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Item 2. Management’s Discussion and Analysis

2023-07-26 compared with 2023-04-26 · 236 added, 289 removed, 596 unchanged (47% of the section changed)

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Macroeconomic Environment

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.

The six months ended June 30, 2023 have been characterized by continued volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth, political and regulatory uncertainty and geopolitical conditions.

Recent events affecting financial institutions have also contributed to volatility in global markets and diminished liquidity and credit availability in the market broadly.

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.

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, 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;

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.

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.

LIBOR and certain other floating rate benchmark indices have been the subject of national, international and regulatory guidance and proposals for reform or replacement.

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

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

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

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%.

As of June 30, 2023, one-month term SOFR is utilized as the floating benchmark rate on substantially all of our floating rate U.S.

dollar loans and related financings.

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.

However, multi-rate environments may persist in these markets as regulators and working groups have suggested market participants adopt alternative reference rates.

As of June 30, 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 June 30, 2023, substantially all of our floating rate loans and related financings have transitioned to the applicable replacement benchmark rate, or reference a benchmark rate that is not expected to be replaced.

Refer to “Part I.

Risk Factors—Risks Related to Our Lending and Investment Activities—The recent and expected discontinuation of currently used financial reference rates and use of alternative replacement reference rates may adversely affect net interest income related to our loans and investments or otherwise adversely affect our results of operations, cash flows and the market value of our investments” of our Annual Report on Form 10-K filed with the SEC on February 8, 2023.

Risk Factors—Risks Related to Our Lending and Investment Activities—The transition away from reference rates and use of alternative replacement reference rates may adversely affect net interest income related to our loans and investments or otherwise adversely affect our results of operations, cash flows and the market value of our investments” of our Annual Report on Form 10-K filed with the SEC on February 8, 2023.

Key Financial Measures and Indicators

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 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.

For the three months ended June 30, 2023, we recorded basic earnings per share of $0.59, declared a dividend of $0.62 per share, and reported $0.79 per share of Distributable Earnings.

In addition, our book value as of June 30, 2023 was $26.30 per share, which is net of a $2.20 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 (loss) per share and dividends declared per share ($ in thousands, except per share data):

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

Three Months Ended

March 31, 2023 December 31, 2022

Net income (loss) (1)

June 30, 2023 March 31, 2023

Net income (1)

$ 101,651 $ 117,757

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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 (loss) ($ in thousands, except per share data):

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

Three Months Ended

March 31, 2023 December 31, 2022

Net income (loss) (1)

June 30, 2023 March 31, 2023

Net income (1)

$ 101,651 $ 117,757

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Non-cash compensation expense 7,665 7,655

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

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

Adjustments attributable to non-controlling interests, net (42) (29)

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Distributable Earnings per share, basic $ 0.79 $ 0.79

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

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

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

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

These amounts were not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements.

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

March 31, 2023 December 31, 2022

June 30, 2023 March 31, 2023

Stockholders’ equity $ 4,540,662 $ 4,535,227

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Loan Portfolio

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 $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.

Loan fundings during the quarter totaled $442.9 million and loan repayments and sales during the quarter totaled $1.5 billion.

We generated interest income of $521.9 million and incurred interest expense of $344.5 million during the quarter, which resulted in $177.3 million of net interest income during the three months ended June 30, 2023.

Portfolio Overview

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

Three Months Ended

March 31, 2023 December 31, 2022

Three Months Ended June 30, 2023 Six Months Ended June 30, 2023

Loan originations (1)

$ — $ 235,467

Loan fundings (2)

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(1,534,174) (2,128,110)

Total net fundings $ (150,306) $ 41,892

Total net repayments $ (1,091,313) $ (1,241,620)

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

(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):

(2) Loan fundings during the three and six months ended June 30, 2023, include $97.2 million and $171.0 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three and six months ended June 30, 2023, include $654.8 million and $656.4 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests.

The following table details overall statistics for our loan portfolio as of June 30, 2023 ($ in thousands):

Balance Sheet

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64.0 % 63.9 %

(1) 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.

Total loan exposure encompasses the entire loan we originated and financed, including $1.7 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

(1) In certain instances, we have executed a sale of a non-recourse senior loan interest that is not included in our consolidated financial statements.

Total loan exposure encompasses the entire loan we originated and sold, including $1.2 billion of such non-consolidated senior interests, as of June 30, 2023, that are not included in our balance sheet portfolio.

We have retained an aggregate $294.0 million of subordinate mezzanine loans, as of June 30, 2023, related to these non-consolidated senior interests that are included in our balance sheet portfolio.

(2) Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures.

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Excludes $504.3 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.

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

As of June 30, 2023, substantially all of our loans by principal balance earned a floating rate of interest, primarily indexed to SOFR.

Floating rate exposure includes an interest rate swap with a notional amount of $229.9 million that effectively converts our fixed rate loan exposure to floating rate exposure.

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

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(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 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.

