BLACKSTONE MORTGAGE TRUST, INC. 10-K

ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS The following discussion should be read in conjunction with the consolidated financial statements and notes thereto appearing elsewhere in this Annual Report on Form 10-K. In addition to historical data, this discussion and analysis contains forward looking statements about our business, operations and financial performance based on current expectations that involve risks, uncertainties and assumptions. Our actual results or outcomes may differ materially from those in this discussion and analysis as a result of various factors, including but not limited to those discussed in Part, 1. Item 1A, “Risk Factors” in this Annual Report on Form 10-K. 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 corporate financing, 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 year ended December 31, 2023 has 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. Events affecting financial institutions during the year also contributed to volatility in global markets and diminished liquidity and credit availability. During 2023, inflation began to moderate as a result of the monetary policy tightening actions taken by central banks, including raising interest rates. While it is anticipated that central banks may begin to lower interest rates in 2024, interest rates may remain at or near recent highs, which creates further uncertainty for the economy and for our borrowers. Although our business model is such that higher interest rates will, all else equal, correlate to higher net income, interest rates remaining elevated for an extended period of time may adversely affect our existing borrowers and lead to non-performance, as higher costs may dampen consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans. Additionally, higher interest rates could adversely affect commercial real estate property values. It remains difficult to predict the full impact of recent events and any future changes in interest rates or inflation. Reference Rate Reform LIBOR and certain other floating rate benchmark indices 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 62 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 December 31, 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 the 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 this Annual Report on Form 10-K. 2023 Highlights Operating results: • Net income of $246.6 million, or $1.43 per share, and Distributable Earnings of $526.3 million, or $3.05 per share, with dividends declared of $427.9 million, or $2.48 per share. During the year we had dividend coverage of 58% and 123% based on our GAAP net income and Distributable Earnings, respectively. Net income includes a $249.8 million increase to the current expected credit loss, or CECL, reserve that is excluded from Distributable Earnings, as further described below. • Book value per share of $25.16 as of December 31, 2023, which is net of cumulative CECL reserves of $3.41 per share. Loan portfolio: • Portfolio of 178 investments as of December 31, 2023, with a weighted-average origination loan-to-value ratio of 63.6% and weighted-average all-in yield of + 3.66%. • During the year we had $3.8 billion of loan repayments and sales at an average of 99.99% of par, including $962.7 million of office loans. • 93% of loans, based on net loan exposure, are performing as of December 31, 2023. 99.9% of interest income recognized during the year was paid current. No income has been recorded on our non-performing loans subsequent to determining that they were impaired. Capital markets, financing, and liquidity: • As of December 31, 2023, we had total liquidity of $1.7 billion with no corporate debt maturities until 2026. • During the year ended December 31, 2023, we (i) repaid the aggregate $220.0 million principal amount of our 4.75% convertible senior notes due 2023 at maturity, (ii) repurchased an aggregate principal amount of $33.9 million of our Senior Secured Notes at a weighted-average price of 85%, resulting in a gain on extinguishment of debt of $4.6 million, and (iii) repaid a net $1.2 billion under our portfolio financings, resulting in an aggregate $1.4 billion reduction in our portfolio and corporate financings during the year. This resulted in a decrease in our debt-to-equity ratio to 3.7x from 3.8x. • We maintained the cost of our portfolio financings throughout the year, with a weighted-average spread of +1.89% on our $12.7 billion of secured debt, as of December 31, 2023, relative to +1.85% as of December 31, 2022. 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 December 31, 2023, we recorded a basic net loss per share of $0.01, declared a dividend of $0.62 per share, and reported $0.69 per share of Distributable Earnings. In addition, our book value as of December 31, 2023 was $25.16 per share, which is net of cumulative CECL reserves of $3.41 per share. For the year ended December 31, 2023, we recorded earnings per share of $1.43, declared aggregate dividends of $2.48 per share, and reported $3.05 per share of Distributable Earnings. As further described below, Distributable Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP. Distributable Earnings helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations. In addition, Distributable Earnings is a performance metric we consider when declaring our dividends. 63 Earnings Per Share and Dividends Declared The following table sets forth the calculation of basic net (loss) income per share and dividends declared per share ($ in thousands, except per share data): Three Months Ended Year Ended December 31, December 31, 2023 2023 2022 Net (loss) income (1) $ (2,376) $ 246,555 $ 248,642 Weighted-average shares outstanding, basic 172,824,083 172,672,038 170,631,410 Per share amount, basic $ (0.01) $ 1.43 $ 1.46 Dividends declared per share $ 0.62 $ 2.48 $ 2.48 (1) Represents net (loss) 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. Our CECL reserves have 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 realized and deemed non-recoverable 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 realization and non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected. The timing of any such credit loss realization in our Distributable Earnings may differ materially from the timing of CECL reserves or charge-offs in our consolidated financial statements prepared in accordance with GAAP. 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. 64 The following table provides a reconciliation of Distributable Earnings to GAAP net (loss) income ($ in thousands, except per share data): Three Months Ended Year Ended December 31, December 31, 2023 2023 2022 Net (loss) income (1) $ (2,376) $ 246,555 $ 248,642 Increase in current expected credit loss reserve 115,261 249,790 211,505 Non-cash compensation expense 7,729 30,655 33,414 Realized hedging and foreign currency loss, net (2) (1,557) (766) (3,239) Adjustments attributable to non-controlling interests, net (83) (35) (361) Other items 8 71 (131) Distributable Earnings $ 118,982 $ 526,270 $ 489,830 Weighted-average shares outstanding, basic (3) 172,824,083 172,672,038 170,631,410 Distributable Earnings per share, basic $ 0.69 $ 3.05 $ 2.87 (1) Represents net (loss) income attributable to Blackstone Mortgage Trust. (2) Represents realized losses on the repatriation of unhedged foreign currency. These amounts were not included in GAAP net (loss) 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 then outstanding. Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share. Book Value Per Share The following table calculates our book value per share ($ in thousands, except per share data): December 31, 2023 December 31, 2022 Stockholders’ equity $ 4,367,711 $ 4,518,794 Shares Class A common stock 173,209,933 171,695,985 Deferred stock units 359,464 410,608 Total outstanding 173,569,397 172,106,593 Book value per share (1) $ 25.16 $ 26.26 (1) The book value per share excludes shares issuable from a potential conversion of our convertible notes then outstanding. