What changed in this filing

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Item 2. Management’s Discussion and Analysis

2023-10-25 compared with 2023-07-26 · 218 added, 180 removed, 652 unchanged (38% of the section changed)

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Macroeconomic Environment

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.

The nine months ended September 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.

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

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.

As of September 30, 2023, one-month term SOFR is utilized as the floating benchmark rate on 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 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.

As of September 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 September 30, 2023, 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.

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

For the three months ended 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.

For the three months ended September 30, 2023, we recorded basic earnings per share of $0.17, declared a dividend of $0.62 per share, and reported $0.78 per share of Distributable Earnings.

In addition, our book value as of September 30, 2023 was $25.90 per share, which is net of a $2.76 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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Three Months Ended

June 30, 2023 March 31, 2023

September 30, 2023 June 30, 2023

Net income (1)

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Three Months Ended

June 30, 2023 March 31, 2023

September 30, 2023 June 30, 2023

Net income (1)

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

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

Other items — 43

Adjustments attributable to non-controlling interests, net 118 (42)

Distributable Earnings $ 134,184 $ 136,994

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

June 30, 2023 March 31, 2023

September 30, 2023 June 30, 2023

Stockholders’ equity $ 4,470,870 $ 4,540,662

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Loan fundings during the quarter totaled $440.4 million and loan repayments and sales during the quarter totaled $1.0 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.

We generated interest income of $519.3 million and incurred interest expense of $354.0 million during the quarter, which resulted in $165.4 million of net interest income during the three months ended September 30, 2023.

Portfolio Overview

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

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

Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023

Loan originations (1)

$ 50,000 $ 50,000

Loan fundings (2)

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

(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):

(2) Loan fundings during the three and nine months ended September 30, 2023, include $87.0 million and $258.0 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three and nine months ended September 30, 2023, include $139.4 million and $795.8 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests.

Additionally, loan repayments and sales during both the three and nine months ended September 30, 2023, include $50.7 million related to the sale of a junior loan interest.

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

Balance Sheet

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63.8 % 64.0 %

(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.

(1) Total loan exposure reflects our aggregate exposure to each loan investment.

As of September 30, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $23.8 billion that are included in our consolidated financial statements, (ii) $1.1 billion of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements, and excludes (iii) $48.8 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements.

We have retained an aggregate $280.3 million of subordinate mezzanine loans, as of September 30, 2023, related to 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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(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.

As of September 30, 2023, 99% of our loans by principal balance earned a floating rate of interest, primarily indexed to SOFR, and the remaining 1% of our loans earn a fixed rate of interest.

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.

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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 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 June 30, 2023 ($ in thousands):

As of September 30, 2023, 19% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 81% were open to repayment by the borrower without penalty.

(5) Based on LTV as of the dates loans were originated or acquired by us, excluding any junior participations sold.

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

Total Loan Exposure (1)

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$ 16,801,353 $ 8,111,523 $ 24,912,876

(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.

(1) Total loan exposure reflects our aggregate exposure to each loan investment.

See Note 2 for further discussion of loan participations sold.

(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%.

(4) As of September 30, 2023, the weighted-average index rate floor of our total loan exposure was 0.43%.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.80%.

As of December 31, 2022, the weighted-average index rate floor of our loan portfolio was 0.38%.

As of December 31, 2022, the weighted-average index rate floor of our total loan exposure was 0.38%.

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

The following table details the floating benchmark rates for our loan portfolio based on total loan exposure as of September 30, 2023 (total loan exposure amounts in thousands):

Currency Total Loan Exposure (1)

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185 $ 24,912,876 Applicable Index + 3.38% + 3.73%

(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.

(1) Total loan exposure reflects our aggregate exposure to each loan investment.

See Note 2 for further discussion of loan participations sold.

(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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(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:

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

Collateral Diversification

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______________

(1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of 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.

(1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of September 30, 2023, which is our total loan exposure net of (i) $1.1 billion of non-consolidated senior interests, (ii) $935.4 million of asset-specific debt, (iii) $226.9 million of senior loan participations sold, (iv) $40.7 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $463.4 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 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.

During the three months ended September 30, 2023, all borrowers were compliant with the contractual terms of each respective loan, with limited interest deferrals.

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

We believe that we 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 63.9% as of June 30, 2023 reflects significant equity value that we expect our sponsors will be motivated to protect through periods of cyclical disruption.

