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Item 2. Management’s Discussion and Analysis

2023-04-26 compared with 2022-10-26 · 297 added, 285 removed, 588 unchanged (50% of the section changed)

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

In addition to historical data, this discussion contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, which reflect our current views with respect to, among other things, our business, operations and financial performance.

In addition to historical data, this discussion contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, or the Securities Act, and Section 21E of the Securities Exchange Act of 1934, as amended, or the Exchange Act, which reflect our current views with respect to, among other things, our business, operations and financial performance.

You can identify these forward-looking statements by the use of words such as “intend,” “goal,” “estimate,” “expect,” “project,” “projections,” “plans,” “seeks,” “anticipates,” “should,” “could,” “may,” “designed to,” “foreseeable future,” “believe,” “scheduled,” and similar expressions.

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Macroeconomic Environment

This year has been characterized by steep declines and significant volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth and geopolitical uncertainty.

Inflation across many key economies reached generational highs, prompting central banks to take monetary policy tightening actions that are likely to create headwinds to economic growth.

The ongoing war between Russia and Ukraine is also contributing to mounting inflationary pressure.

Inflation continues to rise and has caused the Federal Reserve to continue raising interest rates, which has created further uncertainty for the economy and for our borrowers.

Although our business model is such that rising interest rates will, all else being equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers.

Additionally, rising rates and increasing costs may dampen consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans.

While there is debate among economists as to whether such factors, coupled with economic contraction in the U.S.

in 2022, indicate that the U.S.

entered, or in the near term will enter, a recession, it remains difficult to predict the full impact of recent changes and any future changes in interest rates or inflation.

The three months ended March 31, 2023 have been characterized by continued volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth, and geopolitical uncertainty.

Recent bank failures and consolidations, and other events affecting financial institutions, have also contributed to volatility in global markets and resulted in diminished liquidity and credit availability in the market broadly.

The ongoing and potential future impacts of the war between Russia and Ukraine is also contributing to economic and geopolitical uncertainty.

Continued inflation has prompted central banks to take monetary policy tightening actions, including raising interest rates, which has created further uncertainty for the economy and for our borrowers.

Although our business model is such that rising interest rates will, all else equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers and lead to nonperformance.

Additionally, rising rates and increasing costs may dampen

consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans.

It remains difficult to predict the full impact of recent events and any future changes in interest rates or inflation.

Reference Rate Reform

LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, are the subject of recent national, international and regulatory guidance and proposals for reform.

As of December 31, 2021, the ICE Benchmark Association, or IBA, ceased publication of all non-USD LIBOR and the one-week and two-month USD LIBOR and, as and previously announced, intends to cease publication of remaining U.S.

LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, have been the subject of national, international and regulatory guidance and proposals for reform.

As of December 31, 2021, the ICE Benchmark Association, or IBA, ceased publication of most non-USD LIBOR settings.

IBA also previously announced its intention to cease publication of remaining U.S.

dollar LIBOR settings immediately after June 30, 2023;

Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, was signed into law in the U.S.

however, in November 2022 the U.K.

Financial Conduct Authority, which regulates IBA, announced a public consultation regarding whether it should compel IBA to continue publishing “synthetic” USD LIBOR settings from June 2023 to the end of September 2024.

Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, or LIBOR Act, was signed into law in the U.S.

This legislation establishes a uniform benchmark replacement process for financial contracts maturing after June 30, 2023 that do not contain clearly defined or practicable fallback provisions.

The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Board of Governors of the Federal Reserve.

Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee composed 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 U.S.

Under the LIBOR Act, such contracts will automatically transition as a matter of law to a Secured Overnight Financing Rate, or SOFR, based replacement rate identified by the Board of Governors of the Federal Reserve System, or Federal Reserve.

The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Federal Reserve.

In December 2022, the Federal Reserve adopted a final rule to implement the LIBOR Act.

The Federal Reserve, in conjunction with the Alternative Reference Rates Committee, or ARRC, a steering committee composed of large U.S.

financial institutions, identified SOFR, a new index calculated using short-term repurchase agreements backed by U.S.

Treasury securities, as its preferred alternative rate for USD LIBOR.

As of September 30, 2022, one-month SOFR is utilized as the floating benchmark rate on 49 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under nine of our credit facilities, and our B-4 Term Loan.

As of September 30, 2022, the one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%.

Additionally, market participants have transitioned from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K.

As of September 30, 2022, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings.

At this time, it is not possible to predict how markets will respond to SOFR, SONIA, or other alternative reference rates as the transition away from USD LIBOR and GBP LIBOR proceeds.

According to the ARRC, data from the cash and derivatives markets show continued momentum in the transition from LIBOR to SOFR, and SOFR is currently predominant across cash and derivatives markets.

As of March 31, 2023, one-month term SOFR is utilized as the floating benchmark rate on 118 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under 14 of our credit facilities, and our B-4 Term Loan.

As of March 31, 2023, one-month term SOFR was 4.80% and one-month USD LIBOR was 4.86%.

Additionally, market participants have continued to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K.

As of March 31, 2023, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings.

As of March 31, 2023, 80% of our aggregate loan principal balance has either transitioned to the applicable replacement benchmark rate, or its existing benchmark rate is not expected to be replaced, and we expect to transition the remaining 20% in 2023.

At this time, it is not possible to predict how markets will respond in the future to SOFR, SONIA, or other alternative reference rates as the transition away from USD LIBOR and GBP LIBOR proceeds.

Despite the LIBOR transition in other markets, benchmark rate methodologies in Europe, Australia, Canada, Switzerland and Denmark have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, SARON and CIBOR may persist as International Organization of Securities Commissions, or IOSCO, compliant reference rates moving forward.

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As a real estate finance company, we believe the key financial measures and indicators for our business are earnings per share, dividends declared, Distributable Earnings, and book value per share.

For the three months ended September 30, 2022, we recorded basic earnings per share of $0.60, declared a dividend of $0.62 per share, and reported $0.71 per share of Distributable Earnings.

In addition, our book value as of September 30, 2022 was $27.20 per share, which is net of a $0.90 per share cumulative CECL reserve.

For the three months ended March 31, 2023, we recorded basic earnings per share of $0.68, declared a dividend of $0.62 per share, and reported $0.79 per share of Distributable Earnings.

In addition, our book value as of March 31, 2023 was $26.28 per share, which is net of a $2.04 per share cumulative CECL reserve.

As further described below, Distributable Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, which helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations.

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Earnings Per Share and Dividends Declared

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

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

Three Months Ended

September 30, 2022 June 30, 2022

Net income (1)

March 31, 2023 December 31, 2022

Net income (loss) (1)

$ 117,757 $ (47,540)

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In addition, our methodology for calculating Distributable Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings may not be comparable to the Distributable Earnings reported by other companies.

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

The following table provides a reconciliation of Distributable Earnings to GAAP net income (loss) ($ in thousands, except per share data):

Three months ended

September 30, 2022 June 30, 2022

Net income (1)

March 31, 2023 December 31, 2022

Net income (loss) (1)

$ 117,757 $ (47,540)

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Non-cash compensation expense 7,655 8,128

Realized hedging and foreign currency loss, net (2)

(1,698) (829)

Realized hedging and foreign currency gain (loss), net (2)

Adjustments attributable to non-controlling interests, net (29) (268)

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Distributable Earnings per share, basic $ 0.79 $ 0.87

(1) Represents net income attributable to Blackstone Mortgage Trust.

(1) Represents net income (loss) attributable to Blackstone Mortgage Trust.

(2) Represents realized gains (losses) on the repatriation of unhedged foreign currency.

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Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs.

Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share.

Book Value Per Share

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

September 30, 2022 June 30, 2022

March 31, 2023 December 31, 2022

Stockholders’ equity $ 4,535,227 $ 4,518,794

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Loan Portfolio

During the three months ended September 30, 2022, we originated or acquired $438.5 million of loans.

Loan fundings during the quarter totaled $443.6 million and loan repayments and sales during the quarter totaled $593.9 million.

We generated interest income of $358.6 million and incurred interest expense of $202.4 million during the quarter, which resulted in $156.2 million of net interest income during the three months ended September 30, 2022.

We generated interest income of $491.4 million and incurred interest expense of $317.2 million during the quarter, which resulted in $174.2 million of net interest income during the three months ended March 31, 2023.

Portfolio Overview

The following table details our loan origination activity ($ in thousands):

Three Months Ended September 30, 2022 Nine Months Ended September 30, 2022

Three Months Ended

March 31, 2023 December 31, 2022

Loan originations (1)

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(1) Includes new loan originations and additional commitments made under existing loans.

(2) Loan fundings during the three and nine months ended September 30, 2022, include $61.1 million and $254.4 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three and nine months ended September 30, 2022, include $10.0 million and $741.7 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests and the loan held by our non-consolidated securitized debt obligation.

The following table details overall statistics for our loan portfolio as of September 30, 2022 ($ in thousands):

(2) Loan fundings during the three months ended March 31, 2023 and December 31, 2022, include $73.8 million and $90.5 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three months ended March 31, 2023, include $1.6 million of additional repayments or reduction of loan exposure under related non-consolidated senior interests.

There were no such related loan repayments during the three months ended December 31, 2022.

The following table details overall statistics for our loan portfolio as of March 31, 2023 ($ in thousands):

Balance Sheet

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These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date.

(3) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each investment.

As of September 30, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

Excludes $632.0 million of unfunded loan commitments related to our non-consolidated senior interests, as these commitments will not require cash outlays from us.

(3) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SONIA, EURIBOR, and other indices as applicable to each investment.

As of March 31, 2023, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR or USD LIBOR.

In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

Excludes a loan accounted for under the cost-recovery method.

Excludes loans accounted for under the cost-recovery method.

(4) Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date.

As of September 30, 2022, 63% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 37% were open to repayment by the borrower without penalty.