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share. II. Loan Portfolio During the year ended December 31, 2023, loan fundings totaled $1.6 billion and loan repayments and sales totaled $3.8 billion, for net repayments of $2.2 billion. We generated interest income of $2.0 billion and incurred interest expense of $1.4 billion during the year, which resulted in $670.7 million of net interest income during the year ended December 31, 2023. 65 Portfolio Overview The following table details our loan origination activity ($ in thousands): Three Months Ended December 31, 2023 Year Ended December 31, 2023 Loan originations (1) $ 46,000 $ 96,000 Loan fundings (2) $ 316,633 $ 1,643,513 Loan repayments and sales (3) (643,822) (3,770,339) Total net repayments $ (327,189) $ (2,126,826) (1) Includes new loan originations and additional commitments made under existing loans. (2) Loan fundings during the three months and year ended December 31, 2023, include $36.1 million and $294.1 million, respectively, of additional fundings under related non-consolidated senior interests. (3) Loan repayments and sales during the year ended December 31, 2023, include $795.8 million of additional repayments or reduction of loan exposure under related non-consolidated senior interests. Additionally, loan repayments and sales during the three months and year ended December 31, 2023 include $50.0 million and $100.7 million, respectively, of sales of junior loan interests. 66 The following table details overall statistics for our loan portfolio as of December 31, 2023 ($ in thousands): Balance Sheet Portfolio Loan Exposure (1) Number of loans 178 178 Principal balance $ 23,923,719 $ 24,971,028 Net book value $ 23,210,076 $ 23,210,076 Unfunded loan commitments (2) $ 2,430,664 $ 2,430,664 Weighted-average cash coupon (3) + 3.37 % + 3.31 % Weighted-average all-in yield (3) + 3.71 % + 3.66 % Weighted-average maximum maturity (years) (4) 2.4 2.4 Origination loan to value (LTV) (5) 63.6 % 63.6 % (1) Total loan exposure reflects our aggregate exposure to each loan investment. As of December 31, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $23.9 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) $100.9 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements. We have retained an aggregate $289.4 million of subordinate mezzanine loans, as of December 31, 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 $381.2 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 December 31, 2023, 99% of our loans by total loan exposure 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 we entered into with a notional amount of $229.9 million that effectively converts certain of our fixed rate loan exposure to floating rate exposure. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method. (4) Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As of December 31, 2023, 16% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 84% were open to repayment by the borrower without penalty. (5) Based on LTV as of the dates loans were originated or acquired by us, excluding any junior participations sold. 67 The following table details the index rate floors for our loan portfolio based on total loan exposure as of December 31, 2023 ($ in thousands): Total Loan Exposure (1) Index Rate Floors USD Non-USD (2) Total Fixed Rate $ 327,643 $ — $ 327,643 0.00% or no floor (3) 4,921,892 7,015,789 11,937,681 0.01% to 1.00% floor 6,797,524 810,979 7,608,503 1.01% to 2.00% floor 2,792,918 295,384 3,088,302 2.01% to 3.00% floor 1,334,636 — 1,334,636 3.01% or more floor 478,007 196,256 674,263 Total (4) $ 16,652,620 $ 8,318,408 $ 24,971,028 (1) Total loan exposure reflects our aggregate exposure to each loan investment. As of December 31, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $23.9 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) $100.9 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements. See Note 2 to our consolidated financial statements 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 we entered into with a notional amount of $229.9 million that effectively converts certain of our fixed rate loan exposure to floating rate exposure. (4) As of December 31, 2023, the weighted-average index rate floor of our total loan exposure was 0.56%. Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 1.02%. 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 December 31, 2023 (total loan exposure amounts in thousands): Loan Count Currency Total Loan Exposure (1) Floating Rate Index (2) Cash Coupon (3) All-in Yield (3) 141 $ $ 16,652,620 SOFR (4) + 3.10% + 3.40% 20 £ £ 2,701,814 SONIA + 3.84% + 4.33% 11 € € 2,524,591 EURIBOR + 3.16% + 3.61% 6 Various $ 2,091,833 Other (5) + 4.14% + 4.45% 178 $ 24,971,028 + 3.31% + 3.66% (1) Total loan exposure reflects our aggregate exposure to each loan investment. As of December 31, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $23.9 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) $100.9 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements. See Note 2 to our consolidated financial statements 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 we entered into with a notional amount of $229.9 million that effectively converts certain of our fixed rate loan exposure to floating rate exposure. (5) Includes floating rate loans indexed to STIBOR, BBSY, SARON, and CIBOR indices. 68 The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of December 31, 2023: Geographic Diversification (Net Loan Exposure) (1) Collateral Diversification (Net Loan Exposure) (1)(2) ______________ (1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of December 31, 2023, which is our total loan exposure net of (i) $1.1 billion of non-consolidated senior interests, (ii) $1.0 billion of asset-specific debt, (iii) $236.8 million of senior loan participations sold, (iv) $53.0 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $576.9 million. Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans. (2) Assets with multiple components are proportioned into the relevant collateral types based on the allocated value of each collateral type. Refer to section VI of this Item 7 for details of our loan portfolio, on a loan-by-loan basis. Portfolio Management As of December 31, 2023, 99.5% of borrowers, based on net loan exposure, were compliant with the contractual terms of each respective loan. 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. As of December 31, 2023, we had one loan with an amortized cost basis of $140.0 million past its current maturity date. This loan was less than 30 days past due on its interest payments, and had a risk rating of “5” as of December 31, 2023. We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility. We believe that we benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors. Our loan portfolio’s low weighted-average origination LTV of 63.6%, excluding any junior participations sold, as of December 31, 2023 reflects significant equity value that we expect our 69 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 December 31, 2023, we had an aggregate $417.7 million asset-specific CECL reserve related to 13 of our loans receivable, with an aggregate amortized cost basis of $1.9 billion, net of cost-recovery proceeds. This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of December 31, 2023. Our portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from our position as part of Blackstone’s real estate platform. Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic stress and uncertainty. As discussed in Note 2 to our consolidated financial statements, we perform a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5”, from less risk to greater risk. Our loan portfolio had a weighted-average risk rating of 3.0 and 2.9 as of December 31, 2023 and 2022, respectively. The following table allocates the net book value, total loan exposure, and net loan exposure balances based on our internal risk ratings ($ in thousands): December 31, 2023 Risk Rating Number of Loans Net Book Value Total Loan Exposure (1) Net Loan Exposure (2) 1 15 $ 763,101 $ 811,217 $ 763,223 2 36 6,143,184 6,618,319 5,095,395 3 99 12,277,518 12,573,282 11,964,620 4 15 2,725,930 3,036,837 2,668,025 5 13 1,877,279 1,931,373 1,460,725 Loans receivable 178 $ 23,787,012 $ 24,971,028 $ 21,951,988 CECL reserve (576,936) Loans receivable, net $ 23,210,076 (1) Total loan exposure reflects our aggregate exposure to each loan investment. As of December 31, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $23.9 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) $100.9 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements. See Note 2 to our consolidated financial statements 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 December 31, 2023, which is our total loan exposure net of (i) $1.1 billion of non-consolidated senior interests, (ii) $1.0 billion of asset-specific debt, (iii) $236.8 million of senior loan participations sold, (iv) $53.0 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $576.9 million. Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans. Current Expected Credit Loss Reserve The CECL reserves required by GAAP reflect 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 year ended December 31, 2023, we recorded an aggregate increase of $250.8 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to $576.9 million as of December 31, 2023. These CECL reserves reflect certain impaired loans in our portfolio, as well as an additional increase in our CECL reserves due to macroeconomic conditions. 70 During the three months ended December 31, 2023, we recorded an aggregate net increase of $95.1 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 December 31, 2023. As of December 31, 2023, the income accrual was suspended on these loans as recovery of income and principal was doubtful. During the three months ended December 31, 2023, we recorded $5.9 million of interest income on these three loans. As of December 31, 2023, we had an aggregate $417.7 million asset-specific CECL reserve related to 13 of our loans receivable, with an aggregate amortized cost basis of $1.9 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 December 31, 2023. No income was recorded on our impaired loans subsequent to determining that they were impaired. As of December 31, 2023, one of these loans with an amortized cost basis of $140.0 million, was past its current maturity date. This loan was less than 30 days past due on its interest payment and had a risk rating of “5”. As of December 31, 2023, all other borrowers were compliant with the contractual terms of each respective loan, including any required payment of interest. During the year ended December 31, 2023, we received an aggregate $53.0 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 policies on revenue recognition and our CECL reserves. Multifamily Joint Venture As of December 31, 2023, our multifamily joint venture held $612.9 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our multifamily joint venture. Portfolio Financing Our portfolio financing consists of secured debt, securitizations, and asset-specific debt. The following table details our portfolio financing ($ in thousands): Portfolio Financing Outstanding Principal Balance December 31, 2023 December 31, 2022 Secured debt $ 12,697,058 $ 13,549,748 Securitizations 2,507,514 2,673,541 Asset-specific debt 1,004,097 950,278 Total portfolio financing $ 16,208,669 $ 17,173,567 Secured Debt The following table details our outstanding secured debt ($ in thousands): Secured Debt Borrowings Outstanding December 31, 2023 December 31, 2022 Secured credit facilities $ 12,697,058 $ 13,549,748 Acquisition facility — — Total secured debt $ 12,697,058 $ 13,549,748 71 Secured Credit Facilities The following table details our secured credit facilities by spread over the applicable base rates as of December 31, 2023 ($ in thousands): Year Ended December 31, 2023 December 31, 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 $ — $ 5,647,848 +1.53 % $ 8,341,383 +3.24 % +1.71 % + 1.51% to + 1.75% — 2,679,699 +1.82 % 3,723,365 +3.49 % +1.67 % + 1.76% to + 2.00% 42,908 1,850,809 +2.11 % 2,913,067 +3.92 % +1.81 % + 2.01% or more 70,845 2,518,702 +2.64 % 3,616,503 +4.30 % +1.66 % Total $ 113,753 $ 12,697,058 +1.89 % $ 18,594,318 +3.58 % +1.69 % (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 December 31, 2023 for new financings closed during the year ended December 31, 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. All-in yield excludes loans accounted for under the cost-recovery method. (4) Represents the weighted-average all-in cost as of December 31, 2023 and is not necessarily indicative of the spread applicable to recent or future borrowings. (5) Represents the principal balance of the collateral assets. (6) Represents the difference between the weighted-average all-in yield and weighted-average all-in cost. Acquisition Facility We have a $100.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval. The cost of borrowing under the facility is variable, dependent on the type of loan collateral, and its maturity date is April 3, 2024. As of December 31, 2023, we had no assets pledged to our acquisition facility and no outstanding borrowings. 72 Securitizations Securitized Debt Obligations We have financed certain pools of our loans through collateralized loan obligations, or CLOs. The following table details our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands): December 31, 2023 Securitized Debt Obligations Count Principal Balance Book Value (1) Wtd. Avg. Yield/Cost (2)(3) Term (4) 2021 FL4 Collateralized Loan Obligation Senior CLO Securities Outstanding 1 $ 803,750 $ 801,800 + 1.70 % May 2038 Underlying Collateral Assets 26 1,000,000 1,000,000 + 3.28 % December 2025 2020 FL3 Collateralized Loan Obligation Senior CLO Securities Outstanding 1 714,352 714,352 + 2.18 % November 2037 Underlying Collateral Assets 15 905,602 905,602 + 2.87 % September 2025 2020 FL2 Collateralized Loan Obligation Senior CLO Securities Outstanding 1 989,412 989,265 + 1.57 % February 2038 Underlying Collateral Assets 15 1,246,287 1,246,287 + 2.85 % October 2025 Total Senior CLO Securities Outstanding (4) 3 $ 2,507,514 $ 2,505,417 + 1.79 % Underlying Collateral Assets 56 $ 3,151,889 $ 3,151,889 + 2.99 % (1) The book value of underlying collateral assets excludes any applicable CECL reserves. (2) 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. (3) 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. All-in yield excludes loans accounted for under the cost-recovery method. (4) 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. (5) During the year ended December 31, 2023, we recorded $171.4 million of interest expense related to our securitized debt obligations. Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations. 73 Asset-Specific Debt The following table details our asset-specific debt ($ in thousands): December 31, 2023 Asset-Specific Debt Count Principal Balance Book Value (1) Wtd. Avg. Yield/Cost (2) Wtd. Avg. Term (3) Financing provided 2 $ 1,004,097 $ 1,000,210 + 3.14 % March 2026 Collateral assets 2 $ 1,194,408 $ 1,186,559 + 3.98 % March 2026 (1) The book value of underlying collateral assets excludes any applicable CECL reserves. (2) 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. (3) 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 December 31, 2023 December 31, 2022 Term loans $ 2,135,221 $ 2,157,218 Senior secured notes 366,090 400,000 Convertible notes 300,000 520,000 Total corporate financing $ 2,801,311 $ 3,077,218 74 The following table details our outstanding senior term loan facilities, or Term Loans, Senior Secured Notes, and convertible senior notes, or Convertible Notes, as of December 31, 2023 ($ in thousands): Corporate Financing Face Value Interest Rate (1) All-in Cost (1)(2) Maturity Term Loans B-1 Term Loan $ 910,852 + 2.36 % + 2.65 % April 23, 2026 B-3 Term Loan 410,942 + 2.86 % + 3.54 % April 23, 2026 B-4 Term Loan 813,427 + 3.50 % + 4.11 % May 9, 2029 Total term loans $ 2,135,221 Senior Secured Notes Senior Secured Notes $ 366,090 3.75 % 4.02 % January 15, 2027 Convertible Notes Issuance Convertible Notes (3) $ 300,000 5.50 % 5.94 % March 15, 2027 Total corporate financings $ 2,801,311 (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 discounts, transaction expenses, and/or issuance costs, as applicable, that are amortized through interest expense over the life of each respective financing. (3) The conversion price of the Convertible Notes is $36.27, which represents the price of class A common stock per share based on a conversion rate of 27.5702. 