BLACKSTONE MORTGAGE TRUST, INC. 10-Q

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us,” or “our” refer to Blackstone Mortgage Trust, Inc. and its subsidiaries unless the context specifically requires otherwise. The following discussion should be read in conjunction with the unaudited consolidated financial statements and notes thereto appearing elsewhere in this Quarterly Report on Form 10-Q. In addition to historical data, this discussion contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, or the Securities Act, and Section 21E of the Securities Exchange Act of 1934, as amended, or the Exchange Act, which reflect our current views with respect to, among other things, our business, operations and financial performance. You can identify these forward-looking statements by the use of words such as “intend,” “goal,” “estimate,” “expect,” “project,” “projections,” “plans,” “seeks,” “anticipates,” “should,” “could,” “may,” “designed to,” “foreseeable future,” “believe,” “scheduled,” and similar expressions. Such forward-looking statements are subject to various risks, uncertainties and assumptions. Our actual results or outcomes may differ materially from those in this discussion as a result of various factors, including but not limited to those discussed in Item 1A. Risk Factors in our Annual Report on Form 10-K for the year ended December 31, 2022 and elsewhere in this Quarterly Report on Form 10-Q. Introduction Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate in North America, Europe, and Australia. Our portfolio is composed primarily of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators. These senior loans are capitalized by accessing a variety of financing options, including borrowing under our credit facilities, issuing CLOs or single-asset securitizations, and syndicating senior loan participations, depending on our view of the most prudent financing option available for each of our investments. We are not in the business of buying or trading securities, and the only securities we own are the retained interests from our securitization financing transactions, which we have not financed. We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of Blackstone Inc., or Blackstone, and are a real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.” We benefit from the deep knowledge, experience and information advantages of our Manager, which is a part of Blackstone’s real estate platform. Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and we believe gives us the tools to expertly manage the assets in our portfolio and work with our borrowers throughout periods of economic stress and uncertainty. We conduct our operations as a REIT for U.S. federal income tax purposes. We generally will not be subject to U.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries. Recent Developments Macroeconomic Environment 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. Continued inflation has prompted central banks to take monetary policy tightening actions, including raising interest rates, which has created further uncertainty for the economy and for our borrowers. Although our business model is such that rising interest rates will, all else equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers and lead to nonperformance. Additionally, rising rates and increasing costs may dampen consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans. It remains difficult to predict the full impact of recent events and any future changes in interest rates or inflation. 48 Reference Rate Reform 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. 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. regulators. 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. Item 1A. 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. I. 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 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 $2.76 per share cumulative CECL reserve. As further described below, Distributable Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, which helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations. In addition, Distributable Earnings is a performance metric we consider when declaring our dividends. Earnings Per Share and Dividends Declared The following table sets forth the calculation of basic net income per share and dividends declared per share ($ in thousands, except per share data): Three Months Ended September 30, 2023 June 30, 2023 Net income (1) $ 29,524 $ 101,651 Weighted-average shares outstanding, basic 172,648,118 172,615,385 Per share amount, basic $ 0.17 $ 0.59 Dividends declared per share $ 0.62 $ 0.62 (1) Represents net income attributable to Blackstone Mortgage Trust. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share. Distributable Earnings Distributable Earnings is a non-GAAP measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise recognized in current period GAAP net income (loss), and excluding (i) non-cash equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), and (iv) certain non-cash items. Distributable Earnings may also be adjusted from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as determined by our Manager, subject to approval by a majority of our independent directors. Distributable Earnings mirrors the terms of our management agreement between our Manager and us, or our Management Agreement, for purposes of calculating our incentive fee expense. 