         7,291            18 %
Net interest income                               52,122              51,114         1,008             2 %
Revenue from real estate owned                    17,118               6,813        10,305           151 %
Total revenue                                     69,240              57,927        11,313            20 %
Expenses
Management fees - affiliate                        9,843               9,807            36             0 %
General and administrative expenses                4,748               4,343           405             9 %
Stock based compensation expense                     604                   -           604           100 %
Operating expenses on real estate
owned                                             10,536               7,780         2,756            35 %
Interest expense from debt related to
real estate owned                                  2,719               2,584           135             5 %
Depreciation on real estate owned                  1,998               1,940            58             3 %
Total expenses                                    30,448              26,454         3,994            15 %
Realized gain on sale of loan                     30,090                   -        30,090           100 %
Unrealized gain on interest rate cap               2,837                   -         2,837            10 %
(Provision) reversal of current
expected credit loss reserve                      (8,530 )            (2,102 )      (6,428 )         306 %
Net income                               $        63,189     $        29,371     $  33,818           115 %
Net loss attributable to
non-controlling interests                $           (45 )   $           (41 )   $      (4 )          10 %
Net income attributable to common
stock                                    $        63,234     $        29,412     $  33,822           115 %
Net income per share of common stock -
basic and diluted                        $          0.45     $          0.21     $    0.24           114 %



Comparison of the three months ended June 30, 2022 and March 31, 2022

Revenue

Revenue increased $11.3 million during the three months ended June 30, 2022,
compared to the three months ended March 31, 2022. The increase is primarily due
to an increase in revenue from real estate owned of $10.3 million due to
seasonally higher occupancy and rates during the second quarter, as well as a
COVID-induced slowdown in travel in the first quarter. Additionally, the
increase in revenue was driven by an increase in net interest income of $1.0
million for the comparative period, which was driven by an increase in interest
income earned of $8.3 million primarily as a result of reference rate increases
during the second quarter of 2022, offset in part by an increase in interest
expense of $7.3 million primarily as a result of reference rate increases during
the second quarter of 2022.

Expenses

Expenses are primarily comprised of base management fees payable to our Manager,
general and administrative expenses, stock based compensation expense, operating
expenses from real estate owned, interest expense from debt related to real
estate owned, and depreciation on real estate owned. Expenses increased by $4.0
million during the three months ended June 30, 2022 as compared to the three
months ended March 31, 2022, primarily due to:

(i) an increase in operating expenses from real estate owned of $2.8 million
during the comparative period, due to increased variable operating expenses in
connection with the higher occupancy levels;

(ii) an increase in stock-based compensation expense of $0.6 million due to restricted stock units granted in the second quarter of 2022; and

(iii) an increase in general and administrative expenses of $0.4 million during the comparative period, mainly due to slightly higher operating expenses.

Gain realized on the sale of the loan

During the three months ended June 30, 2022, we realized a gain on the sale of a
loan of $30.1 million. There were no loans sold during the three months ended
March 31, 2022.

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Unrealized gain on interest rate ceiling

Unrealized gain on interest rate cap was $2.8 million higher during the
comparative period due to the recognition of a $2.8 million gain resulting from
an increase in the fair value of the interest rate cap during the three months
ended June 30, 2022.

(Provision) reversal of the current reserve for expected credit losses

The provision for current expected credit loss reserves was $6.4 million greater
than the provision for current expected credit loss reserves during the
comparative period, due to an increase to a specific CECL reserve on one loan
which was charged-off, as well as an increase in the size of the portfolio and
changes in macroeconomic conditions as of June 30, 2022, as compared to our loan
portfolio as of March 31, 2022.