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 has not been exceeded as of December 31, 2023. During the year ended December 31, 2023, we repurchased an aggregate principal amount of $33.9 million of the Senior Secured Notes at a weighted-average price of 85%. This resulted in a gain on extinguishment of debt of $4.6 million during the year ended December 31, 2023. Refer to Note 2, Note 9, Note 10, and Note 11 to our consolidated financial statements for additional discussion of our Term Loans, Senior Secured Notes, and 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 December 31, 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. 75 The following table details our investment portfolio’s exposure to interest rates by currency as of December 31, 2023 (amounts in thousands): USD GBP EUR All Other (1) Floating rate loans (2)(3)(4)(5)(6) $ 13,573,013 £ 2,515,814 € 2,524,591 $ 2,091,833 Floating rate debt (2)(5)(7) (12,290,685) (1,836,346) (1,873,765) (1,646,904) Net floating rate exposure $ 1,282,328 £ 679,468 € 650,826 $ 444,929 Net floating rate exposure in USD (8) $ 1,282,328 $ 865,031 $ 718,447 $ 444,929 (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 we entered into with a notional amount of $229.9 million that effectively converts certain of our fixed rate loan exposure to floating rate exposure. (4) Excludes $1.6 billion of floating rate loans accounted for under the cost-recovery method. (5) Excludes $1.1 billion of non-consolidated senior interests and $337.7 million of loan participations sold, as of December 31, 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 . (6) Our loan agreements generally require our borrowers to purchase interest rate caps, which mitigates our borrowers’ exposure to an increase in interest rates. (7) Includes amounts outstanding under secured debt, securitizations, asset-specific debt, and Term Loans. (8) Represents the U.S. dollar equivalent as of December 31, 2023. In addition to the risks related to fluctuations in cash flows and asset values associated with movements in interest rates, there is also the risk of non-performance on floating rate assets. In the case of a significant increase in interest rates, the cash flows of the collateral real estate assets may not be sufficient to pay debt service due under our loans, which may contribute to non-performance or, in severe cases, default. This risk is partially mitigated by our consideration of rising rate stress-testing during our underwriting process, which generally includes a requirement for our borrower to purchase an interest rate cap contract with an unaffiliated third party, provide an interest reserve deposit, and/or provide interest or other structural protections. As of December 31, 2023, 97% of our performing loans have interest rate caps with a weighted-average strike price of 3.3% or interest guarantees. During the year ended December 31, 2023, interest rate caps on $14.7 billion of loans, with a 3.1% weighted-average strike price, expired and 93% were replaced with new interest rate caps, with a weighted-average strike price of 3.7%, or interest guarantees. 76 III. Our Results of Operations Operating Results The following table sets forth information regarding our consolidated results of operations for the years ended December 31, 2023, 2022 and 2021 ($ in thousands, except per share data): Year Ended December 31, 2023 vs 2022 Year Ended December 31, 2022 vs 2021 2023 2022 $ 2022 2021 $ Income from loans and other investments Interest and related income $ 2,037,621 $ 1,338,954 $ 698,667 $ 1,338,954 $ 854,690 $ 484,264 Less: Interest and related expenses 1,366,956 710,904 656,052 710,904 340,223 370,681 Income from loans and other investments, net 670,665 628,050 42,615 628,050 514,467 113,583 Other expenses Management and incentive fees 119,089 110,292 8,797 110,292 88,467 21,825 General and administrative expenses 51,143 52,193 (1,050) 52,193 43,168 9,025 Total other expenses 170,232 162,485 7,747 162,485 131,635 30,850 (Increase) decrease in current expected credit loss reserve (249,790) (211,505) (38,285) (211,505) 39,864 (251,369) Gain on extinguishment of debt 4,616 — 4,616 — — — Income before income taxes 255,259 254,060 1,199 254,060 422,696 (168,636) Income tax provision 5,362 3,003 2,359 3,003 423 2,580 Net income 249,897 251,057 (1,160) 251,057 422,273 (171,216) Net income attributable to non-controlling interests (3,342) (2,415) (927) (2,415) (3,080) 665 Net income attributable to Blackstone Mortgage Trust, Inc. $ 246,555 $ 248,642 $ (2,087) $ 248,642 $ 419,193 $ (170,551) Net income per share of common stock basic and diluted $ 1.43 $ 1.46 $ (0.03) $ 1.46 $ 2.77 $ (1.31) Weighted-average shares of common stock outstanding basic and diluted 172,672,038 170,631,410 2,040,628 170,631,410 151,521,941 19,109,469 Dividends declared per share $ 2.48 $ 2.48 $ — $ 2.48 $ 2.48 $ — Income from loans and other investments, net Income from loans and other investments, net increased $42.6 million during the year ended December 31, 2023 compared to the year ended December 31, 2022. The increase was primarily due to (i) an increase in floating rate indices during the year ended December 31, 2023 compared to the year ended December 31, 2022 and (ii) an increase in the weighted-average principal balance of our loan portfolio by $401.8 million for the year ended December 31, 2023, as compared to the year ended December 31, 2022. This was offset by (i) an increase in the weighted-average principal balance of our outstanding financing arrangements by $357.5 million for the year ended December 31, 2023, as compared to the year ended December 31, 2022 and (ii) a decline in interest income related to additional loans accounted for under the cost-recovery method for all or a portion of the year ended December 31, 2023. Income from loans and other investments, net increased $113.6 million during the year ended December 31, 2022 compared to the year ended December 31, 2021. The increase was primarily due to (i) an increase in floating rate indices during 2022 and (ii) an increase in the weighted-average principal balance of our loan portfolio by $5.7 billion for the year ended December 31, 2022, as compared to the year ended December 31, 2021. This was primarily offset by an increase in 77 the weighted-average principal balance of our outstanding financing arrangements by $5.0 billion for the year ended December 31, 2022, as compared to the year ended December 31, 2021. Other expenses Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by $7.7 million during the year ended December 31, 2023 compared to the year ended December 31, 2022 due to an increase of (i) $6.9 million of incentive fees payable to our Manager, due to an increase in Distributable Earnings, (ii) $1.9 million of management fees payable to our Manager, primarily as a result of an increase in equity, and (iii) $1.7 million of other operating expenses. This was offset by a reduction in non-cash restricted stock amortization of $2.7 million related to shares awarded under our long-term incentive plans. Other expenses increased by $30.9 million during the year ended December 31, 2022 compared to the year ended December 31, 2021 due to an increase of (i) $13.0 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii) $8.8 million of management fees payable to our Manager, primarily as a result of an increase in equity, (iii) $7.3 million of general operating expenses, and (iv) $1.7 million of non-cash restricted stock amortization related to shares issued under our long-term incentive plans. Changes in current expected credit loss reserve During the year ended December 31, 2023, we recorded a $249.8 million increase in our CECL reserves, as compared to a $211.5 million increase during the year ended December 31, 2022. These CECL reserves reflect certain impaired loans in our portfolio, as well as an additional increase in our CECL reserves due to macroeconomic conditions. During the year ended December 31, 2022, we recorded a $211.5 million increase in our CECL reserves, as compared to a $39.9 million decrease during the year ended December 31, 2021. These CECL reserves reflect certain impaired loans in our portfolio, as well as an additional increase in our CECL reserves due to macroeconomic conditions. Gain on extinguishment of debt During the year ended December 31, 2023, we recognized a gain on extinguishment of debt of $4.6 million related to the repurchase of an aggregate principal amount of $33.9 million of our Senior Secured Notes. There was no repurchase activity or gain on extinguishment of debt in the years ended December 31, 2022 and December 31, 2021. Income tax provision The income tax provision increased by $2.4 million during the year ended December 31, 2023 as compared to the year ended December 31, 2022, due to additional activity in our U.S. and foreign taxable subsidiaries. The income tax provision increased by $2.6 million during the year ended December 31, 2022 as compared to the year ended December 31, 2021, due to additional activity in our U.S. and foreign taxable subsidiaries. Dividends per share During the year ended December 31, 2023, we declared aggregate dividends of $2.48 per share, or $427.9 million. During 2022, we declared aggregate dividends of $2.48 per share, or $423.6 million. During 2021, we declared aggregate dividends of $2.48 per share, or $383.9 million. 