Our loan portfolio’s low weighted-average origination LTV of 64.0%, excluding any junior participations sold, as of September 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.

As of September 30, 2023, we had an aggregate $322.6 million asset-specific CECL

reserve related to ten of our loans receivable, with an aggregate amortized cost basis of $1.4 billion, net of cost-recovery proceeds.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of September 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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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):

June 30, 2023

Our loan portfolio had a weighted-average risk rating of 2.9 as of both September 30, 2023 and December 31, 2022.

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

September 30, 2023

Risk Rating Number

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Loans receivable, net $ 23,252,478

(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 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.

(1) Total loan exposure reflects our aggregate exposure to each loan investment.

See Note 2 for further discussion of loan participations sold.

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of September 30, 2023, which is our total loan exposure net of (i) $1.1 billion of non-consolidated senior interests, (ii) $935.4 million of asset-specific debt, (iii) $226.9 million of senior loan participations sold, (iv) $40.7 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $463.4 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 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.

During the three months ended September 30, 2023, we recorded an increase of $99.5 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to $463.4 million as of September 30, 2023.

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

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.

During the three months ended September 30, 2023, we recorded an aggregate net increase of $108.2 million in the asset-specific CECL reserve related to our impaired loans.

The increase was primarily driven by three additional loans that were impaired during the three months ended September 30, 2023.

As of September 30, 2023, the income accrual was suspended

on these loans as recovery of income and principal was doubtful.

During the three months ended September 30, 2023, we recorded $7.2 million of interest income on these three loans.

As of September 30, 2023, we had an aggregate $322.6 million asset-specific CECL reserve related to ten of our loans receivable, with an aggregate amortized cost basis of $1.4 billion, net of cost-recovery proceeds.

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

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

As of September 30, 2023, all such borrowers were compliant with the contractual terms of each respective loan, including any required payment of interest.

During the three months ended September 30, 2023, we received an aggregate $10.2 million of cash proceeds from such loans that were applied as a reduction to the amortized cost basis of each respective loan.

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

Multifamily Joint Venture

As of June 30, 2023, our Multifamily Joint Venture held $798.6 million of loans, which are included in the loan disclosures above.

As of September 30, 2023, our Multifamily Joint Venture held $639.2 million of loans, which are included in the loan disclosures above.

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

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Outstanding Principal Balance

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Secured debt $ 12,809,913 $ 13,549,748

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Borrowings Outstanding

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Secured credit facilities $ 12,809,913 $ 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 June 30, 2023 ($ in thousands):

Six Months Ended June 30, 2023 June 30, 2023

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

Nine Months Ended September 30, 2023 September 30, 2023

New Financings (2)

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(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.

(2) Represents borrowings outstanding as of September 30, 2023 for new financings closed during the nine months ended September 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 June 30, 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 September 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 June 30, 2023, we had no assets pledged to our acquisition facility and no outstanding borrowings.

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

Securitizations

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

June 30, 2023

September 30, 2023

Securitized Debt Obligations Count Principal

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Senior CLO Securities Outstanding 1 $ 803,750 $ 801,392 + 1.69 % May 2038

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

Underlying Collateral Assets 27 1,000,000 1,000,000 + 3.35 % December 2025

2020 FL3 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 716,342 716,284 + 2.18 % November 2037

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

Underlying Collateral Assets 15 907,592 907,592 + 3.04 % May 2025

2020 FL2 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 992,419 991,578 + 1.57 % February 2038

Underlying Collateral Assets 17 1,316,109 1,316,109 + 3.25 % November 2024

Underlying Collateral Assets 16 1,249,294 1,249,294 + 3.25 % May 2025

Senior CLO Securities Outstanding (4)

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

(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.

(4) During the three and nine months ended September 30, 2023, we recorded $44.5 million and $127.6 million, respectively, of interest expense related to our securitized debt obligations.

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

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

June 30, 2023

September 30, 2023

Asset-Specific Debt Count Principal

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Outstanding Principal Balance

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Term loans $ 2,140,720 $ 2,157,218

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Total corporate financing $ 2,807,310 $ 3,077,218

As of June 30, 2023, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

As of September 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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Senior Secured Notes

As of June 30, 2023, the following Senior Secured Notes, were outstanding ($ in thousands):

During the three months ended September 30, 2023, we repurchased an aggregate principal amount of $33.4 million of the Senior Secured Notes at a weighted-average price of 85%.