As of March 31, 2023, 38% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 62% were open to repayment by the borrower without penalty.

(5) Based on LTV as of the dates loans were originated or acquired by us.

The following table details the index rate floors for our loan portfolio based on total loan exposure as of September 30, 2022 ($ in thousands):

The following table details the index rate floors for our loan portfolio based on total loan exposure as of March 31, 2023 ($ in thousands):

Total Loan Exposure (1)

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0.00% or no floor 4,709,486 7,031,512 11,740,998

3,815,590 7,072,364 10,887,954

0.01% to 1.00% floor 9,737,130 868,032 10,605,162

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(2) Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies.

(3) Includes a $286.3 million loan accounted for under the cost-recovery method.

(4) As of September 30, 2022, the weighted-average index rate floor of our loan portfolio was 0.37%.

(3) As of March 31, 2023, the weighted-average index rate floor of our loan portfolio was 0.37%.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.64%.

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Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.65%

The following table details the floating benchmark rates for our loan portfolio based on total loan exposure as of September 30, 2022 (total investment portfolio amounts in thousands):

The following table details the floating benchmark rates for our loan portfolio based on total loan exposure as of March 31, 2023 (total investment portfolio amounts in thousands):

Currency Total Loan Exposure (1)

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All-in Yield (3)

163 $ $ 18,298,255 USD LIBOR / SOFR (4)

158 $ $ 18,324,265 SOFR (4) / USD LIBOR

+ 3.23% + 3.61%

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(2) We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S.

We earn forward points on our forward contracts that reflect the interest rate differentials between the applicable base rate for our foreign currency investments and prevailing US interest rates.

We earn forward points on our forward contracts that reflect the interest rate differentials between the applicable base rate for our foreign currency investments and prevailing U.S.

interest rates.

These forward contracts effectively convert the foreign currency rate exposure for such investments to USD-equivalent interest rates.

(3) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

Excludes one loan accounted for under the cost-recovery method.

(4) As of September 30, 2022, $13.5 billion and $4.8 billion of loans were indexed to USD LIBOR and SOFR, respectively.

As of September 30, 2022, one-month USD LIBOR was 3.14% and SOFR was 3.04%.

Excludes loans accounted for under the cost-recovery method.

(4) As of March 31, 2023, $12.1 billion and $6.2 billion of loans were indexed to SOFR and USD LIBOR, respectively.

As of March 31, 2023, one-month SOFR was 4.80% and one-month USD LIBOR was 4.86%.

(5) Includes floating rate loans indexed to STIBOR, BBSY, CDOR, SARON, and CIBOR indices.

The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of September 30, 2022:

The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of March 31, 2023:

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(1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of March 31, 2023, which is our total loan exposure net of (i) $1.7 billion of non-consolidated senior interests, (ii) $822.9 million of asset-specific debt, (iii) $229.5 million of loan participations sold, and (iv) our aggregate CECL reserve of $336.6 million.

Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.

Refer to section VI of this Item 2 for details of our loan portfolio, on a loan-by-loan basis.

Portfolio Management

During the three months ended September 30, 2022, we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.

During the three months ended March 31, 2023, we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals.

We believe this demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.

We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility.

We believe that we will benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors.

Our loan portfolio’s low weighted-average origination LTV of 63.8% as of September 30, 2022 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption.

We believe that we benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors.

Our loan portfolio’s low weighted-average origination LTV of 63.8% as of March 31, 2023 reflects significant equity value that we expect our sponsors will be motivated to protect through periods of cyclical disruption.

While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments.

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The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic stress and uncertainty.

As discussed in Note 2 to our consolidated financial statements, we perform a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk.

The weighted-average risk rating of our total loan exposure was 2.8 as of both September 30, 2022 and December 31, 2021, respectively.

The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands):

September 30, 2022

As discussed in Note 2 to our consolidated financial statements, we perform a quarterly review of our loan portfolio,

assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk.

Our loan portfolio had a weighted-average risk rating of 2.9 as of both March 31, 2023 and December 31, 2022.

The following table allocates the principal balance, total loan exposure, and net loan exposure balances based on our internal risk ratings ($ in thousands):

March 31, 2023

Risk Rating Number

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See Note 2 to our consolidated financial statements for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $1.6 billion of such non-consolidated senior interests as of September 30, 2022.

Total loan exposure encompasses the entire loan we originated and financed, including $1.7 billion of such non-consolidated senior interests as of March 31, 2023.

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of March 31, 2023, which is our total loan exposure net of (i) $1.7 billion of non-consolidated senior interests, (ii) $822.9 million of asset-specific debt, (iii) $229.5 million of loan participations sold, and (iv) our aggregate CECL reserve of $336.6 million.

Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.

Current Expected Credit Loss Reserve

The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets.

Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principle underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

During the three months ended September 30, 2022, we recorded an aggregate $12.2 million increase in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $153.7 million as of September 30, 2022.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Previously, we entered into loan modifications related to a multifamily asset in New York City, which were classified as troubled debt restructurings under GAAP.

During the three months ended December 31, 2021, the borrower committed significant additional capital to the property and engaged new management to oversee property operations, and we reduced the loan's outstanding principal balance to $37.5 million, which remains unchanged as of September 30, 2022.

As a result of the modification, during the three months ended December 31, 2021, we charged-off $14.4 million of the $14.8 million asset-specific CECL reserve we recorded on this loan, and reversed the remaining $360,000 CECL reserve.

We have no remaining asset-specific CECL reserve against this loan as of September 30, 2022.

The loan is paying interest income current and we resumed income accrual for this loan as of December 31, 2021.

Previously, we entered into a loan modification related to a hospitality asset in New York City, which is classified as a troubled debt restructuring under GAAP.

As of September 30, 2022, this loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, and a CECL reserve of $54.9 million, which was recorded based on our estimation of the fair value of the loan’s underlying collateral as of September 30, 2022.

No income was recorded on this loan during the nine months ended September 30, 2022.

The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans included in our consolidated balance sheets.

Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the principle underlying the CECL model that all loans and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

During the three months ended March 31, 2023, we recorded an increase of $10.5 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to $336.6 million as of March 31, 2023.

This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions.

During the three months ended March 31, 2023, we recorded an aggregate net increase of $7.5 million in the asset-specific CECL reserve related to our impaired loans.

The increase was primarily driven by one additional loan that was impaired during the three months ended March 31, 2023.

As of March 31, 2023, the income accrual was suspended on this loan as recovery of income and principal was doubtful.

During the three months ended March 31, 2023, we recorded $1.8 million of interest income on this loan.

As of March 31, 2023, we had an aggregate $197.3 million asset-specific CECL reserve related to six of our loans receivable, with an aggregate net book value of $997.7 million.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of March 31, 2023.

No income was recorded during the three months ended March 31, 2023 on our loans that were deemed impaired as of December 31, 2022.

As of March 31, 2023, all borrowers were current with all contractual terms of each respective loan, including payments of interest.

During the three months ended March 31, 2023, we received an aggregate $18.3 million of cash proceeds from such loans that were applied as a reduction to the principal balance of each respective loan.

Refer to Note 2 for further discussion of our revenue recognition policy and CECL reserve.

Multifamily Joint Venture

As of September 30, 2022, our Multifamily Joint Venture held $802.9 million of loans, which are included in the loan disclosures above.

As of March 31, 2023, our Multifamily Joint Venture held $797.7 million of loans, which are included in the loan disclosures above.

Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture.

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Outstanding Principal Balance

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Secured debt $ 14,051,435 $ 13,549,748

Securitizations 2,671,734 2,673,541

2,855,625 3,155,727

Asset-specific financings (1)

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Total portfolio financing $ 19,497,691 $ 19,048,250

(1) Includes our consolidated securitized debt obligations of $2.9 billion as of September 30, 2022.

Includes our consolidated securitized debt obligations of $2.9 billion and non-consolidated securitized debt of $300.1 million as of December 31, 2021.

The non-consolidated securitized debt obligation represents the senior non-consolidated investment exposure to the 2018 Single Asset Securitization.

We owned the related subordinate position, which was classified as a held-to-maturity debt security on our balance sheet.

During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

(2) Includes our asset-specific debt of $959.8 million, our loan participations sold of $207.8 million, and our non-consolidated senior interests of $1.6 billion, as of September 30, 2022.

Includes our asset-specific debt of $400.7 million and our non-consolidated senior interests of $1.5 billion, as of December 31, 2021.

(1) Includes our asset-specific debt of $822.9 million, our loan participations sold of $229.5 million, and our non-consolidated senior interests of $1.7 billion, as of March 31, 2023.

Includes our asset-specific debt of $950.3 million, our loan participations sold of $224.7 million, and our non-consolidated senior interests of $1.6 billion, as of December 31, 2022.

The loan participations sold and non-consolidated senior interests are non-debt financings that provide structural leverage for our whole loan investments.

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Borrowings Outstanding

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Secured credit facilities $ 14,051,435 $ 13,549,748

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Secured Credit Facilities

The following table details our secured credit facilities by spread over the applicable base rates as of September 30, 2022 ($ in thousands):

Nine Months Ended September 30, 2022 September 30, 2022

The following table details our secured credit facilities by spread over the applicable base rates as of March 31, 2023 ($ in thousands):

Three Months Ended March 31, 2023 March 31, 2023

New Financings (2)

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Total $ 69,524 $ 14,051,435 +1.88 % $ 19,774,538 +3.71 % +1.83 %

(1) The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable.

(2) Represents borrowings outstanding as of September 30, 2022 for new financings during the nine months ended September 30, 2022, based on the date collateral was initially pledged to each credit facility.

(1) The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SONIA, EURIBOR, and other indices as applicable.

(2) Represents borrowings outstanding as of March 31, 2023 for new financings during the three months ended March 31, 2023, based on the date collateral was initially pledged to each credit facility.

