Quarterly Report for Quarter Ending SEPTEMBER 30, 2026 (Form 10-Q)

Management's Discussion and Analysis of Financial Condition and Results of Operations

References herein to "Starwood Credit Real Estate Income Trust" "Company," "we," "us," or "our" refer to Starwood Credit Real Estate Income Trust and its subsidiaries unless the context specifically requires otherwise.

The following discussion should be read in conjunction with the condensed consolidated financial statements and notes thereto appearing elsewhere in this Quarterly Report on Form 10-Q.

Forward-Looking Statements

Some of the statements in this Quarterly Report on Form 10-Q constitute forward-looking statements because they relate to future events or our future performance or financial condition. The forward-looking statements contained in this Quarterly Report on Form 10-Q may include statements as to:

In addition, words such as "anticipate," "believe," "expect" and "intend" indicate a forward-looking statement, although not all forward-looking statements include these words. The forward-looking statements contained in this Quarterly Report on Form 10-Q involve risks and uncertainties. Our actual results could differ materially from those implied or expressed in the forward-looking statements for any reason, including the factors set forth in "Item 1A. Risk Factors" section of our Annual Report on Form 10-K for the year ended December 31, 2025 and elsewhere in this Quarterly Report on Form 10-Q. Other factors that could cause actual results to differ materially include:

Although we believe the assumptions underlying the forward-looking statements, are reasonable, any of the assumptions could be inaccurate, and, as a result, the forward-looking statements based on those assumptions also could be inaccurate. In light of these and other uncertainties, the inclusion of a projection or forward-looking statement in this Quarterly Report on Form 10-Q should not be regarded as a representation by us that our plans and objectives will be achieved. These forward-looking statements apply only as of the date of this Quarterly Report on Form 10-Q. Moreover, we assume no duty and do not undertake to update the forward-looking statements.

Overview

We are a Maryland statutory trust formed on June 28, 2023 and we have elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes, commencing with our taxable year ended December 31, 2023. We are externally managed by our investment advisor, Starwood Credit Advisors, L.L.C. ("Advisor"), an indirect, wholly-owned subsidiary of Starwood Capital Group Holdings L.P. ("Starwood Holdings" and together with any entity that is controlled by, controls or is under common control with Starwood Holdings, and any of their respective predecessor entities, "Starwood Capital" or the "Sponsor"). Starwood Capital is a private investment firm with a primary focus on global real estate. Since its inception in 1991, Starwood Capital has raised over $95 billion of capital and currently has over $130 billion of assets under management.

Our investment objectives are to invest primarily in debt on high quality assets that will enable us to:

Our investment strategy is to originate, acquire, finance and manage a portfolio of primarily CRE debt investments, focused on senior secured, floating-rate CRE loans diversified across both geography and asset class. Our CRE loans are primarily secured by properties located in the U.S. and Europe and include multifamily, industrial and select other CRE asset classes, such as medical office and senior housing. To a lesser extent, we may invest in (1) other real asset lending strategies, including infrastructure loans, and (2) other real estate-related debt and equity securities, including commercial mortgage-backed securities ("CMBS") and collateralized loan obligations ("CLOs").

Our board of trustees has ultimate oversight and policy-making authority over us, including responsibility for governance, financial controls, compliance and disclosure. Pursuant to an advisory agreement with the Advisor (the "Advisory Agreement"), we delegated to the Advisor the authority to source, evaluate and monitor our investment opportunities and make decisions related to the acquisition, management, financing and disposition of our assets, in accordance with our investment objectives, guidelines, policies and limitations, subject to oversight by our board of trustees.

We are structured as a non-listed, perpetual-life REIT, and therefore our securities are not listed on a national securities exchange and, as of the date of this Quarterly Report on Form 10-Q, there is no plan to list our securities on a national securities exchange. We are organized as a holding company and conduct our business primarily through our various subsidiaries. We have elected to be taxed as a REIT under the Internal Revenue Code of 1986, as amended, for U.S. federal income tax purposes and generally will not be subject to U.S. federal income taxes on our taxable income to the extent we annually distribute all of our REIT taxable income to shareholders and maintain our qualification as a REIT.