This resulted in a gain on extinguishment of debt of $4.5 million during both the three and nine months ended September 30, 2023.

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

As of September 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 June 30, 2023.

The cumulative dividend threshold as defined in the March 2022 convertible notes supplemental indenture has not been exceeded as of September 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 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.

As of September 30, 2023, 99% of our loans 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 loans.

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 exposure to interest rates by currency as of June 30, 2023 (amounts in thousands):

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

All Other (1)

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(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 .

(4) Excludes $1.1 billion of non-consolidated senior interests and $275.7 million of loan participations sold, as of September 30, 2023.

Our non-consolidated senior interests and loan participations sold are structurally non-recourse and term-matched to the corresponding 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 June 30, 2023.

dollar equivalent as of September 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 June 30, 2023 and March 31, 2023 ($ in thousands, except per share data):

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

Three Months Ended Change

June 30, 2023 March 31, 2023 $

September 30, 2023 June 30, 2023 $

Income from loans and other investments

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Increase in current expected credit loss reserve (96,900) (27,807) (69,093)

Gain on extinguishment of debt 4,541 — 4,541

Income before income taxes 32,128 103,699 (71,571)

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Income from loans and other investments, net

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.

Income from loans and other investments, net decreased $12.0 million during the three months ended September 30, 2023 compared to the three months ended June 30, 2023.

The decrease was primarily due to (i) a decrease in the weighted-average principal balance of our loan portfolio by $659.8 million for the three months ended September 30, 2023 compared to the three months ended June 30, 2023 and (ii) a decline in interest income related to an additional loan accounted for under the cost-recovery method effective June 30, 2023.

This was offset by a decrease in the weighted-average principal balance of our outstanding financing arrangements by $715.7 million for the three months ended September 30, 2023 compared to the three months ended June 30, 2023.

Other expenses

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

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.

Other expenses decreased by $5.0 million during the three months ended September 30, 2023 compared to the three months ended June 30, 2023 primarily due to a decrease of (i) $4.0 million of incentive fees payable to our Manager and (ii) $966,000 of general operating expenses.

Changes in current expected credit loss reserve

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.

During the three months ended September 30, 2023, we recorded a $96.9 million increase in the CECL reserve, as compared to a $27.8 million increase during the three months ended June 30, 2023.

This CECL reserve reflects certain

loans assessed for impairment in our portfolio, as well as macroeconomic conditions.

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

Gain on extinguishment of debt

During the three months ended September 30, 2023, we recognized a gain on extinguishment of debt of $4.5 million related to the repurchase of an aggregate principal amount of $33.4 million of our Senior Secured Notes.

There was no repurchase activity in the three months ended June 30, 2023.

Dividends per share

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

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.

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 $

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

Nine Months Ended Change

September 30, 2023 September 30, 2022 $

Income from loans and other investments

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Increase in current expected credit loss reserve (134,530) (22,694) (111,836)

Gain on extinguishment of debt 4,541 — 4,541

Income before income taxes 256,276 300,111 (43,835)

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Income from loans and other investments, net

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.

Income from loans and other investments, net increased $79.9 million during the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022.

The increase was primarily due to (i) an increase in floating rate indices during the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022, and (ii) an increase in the weighted-average principal balance of our loan portfolio by $835.7 million for the nine months ended September 30, 2023, as compared to the nine months ended September 30, 2022.

This was offset by (i) an increase in the weighted-average principal balance of our outstanding financing arrangements by $821.0 million for the nine months

ended September 30, 2023, as compared to the nine months ended September 30, 2022 and (ii) a decline in interest income related to an additional four loans accounted for under the cost-recovery method effective December 31, 2022.

Other expenses

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.

Other expenses increased by $16.5 million during the nine months ended September 30, 2023 compared to the nine months ended September 30, 2022 due to an increase of (i) $14.9 million of incentive fees payable to our Manager, due to an increase in Distributable Earnings, (ii) $2.5 million of general operating expenses, and (iii) $1.4 million 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 $2.4 million related to shares awarded under our long-term incentive plans.

Changes in current expected credit loss reserve

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.

During the nine months ended September 30, 2023, we recorded a $134.5 million increase in the CECL reserve, as compared to a $22.7 million increase during the nine months ended September 30, 2022.