As of June 30, 2023, 29% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 71% 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 March 31, 2023 ($ in thousands):

The following table details the index rate floors for our loan portfolio based on total loan exposure as of June 30, 2023 ($ in thousands):

Total Loan Exposure (1)

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0.00% or no floor (3)

5,220,666 7,137,346 12,358,012

0.01% to 1.00% floor 8,045,402 827,534 8,872,936

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$ 17,315,739 $ 8,439,734 $ 25,755,473

(1) 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.

Total loan exposure encompasses the entire loan we originated and financed, including $1.7 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

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

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

(1) In certain instances, we have executed a sale of a non-recourse senior loan interest that is not included in our consolidated financial statements.

Total loan exposure encompasses the entire loan we originated and sold, including $1.2 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

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

(3) Includes an interest rate swap with a notional amount of $229.9 million that effectively converts our fixed rate loan exposure to floating rate exposure.

(4) As of June 30, 2023, the weighted-average index rate floor of our loan portfolio was 0.44%.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.81%.

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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 March 31, 2023 (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 June 30, 2023 (total loan exposure amounts in thousands):

Currency Total Loan Exposure (1)

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All-in Yield (3)

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

151 $ $ 17,315,739 SOFR (4)

+ 3.22% + 3.54%

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191 $ 25,755,473 Applicable Index + 3.39% + 3.73%

(1) 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.

Total loan exposure encompasses the entire loan we originated and financed, including $1.7 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

(1) In certain instances, we have executed a sale of a non-recourse senior loan interest that is not included in our consolidated financial statements.

Total loan exposure encompasses the entire loan we originated and sold, including $1.2 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

(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.

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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 March 31, 2023:

(4) Includes an interest rate swap with a notional amount of $229.9 million that effectively converts our fixed rate loan exposure to floating rate exposure.

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

The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of June 30, 2023:

Collateral Diversification

(Net Loan Exposure, (1) % of Total)

Geographic Diversification

(Net Loan Exposure, (1) % of Total)

______________

(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.

(1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of June 30, 2023, which is our total loan exposure net of (i) $1.2 billion of non-consolidated senior interests, (ii) $875.6 million of asset-specific debt, (iii) $236.3 million of loan participations sold, and (iv) our aggregate CECL reserve of $363.9 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.

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Portfolio Management

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.

During the three months ended June 30, 2023, we collected 100.0% of the contractual interest payments that were due under our loans, with virtually 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.

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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.

Our loan portfolio’s low weighted-average origination LTV of 63.9% as of June 30, 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.

As of June 30, 2023, we had an aggregate $214.4 million asset-specific CECL reserve related to seven of our loans receivable, with an aggregate amortized cost basis of $1.1 billion.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of June 30, 2023.

Our portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from our position as part of Blackstone’s real estate platform.

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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.

Our loan portfolio had a weighted-average risk rating of 2.9 as of both March 31, 2023 and December 31, 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 June 30, 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

June 30, 2023

Risk Rating Number

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Loans receivable, net $ 24,118,874

(1) 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.

(1) In certain instances, we have executed a sale of a non-recourse senior loan interest that is not included in our consolidated financial statements.

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

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.

Total loan exposure encompasses the entire loan we originated and sold, including $1.2 billion of such non-consolidated senior interests as of June 30, 2023.

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of June 30, 2023, which is our total loan exposure net of (i) $1.2 billion of non-consolidated senior interests, (ii) $875.6 million of asset-specific debt, (iii) $236.3 million of loan participations sold, and (iv) our aggregate CECL reserve of $363.9 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.

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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.

During the three months ended June 30, 2023, we recorded an increase of $27.3 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to $363.9 million as of June 30, 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.

During the three months ended June 30, 2023, we recorded an aggregate net increase of $17.1 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 June 30, 2023.

As of June 30, 2023, the income accrual was suspended on this loan as recovery of income and principal was doubtful.

During the three months ended June 30, 2023, we recorded $2.1 million of interest income on this loan.

As of June 30, 2023, we had an aggregate $214.4 million asset-specific CECL reserve related to seven of our loans receivable, with an aggregate amortized cost basis of $1.1 billion.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of June 30, 2023.

No income was recorded on each of our impaired loans subsequent to determining that they were impaired.

As of June 30, 2023, all borrowers were compliant with all contractual terms of each respective loan, including payment of interest.

During the three months ended

June 30, 2023, we received an aggregate $12.3 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 and CECL reserve policies.

Multifamily Joint Venture

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

As of June 30, 2023, our Multifamily Joint Venture held $798.6 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.

Portfolio Financing

Our portfolio financing consists of secured debt, securitizations, and asset-specific financings.

Our portfolio financing consists of secured debt, securitizations, and asset-specific debt.

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

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Outstanding Principal Balance

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Secured debt $ 13,451,427 $ 13,549,748

Securitizations 2,671,734 2,673,541

Asset-specific financings (1)

2,774,522 2,824,961

Asset-specific debt 875,616 950,278

Total portfolio financing $ 16,998,777 $ 17,173,567

(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.