Results of operations – Half-year ended June 30, 2022and June 30, 2021


The following table sets forth information regarding our consolidated results of
operations for six months ended June 30, 2022 and 2021 ($ in thousands, except
per share data):

                                                    Six Months Ended
                                            June 30, 2022       June 30, 2021      $ Change       % Change
Revenue
Interest and related income                $       189,687     $       210,450     $ (20,763 )          -10 %
Less: interest and related expense                  86,451              92,757        (6,306 )           -7 %
Net interest income                                103,236             117,693       (14,457 )          -12 %
Revenue from real estate owned                      23,931               7,070        16,861            238 %
Total revenue                                      127,167             124,763         2,404              2 %
Expenses
Management fees - affiliate                         19,650              19,363           287              1 %
General and administrative expenses                  9,091               4,063         5,028            124 %
Stock based compensation                               604                (190 )         794           -418 %
Operating expenses from real estate
owned                                               18,316               8,791         9,525            108 %
Interest expense on debt related to real
estate owned                                         5,303              10,361        (5,058 )          -49 %
Depreciation on real estate owned                    3,938               3,233           705             22 %
Total expenses                                      56,902              45,621        11,281             25 %
Realized gain on sale of loan                       30,090                   -        30,090            100 %
Unrealized gain on interest rate cap                 2,837                   -         2,837            100 %
Gain on foreclosure of real estate owned                 -               1,430        (1,430 )         -100 %
Other Income                                             -               5,855        (5,855 )         -100 %
(Provision) reversal of current expected
credit loss reserve                                (10,632 )             8,107       (18,739 )         -231 %
Income before income taxes                          92,560              94,534        (1,974 )           -2 %
Income tax benefit                                       -               6,025        (6,025 )         -100 %
Net income                                 $        92,560     $       100,559     $  (7,999 )           -8 %
Net loss attributable to non-controlling
interests                                  $           (86 )   $           (78 )   $      (8 )           10 %
Net income attributable to preferred
stock                                      $             -     $            

8 $ (8 ) -100% Net income attributable to ordinary shares $92,646 $100,629 ($7,983)

           -8 %
Net income per share of common stock -
basic and diluted                          $          0.66     $          0.75     $   (0.09 )          -12 %



Comparison of the six months ended June 30, 2022 and June 30, 2021

Revenue

Revenue increased $2.4 million during the six months ended June 30, 2022,
compared to the six months ended June 30, 2021. The increase is primarily due to
an increase in revenue from real estate owned of $16.9 million due to improved
travel and demand at the hotel portfolio for the comparative period. The
increase was partially offset by a decrease in net interest income of $14.5
million for the comparative period, which was driven by a decrease in interest
income earned of $20.8 million, primarily as a result of the replacement of
higher yielding assets with floors with lower yielding assets, offset in part by
a decrease in interest expense of $6.3 million, as a result of the repayment of
higher cost financings in connection with the repayment of our assets.

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Expenses

Expenses are primarily comprised of base management fees payable to our Manager,
general and administrative expenses, stock based compensation expense, operating
expenses from real estate owned, interest expense from debt related to real
estate owned, and depreciation on real estate owned. Expenses increased by $11.3
million, during the six months ended June 30, 2022, as compared to the six
months ended June 30, 2021, primarily due to:

(i) an increase in operating expenses from real estate owned of $9.5 million
during the comparative period, due to increased variable operating expenses in
connection with higher occupancy levels at the hotel portfolio during the
comparative period;

(ii) an increase in general and administrative expenses of $5.0 million during
the comparative period, due primarily to an increase in general operating
expenses incurred in connection with becoming a public company as of November 3,
2021;

(iii) an increase in the stock-based compensation of $0.8 million during the comparative period, due to restricted stock units granted during the second quarter of 2022;

(iv) the increases were partially offset by a decrease in interest expense on
debt related to real estate owned of $5.1 million as a result of the agreement
to amend the terms of the securitized senior mortgage in June of 2021, which
included a principal repayment of $10.0 million, and the payment of $7.6 million
of fees and modification costs which included among other items, $6.3 million of
interest expense.

Gain realized on the sale of the loan

During the six months ended June 30, 2022, we realized a gain on the sale of a
loan of $30.1 million. There were no loans sold during the six months ended June
30, 2021.

Unrealized gain on interest rate ceiling

Unrealized gain on interest rate cap was $2.8 million higher during the
comparative period due to the recognition of a $2.8 million gain resulting from
an increase in the fair value of the interest rate cap during the six months
ended June 30, 2022.

Gain on seizure of owned real estate

During the six months ended June 30, 2021, we recognized a gain of $1.4 million
on the foreclosure of a portfolio of seven limited-service hotel properties
located in New York, New York. This gain is based upon the estimated fair value
of the hotel properties of $414.0 million as determined by a third-party
appraisal, and our assumption of working capital and debt related to real estate
owned, relative to our basis in the investment at the time of foreclosure. The
fair value was determined using discount rates ranging from 8.50% to 8.75% and a
terminal capitalization rate of 6.00% on projected net operating profits on the
hotels.