(3) In addition to spread, the cost includes the associated deferred fees and expenses related to the respective borrowings.

In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

(4) Represents the weighted-average all-in cost as of September 30, 2022 and is not necessarily indicative of the spread applicable to recent or future borrowings.

Excludes loans accounted for under the cost recovery method.

(4) Represents the weighted-average all-in cost as of March 31, 2023 and is not necessarily indicative of the spread applicable to recent or future borrowings.

(5) Represents the principal balance of the collateral assets.

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We have a $100.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval.

The maturity date of the facility is April 4, 2023.

As of September 30, 2022, we had no assets pledged to our acquisition facility.

The cost of borrowing under the facility is variable, dependent on the type of loan collateral, and its maturity date is April 3, 2024.

As of March 31, 2023, we had no assets pledged to our acquisition facility and no outstanding borrowings.

Securitizations

The following table details our outstanding securitizations ($ in thousands):

Securitizations Outstanding

September 30, 2022 December 31, 2021

Securitized Debt Obligations

Non-consolidated securitized debt obligation (1)

Total securitizations $ 2,855,625 $ 3,155,727

(1) These non-consolidated securitized debt obligations represent the senior non-consolidated investment exposure to the 2018 Single Asset Securitization.

We owned the related subordinate position, which was classified as a held-to-maturity debt security on our balance sheet.

During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

Securitized Debt Obligations

We have financed certain pools of our loans through collateralized loan obligations, which include the 2021 FL4 CLO, 2020 FL3 CLO, and 2020 FL2 CLO, or collectively, the CLOs.

The following table details our securitized debt obligations ($ in thousands):

September 30, 2022

We have financed certain pools of our loans through collateralized loan obligations, or CLOs.

The following table details our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands):

March 31, 2023

Securitized Debt Obligations Count Principal

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2021 FL4 Collateralized Loan Obligation

Collateral assets 31 $ 1,000,000 $ 1,000,000 + 3.51 % May 2025

Financing provided 1 803,750 799,063 + 1.57 % May 2038

Senior CLO Securities Outstanding 1 $ 803,750 $ 800,192 + 1.57 % May 2038

Underlying Collateral Assets 29 1,000,000 1,000,000 + 3.51 % June 2025

2020 FL3 Collateralized Loan Obligation

Collateral assets 16 1,000,000 1,000,000 + 3.21 % October 2024

Financing provided 1 808,750 806,068 + 2.03 % November 2037

Senior CLO Securities Outstanding 1 808,750 807,428 + 2.15 % November 2037

Underlying Collateral Assets 16 1,000,000 1,000,000 + 3.24 % November 2024

2020 FL2 Collateralized Loan Obligation

Collateral assets 18 1,500,000 1,500,000 + 3.39 % September 2024

Financing provided 1 1,243,125 1,238,901 + 1.39 % February 2038

Collateral assets 65 $ 3,500,000 $ 3,500,000 + 3.37 %

Financing provided (4)

Senior CLO Securities Outstanding 1 1,059,234 1,056,588 + 1.55 % February 2038

Underlying Collateral Assets 17 1,316,109 1,316,109 + 3.41 % November 2024

Senior CLO Securities Outstanding (4)

3 $ 2,671,734 $ 2,664,208 + 1.74 %

Underlying Collateral Assets 62 $ 3,316,109 $ 3,316,109 + 3.39 %

(1) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees.

(2) The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and SOFR, as applicable to each securitized debt obligation.

As of September 30, 2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%.

As of September 30, 2022, the one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%.

(3) Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower.

(2) The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include SOFR and USD LIBOR, as applicable to each securitized debt obligation.

As of March 31, 2023, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR.

As of March 31, 2023, one-month SOFR was 4.80% and one-month USD LIBOR was 4.86%.

Excludes loans accounted for under the cost recovery method.

(3) Underlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower.

Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments.

The term of these obligations represents the rated final distribution date of the securitizations.

(4) During the three and nine months ended September 30, 2022, we recorded $26.1 million and $52.6 million, respectively, of interest expense related to our securitized debt obligations.

(4) During the three months ended March 31, 2023, we recorded $39.8 million of interest expense related to our securitized debt obligations.

Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations.

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Outstanding Principal Balance

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Asset-specific debt $ 822,873 $ 950,278

Loan participations sold (1)

229,468 224,744

Non-consolidated senior interests (1)

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The following table details our asset-specific debt ($ in thousands):

September 30, 2022

March 31, 2023

Asset-Specific Debt Count Principal

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Yield/Cost (1)

Collateral assets 4 $ 1,125,108 $ 1,108,063 + 4.56 % March 2026

Financing provided 4 $ 959,762 $ 949,891 + 3.09 % March 2026

(1) These floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement.

Financing provided 3 $ 822,873 $ 817,444 + 3.66 % February 2026

Collateral assets 3 $ 981,538 $ 971,397 + 4.85 % February 2026

(1) These floating rate loans and related liabilities are currency and index-matched to the applicable benchmark rate relevant in each arrangement.

In addition to cash coupon, yield/cost includes the amortization of deferred origination fees and financing costs.

(2) The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower.

Our asset-specific debt is term-matched in each case to the corresponding collateral loans.

Our non-recourse, asset-specific debt is term-matched in each case to the corresponding collateral loans.

Loan Participations Sold

The following table details our loan participations sold ($ in thousands):

September 30, 2022

March 31, 2023

Loan Participations Sold Count Principal

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Yield/Cost (1)

Senior participation (3)

1 $ 229,468 $ 229,003 + 3.22 % March 2027

Total loan 1 $ 286,835 $ 284,940 + 4.86 % March 2027

Senior participation 1 $ 207,762 $ 207,225 + 3.20 % March 2027

(1) This non-debt participation sold structure is inherently matched in terms of currency and interest rate.

In addition to cash coupon, yield/cost includes the amortization of deferred fees and financing costs.

(2) The term is determined based on the on maximum maturity of the loan, assuming all extension options are exercised by the borrower.

(2) The term is determined based on the maximum maturity of the loan, assuming all extension options are exercised by the borrower.

Our loan participation sold is inherently non-recourse and term-matched to the corresponding collateral loan.

(3) During the three months ended March 31, 2023, we recorded $3.7 million of interest expense related to our loan participations sold.

Non-Consolidated Senior Interests

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These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.

Our non-consolidated senior interests are inherently term-matched and non-recourse.

The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests ($ in thousands):

September 30, 2022

March 31, 2023

Non-Consolidated Senior Interests Count Principal

Yield/Cost (1)

Total loan 8 $ 1,929,848 n/a + 3.66 % February 2026

Senior participation 8 $ 1,559,405 n/a + 2.63 % February 2026

(1) The weighted-average spread and all-in yield are expressed as a spread over the relevant floating benchmark rates, which includes USD LIBOR and SOFR, as applicable to each investment.

Senior participation 8 $ 1,722,181 n/a + 2.67 % March 2026

Total loan 8 $ 2,133,216 n/a + 3.76 % March 2026

(1) The weighted-average spread and all-in yield are expressed as a spread over the relevant floating benchmark rates, which includes SOFR and USD LIBOR, as applicable to each investment.

This non-debt participation sold structure is inherently matched in terms of currency and interest rate.

In addition to cash coupon, yield/cost includes the amortization of deferred fees and financing costs.

(2) The term is determined based on the maximum maturity of the loan, assuming all extension options are exercised by the borrower.

Our non-consolidated senior interests are inherently non-recourse and term-matched to the corresponding collateral loan.

Corporate Financing

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Outstanding Principal Balance

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Term loans $ 2,151,719 $ 2,157,218

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Total corporate financing $ 2,851,719 $ 3,077,218

As of September 30, 2022, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

As of March 31, 2023, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans Face Value Interest Rate (1)

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Senior Secured Notes

As of September 30, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):

As of March 31, 2023, the following Senior Secured Notes, were outstanding ($ in thousands):

Senior Secured Notes Face Value Interest Rate All-in Cost (1)

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Convertible Notes

As of September 30, 2022 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

As of March 31, 2023 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes Issuance Face Value Interest Rate

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March 2022 $ 300,000 5.50 % 5.94 % $36.27 March 15, 2027

(1) Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.

(2) Represents the price of class A common stock per share based on a conversion rate of 27.6052 and 27.5702, respectively, for the March 2018 and March 2022 convertible notes.

(2) Represents the price of class A common stock per share based on a conversion rate of 27.5702 for the March 2022 convertible notes.

The conversion rate represents the number of shares of class A common stock issuable per $1,000 principal amount of Convertible Notes.

The cumulative dividend threshold as defined in the respective March 2018 and March 2022 convertible notes supplemental indentures have not been exceeded as of September 30, 2022.

The cumulative dividend threshold as defined in the March 2022 convertible notes supplemental indentures has not been exceeded as of March 31, 2023.

Refer to Note 2 and Note 11 to our consolidated financial statements for additional discussion of our Convertible Notes.

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Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income.

As of September 30, 2022, substantially all of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments.

As of March 31, 2023, substantially all of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments.

Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities.

The following table details our investment portfolio’s net exposure to interest rates by currency as of September 30, 2022 (amounts in thousands):

The following table details our investment portfolio’s net exposure to interest rates by currency as of March 31, 2023 (amounts in thousands):

All Other (1)

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$ 3,024,278 $ 857,342 $ 735,206 $ 436,846

(1) Our floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement.

(2) As of September 30, 2022, $13.5 billion and $4.8 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively.

As of September 30, 2022, $8.5 billion and $6.2 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively.

As of September 30, 2022, one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%.

(1) Includes Australian Dollar, Canadian Dollar, Danish Krone, Swedish Krona, and Swiss Franc currencies.

(2) Our floating rate loans and related liabilities are currency and index-matched to the applicable benchmark rate relevant in each arrangement.

(3) As of March 31, 2023, $12.1 billion and $6.2 billion of floating rate loans were indexed to SOFR and USD LIBOR, respectively.