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

Borrowings Outstanding

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Secured credit facilities $ 13,451,427 $ 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 March 31, 2023 ($ in thousands):

Three Months Ended March 31, 2023 March 31, 2023

The following table details our secured credit facilities by spread over the applicable base rates as of June 30, 2023 ($ in thousands):

Six Months Ended June 30, 2023 June 30, 2023

New Financings (2)

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Total $ 69,306 $ 13,451,427 +1.89 % $ 19,350,114 +3.68 % +1.79 %

(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.

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

(2) Represents borrowings outstanding as of June 30, 2023 for new financings closed during the six months ended June 30, 2023.

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

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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.

(4) Represents the weighted-average all-in cost as of June 30, 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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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.

As of June 30, 2023, we had no assets pledged to our acquisition facility and no outstanding borrowings.

Securitizations

2 unchanged sentences

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

March 31, 2023

June 30, 2023

Securitized Debt Obligations Count Principal

2 unchanged sentences

Senior CLO Securities Outstanding 1 $ 803,750 $ 800,779 + 1.69 % May 2038

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

Underlying Collateral Assets 28 1,000,000 1,000,000 + 3.46 % August 2025

2020 FL3 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 808,750 808,171 + 2.15 % November 2037

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

Underlying Collateral Assets 16 1,000,000 1,000,000 + 3.07 % January 2025

2020 FL2 Collateralized Loan Obligation

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(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 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%.

(2) The weighted-average all-in yield and cost are expressed as a spread over SOFR, which is the relevant floating benchmark rate for each securitized debt obligation.

Excludes loans accounted for under the cost recovery method.

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

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

(4) During the three and six months ended June 30, 2023, we recorded $43.3 million and $83.1 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.

Asset-Specific Financings

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

Asset-Specific Financings

Outstanding Principal Balance

March 31, 2023 December 31, 2022

Asset-Specific Debt

Loan participations sold (1)

229,468 224,744

Non-consolidated senior interests (1)

1,722,181 1,649,939

Total asset-specific financings $ 2,774,522 $ 2,824,961

(1) These loan participations sold and 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.

Asset-Specific Debt

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

March 31, 2023

June 30, 2023

Asset-Specific Debt Count Principal

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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):

March 31, 2023

Loan Participations Sold Count Principal

Book Value Wtd.

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

(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 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

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.

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):

March 31, 2023

Non-Consolidated Senior Interests Count Principal

Yield/Cost (1)

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

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Term loans $ 2,146,220 $ 2,157,218

2 unchanged sentences

Total corporate financing $ 2,846,220 $ 3,077,218

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

As of June 30, 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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(1) The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of 0.50%.

The B-1 Term Loan and B-3 Term Loan are indexed to one-month USD LIBOR and the B-4 Term Loan is indexed to one-month SOFR.

The Term Loans are indexed to one-month SOFR.

(2) Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Term Loans.

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Senior Secured Notes

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

As of June 30, 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 March 31, 2023 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

As of June 30, 2023 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes Issuance Face Value Interest Rate

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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 March 2022 convertible notes supplemental indentures has not been exceeded as of March 31, 2023.

The cumulative dividend threshold as defined in the March 2022 convertible notes supplemental indentures has not been exceeded as of June 30, 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 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.

As of June 30, 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.

In certain cases, we have financed fixed rate assets with floating rate liabilities, and have purchased interest rate swaps to effectively convert our net exposure to floating rate.

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 March 31, 2023 (amounts in thousands):

The following table details our investment portfolio’s exposure to interest rates by currency as of June 30, 2023 (amounts in thousands):

All Other (1)

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$ 3,147,374 $ 878,797 $ 720,565 $ 422,506

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

(1) Includes Australian 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.

(3) Includes an interest rate swap with a notional amount of $229.9 million that effectively converts our fixed rate loan exposure to floating rate exposure.

(4) Net of $1.2 billion of non-consolidated senior interests and $236.3 million of loan participations sold, as of June 30, 2023.

Our non-consolidated senior interests and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans, and have no impact on our net floating rate exposure .

(5) Includes amounts outstanding under secured debt, securitizations, asset-specific debt, and term loans.

(6) Represents the U.S.

Dollar equivalent as of March 31, 2023.

Dollar equivalent as of June 30, 2023.

Our Results of Operations

Operating Results

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):

The following table sets forth information regarding our consolidated results of operations for the three months ended June 30, 2023 and March 31, 2023 ($ in thousands, except per share data):

Three Months Ended Change

March 31, 2023 December 31, 2022 $

June 30, 2023 March 31, 2023 $

Income from loans and other investments

7 unchanged sentences

Increase in current expected credit loss reserve (27,807) (9,823) (17,984)

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

Income before income taxes 103,699 120,449 (16,750)

Income tax provision 1,202 1,893 (691)

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

Net Income 102,497 118,556 (16,059)

Net income attributable to non-controlling interests (846) (799) (47)

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

Net income attributable to Blackstone Mortgage Trust, Inc.

$ 101,651 $ 117,757 $ (16,106)

Net income (loss) per share of common stock

Net income per share of common stock

Basic $ 0.59 $ 0.68 $ (0.09)

5 unchanged sentences

Income from loans and other investments, net

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.