Other income

During the six months ended June 30, 2021, 292,731 fully-vested time-based RSU
awards were forfeited prior to their delivery pursuant to the terms of the RSU
award documents, resulting in us reversing previously recognized compensation
expense associated with these RSU awards.

(Provision) reversal of the current reserve for expected credit losses

During the six months ended June 30, 2022, we recorded a provision of current
expected credit loss reserves of $10.6 million compared to a reversal of current
expected credit loss reserves of $8.1 million during the six months ended June
30, 2021. The provision is primarily attributable to an increase in size of the
portfolio and changes in macroeconomic conditions during the comparative period.

Tax benefit

Income tax benefit was $6.0 million lower during the comparative period. The
change in the comparative periods is due to the recognition of a full valuation
allowance of our deferred tax asset during the six months ended June 30, 2022.


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Cash and capital resources

Capitalization

We have capitalized our business to date primarily through the issuance of
shares of our common stock and borrowings under our secured financings and our
Secured Term Loan. As of June 30, 2022, we had 139,620,078 shares of our common
stock outstanding, representing $2.6 billion of stockholders' equity and we also
had $5.3 billion of outstanding borrowings under our secured financings, our
Secured Term Loan, our debt related to real estate owned, and our acquisition
Facility. As of June 30, 2022, our secured financings consisted of six secured
revolving repurchase facilities for loan investments with capacity of $4.8
billion and an outstanding balance of $3.9 billion, five asset-specific
financings for loan investments with an outstanding balance of $374.8 million
and an acquisition facility with a capacity of $150.0 million and no outstanding
balance. As of June 30, 2022, our Secured Term Loan had an outstanding balance
of $758.9 million and our debt related to real estate owned had an outstanding
balance of $290.0 million.


Net debt to equity ratio and total leverage ratio

Net Debt-to-Equity Ratio and Total Leverage Ratio are non-GAAP measures that we
use to evaluate our financial leverage, which in the case of our Total Leverage
Ratio, makes certain adjustments that we believe provide a more conservative
measure of our financial condition.

Net Debt-to-Equity Ratio is calculated as the ratio of asset specific debt
(repurchase agreements, loan participations sold, net, notes payable, net, and
debt related to real estate owned, net) and secured term loan, less cash and
cash equivalents to total equity.


Total Leverage Ratio is similar to Net Debt-to-Equity Ratio, however it includes
non-consolidated senior interests sold and non-consolidated senior interests
held by third parties. Non-consolidated senior interests sold and
non-consolidated senior interests held by third parties, as applicable, are
secured by the same collateral as our loan and are structurally senior in
repayment priority relative to our loan. We believe the inclusion of
non-consolidated senior interests sold and non-consolidated senior interests
held by third parties provides a meaningful measure of our financial leverage.

The following table shows our net debt to equity and total leverage ratios at June 30, 2022 and December 31, 2021 (in thousands of dollars):

                                   June 30, 2022       December 31, 2021
Asset specific debt               $     4,580,149     $         3,995,061
Secured term loan, net                    738,180                 739,762
Total debt                              5,318,329               4,734,823
Less: cash and cash equivalents          (461,002 )              (310,194 )
Net Debt                          $     4,857,327     $         4,424,629
Total Stockholders' Equity        $     2,590,406     $         2,604,267
Net Debt-to-Equity Ratio                     1.9x                    1.7x
Non-consolidated senior loans           1,038,316               1,063,939
Total Leverage                    $     5,895,643     $         5,488,568
Total Leverage Ratio                         2.3x                    2.1x


Sources of Liquidity

Our primary sources of liquidity include cash and cash equivalents, interest
income from our loans, loan repayments, available borrowings under our secured
revolving repurchase facilities and identified borrowing capacity related to our
notes payable and loan participations sold, borrowings under our Secured Term
Loan, and proceeds from the issuance of our common stock. The following table
sets forth, as of June 30, 2022 and December 31, 2021, our sources of available
liquidity ($ in thousands):

                                               June 30, 2022       December 31, 2021
Cash and cash equivalents                     $       461,002     $           310,194
Loan principal payments held by servicer(1)            19,201                  67,100
Acquisition facility(2)                               150,000                       -
Total sources of liquidity                    $       630,203     $           377,294




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(1)

Represents loan principal repayments held in vaults or by our third-party loan servicer at the balance sheet date that were remitted to us during the next remittance cycle, net of the related secured debt balance.