As of March 31, 2023, $10.1 billion and $5.2 billion of floating rate debt was indexed to SOFR and USD LIBOR, respectively.

As of March 31, 2023, one-month SOFR was 4.80% and one-month USD LIBOR was 4.86%.

(4) Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans.

(5) Represents the U.S.

Dollar equivalent as of September 30, 2022.

(5) Includes Australian Dollar, Canadian Dollar, Danish Krone, Swedish Krona, and Swiss Franc currencies.

Dollar equivalent as of March 31, 2023.

Our Results of Operations

Operating Results

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

The following table sets forth information regarding our consolidated results of operations for the three months ended March 31, 2023 and December 31, 2022 ($ in thousands, except per share data):

Three Months Ended Change

September 30, 2022 June 30, 2022 $

March 31, 2023 December 31, 2022 $

Income from loans and other investments

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Increase in current expected credit loss reserve (9,823) (188,811) 178,988

Income before income taxes 105,091 94,611 10,480

Income (loss) before income taxes 120,449 (46,051) 166,500

Income tax provision 1,893 938 955

Net income 103,919 93,865 10,054

Net income (loss) 118,556 (46,989) 165,545

Net income attributable to non-controlling interests (799) (551) (248)

Net income attributable to Blackstone Mortgage Trust, Inc.

Net income (loss) attributable to Blackstone Mortgage Trust, Inc.

$ 117,757 $ (47,540) $ 165,297

Net income per share of common stock

Net income (loss) per share of common stock

Basic $ 0.68 $ (0.28) $ 0.96

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Income from loans and other investments, net

Income from loans and other investments, net increased $9.1 million during the three months ended September 30, 2022 compared to the three months ended June 30, 2022.

The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices and (ii) an increase in the weighted-average principal balance of our loan portfolio by $764.1 million for the three months ended September 30, 2022, as compared to the three months ended June 30, 2022.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $681.8 million for the three months ended September 30, 2022, as compared to the three months ended June 30, 2022.

Income from loans and other investments, net decreased $16.9 million during the three months ended March 31, 2023 compared to the three months ended December 31, 2022.

The decrease was primarily due to (i) a decrease in prepayment fee income and (ii) a decline in interest income related to an additional four loans that are accounted for under the cost-recovery method effective December 31, 2022.

Other expenses

Other expenses include management and incentive fees payable to our Manager and general and administrative expenses.

Other expenses decreased by $631,000 during the three months ended September 30, 2022 compared to the three months ended June 30, 2022 due to a decrease of (i) $1.2 million of incentive fees payable to our Manager and (ii) non-cash restricted stock amortization of $199,000 related to shares awarded under our long-term incentive plans.

This was offset by an increase of (i) $723,000 of general operating expenses, and (iii) $70,000 of management fees payable to our Manager.

Other expenses decreased by $4.4 million during the three months ended March 31, 2023 compared to the three months ended December 31, 2022 primarily due to a decrease of (i) $2.9 million of incentive fees payable to our Manager, primarily due to a decrease in Distributable Earnings, (ii) $1.2 million of general operating expenses, and (iii) non-cash restricted stock amortization of $464,000 related to shares awarded under our long-term incentive plans.

Changes in current expected credit loss reserve

During the three months ended September 30, 2022, we recorded a $12.2 million increase in the CECL reserve, as compared to a $13.0 million increase during the three months ended June 30, 2022.

During the three months ended March 31, 2023, we recorded a $9.8 million increase in the CECL reserve, as compared to a $188.8 million increase during the three months ended December 31, 2022.

This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling interests

During the three months ended September 30, 2022 and June 30, 2022, we recorded $673,000 and $615,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

During the three months ended September 30, 2022, we declared aggregate dividends of $0.62 per share, or $106.0 million.

During the three months ended June 30, 2022, we declared aggregate dividends of $0.62 per share, or $105.6 million.

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

Nine Months Ended Change

September 30, 2022 September 30, 2021 $

During the three months ended March 31, 2023, we declared aggregate dividends of $0.62 per share, or $106.8 million.

During the three months ended December 31, 2022, we declared aggregate dividends of $0.62 per share, or $106.5 million.

The following table sets forth information regarding our consolidated results of operations for the three months ended March 31, 2023 and 2022 ($ in thousands, except per share data):

Three Months Ended Change

March 31, 2023 March 31, 2022 $

Income from loans and other investments

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Income from loans and other investments, net

Income from loans and other investments, net increased $96.4 million during the nine months ended September 30, 2022 compared to the nine months ended September 30, 2021.

The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices during 2022, (ii) an increase in the weighted-average principal balance of our loan portfolio by $6.4 billion for the nine months ended September 30, 2022, as compared to the nine months ended September 30, 2021, and (iii) an increase in prepayment fee income.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $5.7 billion for the nine months ended September 30, 2022, as compared to the nine months ended September 30, 2021.

Income from loans and other investments, net increased $40.5 million during the three months ended March 31, 2023 compared to the three months ended March 31, 2022.

The increase was primarily due to (i) an increase in SOFR, USD LIBOR, SONIA, EURIBOR, and other floating rate indices during 2022 and 2023, and (ii) an increase in the weighted-average principal balance of our loan portfolio by $2.6 billion for the three months ended March 31, 2023, as compared to the three months ended March 31, 2022.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $2.4 billion for the three months ended March 31, 2023, as compared to the three months ended March 31, 2022.

Other expenses

Other expenses include management and incentive fees payable to our Manager and general and administrative expenses.

Other expenses increased by $22.0 million during the nine months ended September 30, 2022 compared to the nine months ended September 30, 2021 due to an increase of (i) $8.7 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii) $7.7 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021, (iii) $4.5 million of general operating expenses, and (iv) $1.0 million of non-cash restricted stock amortization related to shares issued under our long-term incentive plans.

Other expenses increased by $8.1 million during the three months ended March 31, 2023 compared to the three months ended March 31, 2022 due to an increase of (i) $7.1 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii) $1.5 million of general operating expenses, and (iii) $483,000 of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2022.

This was offset by a reduction in non-cash restricted stock amortization of $1.0 million related to shares awarded under our long-term incentive plans.

Changes in current expected credit loss reserve

During the nine months ended September 30, 2022, we recorded a $22.7 million increase in the CECL reserve, as compared to a $49.4 million decrease during the nine months ended September 30, 2021.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling interests

During the nine months ended September 30, 2022 and September 30, 2021, we recorded $1.9 million and $2.2 million, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

During the three months ended March 31, 2023, we recorded a $9.8 million increase in the CECL reserve, as compared to a $2.5 million decrease during the three months ended March 31, 2022.

This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions.

Dividends per share

During the nine months ended September 30, 2022, we declared aggregate dividends of $1.86 per share, or $317.1 million.

During the nine months ended September 30, 2021, we declared aggregate dividends of $1.86 per share, or $279.7 million.

During the three months ended March 31, 2023, we declared aggregate dividends of $0.62 per share, or $106.8 million.

During the three months ended March 31, 2022, we declared aggregate dividends of $0.62 per share, or $105.6 million.

Liquidity and Capital Resources

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We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, corporate debt, and asset-level financings.

As of September 30, 2022, our capitalization structure included $4.7 billion of common equity, $2.8 billion of corporate debt, and $18.8 billion of asset-level financings.

As of March 31, 2023, our capitalization structure included $4.5 billion of common equity, $2.9 billion of corporate debt, and $19.5 billion of asset-level financings.

Our $2.9 billion of corporate debt includes $2.2 billion of term loan borrowings, $400.0 million of senior secured notes, and $300.0 million of convertible notes.

Our $19.5 billion of asset-level financings includes $14.1 billion of secured debt, $2.7 billion of securitizations, and $2.8 billion of asset-specific financings, all of which are structured to produce term, currency, and index matched funding with no margin call provisions based upon capital markets events.

As of September 30, 2022, we have $1.7 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business.

As of March 31, 2023, we have $1.6 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business.

See Notes 5, 6, 7, 8, 9, 10, and 11 to our co nsolidated financial statements for additional details regarding our secured debt, securitized debt obligations, asset-specific debt, loan participations sold, Term Loans, Senior Secured Notes, and Convertible Notes, respectively.

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The following table presents our debt-to-equity ratio and total leverage ratio:

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Debt-to-equity ratios

Debt-to-equity ratio (1)

Adjusted debt-to-equity ratio (2)

Total leverage ratios

Total leverage ratio (3)

(1) Represents (i) total outstanding secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, in each case at period end.

(2) Represents (i) total outstanding secured debt, securitizations, asset-specific financings, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, in each case at period end.

Adjusted total leverage ratio (4)

(1) Represents, in each case at period end, (i) total outstanding secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity.

(2) Represents, in each case at period end, (i) total outstanding secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, excluding our aggregate CECL reserve of $352.3 million and $342.5 million, as of March 31, 2023, and December 31, 2022, respectively.

(3) Represents, in each case at period end, (i) total outstanding secured debt, securitizations, asset-specific financings, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity.

(4) Represents, in each case at period end, (i) total outstanding secured debt, securitizations, asset-specific financings, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, excluding our aggregate CECL reserve of $352.3 million and $342.5 million, as of March 31, 2023, and December 31, 2022, respectively.

Sources of Liquidity

Our primary sources of liquidity include cash and cash equivalents, available borrowings under our secured debt facilities, and net receivables from servicers related to loan repayments, which are set forth in the following table ($ in thousands):

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Cash and cash equivalents $ 515,808 $ 291,340

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(1) Represents loan principal payments held by our third-party servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle, net of the related secured debt balance.