We are conducting a continuous private offering of our common shares in reliance on an exemption from the registration requirements of the Securities Act of 1933, as amended (the "Securities Act"), to investors that are (i) accredited investors (as defined in Regulation D under the Securities Act) and (ii) in the case of common shares sold outside the United States, persons that are not "U.S. persons" (as defined in Regulation S under the Securities Act), which commenced on October 31, 2023. We intend to use the net proceeds from the offering primarily to make investments in commercial real estate debt and real estate-related securities consistent with our investment guidelines and for other general corporate purposes. We intend to continue selling our common shares in our continuous private offering on a monthly basis.

We are not aware of any material trends or uncertainties, favorable or unfavorable, other than national economic conditions affecting real estate generally, that may be reasonably anticipated to have a material impact on either capital resources or the revenues or income to be derived from our real estate debt investments or real estate-related securities, other than those referred to in this Quarterly Report on Form 10-Q.

Q3 2026 Highlights

Capital Activity and Distributions

Investments

Financing Activity

Financial Condition

Investment Activities

The table below presents a summary of our loans receivable portfolio as of September 30, 2026 (dollars in thousands):

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Summary of Portfolio

The following charts further describe the composition of our investments in loans based on fair value as of September 30, 2026:

Financing Activities

We finance the majority of our loan portfolio through repurchase agreements. We elect the fair value option on a borrowing-by-borrowing basis. Secured financings for which we have elected the fair value option are carried at fair value, and all other secured financings are carried at amortized cost, net of deferred financing costs. The table below presents the principal balance outstanding and carrying value by measurement basis (dollars in thousands). Refer to Note 4 - "Secured financings" for further information.

The table below summarizes our repurchase agreement borrowings as of September 30, 2026 (dollars in thousands):

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On each of April 21, 2026 and July 30, 2026, we entered into an Amended and Restated Master Repurchase Agreement with Citibank (as amended and restated, and as further amended on August 25, 2026, and together with the related transaction documents, the "Citibank Repurchase Agreement"). As amended, the Citibank Repurchase Agreement provides for asset purchases of up to $950.0 million (reflecting an increase from the previous $800.0 million limit) by Citibank. The initial facility expiration date is April 21, 2028, subject to three (3) one-year extension options exercisable at our option (which, if all are exercised, would extend the maximum facility expiration date to April 21, 2031), in each case subject to the satisfaction of certain predefined conditions, including compliance with certain financial and administrative covenants, and payment of applicable extension fees. In connection with the amendment and restatement, SCREDIT CA Fundings, LLC was added as an additional special-purpose subsidiary seller under the facility. Borrowings bear interest at one-month Term SOFR plus a spread and interest is paid monthly. Recourse to us is limited to 25% of the then outstanding obligations of the special purpose (indirect) subsidiaries that are wholly-owned by us that borrow funds under the Citibank Repurchase Agreement. In addition, the Citibank

Repurchase Agreement permits the sale of mortgaged properties located outside of the United States of America to Citibank by us, including properties whose applicable purchase price is denominated in euros, Swiss francs, pounds sterling or Australian dollars.

On April 23, 2024, we entered into the MS-International Repurchase Agreement, with Morgan Stanley, to finance the acquisition and origination by us of eligible investment assets as more particularly described in the MS-International Repurchase Agreement. The borrowing facility is subject to one or more one-year extension options at the option of Morgan Stanley. The extensions are subject to satisfaction of certain predefined conditions including compliance with certain financial and administrative covenants. Interest is paid quarterly. Recourse to us is limited to 25% of the then outstanding obligations of the special purpose (indirect) subsidiaries that are wholly-owned by us that borrow funds under the MS-International Repurchase Agreement.