Income from loans and other investments, net increased $3.2 million during the three months ended June 30, 2023 compared to the three months ended March 31, 2023.

The increase was primarily due to an increase in floating rate indices during the three months ended June 30, 2023 compared to the three months ended March 31, 2023.

Other expenses

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

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.

Other expenses increased by $1.9 million during the three months ended June 30, 2023 compared to the three months ended March 31, 2023 primarily due to an increase of (i) $1.7 million of incentive fees payable to our Manager and (ii) $147,000 of general operating expenses.

Changes in current expected credit loss reserve

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.

During the three months ended June 30, 2023, we recorded a $27.8 million increase in the CECL reserve, as compared to a $9.8 million increase during the three months ended March 31, 2023.

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

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Dividends per share

During the three months ended June 30, 2023, we declared aggregate dividends of $0.62 per share, or $106.8 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 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 $

The following table sets forth information regarding our consolidated results of operations for the three months ended June 30, 2023 and 2022 ($ in thousands, except per share data):

Six Months Ended Change

June 30, 2023 June 30, 2022 $

Income from loans and other investments

6 unchanged sentences

Total other expenses 89,752 75,320 14,432

(Increase) decrease in current expected credit loss reserve (9,823) 2,537 (12,360)

Increase in current expected credit loss reserve (37,630) (10,446) (27,184)

Income before income taxes 224,148 195,020 29,128

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Income from loans and other investments, net

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.

Income from loans and other investments, net increased $70.7 million during the six months ended June 30, 2023 compared to the six months ended June 30, 2022.

The increase was primarily due to (i) an increase in floating rate indices during the six months ended June 30, 2023 compared to the six months ended June 30, 2022, and (ii) an increase in the weighted-average principal balance of our loan portfolio by $1.6 billion for the six months ended June 30, 2023, as compared to the six months ended June 30, 2022.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $1.6 billion for the six months ended June 30, 2023, as compared to the six months ended June 30, 2022.

Other expenses

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.

Other expenses increased by $14.4 million during the six months ended June 30, 2023 compared to the six months ended June 30, 2022 due to an increase of (i) $12.4 million of incentive fees payable to our Manager, due to an increase in Distributable Earnings, (ii) $2.9 million of general operating expenses, and (iii) $917,000 of management fees payable to our Manager, primarily as a result of an increase in equity.

This was offset by a reduction in non-cash restricted stock amortization of $1.7 million related to shares awarded under our long-term incentive plans.

Changes in current expected credit loss reserve

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.

During the six months ended June 30, 2023, we recorded a $37.6 million increase in the CECL reserve, as compared to a $10.4 million increase during the six months ended June 30, 2022.

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

Dividends per share

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.

During the six months ended June 30, 2023, we declared aggregate dividends of $1.24 per share, or $213.6 million.

During the six months ended June 30, 2022, we declared aggregate dividends of $1.24 per share, or $211.2 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 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.

As of June 30, 2023, our capitalization structure included $4.5 billion of common equity, $2.8 billion of corporate debt, and $17.0 billion of asset-level financings.

Our $2.8 billion of corporate debt includes $2.1 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 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.

Our $17.0 billion of asset-level financings includes $13.5 billion of secured debt, $2.7 billion of securitizations, and $875.6 million of asset-specific debt, 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 June 30, 2023, we have $1.8 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.

1 unchanged sentence

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

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Debt-to-equity ratios

5 unchanged sentences

(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.

(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 $380.1 million and $342.5 million, as of June 30, 2023, and December 31, 2022, respectively.

(3) Represents, in each case at period end, (i) total outstanding secured debt, securitizations, asset-specific debt, 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 debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, excluding our aggregate CECL reserve of $380.1 million and $342.5 million, as of June 30, 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):

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Cash and cash equivalents $ 482,856 $ 291,340

3 unchanged sentences

(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 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.

During the six months ended June 30, 2023, we generated cash flow from operating activities of $238.1 million and received $1.5 billion from loan principal collections and sales proceeds.

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.

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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 9,980,171 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.

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,977,935 shares of class A common stock were available for issuance as of June 30, 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 June 30, 2023.

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

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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.

As of June 30, 2023, we had unfunded commitments of $3.0 billion related to 105 loans receivable and $1.8 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.2 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.

2 unchanged sentences

Contractual Obligations and Commitments

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

Our contractual obligations and commitments as of June 30, 2023 were as follows ($ in thousands):

Payment Timing

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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 March 31, 2023 will remain constant into the future.

Future interest payment obligations are estimated assuming the interest rates in effect as of June 30, 2023 will remain constant into the future.

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

(7) Total does not include $2.7 billion of consolidated securitized debt obligations, $1.2 billion of non-consolidated senior interests, and $236.3 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.

We are also required to settle our foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty.

We are also required to settle our foreign exchange and interest rate derivatives with our derivative counterparties upon maturity which, depending on foreign currency exchange and interest rate movements, may result in cash received from or due to such counterparties.

The table above does not include these amounts as they are not fixed and determinable.