(2)

The acquisition facility generally provides bridge financing for qualifying loans for up to 180 days.

We have $735.3 million unpaid principal balance of unencumbered loans at June
30, 2022. In addition, we have $596.5 million of undrawn capacity on existing
secured financing commitments relating to both the current unpaid principal
balance of our loan portfolio and our unfunded commitments. Such commitments are
subject to pledging additional collateral that is subsequently approved by our
financing counterparty.

Liquidity Needs

In addition to our ongoing loan origination and acquisition activity, our
primary liquidity needs include future fundings to our borrowers on our unfunded
loan commitments, interest and principal payments on outstanding borrowings
under our financings, operating expenses and dividend payments to our
stockholders necessary to satisfy REIT dividend requirements. Additionally, our
financing, repurchase and term loan agreements require us to maintain minimum
levels of liquidity in order to satisfy certain financial covenants. We
currently maintain, and seek to maintain, excess cash and liquidity to comply
with minimum liquidity requirements under our financings, and if necessary, to
reduce borrowings under our secured financings, including our repurchase
agreements.

As of June 30, 2022, we had aggregate unfunded loan commitments of $1.7 billion
which comprise funding for capital expenditures and construction, leasing costs,
and interest and carry costs, and their funding will vary depending on the
progress of capital projects, leasing, and cash flows at the properties securing
our loans. Therefore, the exact timing and amounts of such future loan fundings
are uncertain and will depend on the current and future performance of the
underlying collateral assets. We expect to fund our loan commitments over the
remaining maximum term of the related loans, which have a weighted-average
future funding period of 2.6 years.

Contractual obligations and commitments

Our contractual obligations and commitments as of June 30, 2022 were as follows
($ in thousands):

                                                                     Payment Timing
                                         Total          Less than         1 to            3 to          More than
                                      Obligations        1 year          3 years         5 years         5 years
Unfunded loan commitments(1)          $  1,669,938     $    47,524     $ 1,181,536     $   440,878     $          -
Secured financings, term loan
agreement, and debt
  related to real estate owned-
principal and interest(2)                5,891,513       1,021,615       3,110,946       1,758,952                -
Total                                 $  7,561,451     $ 1,069,139     $ 4,292,482     $ 2,199,830     $          -




(1)
The allocation of our unfunded loan commitments is based on the earlier of the
commitment expiration date and the initial loan maturity date, however we may be
obligated to fund these commitments earlier than such date.
(2)
The allocation of our secured financings and term loan agreement is based on the
current maturity date of each individual borrowing under the respective
agreement and excludes the impact of any extension options.
(3)
Amounts include the related future interest payment obligations, which are
estimated by assuming the amounts outstanding under our secured financing
agreements and one-month LIBOR or Term SOFR in effect as of June 30, 2022 will
remain constant into the future. This is only an estimate, as actual amounts
borrowed and rates will vary over time. Our floating rate loans and related
liabilities are indexed to one-month LIBOR or Term SOFR. Totals exclude
non-consolidated senior interests.

We are required to pay our Manager, in cash, a base management fee and incentive
fees (to the extent earned) on a quarterly basis in arrears. The tables above do
not include the amounts payable to our Manager under the Management Agreement as
they are not fixed and determinable.

As a REIT, we generally must distribute substantially all of our REIT taxable
income, determined without regard to the deduction for dividends paid and
excluding net capital gains, to stockholders in the form of dividends to comply
with certain of the provisions of the Internal Revenue Code. To the extent that
we satisfy this distribution requirement but distribute less than 100% of our
REIT taxable income, we will be subject to U.S. federal income tax on our
undistributed REIT taxable income. Our REIT taxable income does not necessarily
equal our net income as calculated in accordance with GAAP or our Distributable
Earnings as described previously.