On June 21, 2024, we entered into the WF Repurchase Agreement, with Wells Fargo, to finance the acquisition and origination by us of eligible investment assets as more particularly described in the WF Repurchase Agreement. On November 4, 2025, we amended the WF Repurchase Agreement to, among other things, increase the maximum amount available for asset purchases by Wells Fargo to up to $500.0 million (reflecting an increase from $250.0 million) and extend the initial maturity date to November 14, 2027 (from June 21, 2026). The borrowing facility has up to three one-year extension options, subject to satisfaction of certain predefined conditions including compliance with certain financial and administrative covenants, as well as payment of applicable extension fees. Interest is paid monthly. Recourse to us is limited to 25% of the then outstanding obligations of the special purpose (indirect) subsidiaries that are wholly-owned by us that borrow funds under the WF Repurchase Agreement.

On July 25, 2024, we entered into the MS-US Repurchase Agreement, with MSMCH, as administrative agent for Morgan Stanley, as a buyer, to finance the acquisition and origination by us of eligible investment assets as more particularly described in the MS-US Repurchase Agreement. The MS-US Repurchase Agreement provides for asset purchases by MSMCH on behalf of Morgan Stanley of up to $200.0 million, which was increased by amendment to $250.0 million in September 2025, as more particularly described in the MS-US Facility. The maturity date of the MS-US Facility is July 25, 2027, subject to a one (1) year extension at our option and, if such option is exercised, another one (1) year extension at our request subject to the consent of MSMCH, in each case, subject to satisfaction of certain customary conditions. Recourse to us is limited to 25% of the then outstanding obligations of the special purpose (indirect) subsidiaries that are wholly-owned by us that borrow funds under the MS-US Repurchase Agreement.

Each of the Citibank Repurchase Agreement, MS-International Repurchase Agreement, WF Repurchase Agreement and the MS-US Repurchase Agreement and the respective guaranty agreements contain representations, warranties, covenants, events of default and indemnities that are customary for agreements of their type. We were in compliance with all covenants as of September 30, 2026 and December 31, 2025, respectively.

Results of Operations

The following table sets forth information regarding our condensed consolidated results of operations for the three months ended September 30, 2026 and 2025, respectively:

Revenues

During the three months ended September 30, 2026, revenues totaled approximately $29.9 million, and consisted of interest income of approximately $26.8 million and other revenue of approximately $3.1 million. During the three months ended September 30, 2025, revenues totaled approximately $21.7 million, and consisted of interest income of approximately $18.5 million and other revenues of approximately $3.2 million. The increase was primarily due to the larger loan portfolio, which resulted in an approximate $8.3 million increase in the interest income during the three months ended September 30, 2026, as compared to the same period ended September 30, 2025.

Expenses

During the three months ended September 30, 2026 and 2025, interest expense was approximately $17.4 million and $11.7 million, respectively. The approximate $5.8 million increase in interest expense was due to the larger debt balances outstanding related to the financing of the expanded loan investment portfolio, as described above. During the three months ended September 30, 2026 and 2025, financing fees totaled $0.6 million and $0.4 million, respectively, which were primarily comprised of commitment fees paid to lenders in association with our repurchase facilities.

General and administrative expenses primarily relate to professional fee expenses and other operating expenses, including audit fee expense, legal fee expense and tax compliance fees. During the three months ended September 30, 2026 and 2025, general and administrative expenses were approximately $1.0 million and $0.5 million, respectively, and the increase is a result of an increase in professional fee expense.

As compensation for its services provided pursuant to the Advisory Agreement, the Advisor is paid a management fee (the "Management Fee") equal to 1.25% of NAV per annum for the outstanding Class T shares, Class S shares, Class D shares, and Class I shares, payable monthly in arrears. For the three months ended September 30, 2025, we did not incur any Management Fees due to a temporary waiver of Management Fees. Refer to Note 10 - "Related Party Transactions" for further information. On July 1, 2026, pursuant to the Advisory Agreement Amendment, the additional waiver of the Management Fee agreed to by the Advisor ended and accordingly, the Advisor began earning Management Fees commencing July 1, 2026, in accordance with the terms of the Advisory Agreement. For the three months ended September 30, 2026, the Company incurred management fees of approximately $1.2 million.