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

Gain on extinguishment of debt

During the nine months ended September 30, 2023, we recognized a gain on extinguishment of debt of $4.5 million related to the repurchase of an aggregate principal amount of $33.4 million of our Senior Secured Notes.

There was no repurchase activity in the nine months ended September 30, 2022.

Dividends per share

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.

During the nine months ended September 30, 2023, we declared aggregate dividends of $1.86 per share, or $320.5 million.

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

As of September 30, 2023, our capitalization structure included $4.5 billion of common equity, $2.8 billion of corporate debt, and $16.3 billion of asset-level financings.

Our $2.8 billion of corporate debt includes $2.1 billion of term loan borrowings, $366.6 million of senior secured notes, and $300.0 million of convertible notes.

Our $16.3 billion of asset-level financings includes $12.8 billion of secured debt, $2.5 billion of securitizations, and $935.4 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.

As of September 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.

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

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Debt-to-equity ratios (1)

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Adjusted total leverage ratio (5)

(1) The debt and leverage amounts included in the calculations above use gross outstanding principal balances, excluding any unamortized deferred financing costs and discounts.

(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.

(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, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) Adjusted Equity.

Refer below for the reconciliation of Adjusted Equity to 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.

(5) 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) Adjusted Equity.

Refer below for the reconciliation of Adjusted Equity to total equity.

Adjusted Debt-to-Equity Ratio and Adjusted Total Leverage Ratio

Our adjusted debt-to-equity and total leverage ratios are measures that are not prepared in accordance with GAAP, as they are calculated using Adjusted Equity, which we define as our total equity, excluding the aggregate CECL reserve on our loans receivable and unfunded loan commitments.

We believe that Adjusted Equity provides meaningful information to consider in addition to our total equity determined in accordance with GAAP in the context of assessing our debt-to-equity and total leverage ratios.

The adjusted debt-to-equity and total leverage ratios are metrics we use, in addition to our unadjusted debt-to-equity and total leverage ratios, when evaluating our capitalization structure, as Adjusted Equity excludes the unrealized impact of our CECL reserve, which may vary from quarter-to-quarter as our loan portfolio changes and market and economic conditions evolve.

We believe these ratios, and therefore our Adjusted Equity, are useful financial metrics for existing and potential future holders of our class A common stock to consider when evaluating how our business is capitalized and the relative amount of leverage in our business.

Adjusted Equity does not represent our total equity and should not be considered as an alternate to GAAP total equity.

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

The following table provides a reconciliation of Adjusted Equity to our GAAP total equity ($ in thousands):

September 30, 2023 December 31, 2022

$ 4,493,521 $ 4,544,200

aggregate CECL reserve

477,047 342,517

Adjusted Equity $ 4,970,568 $ 4,886,717

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):

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Cash and cash equivalents $ 421,495 $ 291,340

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

During the 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.

During the nine months ended September 30, 2023, we generated cash flow from operating activities of $349.1 million and received $2.3 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 9,977,935 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.

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,976,469 shares of class A common stock were available for issuance as of September 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 September 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 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.

During the three months ended September 30, 2023 we repurchased an aggregate principal amount of $33.4 million of the Senior Secured Notes at a weighted-average price of 85%.

This resulted in a gain on extinguishment of debt of $4.5 million during the three months ended September 30, 2023.

As of September 30, 2023, we had unfunded commitments of $2.7 billion related to 101 loans receivable and $1.5 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.

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Contractual Obligations and Commitments

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

Our contractual obligations and commitments as of September 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 June 30, 2023 will remain constant into the future.

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

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

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

Six Months Ended

Nine Months Ended

September 30,

Cash flows provided by operating activities $ 349,053 $ 266,610

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Net increase (decrease) in cash and cash equivalents $ 128,682 $ (261,830)

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.

We experienced a net increase in cash and cash equivalents of $128.7 million for the nine months ended September 30, 2023, compared to a net decrease of $261.8 million for the nine months ended September 30, 2022.

During the nine months ended September 30, 2023, we received $2.3 billion from loan principal collections and sales proceeds.

Also, during the nine months ended September 30, 2023, we (i) funded $1.1 billion of loans, (ii) repaid a net $672.2 million of secured debt borrowings, (iii) paid $320.1 million of dividends on our class A common stock, and (iv) repaid $220.0 million of convertible notes.

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 June 30, 2023 and December 31, 2022, we were in compliance with all REIT requirements.

As of September 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 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.

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 May 31, 2023.