During the nine months ended September 30, 2022, we generated cash flow from operating activities of $266.6 million and received (i) $2.7 billion from loan principal collections and sales proceeds, (ii) $1.8 billion of net proceeds from secured debt borrowings, (iii) $575.9 million of net proceeds from asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $272.0 million of net cash settlements on our foreign currency forward contracts, (vii) $245.3 million from the sale of a senior loan participation, and (viii) $70.7 million of net proceeds from the issuance of shares of class A common stock.

Furthermore, we are able to generate incremental liquidity through the replenishment provisions of our CLOs, which allow us to replace a repaid loan in the CLO by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

During the three months ended March 31, 2023, we generated cash flow from operating activities of $110.2 million and received (i) $562.1 million from loan principal collections and sales proceeds and (ii) $425.8 million of net proceeds from secured debt borrowings.

Furthermore, we are able to generate incremental liquidity through the replenishment provisions of certain of our CLOs, which allow us to replace a repaid loan in the CLO by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

We have access to further liquidity through public offerings of debt and equity securities.

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The specifics of any future offerings, along with the use of proceeds of any securities offered, will be described in detail in a prospectus supplement, or other offering materials, at the time of any offering.

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,984,370 shares of class A common stock were available for issuance as of September 30, 2022, and our at the market stock offering program, pursuant to which we may sell, from time to time, up to $480.9 million of additional shares of our class A common stock as of September 30, 2022.

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,980,171 shares of class A common stock were available for issuance as of March 31, 2023, and our at the market stock offering program, pursuant to which we may sell, from time to time, up to $480.9 million of additional shares of our class A common stock as of March 31, 2023.

Refer to Note 13 to our consolidated financial statements for additional details.

Liquidity Needs

In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $13.2 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes.

As of September 30, 2022, we had unfunded commitments of $4.1 billion related to 122 loans receivable and $2.7 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.4 billion.

In addition to our loan origination and funding activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $14.1 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes.

From time to time we may also repurchase our outstanding debt or shares of our class A common stock.

Such repurchases, if any, will depend on prevailing market conditions, our liquidity requirements, contractual restrictions, and other factors.

The amounts involved in any such purchase transactions, individually or in the aggregate, may be material.

As of March 31, 2023, we had unfunded commitments of $3.4 billion related to 112 loans receivable and $2.1 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.3 billion.

The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability varies depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans.

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Contractual Obligations and Commitments

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

Our contractual obligations and commitments as of March 31, 2023 were as follows ($ in thousands):

Payment Timing

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(2) The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the final loan maturity date, however we may be obligated to fund these commitments earlier than such date.

(3) The allocation of repayments under our secured debt and asset-specific debt for both principal and interest payments is based on the earlier of (i) the maturity date of each agreement, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

(3) Our secured debt and asset-specific debt agreements are generally term-matched to their underlying collateral.

Therefore, the allocation of both principal and interest payments under such agreements is generally allocated based on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

In limited instances, the maturity date of the respective debt agreement is used.

(4) The Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the initial principal balance due in quarterly installments.

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(6) Represents interest payments on our secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes.

Future interest payment obligations are estimated assuming the interest rates in effect as of September 30, 2022 will remain constant into the future.

Future interest payment obligations are estimated assuming the interest rates in effect as of March 31, 2023 will remain constant into the future.

This is only an estimate as actual amounts borrowed and interest rates will vary over time.

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

Nine Months Ended September 30,

Three Months Ended March 31,

Cash flows provided by operating activities $ 110,173 $ 90,098

Cash flows used in investing activities (3,200,070) (3,926,040)

Cash flows provided by financing activities 2,671,630 3,616,649

Net decrease in cash and cash equivalents $ (261,830) $ (54,369)

We experienced a net decrease in cash and cash equivalents of $261.8 million for the nine months ended September 30, 2022, compared to a net decrease of $54.4 million for the nine months ended September 30, 2021.

During the nine months ended September 30, 2022, we (i) funded $6.2 billion of loans, (ii) repaid $402.5 million of convertible notes, and (iii) paid $315.4 million of dividends on our class A common stock.

During the nine months ended September 30, 2022, we received (i) $2.7 billion from loan principal collections and sales proceeds, (ii) $1.8 billion of net proceeds from secured debt borrowings, (iii) $575.9 million of net proceeds from asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $272.0 million of net cash settlements on our foreign currency forward contracts, (vii) $245.3 million from the sale of a senior loan participation, and (viii) $70.7 million of net proceeds from the issuance of shares of class A common stock.

Cash flows provided by (used in) investing activities 156,531 (1,688,750)

Cash flows (used in) provided by financing activities (43,725) 1,360,093

Net increase (decrease) in cash and cash equivalents $ 222,979 $ (238,559)

We experienced a net increase in cash and cash equivalents of $223.0 million for the three months ended March 31, 2023, compared to a net decrease of $238.6 million for the three months ended March 31, 2022.

During the three months ended March 31, 2023, we received (i) $562.1 million from loan principal collections and sales proceeds and (ii) $425.8 million of net proceeds from secured debt borrowings.

During the three months ended March 31, 2023, we (i) funded $369.8 million of loans, (ii) repaid $220.0 million of convertible notes, (iii) repaid a net $127.8 million of asset-specific debt, and (iv) paid $106.5 million of dividends on our class A common stock.

Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity.

Refer to Notes 5, 7, 8, 9, 11, and 13 to our consolidated financial statements for additional discussion of our secured debt, asset-specific debt, loan participations sold, term loans, convertible notes, and equity, respectively.

Refer to Notes 5, 7, 11, and 13 to our consolidated financial statements for additional discussion of our secured debt, asset-specific debt, convertible notes, and equity, respectively.

We have elected to be taxed as a REIT under the Internal Revenue Code for U.S.

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We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S.

federal income tax not to apply to our earnings that we distribute.

federal income tax not to apply to our earnings.

To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S.

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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 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 September 30, 2022 and December 31, 2021, we were in compliance with all REIT requirements.

As of March 31, 2023 and December 31, 2022, we were in compliance with all REIT requirements.

Furthermore, our taxable REIT subsidiaries are subject to federal, state, and local income tax on their net taxable income.

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Current Expected Credit Losses

The current expected credit loss, or CECL, reserve required under Accounting Standard Update, or ASU, 2016-13 “Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic 326),” or ASU 2016-13, reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets.

We estimate our CECL reserve primarily using the Weighted Average Remaining Maturity, or WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board Staff Q&A Topic 326, No.

Standards Board Staff Q&A Topic 326, No.

Estimating the CECL reserve requires judgment, including the following assumptions:

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To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance with market loan loss data licensed from Trepp LLC.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through August 31, 2022.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through February 28, 2023.

Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and origination loan-to-value, or LTV.

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The CECL reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future funding obligations over the estimated life of the loan.

The considerations in estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loan receivables.

The considerations in estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loans receivable.

• Current credit quality of our portfolio:

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Our CECL reserve is adjusted to reflect 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, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term.

These estimations include unemployment rates, interest rates, inflation, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term.

In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance.

We may also incorporate information from other sources, including information and opinions available to our Manager, to further inform these estimations.

This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of September 30, 2022.

• Impairment:

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The sensitivity of each assumption and its impact on the CECL reserve may change over time and from period to period.

During the three months ended September 30, 2022, we recorded an aggregate $12.2 million increase in the CECL reserve related to our loans receivable and unfunded loan commitments, bringing our total reserve to $153.7 million as of September 30, 2022.

During the three months ended March 31, 2023, we recorded an aggregate $9.8 million increase in the CECL reserve related to our loans receivable and unfunded loan commitments, bringing our total reserve to $352.3 million as of March 31, 2023.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Revenue Recognition

Interest income from our loans receivable portfolio and debt securities is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis.

Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan or debt security as an adjustment to yield.

Interest income from our loans receivable portfolio is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis.

Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan as an adjustment to yield.

Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in our opinion, recovery of income and principal becomes doubtful.

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Loan Portfolio Details

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of September 30, 2022 ($ in millions):

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of March 31, 2023 ($ in millions):

Loan Type (1)

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SQFT / Unit / Key Origination

1 Senior Loan 8/14/2019 $ 1,067 $ 989 $ 986 +2.62 % +3.22 % 12/23/2024 Dublin - IE Office $369 / sqft 74 % 2

2 Senior Loan 6/24/2022 847 847 839 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $385 / sqft 59 % 3

1 Senior Loan 8/14/2019 $ 1,148 $ 1,037 $ 1,033 +3.05 % +3.78 % 12/23/2024 Dublin - IE Mixed-Use $353 / sqft 74 % 2

2 Senior Loan 4/9/2018 1,487 981 977 +4.41 % +5.65 % 6/9/2025 New York Office $524 / sqft 48 % 2

3 Senior Loan 6/24/2022 884 884 877 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $402 / sqft 59 % 3

4 Senior Loan (4)

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10 Senior Loan 8/22/2018 363 363 363 +3.42 % +3.42 % 8/9/2023 Maui Hospitality $471,391 / key 61 % 1

11 Senior Loan 4/11/2018 355 345 344 +2.85 % +3.10 % 5/1/2023 New York Office $437 / sqft 71 % 3

11 Senior Loan (4)

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12 Senior Loan 9/23/2019 379 351 350 +3.00 % +3.23 % 8/15/2024 Diversified - Spain Hospitality $124,697 / key 62 % 4