The Advisor may be entitled to receive a performance fee (the "Performance Fee"), which is accrued monthly and payable quarterly (or part thereof that the Advisory Agreement is in effect) in arrears. Performance Fees are earned by our Advisor based on achieving certain performance hurdles as a percentage of average adjusted capital. For the three months ended September 30, 2026 and 2025, Performance Fees were approximately $1.3 million and $1.3 million, respectively.

During the three months ended September 30, 2026, the total gains from operations and financing, net decreased approximately $0.8 million compared to the three months ended September 30, 2025. The decrease was primarily due to a decrease in unrealized gains on derivative instruments, net of approximately $0.8 million and a decrease in unrealized gains on loans receivable, at fair value, of approximately $0.6 million, partially offset by a decrease in foreign currency translation losses of approximately $0.5 million and a decrease in unrealized losses on secured financings, at fair value, of approximately $0.1 million. Our foreign exchange forward contracts economically hedge our net foreign currency exposure, and changes in their fair value therefore generally offset a portion of foreign currency translation gains and losses. On a combined basis, foreign currency translation and derivative instruments resulted in a net loss of $0.2 million, compared to a net gain of $0.1 million for the three months ended September 30, 2025.

The following table sets forth information regarding our condensed consolidated results of operations for the nine months ended September 30, 2026 and 2025, respectively:

Revenues

During the nine months ended September 30, 2026, revenues totaled approximately $78.7 million, and consisted of interest income of approximately $73.7 million and other revenue of approximately $5.0 million. During the nine months ended September 30, 2025, revenues totaled approximately $58.9 million, and consisted of interest income of approximately $53.1 million and other revenues of approximately $5.9 million. The increase was primarily due to the larger loan portfolio, which resulted in an approximate $20.6 million increase in the interest income during the nine months ended September 30, 2026, as compared to the same period ended September 30, 2025.

Expenses

During the nine months ended September 30, 2026 and 2025, interest expense was approximately $48.1 million and $34.1 million, respectively. The approximate $14.1 million increase in interest expense was due to the larger debt balances outstanding related to the financing of the expanded loan investment portfolio, as described above. During the nine months ended September 30, 2026 and 2025, financing fees totaled approximately $0.8 million and $0.7 million, respectively, which were primarily comprised of commitment fees paid to lenders in association with our repurchase facilities.

General and administrative expenses primarily relate to professional fee expenses and other operating expenses, including audit fee expense, legal fee expense and tax compliance fees. During the nine months ended September 30, 2026 and 2025, general and administrative expenses were approximately $3.3 million and $2.5 million, respectively, and the increase is a result of an increase in professional fee expense.

As compensation for its services provided pursuant to the Advisory Agreement, the Advisor is paid a management fee (the "Management Fee") equal to 1.25% of NAV per annum for the outstanding Class T shares, Class S shares, Class D shares, and Class I shares, payable monthly in arrears. For the six months ended June 30, 2026 and the nine months ended September 30, 2025, we did not incur any Management Fees due to a temporary waiver of Management Fees. Refer to Note 10 - "Related Party Transactions" for further information. On July 1, 2026, pursuant to the Advisory Agreement Amendment, the additional waiver of the Management Fee agreed to by

the Advisor ended and accordingly, the Advisor began earning Management Fees commencing July 1, 2026, in accordance with the terms of the Advisory Agreement. For the three months ended September 30, 2026, we incurred management fees of approximately $1.2 million.

The Advisor may be entitled to receive a performance fee (the "Performance Fee"), which is accrued monthly and payable quarterly (or part thereof that the Advisory Agreement is in effect) in arrears. Performance Fees are earned by our Advisor based on achieving certain performance hurdles as a percentage of average adjusted capital. For the nine months ended September 30, 2026 and 2025, Performance Fees were approximately $3.0 million and $2.5 million, respectively. The increase is primarily due to an increase in core earnings for the nine months ended September 30, 2026 compared to the nine months ended September 30, 2025.