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Loan maturities

The following table summarizes the future scheduled repayments of principal
based on initial maturity dates for the loan portfolio as of June 30, 2022 ($ in
thousands):


                Unpaid
              Principal          Loan
Year         Balance (1)      Commitment
2022         $    744,172     $   784,007
2023            1,735,005       1,909,110
2024            2,241,955       2,737,594
2025            1,549,104       2,097,368
2026              460,666         872,761
Thereafter        125,000         125,000
Total        $  6,855,902     $ 8,525,840



(1)

Excludes principal balance of defaulted loans.

Cash flow

The following table provides a breakdown of the net change in our cash and cash
equivalents and restricted cash for the six months ended June 30, 2022 and 2021
($ in thousands):


                                                             June 30, 2022       June 30, 2021
Net cash flows provided by operating activities             $        72,118 

$90,636
Net cash flows (used) generated by investing activities (372,520 )

           269,465
Net cash flows (used in) provided by financing activities           463,997            (294,301 )

Net increase in cash and cash equivalents

  and restricted cash                                       $       163,595     $        65,800



We experienced a net increase in cash and cash equivalents and restricted cash
of $164.0 million during the six months ended June 30, 2022, compared to a net
decrease of $65.8 million during the six months ended June 30, 2021.


During the six months ended June 30, 2022, we made initial fundings of $1.3
billion of new loans and $312.2 million of advances on existing loans and made
repayments on financings arrangements of $920.3 million. We received $1.5
billion of proceeds from borrowings under our financing arrangements, received
$1.0 billion from loan repayments and received $132.2 million of sales proceeds.

Income taxes

We have elected and believe we have qualified to be taxed as a REIT for U.S.
federal income tax purposes, commencing with our initial taxable year ended
December 31, 2015. We generally 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, to maintain our REIT status. To the extent
that we satisfy this distribution requirement, but distribute less than 100% of
our REIT taxable income, we will be subject to U.S. federal income tax on our
undistributed REIT taxable income. In addition, we will be subject to a 4%
nondeductible excise tax if the actual amount that we pay (or are treated as
paying) out to our stockholders in a calendar year is less than a minimum amount
specified under U.S. federal tax laws. Our real estate owned is held in a TRS.
Our TRS is not consolidated for U.S. federal income tax purposes and is taxed
separately as a corporation. For financial reporting purposes, a provision or
benefit for current and deferred taxes is established for the portion of
earnings or expense recognized by us with respect to our TRS.

Our qualification as a REIT also depends on our ability to meet various other
requirements imposed by the Internal Revenue Code, which relate to
organizational structure, diversity of stock ownership and certain restrictions
with regard to the nature of our assets and the sources of our income. Even if
we qualify as a REIT, we may be subject to certain U.S. federal income and
excise taxes and state and local taxes on our income and assets. If we fail to
maintain our qualification as a REIT for any taxable year, we may be subject to
material penalties as well as federal, state and local income tax on our REIT
taxable income at regular corporate rates and we would not be able to qualify as
a REIT for the subsequent four full taxable years. As of June 30, 2022, we were
in compliance with all REIT requirements.

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Refer to Note 12 of our consolidated financial statements for further information on our income taxes.

Off-balance sheet arrangements

From June 30, 2022we had no off-balance sheet arrangements.

Significant Accounting Policies and Estimates

Our discussion and analysis of our financial condition and results of operations
is based upon our consolidated financial statements, which have been prepared in
accordance with GAAP. The preparation of these financial statements requires our
Manager to make estimates, judgments and assumptions that affect the reported
amounts of assets and liabilities and the disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenue and expenses during the reporting periods. We believe that all of the
decisions and estimates are reasonable, based upon the information available to
us. We believe that the following accounting policies are those most critical to
the judgments and estimates used in the preparation of our financial statements.

Refer to Note 2 to our Consolidated Financial Statements for a description of our significant accounting policies.

Current Expected Credit Losses (“CECL”)

The CECL reserve required under ASU 2016-13 "Financial Instruments - Credit
Losses - Measurement of Credit Losses on Financial Instruments (Topic 326)"
("ASU 2016-13"), reflects our current estimate of potential credit losses
related to our loan portfolio. The initial CECL allowance recorded on January 1,
2021 is reflected as a direct charge to retained earnings on our consolidated
statements of changes in redeemable common stock and stockholders' equity.