6 unchanged sentences

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

Three Months Ended March 31,

Six Months Ended

Cash flows provided by operating activities $ 238,067 $ 183,596

2 unchanged sentences

Net increase (decrease) in cash and cash equivalents $ 188,231 $ (256,629)

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.

We experienced a net increase in cash and cash equivalents of $188.2 million for the six months ended June 30, 2023, compared to a net decrease of $256.6 million for the six months ended June 30, 2022.

During the six months ended June 30, 2023, we received $1.5 billion from loan principal collections and sales proceeds.

Also, during the six months ended June 30, 2023, we (i) funded $715.5 million of loans, (ii) repaid a net $250.7 million of secured debt borrowings, (iii) repaid $220.0 million of convertible notes, (iv) paid $213.3 million of dividends on our class A common stock, and (v) repaid a net $75.5 million of asset-specific debt.

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

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

As of June 30, 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 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.

The current expected credit loss, or CECL, reserve required under the FASB Accounting Standards Codification, or ASC, Topic 326 “Financial Instruments – Credit Losses,” or ASC 326, reflects our current estimate of potential credit losses related to our loans 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.

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 February 28, 2023.

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

14 unchanged sentences

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 March 31, 2023.

• Impairment:

5 unchanged sentences

Actual losses, if any, could ultimately differ materially from these estimates.

We only expect to realize the impairment losses if and when such amounts are deemed nonrecoverable upon a realization event.

This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected.

We only expect to charge-off the impairment losses if and when such amounts are deemed nonrecoverable.

This is generally at the time a loan is repaid or foreclosed.

However, non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected.

These assumptions vary from quarter to quarter as our loan portfolio changes and market and economic conditions evolve.

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 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.

During the six months ended June 30, 2023, we recorded an aggregate $37.6 million increase in the CECL reserve related to our loans receivable and unfunded loan commitments, bringing our total reserve to $380.1 million as of June 30, 2023.

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

3 unchanged sentences

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.

Interest received is then recorded as a reduction in the outstanding principal balance until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed.

Interest received is then recorded as income or as a reduction in the outstanding principal balance, based on the specific facts and circumstances, until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed.

In addition, for loans we originate, the related origination expenses are deferred and recognized as a component of interest income, however expenses related to loans we acquire are included in general and administrative expenses as incurred.

Loan Portfolio Details

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

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of June 30, 2023 ($ in millions):

Loan Type (1)

5 unchanged sentences

4 Senior Loan (4)

12/9/2021 770 712 409 +2.65 % +2.82 % 12/9/2026 New York Mixed-Use $214 / sqft 50 % 2

5 Senior Loan (4)

8/7/2019 746 699 142 +3.22 % +3.72 % 9/9/2025 Los Angeles Office $473 / sqft 59 % 2

1 unchanged sentence

6 Senior Loan 3/30/2021 459 459 456 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $85 / sqft 76 % 2

8 Senior Loan (4)

12/17/2021 448 440 88 +3.95 % +4.35 % 1/9/2026 Diversified - US Other $13,716 / unit 61 % 2

7 Senior Loan 7/23/2021 500 441 437 +4.10 % +4.55 % 8/9/2027 New York Multi $592,256 / unit 58 % 2

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

8 Senior Loan (4)

11/22/2019 470 374 75 +3.78 % +4.25 % 12/9/2025 Los Angeles Office $685 / sqft 69 % 3

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

10 Senior Loan 12/9/2021 385 356 356 +2.76 % +2.89 % 12/9/2026 New York Mixed-Use $123 / sqft 50 % 2

11 Senior Loan 9/23/2019 382 356 355 +3.00 % +3.23 % 8/15/2024 Diversified - Spain Hospitality $126,793 / key 62 % 4

12 Senior Loan 4/11/2018 345 335 335 +2.25 % +2.28 % 5/1/2025 New York Office $424 / 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

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

13 Senior Loan 5/6/2022 307 307 305 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $97 / 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

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

15 Senior Loan 10/25/2021 300 300 298 +4.00 % +4.32 % 10/25/2024 Diversified - AU Hospitality $147,797 / key 56 % 2

16 Senior Loan 3/25/2022 295 295 294 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $130,223 / key 65 % 2

17 Senior Loan 9/29/2021 312 289 288 +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

18 Senior Loan 12/11/2018 310 289 290 +2.55 % +3.24 % 12/9/2023 Chicago Office $245 / sqft 78 % 4

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

19 Senior Loan 10/23/2018 290 282 282 +2.86 % +3.01 % 11/9/2024 Atlanta Mixed-Use $263 / sqft 64 % 2

20 Senior Loan 7/15/2021 312 281 278 +4.25 % +4.74 % 7/16/2026 Diversified - EUR Hospitality $214,962 / key 53 % 3

21 Senior Loan 9/30/2021 280 275 274 +2.61 % +2.88 % 9/30/2026 Dallas Multi $145,229 / unit 74 % 3

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

22 Senior Loan 11/30/2018 275 275 273 +2.43 % +2.43 % 8/9/2025 New York Hospitality $292,696 / key 73 % 5

23 Senior Loan 1/11/2019 261 261 261 +5.01 % +5.06 % 6/14/2028 Diversified - UK Other $258 / sqft 74 % 3

24 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 7/15/2021 306 268 265 +4.25 % +4.69 % 7/16/2026 Diversified - EUR Hospitality $205,172 / key 53 % 3