During the nine months ended September 30, 2026, total gains from operations and financing, net decreased approximately $1.9 million compared to the nine months ended September 30, 2025. The decrease was primarily due to foreign currency translation, which was a loss of $1.1 million compared to a gain of $2.7 million, reflecting the weakening of the British pound against the U.S. dollar during 2026, compared to strengthening during 2025, and a decrease in unrealized gains on loans receivable, at fair value, of approximately $1.7 million. These decreases were partially offset by unrealized gains on derivative instruments of $0.8 million, compared to unrealized losses of $2.5 million, and a decrease in unrealized losses on secured financings, at fair value, of approximately $0.3 million. On a combined basis, foreign currency translation and derivative instruments resulted in a net loss of $0.4 million, compared to a net gain of $0.2 million for the nine months ended September 30, 2025.

Liquidity and Capital Resources

Liquidity is a measure of our ability to meet our cash requirements, including ongoing commitments to repay borrowings, fund and maintain our assets and operations, make new investments where appropriate, pay distributions to our shareholders and other general business needs. We closely monitor our liquidity position and believe that we have sufficient current liquidity and access to additional liquidity to meet our financial obligations for at least the next 12 months.

Starwood Capital has agreed, from time to time, to purchase from us an aggregate amount of not less than $150 million in Class E shares, at a price per share equal to our most recently determined NAV of its Class E shares (the "Initial Capitalization").

Starwood Capital may, from time to time, request to have such Class E shares repurchased by us at a price per share equal to the most recently determined NAV per Class E share as of the repurchase date. The Class E shares issued in the Initial Capitalization are not eligible for repurchase pursuant to our share repurchase plan and are not therefore subject to the quarterly repurchase limit or the Early Repurchase Deduction. As of September 30, 2026, Starwood Capital has purchased $31.5 million in our Class E shares.

In addition, California State Teachers' Retirement System ("CalSTRS") has agreed, from time to time, to purchase an aggregate amount of up to $200 million of our Class I shares on or before July 16, 2027, at a price per share equal to our most recently determined NAV of our Class I shares (the "CalSTRS Commitment"). CalSTRS has agreed to hold all of the Class I shares it receives in respect of the CalSTRS Commitment until the earlier of (i) the first date that our NAV reaches $1.5 billion and (ii) July 16, 2029, at which point CalSTRS may, from time to time, request that we repurchase its Class I shares through our share repurchase plan. As of September 30, 2026, CalSTRS has purchased an aggregate of $92.5 million of our Class I shares pursuant to the terms of the CalSTRS Commitment.

We expect to generate cash primarily from (i) the net proceeds of our continuous private offering, (ii) cash flows from our operations, (iii) existing borrowing facilities and any financing arrangements we may enter into in the future and (iv) any future offerings of our equity or debt securities.

Our primary uses of cash will be for (i) origination or acquisition of commercial mortgage loans and other commercial debt investments, CMBS and other commercial real estate-related debt investments, (ii) the cost of operations (including the Management Fee and Performance Fee), (iii) debt service of any borrowings, (iv) periodic repurchases, including under our share repurchase plan (as described herein), and (v) cash distributions to the holders of our shares to the extent declared by our board of trustees.

We will seek to enter into additional bank debt, credit facility, and / or other financing arrangements on at least customary and market terms; however, such incurrence would be subject to prevailing market conditions, our liquidity requirements, contractual and regulatory restrictions and other factors.

As of September 30, 2026, we have established multiple loan repurchase facilities. We have pledged various loans as collateral and, based on the value of the loans pledged as collateral and the maximum advanced rates attributed to each loan by the lender, are permitted to borrow as much as $313.3 million. As of September 30, 2026, we had approximately $1.5 billion in outstanding debt. Refer to Note 3 - "Loans Receivable, at fair value" and Note 4 - "Secured financings" for further information.