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

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Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve.

We perform a quarterly risk review of our portfolio of loans, and assigns each loan a risk rating based on a variety of factors, including, without limitation, LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship.

We perform a quarterly risk review of our portfolio of loans, and assigns each loan a risk rating based on a variety of factors, including, without limitation, origination LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship.

• Expectations of performance and market conditions :

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

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

This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of June 30, 2023.

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

• Impairment :

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

During the 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.

During the nine months ended September 30, 2023, we recorded an aggregate $134.5 million increase in the CECL reserve related to our loans receivable and unfunded loan commitments, bringing our total reserve to $477.0 million as of September 30, 2023.

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

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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 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.

Interest received is then recorded as income or as a reduction in the amortized cost basis, 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 reduction to 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 June 30, 2023 ($ in millions):

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

Loan Type (1)

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SQFT / Unit / Key Origination

1 Senior Loan 8/14/2019 $ 1,155 $ 1,059 $ 1,056 +3.05 % +3.78 % 12/23/2024 Dublin - IE Mixed-Use $346 / sqft 74 % 3

1 Senior Loan 4/9/2018 $ 1,487 $ 1,111 $ 1,108 +4.32 % +4.64 % 6/9/2025 New York Office $392 / sqft 48 % 2

2 Senior Loan 8/14/2019 1,043 954 952 +3.02 % +3.78 % 12/23/2024 Dublin - IE Mixed-Use $316 / sqft 74 % 3

3 Senior Loan 6/24/2022 851 851 845 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $387 / sqft 59 % 3

4 Senior Loan 3/22/2018 600 600 600 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4

5 Senior Loan (4)

8/7/2019 571 571 116 +3.22 % +3.46 % 9/9/2025 Los Angeles Office $712 / sqft 59 % 2

5 Senior Loan 3/22/2018 630 630 630 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4

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

6 Senior Loan 7/23/2021 480 456 452 +4.10 % +4.55 % 8/9/2027 New York Multi $611,846 / unit 58 % 2

7 Senior Loan 3/30/2021 454 454 452 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $84 / sqft 76 % 2

8 Senior Loan (4)

11/22/2019 470 383 76 +3.78 % +4.25 % 12/9/2025 Los Angeles Office $701 / 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

9 Senior Loan 12/9/2021 385 366 366 +2.76 % +2.89 % 12/9/2026 New York Mixed-Use $126 / sqft 50 % 2

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11 Senior Loan 4/11/2018 345 336 336 +2.25 % +2.28 % 5/1/2025 New York Office $426 / sqft 71 % 4

13 Senior Loan 5/6/2022 307 307 305 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $97 / sqft 53 % 2

12 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

13 Senior Loan 5/6/2022 293 293 291 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $93 / sqft 53 % 2

14 Senior Loan 9/29/2021 312 292 291 +2.81 % +3.03 % 10/9/2026 Washington, DC Office $381 / sqft 66 % 2

15 Senior Loan 10/25/2021 290 290 288 +4.00 % +4.32 % 10/25/2024 Diversified - AU Hospitality $142,718 / key 56 % 2

16 Senior Loan 12/11/2018 310 289 291 +2.55 % +3.24 % 12/9/2023 Chicago Office $246 / sqft 78 % 4

17 Senior Loan 11/30/2018 286 286 270 7.90 % 7.90 % 8/9/2025 New York Hospitality $306,870 / key 73 % 5

18 Senior Loan 3/25/2022 284 284 282 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $125,056 / key 65 % 2

19 Senior Loan 10/23/2018 290 283 283 +2.86 % +3.01 % 11/9/2024 Atlanta Mixed-Use $264 / sqft 64 % 2

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21 Senior Loan 9/30/2021 280 276 275 +2.61 % +2.88 % 9/30/2026 Dallas Multi $145,532 / unit 74 % 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

22 Senior Loan 6/8/2022 272 262 260 +3.65 % +4.00 % 6/9/2027 New York Office $1,465 / sqft 75 % 3

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

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

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

25 Senior Loan 1/11/2019 252 252 252 +5.02 % +5.06 % 6/14/2028 Diversified - UK Other $249 / sqft 74 % 3

26 Senior Loan 2/23/2022 245 231 230 +2.60 % +2.84 % 3/9/2027 Reno Multi $214,621 / unit 74 % 3

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9/16/2021 229 229 229 +1.63 % +1.63 % 11/9/2025 San Francisco Office $278 / sqft 53 % 4