49 Our CECL reserve has been excluded from Distributable Earnings consistent with other unrealized gains (losses) pursuant to our existing policy for reporting Distributable Earnings. We expect to only recognize such potential credit losses in Distributable Earnings 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. The realized loss amount reflected in Distributable Earnings will equal the difference between the cash received, or expected to be received, and the book value of the asset, and is reflective of our economic experience as it relates to the ultimate realization of the loan. We believe that Distributable Earnings provides meaningful information to consider in addition to our net income (loss) and cash flow from operating activities determined in accordance with GAAP. We believe Distributable Earnings is a useful financial metric for existing and potential future holders of our class A common stock as historically, over time, Distributable Earnings has been a strong indicator of our dividends per share. As a REIT, we generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments, and therefore we believe our dividends are one of the principal reasons stockholders may invest in our class A common stock. Refer to Note 15 to our consolidated financial statements for further discussion of our distribution requirements as a REIT. Further, Distributable Earnings 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, and is a performance metric we consider when declaring our dividends. Distributable Earnings does not represent net income (loss) or cash generated from operating activities and should not be considered as an alternative to GAAP net income (loss), or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs. In addition, our methodology for calculating Distributable Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings may not be comparable to the Distributable Earnings reported by other companies. The following table provides a reconciliation of Distributable Earnings to GAAP net income ($ in thousands, except per share data): Three Months Ended September 30, 2023 June 30, 2023 Net income (1) $ 29,524 $ 101,651 Increase in current expected credit loss reserve 96,900 27,807 Non-cash compensation expense 7,610 7,665 Realized hedging and foreign currency (loss) gain, net (2) 32 (130) Other items — 43 Adjustments attributable to non-controlling interests, net 118 (42) Distributable Earnings $ 134,184 $ 136,994 Weighted-average shares outstanding, basic (3) 172,648,118 172,615,385 Distributable Earnings per share, basic $ 0.78 $ 0.79 (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. (3) The weighted-average shares outstanding, basic, exclude shares issuable from a potential conversion of our Convertible Notes. Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share. 50 Book Value Per Share The following table calculates our book value per share ($ in thousands, except per share data): September 30, 2023 June 30, 2023 Stockholders’ equity $ 4,470,870 $ 4,540,662 Shares Class A common stock 172,296,051 172,310,062 Deferred stock units 349,232 339,702 Total outstanding 172,645,283 172,649,764 Book value per share (1) $ 25.90 $ 26.30 (1) The book value per share excludes shares issuable from a potential conversion of our Convertible Notes. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share. II. Loan Portfolio 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 $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 September 30, 2023 Nine Months Ended September 30, 2023 Loan originations (1) $ 50,000 $ 50,000 Loan fundings (2) $ 440,390 $ 1,326,880 Loan repayments and sales (3) (1,028,970) (3,126,516) Total net repayments $ (588,580) $ (1,799,636) (1) Includes new loan originations and additional commitments made under existing loans. (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 $50.7 million related to the sale of a junior loan interest. 51 The following table details overall statistics for our loan portfolio as of September 30, 2023 ($ in thousands): Balance Sheet Portfolio Loan Exposure (1) Number of investments 185 185 Principal balance $ 23,849,497 $ 24,912,876 Net book value $ 23,252,478 $ 23,252,478 Unfunded loan commitments (2) $ 2,671,851 $ 2,671,851 Weighted-average cash coupon (3) + 3.43 % + 3.38 % Weighted-average all-in yield (3) + 3.77 % + 3.73 % Weighted-average maximum maturity (years) (4) 2.6 2.6 Origination loan to value (LTV) (5) 63.8 % 64.0 % (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. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date. Excludes $417.3 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, SONIA, EURIBOR, and other indices as applicable to each investment. 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 $229.9 million that effectively converts our fixed rate loan exposure to floating rate exposure. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method. (4) Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As of September 30, 2023, 19% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 81% were open to repayment by the borrower without penalty. (5) Based on LTV as of the dates loans were originated or acquired by us, excluding any junior participations sold. 52 The following table details the index rate floors for our loan portfolio based on total loan exposure as of September 30, 2023 ($ in thousands): Total Loan Exposure (1) Index Rate Floors USD Non-USD (2) Total Fixed Rate $ 326,972 $ — $ 326,972 0.00% or no floor (3) 5,066,778 6,919,974 11,986,752 0.01% to 1.00% floor 7,796,251 803,299 8,599,550 1.01% to 1.50% floor 1,305,950 153,906 1,459,856 1.51% to 2.00% floor 1,048,115 234,344 1,282,459 2.01% or more floor 1,257,287 — 1,257,287 Total (4) $ 16,801,353 $ 8,111,523 $ 24,912,876 (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. 