Our primary sources of liquidity include cash and cash equivalents and available borrowings under our secured financing agreements. The following table summarizes amounts available under these sources (dollars in thousands):

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Cash Flows

The following table provides a breakdown of the net change in our cash and cash equivalents (dollars in thousands):

Cash flows provided by operating activities increased by approximately $1.3 million during the nine months ended September 30, 2026 compared to the nine months ended September 30, 2025, primarily due to an increase in net interest income due to a larger loan portfolio as a result of an increase in loan origination and overall investment activity throughout the year ended December 31, 2025 and during the nine months ended September 30, 2026.

Cash flows used in investing activities increased by approximately $351.1 million during the nine months ended September 30, 2026 compared to the nine months ended September 30, 2025, primarily due to loan originations and future fundings of approximately $601.4 million during the nine months ended September 30, 2026 compared to approximately $332.7 million of loan originations and future fundings during the nine months ended September 30, 2025. This increase was also impacted by a reduction in proceeds received from loan repayments as a result of approximately $101.1 million of loan repayments during the nine months ended September 30, 2026 compared to $183.5 million of loan repayments during the nine months ended September 30, 2025.

Cash flows provided by financing activities increased by approximately $356.4 million during the nine months ended September 30, 2026 compared to the nine months ended September 30, 2025, primarily due to an increase of approximately $316.1 million in net borrowings on our secured financing lines and an approximate $57.8 million increase in net proceeds from the issuance of our common shares. This was partially offset by an increase in distributions of $9.9 million and an increase in repurchases of common shares of $2.7 million during the nine months ended September 30, 2026 compared to the nine months ended September 30, 2025.

NAV and NAV Per Share Calculation

For the purposes of the monthly NAV computations, our board of trustees, including a majority of our independent trustees, adopted valuation guidelines that contain a comprehensive set of methodologies used by the Advisor and our Independent Valuation Advisor. These guidelines are designed to produce a fair and accurate estimate of the price that would be received for our investments in an arm's-length transaction between a willing buyer and a willing seller in possession of all material information about our investments. Periodically, our board of trustees, including a majority of our independent trustees, reviews the appropriateness of our valuation procedures. From time to time, our board of trustees, including a majority of our independent trustees, may adopt changes to the valuation guidelines if it (1) determines that such changes are likely to result in a more accurate reflection of NAV or a more efficient or less costly procedure for the determination of NAV without having a material adverse effect on the accuracy of such determination or (2) otherwise reasonably believes a change is appropriate for the determination of NAV. Refer to Item 7. - "Management's Discussion and Analysis of Financial Condition and Results of Operations" on our Annual Report on Form 10-K for further information on the valuation methods used for the purposes of determining the valuations of our assets and liabilities, calculating related unrealized gains and losses and our monthly NAV.

With regard to the NAV calculations, the same fair values of assets and liabilities determined by the application of the methods cited above are generally used in monthly NAV calculations. To calculate our NAV for purposes of establishing a purchase and repurchase price for our common shares, we have adopted a model that calculates the fair values of our assets and liabilities in accordance with our valuation guidelines. Because these fair value calculations involve significant professional judgment in the application of both observable and unobservable inputs, the calculated fair value of our assets may differ from their actual realizable value or future fair value. While we believe our NAV calculation methodologies are consistent with standard industry practices, there is no rule or regulation that requires we

calculate NAV in a certain way. As a result, other REITs may use different methodologies or assumptions to determine NAV. In addition, NAV is not a measure used under U.S. GAAP and the valuations of and certain adjustments made to our assets and liabilities used in the determination of NAV differ from U.S. GAAP. Shareholders should not consider NAV to be equivalent to shareholders' equity or any other U.S. GAAP measure. The calculation of our NAV is intended to be a calculation of the fair value of our assets less our outstanding liabilities as described below and will likely differ from the book value of our equity reflected in our financial statements. Each report prepared by the Independent Valuation Advisor is addressed solely to us. The Independent Valuation Advisor's reports are not addressed to the public and may not be relied upon by any other person to establish value of the facilities that will be used in calculating NAV. Our board of trustees has delegated to the Advisor the responsibility for monitoring significant events that may materially affect the values of our facilities for determining whether the existing valuations should be re-evaluated prior to the next scheduled monthly valuation in light of such significant events.