28 Senior Loan 12/22/2016 252 212 206 +10.50 % +10.50 % 6/9/2028 New York Office $299 / sqft 64 % 5

29 Senior Loan 4/23/2021 219 209 203 +3.65 % +3.65 % 5/9/2024 Washington, DC Office $234 / sqft 57 % 5

30 Senior Loan 7/16/2021 223 209 207 +3.25 % +3.51 % 2/15/2027 London - UK Multi $215,650 / 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)

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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

31 Senior Loan 8/31/2017 $ 203 $ 203 $ 192 +2.62 % +2.62 % 10/9/2023 Orange County Office $238 / sqft 64 % 5

32 Senior Loan 6/27/2019 203 202 201 +2.80 % +2.94 % 8/15/2026 Berlin - DEU Office $425 / sqft 62 % 3

33 Senior Loan 9/30/2021 256 201 200 +3.11 % +3.50 % 10/9/2028 Chicago Office $222 / sqft 74 % 4

34 Senior Loan 6/28/2019 200 200 199 +3.82 % +4.08 % 6/26/2024 London - UK Office $481 / sqft 71 % 3

35 Senior Loan (4)

11/10/2021 362 199 39 +4.11 % +4.93 % 12/9/2026 San Francisco Life Sciences $377 / sqft 66 % 3

36 Senior Loan 7/29/2022 268 195 192 +4.60 % +5.65 % 7/27/2027 London - UK Industrial $252 / sqft 52 % 3

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38 Senior Loan 7/23/2021 244 187 185 +5.11 % +5.50 % 8/9/2027 New York Office $604 / sqft 53 % 4

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

39 Senior Loan 6/28/2022 675 186 179 +4.60 % +5.07 % 7/9/2029 Austin Mixed-Use $155 / sqft 53 % 3

40 Senior Loan 9/25/2019 180 180 179 +4.47 % +4.84 % 9/26/2024 London - UK Office $836 / sqft 72 % 3

41 Senior Loan 11/23/2018 179 179 178 +2.68 % +2.92 % 2/15/2024 Diversified - UK Office $1,103 / sqft 50 % 3

40 Senior Loan 12/21/2021 191 186 185 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $376 / sqft 67 % 3

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

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

42 Senior Loan 2/15/2022 191 178 177 +2.90 % +3.14 % 3/9/2027 Denver Office $355 / sqft 61 % 3

43 Senior Loan 12/21/2021 184 178 177 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $361 / sqft 67 % 3

44 Senior Loan 1/27/2022 178 177 176 +3.10 % +3.40 % 2/9/2027 Dallas Multi $115,406 / unit 71 % 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

45 Senior Loan 5/13/2021 199 173 172 +3.66 % +4.11 % 6/9/2026 Boston Life Sciences $875 / sqft 64 % 3

46 Senior Loan 3/9/2022 165 165 164 +2.95 % +3.17 % 8/15/2027 Diversified - UK Retail $140 / sqft 55 % 2

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

2 unchanged sentences

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

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

51 Senior Loan 6/4/2018 153 153 153 +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

52 Senior Loan 1/17/2020 203 153 152 +2.86 % +3.00 % 2/9/2025 New York Mixed-Use $126 / sqft 43 % 3

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

54 Senior Loan 9/4/2018 163 150 149 +4.25 % +4.48 % 9/9/2024 Las Vegas Hospitality $181,054 / key 70 % 2

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

56 Senior Loan 11/18/2021 138 138 138 +3.25 % +3.51 % 11/18/2026 London - UK Other $174 / sqft 65 % 2

57 Senior Loan 12/20/2019 137 137 137 +3.22 % +3.44 % 12/18/2026 London - UK Office $695 / sqft 75 % 3

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

58 Senior Loan 2/20/2019 165 137 136 +4.07 % +4.73 % 2/19/2024 London - UK Office $550 / sqft 61 % 3

59 Senior Loan 9/30/2021 181 137 135 +4.00 % +4.51 % 9/30/2026 Diversified - Spain Hospitality $117,931 / key 60 % 3

60 Senior Loan 2/25/2022 133 133 132 +4.05 % +4.43 % 2/25/2027 Copenhagen - DK Industrial $75 / sqft 69 % 2

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

61 Senior Loan 8/24/2021 $ 156 $ 133 $ 133 +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

62 Senior Loan 9/14/2021 132 129 129 +2.81 % +3.07 % 10/9/2026 San Bernardino Multi $260,871 / unit 75 % 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