25 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

26 Senior Loan 6/8/2022 272 249 248 +3.65 % +4.00 % 6/9/2027 New York Office $1,395 / sqft 75 % 3

27 Senior Loan 2/23/2022 245 231 229 +2.60 % +2.84 % 3/9/2027 Reno Multi $214,170 / unit 74 % 3

28 Senior Loan (7)

9/16/2021 230 230 230 +1.63 % +1.63 % 11/9/2025 San Francisco Office $279 / sqft 53 % 4

29 Senior Loan 7/16/2021 232 217 216 +3.25 % +3.51 % 2/15/2027 London - UK Multi $239,790 / unit 69 % 3

30 Senior Loan 6/28/2019 208 208 207 +3.82 % +4.08 % 6/26/2024 London - UK Office $501 / sqft 71 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

31 Senior Loan 6/27/2019 $ 209 $ 205 $ 205 +2.80 % +2.80 % 8/15/2026 Berlin - DEU Office $441 / sqft 62 % 3

32 Senior Loan 4/23/2021 213 203 203 +3.65 % +3.65 % 5/9/2024 Washington, DC Office $227 / sqft 57 % 5

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 197 197 196 +2.62 % +2.62 % 9/9/2023 Orange County Office $230 / 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

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

34 Senior Loan 7/29/2022 280 196 192 +4.60 % +5.65 % 7/27/2027 London - UK Industrial $253 / sqft 52 % 3

35 Senior Loan 9/30/2021 195 195 194 +3.86 % +4.21 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3

36 Senior Loan 12/22/2016 196 195 196 +2.00 % +2.00 % 12/9/2023 New York Office $275 / 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

37 Senior Loan 9/30/2021 256 195 193 +3.11 % +3.50 % 10/9/2028 Chicago Office $215 / sqft 74 % 4

38 Senior Loan 9/25/2019 187 187 187 +4.47 % +4.99 % 9/26/2024 London - UK Office $871 / 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

39 Senior Loan 11/23/2018 186 186 186 +2.68 % +2.92 % 2/15/2024 Diversified - UK Office $1,148 / sqft 50 % 3

1 unchanged sentence

41 Senior Loan 7/23/2021 244 183 181 +5.11 % +5.50 % 8/9/2027 New York Office $592 / sqft 53 % 4

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

42 Senior Loan (4)

11/10/2021 362 180 35 +4.11 % +4.85 % 12/9/2026 San Francisco Life Sciences $341 / sqft 66 % 3

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

44 Senior Loan 1/27/2022 178 173 172 +3.10 % +3.40 % 2/9/2027 Dallas Multi $113,012 / 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

45 Senior Loan 3/9/2022 172 172 170 +2.95 % +3.17 % 8/15/2027 Various Retail $146 / sqft 55 % 2

46 Senior Loan 6/28/2022 675 168 161 +4.60 % +5.06 % 7/9/2029 Austin Mixed-Use $140 / sqft 53 % 3

47 Senior Loan 5/13/2021 199 166 165 +3.66 % +4.10 % 6/9/2026 Boston Life Sciences $841 / sqft 64 % 3

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

49 Senior Loan 5/27/2021 205 161 160 +2.81 % +3.11 % 6/9/2026 Atlanta Office $135 / sqft 66 % 3

50 Senior Loan 10/7/2021 165 160 160 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $324 / 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

51 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

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

52 Senior Loan 3/17/2022 276 154 152 +3.87 % +5.11 % 6/30/2025 London - UK Office $600 / sqft 62 % 3

53 Senior Loan 6/4/2018 153 153 152 +3.50 % +3.74 % 6/9/2025 New York Hospitality $251,647 / key 52 % 3

54 Senior Loan 1/7/2022 155 152 151 +3.70 % +3.97 % 1/9/2027 Fort Lauderdale Office $392 / sqft 55 % 1

55 Senior Loan 1/17/2020 203 150 150 +2.86 % +3.00 % 2/9/2025 New York Mixed-Use $124 / sqft 43 % 3

56 Senior Loan 9/4/2018 163 150 150 +4.25 % +4.50 % 9/9/2024 Las Vegas Hospitality $181,054 / key 70 % 2

57 Senior Loan 11/18/2021 144 144 143 +3.25 % +3.51 % 11/18/2026 London - UK Other $181 / sqft 65 % 2

58 Senior Loan 12/20/2019 143 143 142 +3.22 % +3.44 % 12/18/2026 London - UK Office $723 / 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

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

60 Senior Loan 9/30/2021 187 138 136 +4.00 % +4.51 % 9/30/2026 Diversified - Spain Hospitality $118,821 / key 60 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