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 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 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 September 30, 2023 (total loan exposure amounts in thousands): Investment Count Currency Total Loan Exposure (1) Floating Rate Index (2) Cash Coupon (3) All-in Yield (3) 145 $ $ 16,801,353 SOFR (4) + 3.22% + 3.53% 10 € € 2,517,025 EURIBOR + 3.15% + 3.60% 23 £ £ 2,890,166 SONIA + 3.82% + 4.31% 7 Various $ 1,973,357 Other (5) + 4.14% + 4.43% 185 $ 24,912,876 Applicable Index + 3.38% + 3.73% (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. 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. dollar. We earn forward points on our forward contracts that reflect the interest rate differentials between the applicable base rate for our foreign currency investments and prevailing U.S. interest rates. These forward contracts effectively convert the foreign currency rate exposure for such investments to USD-equivalent interest rates. (3) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method. (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. 53 The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of September 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 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. Refer to section VI of this Item 2 for details of our loan portfolio, on a loan-by-loan basis. Portfolio Management During the three months ended September 30, 2023, all borrowers were compliant with the contractual terms of each respective loan, with limited 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, and experienced sponsors. We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility. We believe that we 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 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 September 30, 2023, we had an aggregate $322.6 million asset-specific CECL 54 reserve related to ten of our loans receivable, with an aggregate amortized cost basis of $1.4 billion, net of cost-recovery proceeds. This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of September 30, 2023. Our portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from our position as part of Blackstone’s real estate platform. Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic stress and uncertainty. As discussed in Note 2 to our consolidated financial statements, we perform a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk. Our loan portfolio had a weighted-average risk rating of 2.9 as of both September 30, 2023 and December 31, 2022. The following table allocates the net book value, total loan exposure, and net loan exposure balances based on our internal risk ratings ($ in thousands): September 30, 2023 Risk Rating Number of Loans Net Book Value Total Loan Exposure (1) Net Loan Exposure (2) 1 15 $ 763,494 $ 812,060 $ 764,174 2 40 6,102,290 6,578,639 5,105,664 3 107 12,493,474 13,120,942 12,281,191 4 13 2,965,121 2,967,865 2,913,093 5 10 1,391,522 1,433,370 1,070,087 Loans receivable 185 $ 23,715,901 $ 24,912,876 $ 22,134,209 CECL reserve (463,423) Loans receivable, net $ 23,252,478 (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. 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. Current Expected Credit Loss Reserve The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans included in our consolidated balance sheets. Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the principle underlying the CECL model that all loans and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors. During the three months ended 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 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 55 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 September 30, 2023, our Multifamily Joint Venture held $639.2 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture. Portfolio Financing Our portfolio financing consists of secured debt, securitizations, and asset-specific debt. The following table details our portfolio financing ($ in thousands): Portfolio Financing Outstanding Principal Balance September 30, 2023 December 31, 2022 Secured debt $ 12,809,913 $ 13,549,748 Securitizations 2,512,511 2,673,541 Asset-specific debt 935,435 950,278 Total portfolio financing $ 16,257,859 $ 17,173,567 Secured Debt The following table details our outstanding secured debt ($ in thousands): Secured Debt Borrowings Outstanding September 30, 2023 December 31, 2022 Secured credit facilities $ 12,809,913 $ 13,549,748 Acquisition facility — — Total secured debt $ 12,809,913 $ 13,549,748 56 Secured Credit Facilities 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 Spread (1) New Financings (2) Total Borrowings Wtd. Avg. All-in Cost (1)(3)(4) Collateral (5) Wtd. Avg. All-in Yield (1)(3) Net Interest Margin (6) + 1.50% or less $ — $ 5,625,471 +1.53 % $ 8,308,855 +3.27 % +1.74 % + 1.51% to + 1.75% $ — 2,794,848 +1.82 % 3,902,545 +3.57 % +1.75 % + 1.76% to + 2.00% $ — 1,912,045 +2.13 % 2,974,091 +4.01 % +1.88 % + 2.01% or more 66,924 2,477,549 +2.61 % 3,427,740 +4.62 % +2.01 % Total $ 66,924 $ 12,809,913 +1.89 % $ 18,613,231 +3.69 % +1.80 % (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 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. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method. (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. (6) Represents the difference between the weighted-average all-in yield and weighted-average all-in cost. Acquisition Facility We have a $100.