63 Senior Loan (4)

3/17/2022 216 126 173 +2.27 % +4.14 % 6/30/2025 London - UK Office $566 / sqft 50 % 3

64 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

65 Senior Loan 5/20/2021 150 124 124 +3.76 % +3.76 % 6/9/2026 San Jose Office $318 / sqft 65 % 5

66 Senior Loan 6/30/2022 122 122 122 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $237,408 / key 60 % 2

67 Senior Loan 4/6/2021 123 122 122 +3.31 % +3.60 % 4/9/2026 Los Angeles Office $508 / sqft 65 % 3

68 Senior Loan 12/23/2021 315 121 116 +4.25 % +5.40 % 6/24/2028 London - UK Multi $133,120 / unit 59 % 3

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

70 Senior Loan 3/29/2021 124 119 119 +4.02 % +4.61 % 3/29/2026 Diversified - UK Multi $52,176 / unit 61 % 3

71 Senior Loan 4/29/2022 118 118 118 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,240,799 / key 66 % 3

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

72 Senior Loan 8/27/2021 122 118 117 +3.11 % +3.41 % 9/9/2026 San Diego Retail $444 / sqft 58 % 3

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

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

75 Senior Loan 12/15/2021 144 116 115 +2.92 % +4.12 % 12/9/2026 Dublin - IE Multi $291,190 / unit 79 % 3

76 Senior Loan 1/26/2022 338 115 112 +4.10 % +4.68 % 2/9/2027 Seattle Office $241 / sqft 56 % 3

77 Senior Loan 12/21/2021 120 115 114 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $393 / sqft 68 % 3

1 unchanged sentence

79 Senior Loan 3/28/2022 130 114 113 +2.55 % +2.85 % 4/9/2027 Miami Office $309 / 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 (4)

3/29/2022 224 108 21 +4.50 % +5.70 % 4/9/2027 Miami Multi $184,366 / unit 72 % 3

81 Senior Loan 3/13/2018 123 108 108 +3.11 % +3.34 % 4/9/2027 Honolulu Hospitality $167,735 / 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 11/8/2022 108 108 108 +3.88 % +4.53 % 11/8/2027 London - UK Multi $167,642 / unit 60 % 2

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

84 Senior Loan 12/29/2021 110 106 105 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $181,512 / unit 64 % 3

85 Senior Loan 12/10/2021 135 105 105 +3.11 % +3.46 % 1/9/2027 Miami Office $352 / sqft 49 % 3

86 Senior Loan 2/15/2022 106 105 104 +2.85 % +3.19 % 3/9/2027 Tampa Multi $239,655 / unit 73 % 2

87 Senior Loan 3/29/2022 103 101 101 +2.70 % +2.96 % 4/9/2027 Miami Multi $282,203 / unit 75 % 3

1 unchanged sentence

89 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 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

90 Senior Loan 10/28/2021 96 96 95 +3.00 % +3.35 % 11/9/2026 Philadelphia Multi $352,399 / unit 79 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

91 Senior Loan 1/30/2020 $ 104 $ 95 $ 95 +2.96 % +3.11 % 2/9/2026 Honolulu Hospitality $305,679 / key 63 % 3

92 Senior Loan 6/14/2021 100 94 92 +3.81 % +3.81 % 7/9/2024 Miami Office $198 / 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

94 Senior Loan 3/3/2022 92 92 92 +3.45 % +3.76 % 3/9/2027 Boston Hospitality $418,182 / key 64 % 2

95 Senior Loan 12/21/2018 98 92 92 +2.71 % +2.71 % 1/9/2024 Chicago Office $178 / sqft 72 % 5

97 Senior Loan 1/26/2022 338 91 88 +4.10 % +4.70 % 2/9/2027 Seattle Office $191 / sqft 56 % 3

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

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

98 Senior Loan 3/25/2020 90 90 89 +2.40 % +2.67 % 3/31/2025 Diversified - NL Multi $109,324 / unit 65 % 2

99 Senior Loan 4/1/2021 102 89 89 +7.41 % +7.41 % 4/9/2026 San Jose Office $599 / sqft 67 % 5

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

100 Senior Loan 10/16/2018 88 88 88 +3.36 % +3.61 % 11/9/2024 San Francisco Hospitality $191,807 / key 72 % 4

101 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 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