61 Senior Loan 2/25/2022 $ 137 $ 137 $ 137 +4.05 % +4.43 % 2/25/2027 Copenhagen - DK Industrial $79 / sqft 69 % 2

62 Senior Loan 8/24/2021 156 133 132 +2.71 % +3.03 % 9/9/2026 San Jose Office $317 / sqft 65 % 3

63 Senior Loan 2/20/2019 172 132 132 +4.07 % +4.73 % 2/19/2024 London - UK Office $649 / sqft 61 % 3

64 Senior Loan 9/14/2021 132 129 129 +2.81 % +3.07 % 10/9/2026 San Bernardino Multi $260,134 / unit 75 % 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

65 Senior Loan 6/30/2022 127 127 126 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $245,856 / key 60 % 2

66 Senior Loan 4/3/2018 126 125 125 +2.86 % +3.11 % 4/9/2024 Dallas Retail $761 / sqft 64 % 3

67 Senior Loan 3/29/2021 129 124 124 +4.02 % +4.61 % 3/29/2026 Diversified - UK Multi $54,403 / unit 61 % 3

68 Senior Loan 5/20/2021 150 123 122 +3.76 % +4.19 % 6/9/2026 San Jose Office $314 / sqft 65 % 4

69 Senior Loan 4/6/2021 123 122 121 +3.31 % +3.60 % 4/9/2026 Los Angeles Office $504 / sqft 65 % 3

1 unchanged sentence

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

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

73 Senior Loan 8/27/2021 122 117 117 +3.11 % +3.41 % 9/9/2026 San Diego Retail $442 / 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

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

75 Senior Loan 12/21/2021 120 115 114 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $393 / sqft 68 % 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

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

77 Senior Loan 3/28/2022 130 113 112 +2.55 % +2.85 % 4/9/2027 Miami Office $305 / sqft 69 % 3

78 Senior Loan 11/8/2022 112 112 112 +3.88 % +4.53 % 11/8/2027 London - UK Multi $174,568 / unit 60 % 2

79 Senior Loan 12/15/2021 148 111 110 +3.49 % +4.61 % 12/9/2026 Dublin - IE Multi $278,663 / unit 79 % 3

80 Senior Loan 3/13/2018 123 108 108 +3.11 % +3.34 % 4/9/2027 Honolulu Hospitality $167,518 / key 50 % 3

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

82 Senior Loan 12/23/2021 328 106 101 +4.25 % +5.40 % 6/24/2028 London - UK Multi $117,014 / unit 59 % 3

83 Senior Loan 2/15/2022 106 104 104 +2.85 % +3.19 % 3/9/2027 Tampa Multi $239,443 / unit 73 % 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 12/10/2021 135 103 103 +3.11 % +3.46 % 1/9/2027 Miami Office $346 / sqft 49 % 3

86 Senior Loan 3/29/2022 103 101 101 +2.70 % +2.96 % 4/9/2027 Miami Multi $281,724 / unit 75 % 3

86 Senior Loan 7/1/2021 104 99 99 +3.10 % +3.35 % 7/9/2026 Diversified - US Retail $281 / sqft 61 % 2

87 Senior Loan 10/1/2021 101 100 99 +2.86 % +3.13 % 10/1/2026 Phoenix Multi $230,451 / unit 77 % 3

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

89 Senior Loan 3/25/2020 97 97 97 +2.40 % +2.58 % 3/31/2025 Diversified - NL Multi $118,315 / unit 65 % 2

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

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

91 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

92 Senior Loan 6/14/2021 100 94 94 +3.81 % +3.81 % 7/9/2024 Miami Office $197 / sqft 65 % 5

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

94 Senior Loan 10/16/2018 102 93 93 +3.36 % +3.60 % 11/9/2024 San Francisco Hospitality $191,807 / key 72 % 4

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

96 Senior Loan 12/21/2018 98 91 91 +2.71 % +2.95 % 1/9/2024 Chicago Office $177 / sqft 72 % 4

97 Senior Loan 1/26/2022 338 91 88 +4.10 % +4.70 % 2/9/2027 Seattle Office $191 / sqft 56 % 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