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval. The cost of borrowing under the facility is variable, dependent on the type of loan collateral, and its maturity date is April 3, 2024. As of September 30, 2023, we had no assets pledged to our acquisition facility and no outstanding borrowings. 57 Securitizations Securitized Debt Obligations We have financed certain pools of our loans through collateralized loan obligations, or CLOs. The following table details our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands): September 30, 2023 Securitized Debt Obligations Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1)(2) Term (3) 2021 FL4 Collateralized Loan Obligation Senior CLO Securities Outstanding 1 $ 803,750 $ 801,392 + 1.69 % May 2038 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 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 16 1,249,294 1,249,294 + 3.25 % May 2025 Total Senior CLO Securities Outstanding (4) 3 $ 2,512,511 $ 2,509,254 + 1.78 % Underlying Collateral Assets 58 $ 3,156,886 $ 3,156,886 + 3.21 % (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 SOFR, which is the relevant floating benchmark rate for each securitized debt obligation. Excludes loans accounted for under the cost-recovery method. (3) Underlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations. (4) During the three and nine months ended September 30, 2023, we recorded $44.5 million and $127.6 million, respectively, of interest expense related to our securitized debt obligations. Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations. 58 Asset-Specific Debt The following table details our asset-specific debt ($ in thousands): September 30, 2023 Asset-Specific Debt Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Wtd. Avg. Term (2) Financing provided 2 $ 935,435 $ 930,757 + 3.13 % February 2026 Collateral assets 2 $ 1,111,453 $ 1,102,848 + 3.95 % February 2026 (1) These floating rate loans and related liabilities are currency and index-matched to the applicable benchmark rate relevant in each arrangement. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees and financing costs. (2) The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Our non-recourse, asset-specific debt is term-matched in each case to the corresponding collateral loans. Corporate Financing The following table details our outstanding corporate financing ($ in thousands): Corporate Financing Outstanding Principal Balance September 30, 2023 December 31, 2022 Term loans $ 2,140,720 $ 2,157,218 Senior secured notes 366,590 400,000 Convertible notes 300,000 520,000 Total corporate financing $ 2,807,310 $ 3,077,218 Term Loans 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) All-in Cost (1)(2) Maturity B-1 Term Loan $ 913,230 + 2.36 % + 2.65 % April 23, 2026 B-3 Term Loan $ 411,998 + 2.86 % + 3.54 % April 23, 2026 B-4 Term Loan $ 815,492 + 3.50 % + 4.11 % May 9, 2029 (1) The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of 0.50%. 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. Refer to Note 2 and Note 9 to our consolidated financial statements for additional discussion of our Term Loans. Senior Secured Notes 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 $4.5 million during both the three and nine months ended September 30, 2023. 59 As of September 30, 2023, the following Senior Secured Notes, were outstanding ($ in thousands): Senior Secured Notes Face Value Interest Rate All-in Cost (1) Maturity Senior Secured Notes $ 366,590 3.75 % 4.02 % January 15, 2027 (1) Includes transaction expenses that are amortized through interest expense over the life of the Senior Secured Notes. Refer to Note 2 and Note 10 to our consolidated financial statements for additional discussion of our Senior Secured Notes. Convertible Notes As of September 30, 2023 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands): Convertible Notes Issuance Face Value Interest Rate All-in Cost (1) Conversion Price (2) Maturity March 2022 $ 300,000 5.50 % 5.94 % $36.27 March 15, 2027 (1) Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method. (2) Represents the price of class A common stock per share based on a conversion rate of 27.5702 for the March 2022 convertible notes. The conversion rate represents the number of shares of class A common stock issuable per $1,000 principal amount of Convertible Notes. The cumulative dividend threshold as defined in the 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. Floating Rate Portfolio Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income. As of September 30, 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 September 30, 2023 (amounts in thousands): USD GBP EUR All Other (1) Floating rate loans (2)(3)(4) $ 15,362,205 £ 2,664,166 € 2,517,025 $ 1,973,357 Floating rate debt (2)(4)(5) (12,465,258) (1,960,364) (1,876,023) (1,558,353) Net floating rate exposure $ 2,896,947 £ 703,802 € 641,002 $ 415,004 Net floating rate exposure in USD (6) $ 2,896,947 $ 858,567 $ 677,730 $ 415,004 (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) 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) Excludes $1.1 billion of non-consolidated senior interests and $275.7 million of loan participations sold, as of September 30, 2023. Our non-consolidated senior interests and loan participations sold are structurally non-recourse and term-matched to the corresponding loans, and have no impact on our net floating rate exposure . (5) Includes amounts outstanding under secured debt, securitizations, asset-specific debt, and term loans. (6) Represents the U.S. dollar equivalent as of September 30, 2023. 