102 Senior Loan 6/27/2019 88 85 85 +2.75 % +2.99 % 7/9/2024 West Palm Beach Office $292 / sqft 70 % 2

103 Senior Loan 12/15/2021 84 84 83 +4.00 % +4.29 % 12/15/2026 Melbourne - AU Multi $61,241 / unit 38 % 2

104 Senior Loan 3/31/2017 84 84 84 +9.41 % +9.41 % 10/9/2023 New York Office $403 / sqft 64 % 5

105 Senior Loan 6/14/2022 106 84 83 +2.95 % +3.30 % 7/9/2027 San Francisco Mixed-Use $173 / sqft 76 % 3

106 Senior Loan 12/10/2018 82 82 82 +4.57 % +5.28 % 12/3/2024 London - UK Office $392 / sqft 72 % 3

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

3 unchanged sentences

111 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 % +4.99 % 1/9/2028 Los Angeles Multi $209,770 / unit 50 % 3

3 unchanged sentences

115 Senior Loan 8/17/2022 75 67 67 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $104 / 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

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

117 Senior Loan 7/30/2021 67 65 65 +2.61 % +2.87 % 8/9/2026 Los Angeles Multi $168,048 / unit 70 % 2

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

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

120 Senior Loan 8/16/2022 65 63 62 +4.75 % +5.17 % 8/16/2027 London - UK Hospitality $466,659 / key 64 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

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

5 unchanged sentences

3/23/2020 59 59 12 +3.82 % +4.63 % 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

127 Senior Loan 12/17/2021 58 58 58 +2.65 % +2.85 % 1/9/2027 Phoenix Multi $209,601 / unit 69 % 3

1 unchanged sentence

129 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

130 Senior Loan 1/21/2022 68 55 55 +3.70 % +4.09 % 2/9/2027 Denver Office $327 / sqft 65 % 3

2 unchanged sentences

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

134 Senior Loan 11/11/2021 53 53 53 +4.07 % +4.87 % 8/12/2026 London - UK Hospitality $189,304 / key 40 % 3

135 Senior Loan 8/5/2021 57 53 53 +2.96 % +3.24 % 8/9/2026 Denver Office $200 / sqft 70 % 3

1 unchanged sentence

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

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

138 Senior Loan 7/28/2021 53 50 50 +2.75 % +3.07 % 8/9/2026 Los Angeles Multi $284,104 / unit 71 % 3

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

140 Senior Loan 11/30/2016 57 49 49 +3.18 % +3.40 % 12/9/2023 Chicago Retail $805 / sqft 54 % 4

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

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

142 Senior Loan 2/1/2022 76 47 46 +4.50 % +6.37 % 2/1/2027 Diversified - UK Life Sciences $359 / sqft 45 % 3

143 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

144 Senior Loan 4/7/2022 57 46 46 +3.25 % +3.54 % 4/9/2027 Denver Office $136 / sqft 59 % 3

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

146 Senior Loan 10/21/2022 46 46 46 +4.14 % +4.51 % 10/18/2027 Diversified - DEU Industrial $64 / sqft 74 % 3

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

148 Senior Loan 12/8/2021 48 43 43 +2.75 % +2.96 % 12/9/2026 Columbus Multi $139,936 / unit 69 % 3

149 Senior Loan 7/29/2021 42 42 42 +2.86 % +3.06 % 8/9/2026 Las Vegas Multi $167,113 / unit 72 % 2

150 Senior Loan 11/3/2021 41 41 41 +2.71 % +3.05 % 11/9/2026 Washington, DC Multi $137,788 / unit 68 % 2

Loan Type (1)

5 unchanged sentences

(1) Senior loans include senior mortgages and similar credit quality loans, including related contiguous subordinate loans and pari passu participations in senior mortgage loans.

(2) Date loan was originated or acquired by us, and the LTV as of such date.

(2) Date loan was originated or acquired by us, and the LTV as of such date, excluding any junior participations sold.

Origination dates are subsequently updated to reflect material loan modifications.

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

(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.

(4) Total loan exposure reflects our aggregate exposure to each loan investment.

(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.

As of September 30, 2023, 99% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR.

The remaining 1% of our loans by total loan exposure earned a fixed rate of interest.

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

4 unchanged sentences

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