99 Senior Loan 12/15/2021 91 90 89 +2.96 % +3.22 % 1/9/2027 Charlotte Multi $256,393 / unit 76 % 3

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

100 Senior Loan 4/1/2021 102 89 89 +3.41 % +3.87 % 4/9/2026 San Jose Office $595 / sqft 67 % 4

101 Senior Loan 12/15/2021 87 87 86 +4.00 % +4.29 % 12/15/2026 Melbourne - AU Multi $63,420 / unit 38 % 2

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

Louis Multi $80,339 / unit 70 % 3

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

103 Senior Loan 12/10/2018 85 85 85 +4.57 % +5.28 % 12/3/2024 London - UK Office $408 / sqft 72 % 3

104 Senior Loan 1/30/2020 104 84 84 +2.96 % +3.17 % 2/9/2026 Honolulu Hospitality $271,101 / key 63 % 3

105 Senior Loan 7/30/2021 87 84 84 +2.61 % +2.95 % 8/9/2026 Los Angeles Multi $166,827 / unit 70 % 2

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

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

106 Senior Loan 6/27/2019 88 84 84 +2.75 % +3.04 % 7/9/2024 West Palm Beach Office $290 / sqft 70 % 2

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

107 Senior Loan 3/31/2017 84 84 84 +9.41 % +9.41 % 10/9/2023 New York Office $402 / sqft 64 % 5

108 Senior Loan 6/14/2022 106 83 83 +2.95 % +3.30 % 7/9/2027 San Francisco Mixed-Use $172 / sqft 76 % 3

109 Senior Loan 3/9/2022 92 82 82 +2.90 % +3.43 % 3/9/2025 Boston Office $216 / sqft 68 % 4

110 Senior Loan 7/29/2021 82 82 81 +2.76 % +3.08 % 8/9/2026 Charlotte Multi $222,786 / unit 78 % 3

111 Senior Loan 8/27/2021 79 78 78 +3.85 % +4.43 % 9/9/2026 Diversified - US Hospitality $115,462 / key 67 % 3

112 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

113 Senior Loan (4)

3/29/2022 224 74 14 +4.50 % +5.37 % 4/9/2027 Miami Multi $380,952 / unit 72 % 3

114 Senior Loan (4)

12/30/2021 228 73 14 +4.00 % +4.93 % 1/9/2028 Los Angeles Multi $209,770 / unit 50 % 3

115 Senior Loan 12/21/2021 74 72 72 +2.70 % +3.06 % 1/9/2027 Tampa Multi $211,895 / unit 77 % 2

116 Senior Loan 8/14/2019 70 70 70 +2.56 % +2.69 % 9/9/2024 Los Angeles Office $680 / sqft 57 % 3

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

118 Senior Loan 8/17/2022 78 69 69 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $108 / sqft 72 % 3

119 Senior Loan 9/22/2021 67 67 67 +3.26 % +3.57 % 4/1/2024 Jacksonville Multi $181,081 / unit 62 % 2

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

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

121 Senior Loan 3/31/2022 $ 70 $ 65 $ 64 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $141,534 / unit 71 % 3

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

122 Senior Loan 8/16/2022 67 64 63 +4.75 % +5.17 % 8/16/2027 London - UK Hospitality $473,610 / key 64 % 3

123 Senior Loan 12/17/2021 66 63 63 +4.35 % +4.83 % 1/9/2026 Diversified - US Other $4,794 / unit 37 % 1

124 Senior Loan 3/31/2021 62 62 62 +3.99 % +4.30 % 4/1/2024 Boston Multi $316,327 / unit 75 % 3

3 unchanged sentences

128 Senior Loan 4/15/2021 66 60 60 +3.06 % +3.34 % 5/9/2026 Austin Office $293 / 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

129 Senior Loan (4)

3/23/2020 59 59 12 +3.82 % +4.62 % 4/9/2025 Nashville Office $90 / sqft 60 % 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

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

134 Senior Loan 11/11/2021 55 55 55 +4.07 % +4.86 % 8/12/2026 London - UK Hospitality $197,125 / key 40 % 3

135 Senior Loan 1/21/2022 68 55 55 +3.70 % +4.09 % 2/9/2027 Denver Office $326 / sqft 65 % 3

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

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

138 Senior Loan 12/14/2018 54 54 54 +3.01 % +3.27 % 1/9/2024 Diversified - US Industrial $40 / sqft 57 % 1

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

139 Senior Loan 8/5/2021 57 52 52 +2.96 % +3.24 % 8/9/2026 Denver Office $197 / 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

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

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

141 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

142 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

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

144 Senior Loan 11/30/2016 57 49 48 +3.18 % +3.40 % 12/9/2023 Chicago Retail $848 / sqft 54 % 4

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

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

146 Senior Loan 10/21/2022 47 47 47 +4.14 % +4.51 % 10/18/2027 Diversified - DEU Industrial $66 / sqft 74 % 3

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

148 Senior Loan 10/1/2019 48 46 46 +3.80 % +4.24 % 10/9/2025 Atlanta Hospitality $259,356 / key 74 % 3

149 Senior Loan 4/7/2022 57 45 45 +3.25 % +3.57 % 4/9/2027 Denver Office $133 / sqft 59 % 3

150 Senior Loan 7/30/2021 45 45 45 +2.75 % +2.86 % 8/1/2026 Portland Multi $62,378 / unit 64 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

151 - 199 Senior Loan (4)

Various 1,892 1,566 1,498 +3.15 % +3.57 % 2.8 yrs Various Various Various 63 % 2.5

151 - 191 Senior Loan Various 1,368 1,275 1,268 +3.06 % +3.51 % 2.5 yrs Various Various Various 63 % 2.5

CECL reserve (364)

4 unchanged sentences

(3) Total loan amount reflects outstanding principal balance as well as any related unfunded loan commitment.

(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 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.

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

As of June 30, 2023, six loans in our portfolio have been sold with an aggregate $1.2 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, SONIA, EURIBOR, and other indices as applicable to each loan.

As of June 30, 2023, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR.

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.

1 unchanged sentence

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

(7) This loan earns interest at a fixed rate.

Cash coupon and all-in yield are expressed as a floating rate to include an interest rate swap that effectively converts the loan to a floating rate exposure.

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