60 III. Our Results of Operations Operating Results The following table sets forth information regarding our consolidated results of operations for the three months ended September 30, 2023 and June 30, 2023 ($ in thousands, except per share data): Three Months Ended Change September 30, 2023 June 30, 2023 $ Income from loans and other investments Interest and related income $ 519,342 $ 521,892 $ (2,550) Less: Interest and related expenses 353,972 344,549 9,423 Income from loans and other investments, net 165,370 177,343 (11,973) Other expenses Management and incentive fees 28,882 32,815 (3,933) General and administrative expenses 12,001 13,022 (1,021) Total other expenses 40,883 45,837 (4,954) 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) Income tax provision 1,568 1,202 366 Net Income 30,560 102,497 (71,937) Net income attributable to non-controlling interests (1,036) (846) (190) Net income attributable to Blackstone Mortgage Trust, Inc. $ 29,524 $ 101,651 $ (72,127) Net income per share of common stock Basic $ 0.17 $ 0.59 $ (0.42) Diluted $ 0.17 $ 0.58 $ (0.41) Weighted-average shares of common stock outstanding Basic 172,648,118 172,615,385 32,733 Diluted 172,648,118 180,886,445 (8,238,327) Dividends declared per share $ 0.62 $ 0.62 $ — Income from loans and other investments, net 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 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 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 61 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 $106.8 million. The following table sets forth information regarding our consolidated results of operations for the nine months ended September 30, 2023 and 2022 ($ in thousands, except per share data): Nine Months Ended Change September 30, 2023 September 30, 2022 $ Income from loans and other investments Interest and related income $ 1,532,618 $ 876,676 $ 655,942 Less: Interest and related expenses 1,015,718 439,708 576,010 Income from loans and other investments, net 516,900 436,968 79,932 Other expenses Management and incentive fees 92,747 76,462 16,285 General and administrative expenses 37,888 37,701 187 Total other expenses 130,635 114,163 16,472 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) Income tax provision 4,663 2,064 2,599 Net Income 251,613 298,047 (46,434) Net income attributable to non-controlling interests (2,681) (1,864) (817) Net income attributable to Blackstone Mortgage Trust, Inc. $ 248,932 $ 296,183 $ (47,251) Net income per share of common stock Basic $ 1.44 $ 1.74 $ (0.30) Diluted $ 1.44 $ 1.71 $ (0.27) Weighted-average shares of common stock outstanding Basic 172,620,799 170,303,470 2,317,329 Diluted 180,891,859 182,011,842 (1,119,983) Dividends declared per share $ 1.86 $ 1.86 $ — Income from loans and other investments, net 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 62 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 $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 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 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. IV. Liquidity and Capital Resources Capitalization We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, corporate debt, and asset-level financings. As of September 30, 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 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. 63 Debt-to-Equity Ratio and Total Leverage Ratio The following table presents our debt-to-equity ratio and total leverage ratio: September 30, 2023 December 31, 2022 Debt-to-equity ratios (1) Debt-to-equity ratio (2) 3.6x 3.8x Adjusted debt-to-equity ratio (3) 3.2x 3.5x Total leverage ratios (1) Total leverage ratio (4) 4.1x 4.4x Adjusted total leverage ratio (5) 3.8x 4.1x (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. (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. (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 Total equity $ 4,493,521 $ 4,544,200 Add back: aggregate CECL reserve 477,047 342,517 Adjusted Equity $ 4,970,568 $ 4,886,717 64 Sources of Liquidity Our primary sources of liquidity include cash and cash equivalents, available borrowings under our secured debt facilities, and net receivables from servicers related to loan repayments, which are set forth in the following table ($ in thousands): September 30, 2023 December 31, 2022 Cash and cash equivalents $ 421,495 $ 291,340 Available borrowings under secured debt 1,343,881 1,536,638 Loan principal payments held by servicer, net (1) 12,713 7,425 $ 1,778,089 $ 1,835,403 (1) Represents loan principal payments held by our third-party servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle, net of the related secured debt balance. During the nine months ended September 30, 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. We have access to further liquidity through public offerings of debt and equity securities. To facilitate such offerings, in July 2022, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires in July 2025. The amount of securities to be issued pursuant to this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of securities we may issue. The securities covered by this registration statement include: (i) class A common stock; (ii) preferred stock; (iii) depositary shares representing preferred stock; (iv) debt securities; (v) warrants; (vi) subscription rights; (vii) purchase contracts; and (viii) units consisting of one or more of such securities or any combination of these securities. 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 9,976,469 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. Liquidity Needs In addition to our loan origination and funding activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $12.8 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes. From time to time we may also repurchase our outstanding debt or shares of our class A common stock. Such repurchases, if any, will depend on prevailing market conditions, our liquidity requirements, contractual restrictions, and other factors. The amounts involved in any such purchase transactions, individually or in the aggregate, may be material. 