For our loan portfolio, we, with assistance from a third-party service provider,
performed a quantitative assessment of the impact of CECL using the Expected
Loss, or EL, approach and the Lifetime Loss Rate, or LLR, method depending on
the allocated bucket. For transitional loans, steady & improving loans and
stabilized loans, we have applied an EL approach because of the consistency in
assessing credit risks and estimating expected credit losses. Due to the nature
of construction loans, where repayment does not depend on the operating
performance of the underlying property, we have applied a LLR approach to
estimate the CECL impacts. In certain circumstances we may determine that a loan
is no longer suited for the model-based approach due to its unique risk
characteristics, or because the repayment of the loan's principal is
collateral-dependent. We may instead elect to employ different methods to
estimate loan losses that also conform to ASU 2016-13 and related guidance. If
the recovery of that loan's principal balance is entirely collateral-dependent,
we may assess such an asset individually and elect to apply a practical
expedient in accordance with ASU 2016-13. Our allowance for loan losses reflects
our estimation of the current and future economic conditions that impact the
performance of the commercial real estate assets securing our loans. These
estimations include unemployment rates, interest rates, price indices for
commercial property, and other macroeconomic factors that may influence the
likelihood and magnitude of potential credit losses for our loans during their
anticipated term. We license certain macroeconomic financial forecasts to inform
our view of the potential future impact that broader economic conditions may
have on its loan portfolio's performance. The forecasts are embedded in the
licensed model that we use to estimate our allowance for loan losses as
discussed below. Selection of these economic forecasts require significant
judgment about future events that, while based on the information available to
us as of the respective balance sheet dates, are ultimately unknowable with
certainty, and the actual economic conditions impacting our loan portfolio could
vary significantly from the estimates we made for the periods presented.
Additionally, we assess the obligation to extend credit through our unfunded
loan commitments over each loan's contractual period, which is considered in the
estimation of the allowance for loan losses.


Real estate held, net

We may assume legal title or physical possession of the underlying collateral of
a defaulted loan through foreclosure. Foreclosed real estate owned, net is
initially recorded at estimated fair value and is presented net of accumulated
depreciation and impairment charges and the assets and liabilities are presented
separately when legal title or physical possession is assumed. If the fair value
of the real estate is lower than the carrying value of the loan, the difference,
along with any previously recorded Specific CECL Allowances, are recorded as a
realized loss on investments in the consolidated statement of operations.
Conversely, if the fair value of the real estate is greater than the carrying
value of the loan, the difference, along with any previously recorded Specific
CECL Allowances, are recorded as a realized gain on investments in the
consolidated statement of operations.

Acquisition of real estate is accounted for using the acquisition method under
Accounting Standards Codification ("ASC") Topic 805, "Business Combinations." We
recognize and measure identifiable assets acquired, liabilities assumed and any
noncontrolling interest in the acquiree, if applicable, based on their relative
fair values. If applicable, we recognize and measure intangible assets and
expense acquisition-related costs in the periods in which the costs are incurred
and the services are received.


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Real estate assets that are acquired for investment are assumed at their
estimated fair value at acquisition and presented net of accumulated
depreciation and impairment charges, if any. Upon acquisition, we allocate the
value of acquired real estate assets based on the fair value of the acquired
land, building, furniture, fixtures and equipment, and intangible assets, if
applicable. Real estate assets are depreciated using the straight-line method
over estimated useful lives of up to 40 years for buildings and up to 8 years
for furniture, fixtures and equipment. Renovations and/or replacements that
improve or extend the life of the real estate asset are capitalized and
depreciated over their estimated useful lives. The cost of ordinary repairs and
maintenance are expensed as incurred.

Real estate assets are evaluated for indicators of impairment on a quarterly
basis. Factors that we may consider in its impairment analysis include, among
others: (1) significant underperformance relative to historical or anticipated
operating results; (2) significant negative industry or economic trends; (3)
costs necessary to extend the life or improve the real estate asset; (4)
significant increase in competition; and (5) ability to hold and dispose of the
real estate asset in the ordinary course of business. A real estate asset is
considered impaired when the sum of estimated future undiscounted cash flows
expected to be generated by the real estate asset over the estimated remaining
holding period is less than the carrying amount of such real estate asset. Cash
flows include operating cash flows and anticipated capital proceeds generated by
the 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, 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.

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