78 The following table sets forth information regarding our consolidated results of operations for the three months ended December 31, 2023 and September 30, 2023 ($ in thousands, except per share data): Three Months Ended Change December 31, 2023 September 30, 2023 $ Income from loans and other investments Interest and related income $ 505,003 $ 519,342 $ (14,339) Less: Interest and related expenses 351,238 353,972 (2,734) Income from loans and other investments, net 153,765 165,370 (11,605) Other expenses Management and incentive fees 26,342 28,882 (2,540) General and administrative expenses 13,254 12,001 1,253 Total other expenses 39,596 40,883 (1,287) Increase in current expected credit loss reserve (115,261) (96,900) (18,361) Gain on extinguishment of debt 75 4,541 (4,466) (Loss) income before income taxes (1,017) 32,128 (33,145) Income tax provision 698 1,568 (870) Net (loss) income (1,715) 30,560 (32,275) Net income attributable to non-controlling interests (661) (1,036) 375 Net (loss) income attributable to Blackstone Mortgage Trust, Inc. $ (2,376) $ 29,524 $ (31,900) Net (loss) income per share of common stock basic and diluted $ (0.01) $ 0.17 $ (0.18) Weighted-average shares of common stock outstanding basic and diluted 172,824,083 172,648,118 175,965 Dividends declared per share $ 0.62 $ 0.62 $ — Income from loans and other investments, net Income from loans and other investments, net decreased $11.6 million during the three months ended December 31, 2023 compared to the three months ended September 30, 2023. The decrease was primarily due to (i) a decrease in the weighted-average principal balance of our loan portfolio by $543.5 million for the three months ended December 31, 2023 compared to the three months ended September 30, 2023 and (ii) a decline in interest income related to additional loans accounted for under the cost-recovery method during the three months ended December 31, 2023. This was offset by a decrease in the weighted-average principal balance of our outstanding financing arrangements by $587.4 million for the three months ended December 31, 2023 compared to the three months ended September 30, 2023. Other expenses Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses decreased by $1.3 million during the three months ended December 31, 2023 compared to the three months ended September 30, 2023 primarily due to a decrease of $2.6 million of incentive fees payable to our Manager. This was offset by an increase of $1.1 million of general operating expenses. Changes in current expected credit loss reserve During the three months ended December 31, 2023, we recorded a $115.3 million increase in our CECL reserves, as compared to a $96.9 million increase during the three months ended September 30, 2023. These CECL reserves reflect certain impaired loans in our portfolio, as well as an additional increase in our CECL reserves due to macroeconomic conditions. 79 Gain on extinguishment of debt During the three months ended December 31, 2023, we recognized a gain on extinguishment of debt of $75,000 related to the repurchase of an aggregate principal amount of $500,000 of our Senior Secured Notes. 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. Income tax provision The income tax provision decreased by $870,000 during the three months ended December 31, 2023 compared to the three months ended September 30, 2023 primarily due to a decrease in the income tax provisions related to our U.S. and foreign taxable subsidiaries. Dividends per share During the three months ended December 31, 2023, we declared aggregate dividends of $0.62 per share, or $107.4 million. During the three months ended September 30, 2023, we declared aggregate dividends of $0.62 per share, or $106.8 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 December 31, 2023, our capitalization structure included $4.4 billion of common equity, $2.8 billion of corporate debt, and $16.2 billion of asset-level financings. Our $2.8 billion of corporate debt includes $2.1 billion of Term Loan borrowings, $366.1 million of Senior Secured Notes, and $300.0 million of Convertible Notes. Our $16.2 billion of asset-level financings includes $12.7 billion of secured debt, $2.5 billion of securitizations, and $1.0 billion 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 December 31, 2023, we have $ 1.7 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business. 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. 80 Debt-to-Equity Ratio and Total Leverage Ratio The following table presents our debt-to-equity ratio and total leverage ratio: December 31, 2023 December 31, 2022 Debt-to-equity ratios (1) Debt-to-equity ratio (2) 3.7x 3.8x Adjusted debt-to-equity ratio (3) 3.2x 3.5x Total leverage ratios (1) Total leverage ratio (4) 4.3x 4.4x Adjusted total leverage ratio (5) 3.7x 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. Adjusted Equity is a non-GAAP financial measure. Refer to “Adjusted Debt-to-Equity Ratio and Adjusted Total Leverage Ratio” below for the definition of Adjusted Equity and a reconciliation 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. Adjusted Equity is a non-GAAP financial measure. Refer to “Adjusted Debt-to-Equity Ratio and Adjusted Total Leverage Ratio” below for the definition of Adjusted Equity and a reconciliation 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 reserves 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 reserves, 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): December 31, 2023 December 31, 2022 Total equity $ 4,387,504 $ 4,544,200 Add back: aggregate CECL reserves 592,307 342,517 Adjusted Equity $ 4,979,811 $ 4,886,717 81 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): December 31, 2023 December 31, 2022 Cash and cash equivalents $ 350,014 $ 291,340 Available borrowings under secured debt 1,269,111 1,536,638 Loan principal payments held by servicer, net (1) 48,287 7,425 $ 1,667,412 $ 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 year ended December 31, 2023, we generated cash flow from operating activities of $458.8 million and received $2.8 billion from loan principal collections, sales proceeds, and cost-recovery 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 and private offerings of equity and debt securities, syndicated term loans, and similar transactions. To facilitate public 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 9,974,961 shares of class A common stock were available for issuance as of December 31, 2023, and our at the market stock offering program, pursuant to which we may sell, from time to time, up to $480.9 million of additional shares of our class A common stock as of December 31, 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 $12.7 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 year ended December 31, 2023 we repurchased an aggregate principal amount of $33.9 million of the Senior Secured Notes at a weighted-average price of 85%. This resulted in a gain on extinguishment of debt of $4.6 million during the year ended December 31, 2023. As of December 31, 2023, we had unfunded commitments of $2.4 billion related to 99 loans receivable and $1.3 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.2 billion. The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs. Loan funding commitments are generally subject to certain conditions, including, without limitation, the progress of capital projects, leasing, and cash flows at the properties securing our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. We expect to fund our loan commitments over the remaining term of the related loans, which have a weighted-average future funding period of 2.6 years. 