14 Senior Loan 2/27/2020 303 302 302 +2.70 % +3.04 % 3/9/2025 New York Multi $948 / sqft 59 % 2

13 Senior Loan 4/11/2018 355 345 344 +2.85 % +3.10 % 5/1/2023 New York Office $437 / sqft 71 % 4

14 Senior Loan 10/25/2021 301 301 299 +4.00 % +4.32 % 10/25/2024 Diversified - AU Hospitality $148,263 / key 56 % 2

16 Senior Loan 11/30/2018 286 286 285 n/m (7)

% 8/9/2025 New York Hospitality $306,870 / key 73 % 5

15 Senior Loan 2/27/2020 303 302 301 +2.70 % +2.94 % 3/9/2025 New York Multi $795,074 / unit 59 % 3

16 Senior Loan 5/6/2022 301 301 299 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $95 / sqft 53 % 2

17 Senior Loan 1/11/2019 296 296 296 +4.40 % +4.75 % 1/11/2026 Diversified - UK Other $293 / sqft 74 % 4

18 Senior Loan 9/29/2021 312 289 287 +2.81 % +3.03 % 10/9/2026 Washington, DC Office $377 / sqft 66 % 2

19 Senior Loan 11/30/2018 276 276 275 +2.43 % +2.43 % 8/9/2025 New York Hospitality $296,217 / key 73 % 5

20 Senior Loan 12/11/2018 310 286 287 +2.55 % +3.24 % 12/9/2023 Chicago Office $241 / sqft 78 % 4

19 Senior Loan 10/23/2018 290 279 279 +2.80 % +3.04 % 11/9/2024 Atlanta Office $260 / sqft 64 % 2

20 Senior Loan 5/6/2022 277 277 275 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $86 / sqft 53 % 2

21 Senior Loan 3/25/2022 287 287 285 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $126,471 / key 65 % 3

22 Senior Loan 10/23/2018 290 281 281 +2.86 % +3.01 % 11/9/2024 Atlanta Mixed-Use $262 / sqft 64 % 2

23 Senior Loan 9/30/2021 280 274 273 +2.61 % +2.88 % 9/30/2026 Dallas Multi $144,577 / unit 74 % 3

22 Senior Loan 1/11/2019 268 268 267 +4.35 % +4.70 % 1/11/2026 Diversified - UK Other $265 / sqft 74 % 4

24 Senior Loan 4/26/2021 264 264 263 +2.56 % +2.75 % 5/9/2026 Diversified - US Multi $156,393 / unit 75 % 3

24 Senior Loan 3/25/2022 260 260 258 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $118,559 / key 65 % 3

25 Senior Loan 11/30/2018 261 261 261 +2.80 % +3.04 % 12/9/2024 San Francisco Hospitality $380,626 / key 73 % 4

26 Senior Loan 9/14/2021 259 254 253 +2.50 % +2.76 % 9/14/2026 Dallas Multi $205,828 / unit 72 % 3

26 Senior Loan 7/15/2021 306 268 265 +4.25 % +4.69 % 7/16/2026 Diversified - EUR Hospitality $205,172 / key 53 % 3

28 Senior Loan 2/23/2022 245 227 225 +2.60 % +2.84 % 3/9/2027 Reno Multi $210,655 / unit 74 % 3

27 Senior Loan 9/14/2021 259 255 254 +2.61 % +2.87 % 9/14/2026 Dallas Multi $206,610 / unit 72 % 3

28 Senior Loan 9/16/2021 247 235 235 +3.80 % +4.51 % 4/9/2024 San Francisco Office $285 / sqft 53 % 4

29 Senior Loan 6/8/2022 272 246 244 +3.65 % +4.01 % 6/9/2027 New York Office $1,379 / sqft 75 % 3

30 Senior Loan 2/23/2022 245 230 229 +2.60 % +2.84 % 3/9/2027 Reno Multi $213,831 / unit 74 % 3

Loan Type (1)

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SQFT / Unit / Key Origination

31 Senior Loan 4/29/2022 $ 210 $ 210 $ 208 +3.45 % +3.68 % 3/3/2027 Diversified - UK Hospitality n / a 41 % 2

31 Senior Loan 4/23/2021 $ 216 $ 206 $ 206 +3.65 % +3.65 % 5/9/2024 Washington, DC Office $230 / sqft 57 % 5

33 Senior Loan 8/31/2017 203 203 203 +2.50 % +2.74 % 9/9/2023 Orange County Office $236 / sqft 64 % 3

34 Senior Loan 10/1/2019 248 197 196 +3.75 % +4.28 % 10/9/2025 Atlanta Office $369 / sqft 68 % 1

35 Senior Loan 9/30/2021 195 195 194 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3

36 Senior Loan 12/22/2016 202 191 192 +3.90 % +4.65 % 12/9/2023 New York Office $268 / sqft 64 % 4

32 Senior Loan 7/16/2021 225 210 208 +3.25 % +3.51 % 2/15/2027 London - UK Multi $232,881 / unit 69 % 3

33 Senior Loan 8/31/2017 200 200 200 +2.50 % +2.50 % 9/9/2023 Orange County Office $235 / sqft 64 % 5

34 Senior Loan 6/28/2019 202 202 202 +3.82 % +4.49 % 6/26/2024 London - UK Office $487 / sqft 71 % 3

39 Senior Loan 6/4/2018 183 183 182 +3.50 % +3.76 % 6/9/2024 New York Hospitality $301,071 / key 52 % 4

40 Senior Loan 2/15/2022 191 177 176 +2.90 % +3.14 % 3/9/2027 Denver Office $353 / sqft 61 % 3

35 Senior Loan 6/27/2019 208 199 199 +2.80 % +2.80 % 8/15/2026 Berlin - DEU Office $428 / sqft 62 % 3

36 Senior Loan 9/30/2021 195 195 194 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3

37 Senior Loan 12/22/2016 199 192 193 +2.00 % +2.00 % 12/9/2023 New York Office $284 / sqft 64 % 5

38 Senior Loan 9/30/2021 186 136 135 +4.00 % +4.51 % 9/30/2026 Diversified - Spain Hospitality $117,540 / key 60 % 3

39 Senior Loan 6/4/2018 183 183 183 +3.50 % +3.76 % 6/9/2024 New York Hospitality $301,071 / key 52 % 4

40 Senior Loan 9/30/2021 256 182 180 +3.00 % +3.35 % 10/9/2028 Chicago Office $201 / sqft 74 % 3

44 Senior Loan 9/26/2019 165 165 165 +3.10 % +3.34 % 7/9/2023 New York Office $241 / sqft 65 % 3

45 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,680 / unit 48 % 2

41 Senior Loan 9/25/2019 182 182 181 +4.47 % +4.99 % 9/26/2024 London - UK Office $846 / sqft 72 % 3

42 Senior Loan 2/15/2022 191 178 177 +2.90 % +3.14 % 3/9/2027 Denver Office $348 / sqft 61 % 3

43 Senior Loan 11/23/2018 181 181 180 +2.68 % +2.92 % 2/15/2024 Diversified - UK Office $1,115 / sqft 50 % 3

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45 Senior Loan 7/23/2021 244 176 174 +5.00 % +5.41 % 8/9/2027 New York Office $569 / sqft 53 % 4

50 Senior Loan 10/7/2021 165 159 159 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $325 / sqft 68 % 3

46 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,601 / unit 48 % 1

47 Senior Loan 3/9/2022 167 167 165 +2.95 % +3.17 % 8/15/2027 Various Retail $142 / sqft 55 % 2

48 Senior Loan 1/27/2022 178 169 168 +3.10 % +3.40 % 2/9/2027 Dallas Multi $110,636 / unit 71 % 3

49 Senior Loan 7/29/2022 271 186 182 +4.60 % +5.65 % 7/27/2027 London - UK Industrial $240 / sqft 52 % 3

50 Senior Loan 5/27/2021 205 160 159 +2.81 % +3.11 % 6/9/2026 Atlanta Office $135 / sqft 66 % 3

51 Senior Loan 10/7/2021 165 160 160 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $326 / sqft 68 % 3

52 Senior Loan 5/13/2021 199 156 156 +3.66 % +4.10 % 6/9/2026 Boston Life Sciences $793 / sqft 64 % 3

53 Senior Loan 3/7/2022 156 156 156 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 3

54 Senior Loan 8/24/2021 179 156 155 +3.21 % +3.52 % 9/9/2026 San Jose Office $372 / sqft 65 % 3

54 Senior Loan 1/27/2022 178 154 153 +3.10 % +3.44 % 2/9/2027 Dallas Multi $100,663 / unit 71 % 3

55 Senior Loan 3/9/2022 151 151 150 +2.95 % +3.17 % 8/15/2027 Various Retail $129 / sqft 55 % 2

56 Senior Loan 8/31/2021 150 150 149 +3.15 % +3.42 % 9/9/2026 Diversified - US Retail $299 / sqft 65 % 2

55 Senior Loan 9/4/2018 163 150 149 +4.25 % +4.50 % 9/9/2024 Las Vegas Hospitality $181,054 / key 70 % 3

58 Senior Loan 5/13/2021 199 145 143 +3.55 % +3.94 % 6/9/2026 Boston Office $733 / sqft 64 % 3

56 Senior Loan 1/7/2022 155 150 149 +3.70 % +3.97 % 1/9/2027 Fort Lauderdale Office $387 / sqft 55 % 1

57 Senior Loan 1/17/2020 203 148 148 +2.86 % +3.00 % 2/9/2025 New York Mixed-Use $122 / sqft 43 % 3

60 Senior Loan 7/29/2022 246 143 139 +4.60 % +5.78 % 7/27/2027 London - UK Industrial $201 / sqft 52 % 3

58 Senior Loan 11/18/2021 139 139 139 +3.25 % +3.51 % 11/18/2026 London - UK Other $175 / sqft 65 % 2

59 Senior Loan 12/20/2019 139 139 138 +3.22 % +3.44 % 12/18/2026 London - UK Office $703 / sqft 75 % 3

60 Senior Loan 2/25/2022 137 137 136 +4.05 % +4.43 % 2/25/2027 Copenhagen - DK Industrial $78 / sqft 69 % 2

Loan Type (1)

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61 Senior Loan 3/10/2020 $ 140 $ 140 $ 140 +3.10 % +3.10 % 10/11/2024 New York Mixed-Use $854 / sqft 53 % 4