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 $1.2 billion. The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability varies depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. We expect to fund our loan commitments over the remaining term of the related loans, which have a weighted-average future funding period of 2.6 years . 65 Contractual Obligations and Commitments Our contractual obligations and commitments as of September 30, 2023 were as follows ($ in thousands): Payment Timing Total Obligation Less Than 1 Year (1) 1 to 3 Years 3 to 5 Years More Than 5 Years Unfunded loan commitments (2) $ 2,671,851 $ 680,820 $ 1,048,602 $ 398,520 $ 543,909 Principal repayments under secured debt (3) 12,809,913 1,275,700 5,697,237 4,997,834 839,142 Principal repayments under asset-specific debt (3) 935,435 — 786,633 — 148,802 Principal repayments of term loans (4) 2,140,720 21,997 1,328,006 16,516 774,201 Principal repayments of senior secured notes 366,590 — — 366,590 — Principal repayments of convertible notes (5) 300,000 — — 300,000 — Interest payments (3)(6) 3,356,015 1,173,532 1,634,769 466,186 81,528 Total (7) $ 22,580,524 $ 3,152,049 $ 10,495,247 $ 6,545,646 $ 2,387,582 (1) Represents known and estimated short-term cash requirements related to our contractual obligations and commitments. Refer to the sources of liquidity section above for our sources of funds to satisfy our short-term cash requirements. (2) The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the final loan maturity date, however we may be obligated to fund these commitments earlier than such date. (3) Our secured debt and asset-specific debt agreements are generally term-matched to their underlying collateral. Therefore, the allocation of both principal and interest payments under such agreements is generally allocated based on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower. In limited instances, the maturity date of the respective debt agreement is used. (4) The Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the initial principal balance due in quarterly installments. Refer to Note 9 for further details on our term loans. (5) Reflects the outstanding principal balance of convertible notes, excluding any potential conversion premium. Refer to Note 11 to our consolidated financial statements for further details on our convertible notes. (6) Represents interest payments on our secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes. Future interest payment obligations are estimated assuming the interest rates in effect as of September 30, 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 $2.5 billion of consolidated securitized debt obligations, $1.1 billion of non-consolidated senior interests, and $275.7 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us. We are also required to settle our foreign exchange and interest rate derivatives with our derivative counterparties upon maturity which, depending on foreign currency exchange and interest rate movements, may result in cash received from or due to such counterparties. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 12 to our consolidated financial statements for details regarding our derivative contracts. We are required to pay our Manager a base management fee, an incentive fee, and reimbursements for certain expenses pursuant to our Management Agreement. The table above does not include the amounts payable to our Manager under our Management Agreement as they are not fixed and determinable. Refer to Note 14 to our consolidated financial statements for additional terms and details of the fees payable under our Management Agreement. As a REIT, we generally must distribute substantially all of our net taxable income to stockholders in the form of dividends to comply with the REIT provisions of the Internal Revenue Code. Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Distributable Earnings as described above. 66 Cash Flows The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands): Nine Months Ended September 30, 2023 2022 Cash flows provided by operating activities $ 349,053 $ 266,610 Cash flows provided by (used in) investing activities 1,187,092 (3,200,070) Cash flows (used in) provided by financing activities (1,407,463) 2,671,630 Net increase (decrease) in cash and cash equivalents $ 128,682 $ (261,830) 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. Refer to Notes 5, 7, 11, and 13 to our consolidated financial statements for additional discussion of our secured debt, asset-specific debt, convertible notes, and equity, respectively. V. Other Items Income Taxes We have elected to be taxed as a REIT under the Internal Revenue Code for U.S. federal income tax purposes. We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S. federal income tax not to apply to our earnings. To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S. federal income tax on our undistributed taxable income. In addition, we will be subject to a 4% nondeductible excise tax if the actual amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal tax laws. Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to the nature of our assets and the sources of our income. Even if we qualify as a REIT, we may be subject to certain U.S. federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of September 30, 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. Refer to Note 15 to our consolidated financial statements for additional discussion of our income taxes. Critical Accounting Policies Our discussion and analysis of our financial condition and results of operations is based upon our consolidated financial statements, which have been prepared in accordance with GAAP. There have been no material changes to our Critical Accounting Policies described in our Annual Report on Form 10-K filed with the SEC on February 8, 2023. 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 receivable portfolio. 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 67 the Financial Accounting Standards Board Staff Q&A Topic 326, No. 1. Estimating the CECL reserve requires judgment, including the following assumptions: • Historical loan loss reference data : To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance with market loan loss data licensed from Trepp LLC. This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through August 31, 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. We believe this CMBS data, which includes month-over-month loan and property performance, is the most relevant, available, and comparable dataset to our portfolio. • Expected timing and amount of future loan fundings and repayments : Expected credit losses are estimated over the contractual term of each loan, adjusted for expected prepayments. As part of our quarterly review of our loan portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for purposes of computing our CECL reserve. Additionally, the expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. The CECL reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future funding obligations over the estimated life of the loan. The considerations in estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loans receivable. • Current credit quality of our portfolio : 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, 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 : Our CECL reserve is adjusted to reflect our estimation of the current and future economic conditions that impact the performance of the commercial real estate assets securing our loans. These estimations include unemployment rates, interest rates, inflation, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term. In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance. We generally also incorporate information from other sources, including information and opinions available to our Manager, to further inform these estimations. This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of September 30, 2023. • Impairment : impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan. Determining that a loan is impaired requires significant judgment from management and is based on several factors including (i) the underlying collateral performance, (ii) discussions with the borrower, (iii) borrower events of default, and (iv) other facts that impact the borrower’s ability to pay the contractual amounts due under the terms of the loan. If a loan is determined to be impaired, we record the impairment as a component of our CECL reserve by applying the practical expedient for collateral dependent loans. The CECL reserve is assessed on an individual basis for these loans by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed relevant by us. Actual losses, if any, could ultimately differ materially from these estimates. 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 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 $477.0 million as of September 30, 2023. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. 68 Revenue Recognition Interest income from our loans receivable portfolio is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis. Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan as an adjustment to yield. Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in our opinion, recovery of income and principal becomes doubtful. Interest received is then recorded as income or as a reduction in the amortized cost basis, based on the specific facts and circumstances, until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. In addition, for loans we originate, the related origination expenses are deferred and recognized as a reduction to interest income, however expenses related to loans we acquire are included in general and administrative expenses as incurred. 69 VI. Loan Portfolio Details The following table provides details of our loan portfolio, on a loan-by-loan basis, as of September 30, 2023 ($ in millions): Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 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 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 12/9/2021 385 366 366 +2.76 % +2.89 % 12/9/2026 New York Mixed-Use $126 / sqft 50 % 2 10 Senior Loan 9/23/2019 370 345 344 +3.00 % +3.27 % 8/16/2024 Diversified - Spain Hospitality $123,028 / key 62 % 4 11 Senior Loan 4/11/2018 345 336 336 +2.25 % +2.28 % 5/1/2025 New York Office $426 / sqft 71 % 4 12 Senior Loan 2/27/2020 303 302 302 +2.70 % +2.94 % 3/9/2025 New York Multi $795,074 / unit 59 % 3 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 20 Senior Loan 7/15/2021 302 280 277 +4.25 % +4.74 % 7/16/2026 Diversified - EUR Hospitality $213,942 / key 53 % 3 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 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 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 27 Senior Loan (7) 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 continued… 70 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 