82 Contractual Obligations and Commitments Our contractual obligations and commitments as of December 31, 2023 were as follows ($ 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) $ 2,430,664 $ 552,002 $ 1,030,091 $ 396,584 $ 451,987 Principal repayments under secured debt (3) 12,697,058 2,445,576 5,876,786 3,653,714 720,982 Principal repayments under asset-specific debt (3) 1,004,097 — 825,687 — 178,410 Principal repayments of term loans (4) 2,135,221 21,997 1,324,570 16,516 772,138 Principal repayments of senior secured notes 366,090 — — 366,090 — Principal repayments of convertible notes (5) 300,000 — — 300,000 — Interest payments (3)(6) 3,148,676 1,171,866 1,513,357 410,831 52,622 Total (7) $ 22,081,806 $ 4,191,441 $ 10,570,491 $ 5,143,735 $ 2,176,139 (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 to our consolidated financial statements 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 December 31, 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 $337.7 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us. We are also required to settle our foreign exchange and interest rate derivatives with our derivative counterparties upon maturity which, depending on foreign currency exchange and interest rate movements, may result in cash received from or due to such counterparties. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 12 to our consolidated financial statements for details regarding our derivative contracts. We are required to pay our Manager a base management fee, an incentive fee, and reimbursements for certain expenses pursuant to our Management Agreement. The table above does not include the amounts payable to our Manager under our Management Agreement as they are not fixed and determinable. Refer to Note 14 to our consolidated financial statements for additional terms and details of the fees payable under our Management Agreement. As a REIT, we generally must distribute substantially all of our net taxable income to stockholders in the form of dividends to comply with the REIT provisions of the Internal Revenue Code. Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Distributable Earnings as described above. 83 Cash Flows The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands): For the years ended December 31, 2023 2022 2021 Cash flows provided by operating activities $ 458,841 $ 396,825 $ 382,483 Cash flows provided by (used in) investing activities 1,444,077 (3,253,535) (5,627,461) Cash flows (used in) provided by financing activities (1,847,943) 2,607,224 5,508,224 Net increase (decrease) in cash and cash equivalents $ 54,975 $ (249,486) $ 263,246 We experienced a net increase in cash and cash equivalents of $55.0 million for the year ended December 31, 2023, compared to a net decrease of $249.5 million for the year ended December 31, 2022. During the year ended December 31, 2023, we received $3.8 billion from loan principal collections and sales proceeds, of which $2.8 billion is reflected in our consolidated statement of cash flows prepared in accordance with GAAP, excluding (i) $795.8 million of additional repayments or reduction of loan exposure under related non-consolidated senior interests, (ii) $152.4 million of loan portfolio payments held by servicer, and (iii) $100.7 million of sales of junior loan interests which did not qualify for sale accounting under GAAP. Also, during the year ended December 31, 2023, we (i) funded $1.3 billion of loans, (ii) repaid a net $1.1 billion of secured debt borrowings, (iii) paid $426.9 million of dividends on our class A common stock, (iv) repaid $220.0 million of convertible notes, and (v) repaid $166.0 million of securitized debt obligations. We experienced a net decrease in cash and cash equivalents of $249.5 million for the year ended December 31, 2022, compared to a net increase of $263.2 million for the year ended December 31, 2021. During the year ended December 31, 2022, we (i) funded $6.8 billion of loans, (ii) repaid $402.5 million of convertible notes, and (iii) paid $421.4 million of dividends on our class A common stock. During the year ended December 31, 2022, we received (i) $3.3 billion from loan principal collections and sales proceeds, (ii) $1.7 billion of net proceeds from secured debt borrowings, (iii) $807.8 million of net proceeds from secured Term Loan borrowings, (iv) $562.0 million of net proceeds from asset-specific debt, (v) $330.3 million of net cash settlements on our foreign currency forward contracts, (vi) $294.0 million of net proceeds from the issuance of convertible notes, (vii) $245.3 million from the sale of a senior loan participation, and (viii) $70.7 million of net proceeds from the issuance of shares of class A common stock. Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Notes 5, 7, 8, 9, 11, and 13 to our consolidated financial statements for additional discussion of our secured debt, asset-specific debt, loan participations sold, Term Loans, convertible notes, and equity, respectively. 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 December 31, 2023 and 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. 84 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. The preparation of these financial statements requires our Manager to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenue and expenses, and related disclosure of contingent assets and liabilities. Actual results could differ from these estimates. During 2023, our Manager reviewed and evaluated our critical accounting policies and believes them to be appropriate. The following is a summary of our significant accounting policies that we believe are the most affected by our Manager’s judgments, estimates, and assumptions: 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 reserves primarily using the Weighted-Average Remaining Maturity, or WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board Staff Q&A Topic 326, No. 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 November 30, 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 repayments. 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 reserves. 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 CECL reserves. We perform a quarterly risk review of our portfolio of loans and assign 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 reserves are 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, expectations of inflation and/or recession, 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 December 31, 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 reserves by applying the practical expedient for collateral dependent loans. The CECL reserves are assessed on an individual basis for these loans by comparing the 85 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 in our consolidated financial statements prepared in accordance with GAAP if and when such amounts are deemed non-recoverable. 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 reserves may change over time and from period to period. During the year ended December 31, 2023, we recorded an aggregate $249.8 million increase in the CECL reserve related to our loans receivable and unfunded loan commitments, bringing our total reserve to $592.3 million as of December 31, 2023. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserves. Revenue Recognition Interest income from our loans receivable portfolio is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis. Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan as an adjustment to yield. Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in our opinion, recovery of income and principal becomes doubtful. Interest received is then recorded as income or as a reduction in the amortized cost basis, based on the specific facts and circumstances, until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. In addition, for loans we originate, the related origination expenses are deferred and recognized as a reduction to interest income, however expenses related to loans we acquire are included in general and administrative expenses as incurred. 86 VI. Loan Portfolio Details The following table provides details of our loan portfolio, on a loan-by-loan basis, as of December 31, 2023 ($ 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 $ 1,156 $ 1,155 +4.29 % +4.60 % 6/9/2025 New York Office $408 / sqft 48 % 2 2 Senior Loan 8/14/2019 1,086 1,000 996 +3.03 % +3.78 % 12/23/2024 Dublin - IE Mixed-Use $332 / sqft 74 % 3 3 Senior Loan 6/24/2022 901 901 895 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $410 / sqft 59 % 3 4 Senior Loan 3/22/2018 612 612 611 +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 3/30/2021 477 477 474 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $91 / sqft 76 % 2 7 Senior Loan 7/23/2021 480 462 459 +3.60 % +4.04 % 8/9/2027 New York Multi $619,756 / unit 58 % 2 8 Senior Loan (4) 11/22/2019 470 385 77 +3.78 % +4.13 % 12/9/2025 Los Angeles Office $705 / sqft 69 % 4 9 Senior Loan 12/9/2021 385 368 367 +2.76 % +3.00 % 12/9/2026 New York Mixed-Use $127 / sqft 50 % 2 10 Senior Loan 9/23/2019 386 361 361 +3.00 % +3.27 % 8/16/2024 Diversified - Spain Hospitality $128,685 / key 62 % 3 11 Senior Loan 4/11/2018 345 338 338 +2.25 % +2.28 % 5/1/2025 New York Office $429 / sqft 71 % 4 12 Senior Loan 10/25/2021 307 307 306 +4.00 % +4.32 % 10/25/2024 Diversified - AU Hospitality $151,079 / key 56 % 2 13 Senior Loan 7/15/2021 316 304 301 +4.25 % +4.75 % 7/16/2026 Diversified - EUR Hospitality $232,169 / key 53 % 3 14 Senior Loan 5/6/2022 303 303 301 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $96 / sqft 53 % 2 15 Senior Loan 2/27/2020 303 302 302 +2.70 % +2.94 % 3/9/2025 New York Multi $795,074 / unit 59 % 3 16 Senior Loan 3/25/2022 296 296 295 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $130,510 / key 65 % 2 17 Senior Loan 12/11/2018 356 294 296 +1.75 % +1.76 % 12/9/2026 Chicago Office $249 / sqft 78 % 4 18 Senior Loan 9/29/2021 312 294 293 +2.81 % +3.03 % 10/9/2026 Washington, DC Office $383 / sqft 66 % 2 19 Senior Loan 11/30/2018 286 286 270 7.90 % 7.90 % 8/9/2025 New York Hospitality $306,870 / key 73 % 5 20 Senior Loan 10/23/2018 290 284 283 +2.86 % +3.01 % 11/9/2024 Atlanta Mixed-Use $265 / sqft 64 % 2 21 Senior Loan 9/30/2021 280 276 276 +2.61 % +2.88 % 9/30/2026 Dallas Multi $145,940 / unit 74 % 3 22 Senior Loan 1/11/2019 265 265 265 +5.04 % +5.06 % 6/14/2028 Diversified - UK Other $262 / sqft 74 % 3 23 Senior Loan 6/8/2022 272 264 262 +3.65 % +4.00 % 6/9/2027 New York Office $1,475 / sqft 75 % 3 24 Senior Loan 11/30/2018 260 260 260 +4.80 % +4.80 % 12/9/2024 San Francisco Hospitality $378,454 / key 73 % 5 25 Senior Loan 9/14/2021 259 255 255 +2.61 % +2.87 % 9/14/2026 Dallas Multi $206,610 / unit 72 % 3 26 Senior Loan 2/23/2022 245 232 231 +2.60 % +2.84 % 3/9/2027 Reno Multi $215,210 / unit 74 % 3 27 Senior Loan (7) 9/16/2021 229 229 229 +1.63 % +1.63 % 11/9/2025 San Francisco Office $277 / sqft 53 % 4 28 Senior Loan 6/28/2022 675 223 216 +4.60 % +5.07 % 7/9/2029 Austin Mixed-Use $185 / sqft 53 % 3 29 Senior Loan 7/16/2021 233 221 219 +3.25 % +3.51 % 2/15/2027 London - UK Multi $227,951 / unit 69 % 2 30 Senior Loan (4) 11/10/2021 362 218 43 +4.11 % +4.93 % 12/9/2026 San Francisco Life Sciences $414 / sqft 66 % 3 continued… 87 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 12/22/2016 $ 252 $ 212 $ 206 +10.50 % +10.50 % 6/9/2028 New York Office $299 / sqft 64 % 5 32 Senior Loan 6/27/2019 212 211 210 +2.80 % +2.94 % 8/15/2026 Berlin - DEU Office $442 / sqft 62 % 3 33 Senior Loan 4/23/2021 219 209 203 +3.65 % +3.65 % 5/9/2024 Washington, DC Office $234 / sqft 57 % 5 34 Senior Loan 6/28/2019 208 208 208 +3.82 % +4.08 % 6/26/2024 London - UK Office $502 / sqft 71 % 3 35 Senior Loan 8/31/2017 203 203 188 +2.62 % +2.62 % 1/9/2024 Orange County Office $236 / sqft 64 % 5 36 Senior Loan 9/30/2021 256 203 202 +3.11 % +3.50 % 10/9/2028 Chicago Office $224 / sqft 74 % 4 37 Senior Loan 7/29/2022 255 196 193 +4.60 % +5.92 % 7/27/2027 London - UK Industrial $259 / sqft 52 % 3 38 Senior Loan 9/25/2019 187 187 187 +4.47 % +4.84 % 9/26/2024 London - UK Office $873 / sqft 72 % 3 39 Senior Loan 11/23/2018 186 186 186 +2.68 % +2.92 % 2/15/2024 Diversified - UK Office $1,151 / sqft 50 % 3 40 Senior Loan 12/21/2021 192 186 185 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $377 / sqft 67 % 3 41 Senior Loan (8) 7/23/2021 244 184 183 -1.30 % -0.92 % 8/9/2028 New York Office $596 / sqft 53 % 4 42 Senior Loan 2/15/2022 191 180 179 +2.90 % +3.14 % 3/9/2027 Denver Office $358 / sqft 61 % 4 43 Senior Loan 1/27/2022 178 177 176 +3.10 % +3.40 % 2/9/2027 Dallas Multi $115,406 / unit 71 % 3 44 Senior Loan 5/13/2021 199 176 175 +3.66 % +4.11 % 6/9/2026 Boston Life Sciences $890 / sqft 64 % 3 45 Senior Loan 3/9/2022 172 172 171 +2.95 % +3.17 % 8/15/2027 Diversified - UK Retail $146 / sqft 55 % 2 46 Senior Loan 12/17/2021 168 165 165 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,601 / unit 48 % 1 47 Senior Loan 10/7/2021 165 161 160 +3.25 % +3.49 % 10/9/2025 Los Angeles Office $327 / sqft 68 % 4 48 Senior Loan 3/7/2022 156 156 156 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 3 49 Senior Loan (4) 3/17/2022 225 156 205 +2.52 % +4.38 % 6/30/2025 London - UK Office $700 / sqft 50 % 3 50 Senior Loan 1/17/2020 203 154 154 +2.86 % +3.00 % 2/9/2025 New York Mixed-Use $128 / sqft 43 % 3 51 Senior Loan 5/27/2021 184 154 153 +2.31 % +2.63 % 6/9/2026 Atlanta Office $129 / sqft 66 % 3 52 Senior Loan 6/4/2018 153 153 153 +3.50 % +3.74 % 6/9/2025 New York Hospitality $251,647 / key 52 % 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 12/23/2021 329 150 145 +4.25 % +5.22 % 6/24/2028 London - UK Multi $165,256 / unit 59 % 3 55 Senior Loan 9/30/2021 189 148 146 +4.00 % +4.51 % 9/30/2026 Diversified - Spain Hospitality $127,539 / key 60 % 3 56 Senior Loan 2/20/2019 172 146 146 +4.07 % +4.53 % 2/19/2024 London - UK Office $587 / sqft 61 % 3 57 Senior Loan (4) 9/30/2021 145 145 195 +2.96 % +3.38 % 10/9/2026 Boca Raton Multi $396,175 / unit 58 % 3 58 Senior Loan 11/18/2021 144 144 144 +3.25 % +3.51 % 11/18/2026 London - UK Other $181 / sqft 65 % 2 59 Senior Loan 12/20/2019 143 143 143 +3.22 % +3.44 % 12/18/2026 London - UK Office $729 / sqft 75 % 3 60 Senior Loan 3/10/2020 140 140 140 +3.10 % +3.10 % 10/11/2024 New York Mixed-Use $854 / sqft 53 % 5 continued… 88 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 2/25/2022 $ 139 $ 139 $ 138 +4.05 % +4.43 % 2/25/2027 Copenhagen - DK Industrial $79 / sqft 69 % 2 62 Senior Loan 1/26/2022 338 137 134 +4.10 % +4.70 % 2/9/2027 Seattle Office $286 / sqft 56 % 3 63 Senior Loan 8/24/2021 156 133 133 +2.71 % +3.03 % 9/9/2026 San Jose Office $317 / sqft 65 % 3 64 Senior Loan (4) 3/29/2022 224 132 26 +4.50 % +5.67 % 4/9/2027 Miami Multi $224,248 / unit 72 % 3 65 Senior Loan 9/14/2021 132 129 129 +2.81 % +3.07 % 10/9/2026 San Bernardino Multi $260,871 / unit 75 % 3 66 Senior Loan 6/30/2022 129 129 129 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $251,317 / key 60 % 2 67 Senior Loan 12/15/2021 150 127 126 +2.96 % +4.12 % 12/9/2026 Dublin - IE Multi $319,129 / unit 79 % 3 68 Senior Loan 5/20/2021 150 126 123 +3.76 % +3.76 % 6/9/2026 San Jose Office $322 / sqft 65 % 5 69 Senior Loan 3/29/2021 130 125 125 +4.02 % +4.61 % 3/29/2026 Diversified - UK Multi $54,881 / unit 61 % 3 70 Senior Loan 4/6/2021 123 122 122 +3.31 % +3.60 % 4/9/2026 Los Angeles Office $508 / sqft 65 % 3 71 Senior Loan 6/1/2021 120 120 120 +2.96 % +3.17 % 6/9/2026 Miami Multi $298,507 / unit 61 % 2 72 Senior Loan 3/28/2022 130 119 118 +2.55 % +2.85 % 4/9/2027 Miami Office $322 / sqft 69 % 3 73 Senior Loan 4/29/2022 118 118 118 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,240,799 / key 66 % 3 74 Senior Loan 8/27/2021 122 118 118 +3.11 % +3.41 % 9/9/2026 San Diego Retail $447 / sqft 58 % 3 75 