62 Senior Loan 6/30/2022 127 127 127 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $246,631 / key 60 % 2

63 Senior Loan 9/14/2021 132 128 128 +2.81 % +3.07 % 10/9/2026 San Bernardino Multi $258,709 / unit 75 % 3

63 Senior Loan 1/7/2022 155 127 126 +3.70 % +3.96 % 1/9/2027 Fort Lauderdale Office $327 / sqft 55 % 1

64 Senior Loan 11/27/2019 146 127 127 +2.75 % +3.13 % 12/9/2024 Minneapolis Office $127 / sqft 64 % 3

65 Senior Loan 11/18/2021 126 126 126 +3.25 % +3.51 % 10/21/2026 London - UK Other $173 / sqft 65 % 2

66 Senior Loan 12/20/2019 126 126 125 +3.10 % +3.32 % 12/18/2026 London - UK Office $636 / sqft 75 % 2

67 Senior Loan 4/3/2018 126 125 125 +2.75 % +2.92 % 4/9/2024 Dallas Retail $761 / sqft 64 % 3

64 Senior Loan 6/28/2022 675 143 136 +4.60 % +5.06 % 7/9/2029 Austin Mixed-Use $118 / sqft 53 % 3

65 Senior Loan 3/28/2022 150 127 126 +3.05 % +3.35 % 4/9/2027 Miami Office $345 / sqft 69 % 3

69 Senior Loan 6/30/2022 122 122 121 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $493 / sqft 60 % 3

70 Senior Loan 6/1/2021 120 120 120 +2.85 % +3.05 % 6/9/2026 Miami Multi $298,507 / unit 61 % 2

66 Senior Loan 4/3/2018 126 125 125 +2.86 % +3.03 % 4/9/2024 Dallas Retail $761 / sqft 64 % 3

67 Senior Loan 4/6/2021 123 121 121 +3.20 % +3.52 % 4/9/2026 Los Angeles Office $503 / sqft 65 % 3

68 Senior Loan 6/1/2021 120 120 120 +2.96 % +3.17 % 6/9/2026 Miami Multi $298,507 / unit 61 % 2

69 Senior Loan 4/29/2022 118 118 117 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,240,799 / key 66 % 2

73 Senior Loan 6/28/2019 125 117 117 +2.75 % +2.91 % 2/1/2024 Los Angeles Office $591 / sqft 48 % 3

74 Senior Loan 7/15/2019 138 117 116 +3.01 % +3.43 % 8/9/2024 Houston Office $211 / sqft 58 % 3

70 Senior Loan 3/29/2021 126 121 120 +4.02 % +4.61 % 3/29/2026 Diversified - UK Multi $52,836 / unit 61 % 3

71 Senior Loan 5/20/2021 150 120 120 +3.76 % +4.19 % 6/9/2026 San Jose Office $308 / sqft 65 % 4

72 Senior Loan 6/28/2019 125 117 117 +2.87 % +3.13 % 2/1/2024 Los Angeles Studio $591 / sqft 48 % 3

73 Senior Loan 7/15/2019 138 117 116 +3.01 % +3.43 % 8/9/2024 Houston Office $211 / sqft 58 % 3

74 Senior Loan 8/27/2021 122 116 116 +3.00 % +3.29 % 9/9/2026 San Diego Retail $438 / sqft 58 % 3

75 Senior Loan 10/21/2021 114 114 114 +3.01 % +3.26 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 2

76 Senior Loan 2/20/2019 167 122 122 +4.07 % +4.65 % 2/19/2024 London - UK Office $600 / sqft 61 % 3

77 Senior Loan 12/21/2021 120 113 112 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $386 / sqft 68 % 3

79 Senior Loan 2/25/2022 110 110 109 +4.00 % +4.31 % 2/25/2027 Copenhagen - DK Industrial $78 / sqft 69 % 2

80 Senior Loan 3/29/2021 114 109 108 +3.90 % +4.49 % 3/29/2026 Diversified - UK Multi $47,517 / unit 61 % 3

78 Senior Loan 3/17/2022 268 126 124 +3.87 % +5.00 % 6/30/2025 London - UK Office $565 / sqft 62 % 3

79 Senior Loan 3/13/2018 123 108 108 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $167,020 / key 50 % 3

80 Senior Loan 11/8/2022 109 109 108 +3.88 % +4.53 % 11/8/2027 London - UK Multi $169,538 / unit 60 % 2

81 Senior Loan 11/27/2019 109 107 106 +2.86 % +3.20 % 12/9/2024 Minneapolis Office $107 / sqft 64 % 3

82 Senior Loan 2/15/2022 106 104 104 +2.85 % +3.19 % 3/9/2027 Tampa Multi $239,257 / unit 73 % 3

83 Senior Loan 6/28/2022 675 104 97 +4.60 % +5.04 % 7/9/2029 Austin Mixed-Use $86 / sqft 53 % 3

84 Senior Loan 3/17/2022 242 101 100 +3.75 % +4.51 % 6/30/2025 London - UK Office $456 / sqft 62 % 3

85 Senior Loan 12/29/2021 110 100 99 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $260 / sqft 64 % 3

86 Senior Loan 12/21/2018 108 100 100 +2.60 % +2.85 % 1/9/2024 Chicago Office $194 / sqft 72 % 3

83 Senior Loan (4)

11/10/2021 362 146 29 +4.00 % +4.76 % 12/9/2026 San Francisco Life Sciences $277 / sqft 66 % 3

84 Senior Loan 12/29/2021 110 103 103 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $177,670 / unit 64 % 3

85 Senior Loan 3/29/2022 103 101 100 +2.70 % +2.96 % 4/9/2027 Miami Multi $281,192 / unit 75 % 3

2 unchanged sentences

88 Senior Loan 6/18/2021 99 99 98 +2.71 % +2.95 % 7/9/2026 New York Industrial $51 / sqft 55 % 1

89 Senior Loan 12/15/2021 147 106 105 +3.47 % +4.52 % 12/9/2026 Dublin - IE Multi $266,711 / unit 79 % 3

90 Senior Loan 12/10/2021 135 102 102 +3.11 % +3.46 % 1/9/2027 Miami Office $342 / sqft 49 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