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 37 Senior Loan 9/30/2021 195 195 194 +3.86 % +4.21 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3 38 Senior Loan 7/23/2021 244 187 185 +5.11 % +5.50 % 8/9/2027 New York Office $604 / sqft 53 % 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 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 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 48 Senior Loan 5/27/2021 205 163 163 +2.81 % +3.11 % 6/9/2026 Atlanta Office $137 / sqft 66 % 3 49 Senior Loan 10/7/2021 165 160 160 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $326 / sqft 68 % 4 50 Senior Loan 3/7/2022 156 156 156 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 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 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 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 continued… 71 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 61 Senior Loan 8/24/2021 $ 156 $ 133 $ 133 +2.71 % +3.03 % 9/9/2026 San Jose Office $317 / sqft 65 % 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 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 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 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 78 Senior Loan 10/21/2021 114 114 114 +3.01 % +3.26 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 2 79 Senior Loan 3/28/2022 130 114 113 +2.55 % +2.85 % 4/9/2027 Miami Office $309 / sqft 69 % 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 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 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 88 Senior Loan 10/1/2021 101 100 100 +2.86 % +3.13 % 10/1/2026 Phoenix Multi $231,021 / unit 77 % 3 89 Senior Loan 6/18/2021 99 99 98 +2.71 % +2.95 % 7/9/2026 New York Industrial $51 / sqft 55 % 1 90 Senior Loan 10/28/2021 96 96 95 +3.00 % +3.35 % 11/9/2026 Philadelphia Multi $352,399 / unit 79 % 3 continued… 72 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 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 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 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 % 5 100 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 % 3 102 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 % 4 108 Senior Loan 7/29/2021 82 82 81 +2.76 % +3.08 % 8/9/2026 Charlotte Multi $222,786 / unit 78 % 3 109 Senior Loan 8/27/2021 79 78 78 +4.10 % +4.35 % 9/9/2026 Diversified - US Hospitality $115,521 / key 67 % 3 110 Senior Loan 11/23/2021 92 77 76 +2.85 % +3.17 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3 111 Senior Loan (4) 12/30/2021 228 73 14 +4.00 % +4.99 % 1/9/2028 Los Angeles Multi $209,770 / unit 50 % 3 112 Senior Loan 12/21/2021 74 72 72 +2.70 % +3.06 % 1/9/2027 Tampa Multi $212,382 / unit 77 % 2 113 Senior Loan 8/14/2019 70 70 70 +2.56 % +2.80 % 9/9/2024 Los Angeles Office $684 / sqft 57 % 3 114 Senior Loan 10/28/2021 69 69 69 +2.66 % +2.86 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3 115 Senior Loan 8/17/2022 75 67 67 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $104 / sqft 72 % 3 116 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 continued… 73 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 121 Senior Loan 3/31/2021 $ 62 $ 62 $ 62 +3.99 % +4.30 % 4/1/2024 Boston Multi $316,327 / unit 75 % 3 122 Senior Loan 7/30/2021 62 62 62 +2.86 % +3.06 % 8/9/2026 Salt Lake City Multi $224,185 / unit 73 % 3 123 Senior Loan 12/23/2021 61 61 61 +2.29 % +2.29 % 10/31/2023 New York Office $238 / sqft 71 % 3 124 Senior Loan 6/30/2021 65 61 61 +2.95 % +3.23 % 7/9/2026 Nashville Office $250 / sqft 71 % 3 125 Senior Loan 4/15/2021 66 60 60 +3.06 % +3.34 % 5/9/2026 Austin Office $293 / sqft 73 % 3 126 Senior Loan (4) 3/23/2020 59 59 12 +3.82 % +4.63 % 4/9/2025 Nashville Office $90 / sqft 60 % 1 127 Senior Loan 12/17/2021 58 58 58 +2.65 % +2.85 % 1/9/2027 Phoenix Multi $209,601 / unit 69 % 3 128 Senior Loan 7/16/2021 58 58 58 +2.75 % +3.03 % 8/1/2025 Orlando Multi $195,750 / unit 74 % 2 129 Senior Loan 12/10/2020 61 56 56 +3.30 % +3.56 % 1/9/2026 Fort Lauderdale Office $194 / sqft 68 % 3 130 Senior Loan 1/21/2022 68 55 55 +3.70 % +4.09 % 2/9/2027 Denver Office $327 / sqft 65 % 3 131 Senior Loan 12/22/2021 55 55 54 +2.82 % +2.96 % 1/1/2027 Los Angeles Multi $272,500 / unit 68 % 3 132 Senior Loan 8/22/2019 54 54 54 +2.66 % +2.89 % 9/9/2024 Los Angeles Office $310 / sqft 63 % 3 133 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 % 3 136 Senior Loan 12/9/2021 51 51 51 +2.75 % +2.89 % 1/1/2027 Portland Multi $241,825 / unit 65 % 3 137 Senior Loan 2/17/2021 53 51 51 +3.66 % +3.86 % 3/9/2026 Miami Multi $290,985 / unit 64 % 2 138 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 % 3 142 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 % 3 144 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 continued… 74 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 151 - 185 Senior Loan Various 1,077 1,035 1,031 +3.05 % +3.51 % 2.2 yrs Various Various Various 62 % 2.3 CECL reserve (463) Loans receivable, net $ 28,002 $ 24,913 $ 23,252 + 3.38 % + 3.73 % 2.6 yrs 64 % 2.9 (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, 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) 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. (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 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. Excludes loans accounted for under the cost-recovery method. (6) Maximum maturity assumes all extension options are exercised, however our loans may be repaid prior to such date. (7) 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. 75