Each class will have an undivided interest in our assets and liabilities, other than class-specific shareholder servicing fees, distributions payable, the Management Fee and the Performance Fee. In accordance with the valuation guidelines, our fund administrator calculates our NAV per share for each class as of the last calendar day of each month, including the estimated fair value of (1) real estate debt and other investments owned by us and (2) any other assets and liabilities. Because shareholder servicing fees, distributions payable, the Management Fee and the Performance Fee allocable to a specific class of shares are included in the NAV calculation for that class, the NAV per share for our classes of shares may differ.

The monthly NAV for each class of shares is based on the net asset values of our investments, the addition of any other assets (such as cash on hand), and the deduction of any other liabilities (including distributions payable, accrued Management Fees, accrued Performance Fees and the deduction of any shareholder servicing fees specifically applicable to such class of shares). At the end of each month, before taking into consideration repurchases or class-specific expense accruals for that month, any change in our aggregate NAV (whether an increase or decrease) is allocated among each class of shares based on each class's relative percentage of the previous aggregate NAV plus issuances of shares that were effective on the first calendar day of such month. The NAV calculation is available generally within 15 calendar days after the end of the applicable month. Changes in monthly NAV includes, without limitation, accruals of our net portfolio income, interest expense, the Management Fee, the Performance Fee, distributions, unrealized/realized gains and losses on assets, any applicable organization and offering expenses and any expense reimbursements. Changes in monthly NAV also includes material non-recurring events occurring during the month. On an ongoing basis, the Advisor will adjust the accruals to reflect actual operating results and the outstanding receivable, payable and other account balances resulting from the accumulation of monthly accruals for which financial information is available. The operating expenses and organizational and offering expenses advanced by the Advisor will not be included in such calculations until we reimburse the Advisor for such costs.

For purposes of calculating our NAV, the organization and offering expenses and operating expenses paid by the Advisor through December 1, 2024 will not be deducted as an expense until reimbursed by us (however such expenses may be amortized in order to mitigate these effects). For any organization and offering expenses and operating expenses incurred after December 1, 2024, we reimburse the Advisor for such expenses that it incurs on behalf of us as and when incurred.

Following the aggregation of the net asset values of our investments, the addition of any other assets (such as cash on hand) and the deduction of any other liabilities, our fund administrator incorporates any class-specific adjustments to NAV, including additional issuances and repurchases of shares and accruals of class-specific distributions, Management Fees, Performance Fees and shareholder servicing fees. The declaration of distributions will reduce the NAV for each class of our shares in an amount equal to the accrual of our liability to pay any such distributions to our shareholders of record of each class. NAV per share for each class of shares is calculated by dividing such class's NAV at the end of each month by the number of shares outstanding for that class at the end of such month.

The following table provides a breakdown of the major components of our total NAV as of September 30, 2026 (dollars in thousands, except for share amount):

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The following table reconciles U.S. GAAP shareholders' equity and redeemable common shares per our Condensed Consolidated Balance Sheet to our NAV (dollars in thousands):

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The following table provides a breakdown of our total NAV and NAV per share by class as of September 30, 2026 (dollars and shares in thousands, except for per share data):

Distribution Policy

Any distributions we make will be at the discretion of our board of trustees, considering factors such as our earnings, cash flow, capital needs and general financial condition. As a result, our distribution rates and payment frequency may vary from time to time. Shareholders will not be entitled to receive a distribution if your shares are repurchased prior to the applicable time of the record date.