91 Senior Loan 10/16/2018 $ 106 $ 97 $ 97 +3.25 % +3.52 % 11/9/2024 San Francisco Hospitality $211,959 / key 72 % 4

92 Senior Loan 2/20/2019 151 97 96 +3.95 % +6.00 % 2/19/2024 London - UK Office $475 / sqft 61 % 3

91 Senior Loan 3/28/2019 $ 97 $ 97 $ 97 +4.36 % +4.36 % 1/9/2024 New York Hospitality $249,463 / key 63 % 3

92 Senior Loan 10/28/2021 96 96 95 +3.00 % +3.35 % 11/9/2026 Philadelphia Multi $353,704 / unit 79 % 3

93 Senior Loan 3/25/2020 96 96 96 +2.40 % +2.58 % 3/31/2025 Diversified - NL Multi $117,556 / unit 65 % 2

94 Senior Loan 6/14/2021 100 93 93 +3.81 % +4.16 % 7/9/2024 Miami Office $196 / sqft 65 % 3

95 Senior Loan 10/27/2021 93 93 92 +2.61 % +2.81 % 11/9/2026 Orlando Multi $155,612 / unit 75 % 3

97 Senior Loan 6/14/2021 100 93 92 +3.70 % +4.04 % 7/9/2024 Miami Office $195 / sqft 65 % 3

96 Senior Loan 3/3/2022 92 92 92 +3.45 % +3.76 % 3/9/2027 Boston Hospitality $418,182 / key 64 % 3

97 Senior Loan 12/21/2018 98 91 91 +2.71 % +2.95 % 1/9/2024 Chicago Office $177 / sqft 72 % 3

98 Senior Loan 12/22/2021 91 91 90 +3.18 % +3.44 % 1/9/2027 Las Vegas Multi $205,682 / unit 65 % 3

99 Senior Loan 10/16/2018 100 91 91 +3.36 % +4.05 % 11/9/2024 San Francisco Hospitality $197,536 / key 72 % 4

100 Senior Loan 12/15/2021 91 89 89 +2.96 % +3.22 % 1/9/2027 Charlotte Multi $255,428 / unit 76 % 3

101 Senior Loan 3/25/2020 105 87 87 +2.40 % +2.78 % 3/31/2025 Diversified - NL Multi $106,309 / unit 65 % 2

101 Senior Loan 12/10/2018 89 89 89 +4.57 % +5.28 % 12/3/2024 London - UK Office $425 / sqft 72 % 3

102 Senior Loan 6/25/2021 85 85 85 +2.86 % +3.31 % 7/1/2026 St.

1 unchanged sentence

103 Senior Loan 3/31/2017 89 84 84 +4.30 % +4.30 % 4/9/2023 New York Office $403 / sqft 64 % 5

104 Senior Loan 4/1/2021 102 86 85 +3.41 % +3.85 % 4/9/2026 San Jose Office $575 / sqft 67 % 3

105 Senior Loan 7/30/2021 87 83 84 +2.61 % +2.95 % 8/9/2026 Los Angeles Multi $165,520 / unit 70 % 2

105 Senior Loan 12/10/2018 99 81 80 +3.45 % +3.95 % 12/3/2024 London - UK Office $384 / sqft 72 % 3

106 Senior Loan 7/29/2021 82 82 81 +2.76 % +3.14 % 6/9/2026 Charlotte Multi $222,630 / unit 78 % 3

107 Senior Loan 3/9/2022 92 81 81 +2.90 % +3.43 % 3/9/2025 Boston Office $215 / sqft 68 % 3

107 Senior Loan 6/14/2022 106 80 79 +2.95 % +3.30 % 7/9/2027 San Francisco Industrial $167 / sqft 76 % 3

108 Senior Loan 4/1/2021 102 80 79 +3.30 % +3.74 % 4/9/2026 San Jose Office $535 / sqft 67 % 3

108 Senior Loan 6/14/2022 106 80 79 +2.95 % +3.30 % 7/9/2027 San Francisco Mixed-Use $166 / sqft 76 % 3

109 Senior Loan 12/15/2021 87 87 86 +4.00 % +4.29 % 12/15/2026 Melbourne - AU Multi $63,620 / unit 38 % 2

110 Senior Loan 6/27/2019 88 83 83 +2.75 % +3.04 % 7/9/2024 West Palm Beach Office $285 / sqft 70 % 2

110 Senior Loan 7/29/2021 82 78 78 +2.65 % +3.02 % 6/9/2026 Charlotte Multi $214,126 / unit 78 % 3

111 Senior Loan 11/23/2021 92 77 76 +2.75 % +3.08 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3

112 Senior Loan 8/27/2021 79 77 76 +3.85 % +4.43 % 9/9/2026 Diversified - US Hospitality $113,865 / key 67 % 3

111 Senior Loan 1/30/2020 104 82 81 +2.96 % +3.17 % 2/9/2026 Honolulu Hospitality $261,951 / key 63 % 3

112 Senior Loan 8/27/2021 79 77 77 +3.85 % +4.43 % 9/9/2026 Diversified - US Hospitality $114,628 / key 67 % 3

113 Senior Loan 11/23/2021 92 77 76 +2.85 % +3.17 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3

114 Senior Loan 12/23/2021 318 88 83 +4.25 % +5.14 % 6/24/2028 London - UK Multi $96,833 / unit 59 % 3

115 Senior Loan (4)

12/30/2021 228 73 14 +4.35 % +5.50 % 1/9/2028 Los Angeles Multi $209,770 / unit 50 % 3

115 Senior Loan 12/15/2021 133 72 70 +3.46 % +4.44 % 12/15/2026 Dublin - IE Multi $179,745 / unit 79 % 3

116 Senior Loan (4)

11/10/2021 362 71 14 +4.00 % +4.63 % 12/9/2026 San Francisco Office $134 / sqft 66 % 3

116 Senior Loan 12/21/2021 74 72 71 +2.70 % +3.06 % 1/9/2027 Tampa Multi $211,172 / unit 77 % 2

117 Senior Loan 10/28/2021 69 69 69 +2.66 % +2.86 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3

118 Senior Loan 1/26/2022 338 82 79 +4.10 % +4.66 % 2/9/2027 Seattle Office $172 / sqft 56 % 3

119 Senior Loan 12/21/2021 74 68 67 +2.70 % +3.06 % 1/9/2027 Tampa Multi $199,635 / unit 77 % 2

119 Senior Loan 8/17/2022 77 69 68 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $107 / sqft 72 % 3

120 Senior Loan 9/22/2021 67 67 67 +3.00 % +3.16 % 4/1/2024 Jacksonville Multi $181,081 / unit 62 % 2

3 unchanged sentences

121 Senior Loan 3/24/2022 $ 65 $ 65 $ 65 +3.50 % +3.59 % 4/1/2027 Fairfield Multi $406,250 / unit 70 % 3

122 Senior Loan 8/22/2019 65 65 65 +2.55 % +2.69 % 9/9/2024 Los Angeles Office $389 / sqft 63 % 3

122 Senior Loan 3/31/2022 70 64 64 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $140,423 / unit 71 % 3

124 Senior Loan 12/15/2021 83 63 62 +5.25 % +6.17 % 12/15/2026 Melbourne - AU Multi $45,675 / unit 38 % 3

125 Senior Loan 8/17/2022 70 62 62 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $98 / sqft 72 % 3

123 Senior Loan 8/14/2019 70 63 62 +2.56 % +2.78 % 9/9/2024 Los Angeles Office $608 / sqft 57 % 3

124 Senior Loan 3/31/2021 62 62 62 +3.73 % +3.86 % 4/1/2024 Boston Multi $316,327 / unit 75 % 3

1 unchanged sentence

126 Senior Loan 12/23/2021 61 61 61 +2.18 % +2.99 % 9/1/2023 New York Office $239 / sqft 71 % 3

129 Senior Loan 8/14/2019 70 60 60 +2.56 % +2.78 % 9/9/2024 Los Angeles Office $684 / sqft 57 % 3

130 Senior Loan 12/23/2021 288 60 55 +4.25 % +5.46 % 6/24/2028 London - UK Multi $65,799 / unit 59 % 3

127 Senior Loan 6/30/2021 65 60 60 +2.95 % +3.23 % 7/9/2026 Nashville Office $246 / sqft 71 % 3

128 Senior Loan 4/15/2021 66 60 60 +3.06 % +3.34 % 5/9/2026 Austin Office $291 / sqft 73 % 3

129 Senior Loan 12/17/2021 66 61 61 +4.35 % +4.83 % 1/9/2026 Diversified - US Other $4,623 / unit 37 % 1

130 Senior Loan 9/29/2021 58 58 58 +2.85 % +3.02 % 10/1/2025 Houston Multi $52,968 / unit 61 % 3

1 unchanged sentence

132 Senior Loan 7/16/2021 58 58 58 +2.75 % +3.03 % 8/1/2025 Orlando Multi $195,750 / unit 74 % 2

133 Senior Loan 8/22/2019 54 54 54 +2.66 % +3.01 % 9/9/2024 Los Angeles Office $312 / sqft 63 % 3

134 Senior Loan 12/10/2020 61 56 56 +3.30 % +3.56 % 1/9/2026 Fort Lauderdale Office $194 / sqft 68 % 3

137 Senior Loan 10/5/2018 55 55 55 +5.50 % +5.92 % 12/20/2022 Sydney - AU Office $584 / sqft 78 % 3

135 Senior Loan 12/22/2021 55 55 54 +2.82 % +2.96 % 1/1/2027 Los Angeles Multi $272,500 / unit 68 % 3

1 unchanged sentence

137 Senior Loan 7/30/2021 59 54 53 +2.86 % +3.07 % 8/9/2026 Tampa Multi $129,293 / unit 71 % 2

141 Senior Loan 12/17/2021 66 53 52 +4.35 % +4.93 % 1/9/2026 Diversified - US Other $3,693 / unit 37 % 2

142 Senior Loan 11/30/2016 61 52 52 +3.10 % +3.22 % 12/9/2023 Chicago Retail $1,014 / sqft 54 % 4

143 Senior Loan 12/9/2021 51 51 51 +2.75 % +2.89 % 1/1/2027 Portland Multi $241,825 / unit 65 % 3

144 Senior Loan 2/17/2021 53 51 51 +3.55 % +3.75 % 3/9/2026 Miami Multi $290,985 / unit 64 % 2

145 Senior Loan 11/5/2019 56 50 50 +3.85 % +3.90 % 2/21/2025 Diversified - IT Office $1,758 / sqft 66 % 3

138 Senior Loan 1/21/2022 68 54 53 +3.70 % +4.09 % 2/9/2027 Denver Office $318 / sqft 65 % 3

147 Senior Loan 8/5/2021 57 50 50 +2.90 % +3.04 % 8/9/2026 Denver Office $188 / sqft 70 % 3

139 Senior Loan 8/16/2022 65 58 57 +4.75 % +5.17 % 8/16/2027 London - UK Hospitality $429,633 / key 64 % 3

140 Senior Loan 11/11/2021 54 54 54 +4.07 % +4.86 % 8/12/2026 London - UK Hospitality $191,445 / key 40 % 3

141 Senior Loan 12/9/2021 51 51 51 +2.75 % +2.89 % 1/1/2027 Portland Multi $241,825 / unit 65 % 3

149 Senior Loan 6/28/2021 49 49 49 +3.60 % +4.86 % 2/15/2023 Diversified - Spain Hospitality $123,899 / key 56 % 3

142 Senior Loan 8/5/2021 57 52 51 +2.96 % +3.24 % 8/9/2026 Denver Office $195 / sqft 70 % 3

143 Senior Loan 2/17/2021 53 51 51 +3.66 % +3.86 % 3/9/2026 Miami Multi $290,985 / unit 64 % 2

144 Senior Loan 2/20/2019 50 50 50 +3.50 % +3.72 % 3/9/2024 Calgary - CAN Office $137 / sqft 52 % 2

145 Senior Loan 9/23/2021 49 49 49 +2.75 % +2.86 % 10/1/2026 Portland Multi $232,938 / unit 65 % 3

146 Senior Loan 11/30/2016 57 49 48 +3.18 % +3.40 % 12/9/2023 Chicago Retail $946 / sqft 54 % 4

147 Senior Loan 7/20/2021 48 48 47 +2.86 % +3.21 % 8/9/2026 Los Angeles Multi $366,412 / unit 60 % 3

148 Senior Loan 7/28/2021 53 49 49 +2.75 % +3.14 % 8/9/2026 Los Angeles Multi $277,281 / unit 71 % 3

149 Senior Loan 6/26/2019 62 48 48 +3.47 % +3.78 % 6/20/2024 London - UK Office $538 / sqft 61 % 3

150 Senior Loan 12/29/2021 47 47 46 +2.85 % +2.96 % 1/1/2027 Dallas Multi $155,000 / unit 73 % 3

Loan Type (1)

10 unchanged sentences

(4) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

As of September 30, 2022, eight loans in our portfolio have been financed with an aggregate $1.6 billion of non-consolidated senior interest, which are included in the table above.

(5) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each loan.

As of September 30, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

As of March 31, 2023, eight loans in our portfolio have been financed with an aggregate $1.7 billion of non-consolidated senior interest, which are included in the table above.

(5) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SONIA, EURIBOR, and other indices as applicable to each loan.

As of March 31, 2023, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR and USD LIBOR.

In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

Excludes one loan accounted for under the cost-recovery method.

Excludes loans accounted for under the cost-recovery method.

(6) Maximum maturity assumes all extension options are exercised, however our loans may be repaid prior to such date.

(7) Loan is accounted for under the cost-recovery method.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 2. Management’s Discussion and Analysis