Senior Loan 6/28/2019 125 117 117 +2.87 % +3.13 % 2/1/2024 Los Angeles Studio $591 / sqft 48 % 3 76 Senior Loan 12/21/2021 120 117 117 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $401 / sqft 68 % 3 77 Senior Loan 7/15/2019 138 117 116 +3.01 % +3.43 % 8/9/2024 Houston Office $211 / sqft 58 % 4 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 12/10/2021 135 111 110 +3.11 % +3.42 % 1/9/2027 Miami Office $370 / sqft 49 % 3 80 Senior Loan 3/13/2018 123 108 108 +3.11 % +3.34 % 4/9/2027 Honolulu Hospitality $167,735 / key 50 % 3 81 Senior Loan 12/29/2021 110 106 105 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $181,512 / unit 64 % 3 82 Senior Loan 2/15/2022 106 105 104 +2.85 % +3.19 % 3/9/2027 Tampa Multi $239,655 / unit 73 % 2 83 Senior Loan 3/29/2022 103 102 102 +2.70 % +2.96 % 4/9/2027 Miami Multi $284,656 / unit 75 % 3 84 Senior Loan 11/27/2019 104 102 101 +2.86 % +3.12 % 12/9/2024 Minneapolis Office $102 / sqft 64 % 3 85 Senior Loan 1/30/2020 104 101 101 +2.96 % +3.11 % 2/9/2026 Honolulu Hospitality $274,466 / key 63 % 3 86 Senior Loan 10/1/2021 101 100 100 +2.86 % +3.13 % 10/1/2026 Phoenix Multi $231,021 / unit 77 % 3 87 Senior Loan 4/3/2018 100 99 99 +2.86 % +3.03 % 4/9/2024 Dallas Retail $601 / sqft 64 % 3 88 Senior Loan 6/18/2021 99 99 98 +2.71 % +2.95 % 7/9/2026 New York Industrial $51 / sqft 55 % 1 89 Senior Loan 6/14/2021 100 96 92 +3.81 % +3.81 % 7/9/2024 Miami Office $203 / sqft 65 % 5 90 Senior Loan 10/28/2021 96 96 95 +3.00 % +3.35 % 11/9/2026 Philadelphia Multi $352,399 / unit 79 % 3 continued… 89 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 12/21/2018 $ 98 $ 94 $ 92 +2.71 % +2.71 % 1/9/2024 Chicago Office $182 / sqft 72 % 5 92 Senior Loan 3/25/2020 94 94 93 +2.40 % +2.67 % 3/31/2025 Diversified - NL Multi $114,143 / unit 65 % 2 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 4/1/2021 102 93 90 +7.41 % +7.41 % 4/9/2026 San Jose Office $621 / sqft 67 % 5 95 Senior Loan 3/3/2022 92 92 92 +3.45 % +3.76 % 3/9/2027 Boston Hospitality $418,182 / key 64 % 2 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 % 4 98 Senior Loan 12/15/2021 89 89 88 +4.00 % +4.29 % 12/15/2026 Melbourne - AU Multi $64,829 / unit 38 % 2 99 Senior Loan 10/16/2018 88 88 88 +3.36 % +3.36 % 11/9/2024 San Francisco Hospitality $191,807 / key 72 % 5 100 Senior Loan 6/25/2021 85 85 86 +2.86 % +3.31 % 7/1/2026 St. Louis Multi $80,339 / unit 70 % 3 101 Senior Loan 6/27/2019 88 85 85 +2.75 % +2.99 % 7/9/2024 West Palm Beach Office $294 / sqft 70 % 2 102 Senior Loan 6/14/2022 106 85 84 +2.95 % +3.30 % 7/9/2027 San Francisco Mixed-Use $175 / sqft 76 % 3 103 Senior Loan 3/9/2022 92 84 84 +2.90 % +3.43 % 3/9/2025 Boston Office $222 / sqft 68 % 4 104 Senior Loan 3/31/2017 84 84 84 +9.41 % +9.41 % 4/9/2024 New York Office $403 / sqft 64 % 5 105 Senior Loan 7/29/2021 82 82 81 +2.76 % +3.08 % 8/9/2026 Charlotte Multi $222,786 / unit 78 % 3 106 Senior Loan 8/27/2021 79 78 78 +4.10 % +4.35 % 9/9/2026 Diversified - US Hospitality $116,059 / key 67 % 3 107 Senior Loan 11/23/2021 92 77 77 +2.85 % +3.17 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3 108 Senior Loan (4) 12/30/2021 228 73 14 +4.00 % +5.07 % 1/9/2028 Los Angeles Multi $209,770 / unit 50 % 3 109 Senior Loan 12/21/2021 74 72 72 +2.70 % +3.06 % 1/9/2027 Tampa Multi $212,382 / unit 77 % 2 110 Senior Loan 8/14/2019 70 70 70 +2.56 % +2.80 % 9/9/2024 Los Angeles Office $684 / sqft 57 % 3 111 Senior Loan 8/17/2022 78 70 70 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $109 / sqft 72 % 3 112 Senior Loan 10/28/2021 69 69 69 +2.66 % +2.86 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3 113 Senior Loan 8/16/2022 68 67 66 +4.75 % +5.19 % 8/16/2027 London - UK Hospitality $494,061 / key 64 % 3 114 Senior Loan 3/24/2022 65 65 65 +3.50 % +3.59 % 4/1/2027 Fairfield Multi $406,250 / unit 70 % 3 115 Senior Loan 7/30/2021 67 65 65 +2.61 % +2.87 % 8/9/2026 Los Angeles Multi $169,297 / unit 70 % 2 116 Senior Loan 3/31/2022 70 65 64 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $141,534 / unit 71 % 3 117 Senior Loan 12/17/2021 66 65 65 +4.35 % +4.42 % 1/9/2026 Diversified - US Other $4,886 / unit 37 % 1 118 Senior Loan 3/31/2021 62 62 62 +4.14 % +4.45 % 4/1/2024 Boston Multi $316,327 / unit 75 % 3 119 Senior Loan 7/30/2021 62 62 62 +2.86 % +3.06 % 8/9/2026 Salt Lake City Multi $224,185 / unit 73 % 3 120 Senior Loan 4/15/2021 66 61 61 +3.06 % +3.34 % 5/9/2026 Austin Office $296 / sqft 73 % 4 continued… 90 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 6/30/2021 $ 65 $ 61 $ 61 +2.95 % +3.23 % 7/9/2026 Nashville Office $250 / sqft 71 % 3 122 Senior Loan (4) 3/23/2020 59 59 12 +3.82 % +4.60 % 4/9/2025 Nashville Office $90 / sqft 60 % 1 123 Senior Loan 12/17/2021 58 58 58 +2.65 % +2.85 % 1/9/2027 Phoenix Multi $209,601 / unit 69 % 3 124 Senior Loan 7/16/2021 58 58 58 +2.75 % +3.03 % 8/1/2025 Orlando Multi $195,750 / unit 74 % 2 125 Senior Loan 12/10/2020 61 56 56 +3.30 % +3.56 % 1/9/2026 Fort Lauderdale Office $195 / sqft 68 % 3 126 Senior Loan 11/11/2021 55 55 56 +6.07 % +6.81 % 8/12/2026 London - UK Hospitality $197,559 / key 40 % 3 127 Senior Loan 1/21/2022 68 55 55 +3.70 % +4.09 % 2/9/2027 Denver Office $327 / sqft 65 % 4 128 Senior Loan 12/22/2021 55 55 54 +2.82 % +2.96 % 1/1/2027 Los Angeles Multi $272,500 / unit 68 % 3 129 Senior Loan 8/22/2019 54 54 54 +2.66 % +2.89 % 9/9/2024 Los Angeles Office $310 / sqft 63 % 3 130 Senior Loan 12/14/2018 54 54 54 +3.01 % +3.27 % 1/9/2025 Diversified - US Industrial $40 / sqft 57 % 1 131 Senior Loan 8/5/2021 57 53 53 +2.96 % +3.24 % 8/9/2026 Denver Office $202 / sqft 70 % 3 132 Senior Loan 12/9/2021 51 51 51 +2.75 % +2.89 % 1/1/2027 Portland Multi $241,825 / unit 65 % 3 133 Senior Loan 2/17/2021 53 51 51 +3.66 % +3.86 % 3/9/2026 Miami Multi $290,985 / unit 64 % 2 134 Senior Loan 2/1/2022 80 51 50 +4.50 % +6.37 % 2/1/2027 Diversified - UK Life Sciences $391 / sqft 45 % 3 135 Senior Loan 7/28/2021 53 50 50 +2.75 % +3.07 % 8/9/2026 Los Angeles Multi $285,420 / unit 71 % 3 136 Senior Loan 9/23/2021 49 49 49 +2.75 % +2.86 % 10/1/2026 Portland Multi $232,938 / unit 65 % 3 137 Senior Loan 7/20/2021 48 48 48 +2.86 % +3.21 % 8/9/2026 Los Angeles Multi $366,412 / unit 60 % 3 138 Senior Loan 10/21/2022 48 48 48 +4.14 % +4.51 % 10/18/2027 Diversified - DEU Industrial $68 / sqft 74 % 3 139 Senior Loan 4/7/2022 57 48 47 +3.25 % +3.54 % 4/9/2027 Denver Office $140 / sqft 59 % 3 140 Senior Loan 12/29/2021 47 47 46 +2.85 % +2.96 % 1/1/2027 Dallas Multi $155,000 / unit 73 % 3 141 Senior Loan 11/30/2016 55 46 46 +3.33 % +3.40 % 12/9/2025 Chicago Retail $804 / sqft 54 % 4 142 Senior Loan 7/30/2021 45 45 45 +2.75 % +2.86 % 8/1/2026 Portland Multi $62,378 / unit 64 % 3 143 Senior Loan 12/8/2021 48 43 43 +2.75 % +2.96 % 12/9/2026 Columbus Multi $140,343 / unit 69 % 3 144 Senior Loan 7/29/2021 42 42 42 +2.86 % +3.06 % 8/9/2026 Las Vegas Multi $167,113 / unit 72 % 2 145 Senior Loan 3/11/2014 41 41 41 1.50 % 1.50 % 11/9/2028 New York Multi $464,425 / unit 65 % 5 146 Senior Loan 11/3/2021 41 41 41 +2.71 % +3.05 % 11/9/2026 Washington, DC Multi $137,788 / unit 68 % 2 147 Senior Loan 12/23/2021 42 41 41 +3.30 % +3.45 % 1/1/2027 Dallas Multi $110,522 / unit 65 % 3 148 Senior Loan 10/1/2019 38 38 38 +3.80 % +4.05 % 10/9/2025 Atlanta Hospitality $216,005 / key 74 % 3 149 Senior Loan 3/31/2022 42 37 37 +2.80 % +3.15 % 4/9/2027 Las Vegas Multi $148,187 / unit 72 % 3 150 Senior Loan 12/23/2021 36 36 36 +1.71 % +2.61 % 11/15/2025 New York Multi $176,496 / unit 68 % 2 continued… 91 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 - 178 Senior Loan Various 829 799 797 +3.11 % +3.57 % 1.9 yrs Various Various Various 62 % 2.2 CECL reserve (577) Loans receivable, net $ 27,783 $ 24,971 $ 23,210 +3.31 % +3.66 % 2.4 yrs 64 % 3.0 (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 December 31, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $23.9 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) $100.9 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 December 31, 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 we entered into that effectively converts the loan to a floating rate exposure. (8) This loan has an interest rate of SOFR minus 1.30% with a SOFR floor of 3.50%, for an all-in rate of 4.05% as of December 31, 2023. 92