Our board of trustees' discretion as to the payment of distributions will be directed, in substantial part, by its determination to cause us to comply with the REIT requirements. To maintain our qualification as a REIT, we generally are required to make aggregate annual distributions to our shareholders of at least 90% of our REIT taxable income, determined without regard to the dividends-paid deduction and excluding net capital gains.

Beginning December 29, 2023, we have declared monthly distributions for each class of common shares then-outstanding, which are generally paid three business days after month-end. Each class of our common shares received the same gross distribution per share, which was in aggregate $1.3000 per share during the nine months ended September 30, 2026. The net distribution varies for each class based on the applicable shareholder servicing fee, which is deducted from the gross distribution per share and paid to the Dealer Manager.

The table below details the net distribution for each of our share classes for the nine months ended September 30, 2026:

The following table summarizes our distributions declared during the nine months ended September 30, 2026 and 2025 (in thousands):

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Critical Accounting Estimates

Our condensed consolidated financial statements are prepared in accordance with U.S. GAAP, which requires management to make estimates and assumptions that affect reported amounts. We consider an accounting estimate to be critical if it requires significant judgment and if changes in those judgments could materially affect our financial statements. We believe the following accounting estimates are most affected by management's judgment.

Fair Value Option

We have elected the fair value option under ASC 825 for each of our loans receivable and certain secured financing borrowings. We measure fair value using a discounted cash flow methodology, which requires management to make estimates regarding discount rates, credit spreads, and other market inputs. The most significant of these inputs are credit spreads, which are unobservable and classified as Level 3 in the fair value hierarchy. Changes in these inputs can have a material effect on the carrying values of our loans receivable and secured financings, and consequently on our reported unrealized gains and losses and net income. Refer to Note 5 - "Fair Value Measurements" for further information, including the range of discount rates applied.

Revenue Recognition

Our revenue consists primarily of interest income and origination fees. Interest income on performing loans is accrued based on the outstanding principal balance and contractual terms of each instrument, and is recognized in Interest income on our Condensed Consolidated Statements of Operations. For loans for which we have elected the fair value option, loan origination fees and direct origination costs are recognized immediately in Other revenue upon loan origination, rather than being deferred and amortized over the loan term. For loans for which the fair value option is not elected, origination fees and costs would instead be recognized in Interest income over the loan term as a yield adjustment using the effective interest method. The determination of whether the fair value option has been appropriately elected for each instrument requires judgment, as the election is irrevocable once made and drives both the timing and income statement classification of origination fee income. As of September 30, 2026, we have elected the fair value option for each of our outstanding loans and, accordingly, all origination fees are recognized at inception and interest income is accrued on the contractual outstanding principal balance without adjustment for deferred fees or costs. Refer to Note 2 - "Summary of Significant Accounting Policies" for further information.

Recent Accounting Developments

Refer to Note 2 - "Summary of Significant Accounting Policies" to the financial statements for a discussion of recent accounting developments and the expected impact to our financial statements.

Subsequent Events

Capital Raise Activity

During the period from October 1, 2026 through November 12, 2026, we issued the following shares, including shares issued under the DRIP (in thousands, except for share amounts):

Investment Activity

During the period from October 1, 2026 through November 12, 2026, we originated one U.S. commercial real estate loan with a total outstanding principal amount of $104.6 million and a total loan amount of $118.9 million. The loan earns interest at one-month term SOFR plus a spread for an interest rate of approximately 6.0% based on the interest rate in effect at origination and has an initial maturity date of November 2029.

During the period from October 1, 2026 through November 12, 2026, we received $113.5 million in net proceeds attributable to the full principal repayment of three loan receivables, at par, less repayments of secured financings on these loan receivables.

Financing Activity

On November 10, 2026, we entered into a second amendment to the MS-US Repurchase Agreement. The amendment extends the maturity date of the MS-US Facility to November 10, 2029, with no extension options, and increases the maximum amount of asset purchases under the facility from $250.0 million to $350.0 million.