What changed in this filing

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Item 2. Management’s Discussion and Analysis

2024-07-24 compared with 2024-04-24 · 217 added, 196 removed, 702 unchanged (37% of the section changed)

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Recent Developments

Macroeconomic Environment

The three months ended March 31, 2024 have shown a mix of positive and challenging developments leading to continued volatility in global markets.

Investor concerns over inflation, interest rates, slowing economic growth, political and regulatory uncertainty and geopolitical conditions have persisted.

If inflation and other economic indicators do not meet central banks’ relevant expectations, interest rates could remain higher for longer than expected by market participants and observers, which could create further uncertainty for the economy and our borrowers.

Agency Multifamily Lending Partnership

In the second quarter of 2024, we entered an agreement with M&T Realty Capital Corporation, or MTRCC, a subsidiary of M&T Bank, that will allow our borrowers to access multifamily agency financing through MTRCC’s Fannie Mae DUS and Freddie Mac Optigo lending platforms.

We will receive a portion of origination, servicing, and other fees paid under the programs for loans that we refer to MTRCC for origination.

Similarly, we will share in losses with MTRCC and Fannie Mae on loans that we refer to MTRCC for origination under the Fannie Mae program.

There were no loans originated under the MTRCC agreement during the three months ended June 30, 2024.

Share Repurchase Program

In July 2024, our board of directors authorized the repurchase of up to $150.0 million of our class A common stock.

Under the repurchase program, repurchases may be made from time to time in open market transactions, in privately negotiated transactions or otherwise.

The timing and the actual amounts repurchased will depend on a variety of factors, including

legal requirements, price and economic and market conditions.

The repurchase program may be changed, suspended or discontinued at any time and does not have a specified expiration date.

Third Quarter Dividend

In July 2024, we declared a dividend of $0.47 per share of common stock for the third quarter of 2024, which is payable on October 15, 2024 to stockholders of record as of September 30, 2024.

Key Financial Measures and Indicators

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

For the three months ended March 31, 2024, we recorded a basic net loss per share of $0.71, declared a dividend of $0.62 per share, and reported $0.33 per share of

Distributable Earnings.

In addition, our book value as of March 31, 2024 was $23.83 per share, which is net of cumulative CECL reserves of $4.40 per share.

For the three months ended June 30, 2024, we recorded a basic net loss per share of $0.35, declared a dividend of $0.62 per share, and reported $0.49 per share of Distributable Earnings.

In addition, our book value as of June 30, 2024 was $22.90 per share, which is net of cumulative CECL reserves of $5.21 per share.

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.

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Three Months Ended

March 31, 2024 December 31, 2023

June 30, 2024 March 31, 2024

$ (61,057) $ (123,838)

Weighted-average shares outstanding, basic 173,967,340 174,041,630

Per share amount, basic $ (0.71) $ (0.01)

Net loss per share, basic $ (0.35) $ (0.71)

Dividends declared per share $ 0.62 $ 0.62

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

Refer to Note 14 to our consolidated financial statements for the calculation of diluted net income per share.

Refer to Note 14 to our consolidated financial statements for the calculation of diluted net loss per share.

Distributable Earnings

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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.

Furthermore, we believe it is useful to present Distributable Earnings prior to charge-offs of CECL reserves to reflect our direct operating results and help existing and potential future holders of our class A common stock assess the performance

of our business excluding such charge-offs.

We utilize Distributable Earnings prior to charge-offs of CECL reserves as an additional performance metric to consider when declaring our dividends.

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Three Months Ended

March 31, 2024 December 31, 2023

June 30, 2024 March 31, 2024

$ (61,057) $ (123,838)

Charge-offs of CECL reserves (2)

(12,537) (61,013)

Increase in CECL reserves 152,408 234,868

Non-cash compensation expense 7,962 8,112

Realized hedging and foreign currency gain (loss), net (3)

Realized hedging and foreign currency (loss) gain, net (3)

Adjustments attributable to non-controlling interests, net 134 (35)

Depreciation on real estate owned 185 —

Other items — (7)

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Charge-offs of CECL reserves (2)

12,537 61,013

Incentive fee related to charge-offs of CECL reserves (4)

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

(2) Represents realized losses related to loan principal amounts deemed non-recoverable during the three months ended March 31, 2024.

(2) Represents realized losses related to loan principal amounts deemed non-recoverable during the three months ended June 30, 2024 and March 31, 2024, respectively.

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

These amounts were not included in GAAP net loss, but rather as a component of other comprehensive income in our consolidated financial statements.

(4) Reflects the $6.3 million incentive fee expense that would have been incurred if such charge-offs had not occurred.

(4) Reflects the $6.3 million of incentive fee expenses that would have been incurred if such charge-offs had not occurred during the three months ended March 31, 2024.

(5) The weighted-average shares outstanding, basic, exclude shares issuable from a potential conversion of our Convertible Notes then outstanding.

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

March 31, 2024 December 31, 2023

June 30, 2024 March 31, 2024

Stockholders’ equity $ 3,984,504 $ 4,144,753

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Loan Portfolio

Loan fundings during the quarter totaled $353.2 million and loan repayments and sales totaled $1.0 billion.

We generated interest income of $486.1 million and incurred interest expense of $343.7 million during the quarter, which resulted in $142.4 million of net interest income during the three months ended March 31, 2024.

During the three months June 30, 2024, we originated $103.2 million of loans.

Loan fundings during the quarter totaled $375.8 million and loan repayments and sales totaled $700.6 million.

We generated interest income of $466.2 million and incurred interest expense of $339.4 million during the quarter, which resulted in $126.8 million of net interest income during the three months ended June 30, 2024.

Portfolio Overview

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

Three Months Ended

March 31, 2024 December 31, 2023

Three Months Ended June 30, 2024 Six Months Ended June 30, 2024

Loan originations (1)

$ 103,184 $ 103,184

Loan fundings (2)

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

(2) Loan fundings during the three months ended March 31, 2024 and December 31, 2023, include $49.1 million and $36.1 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three months ended March 31, 2024 and December 31, 2023 include $454.8 million and $795.8 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests.

Additionally, loan repayments and sales during the three months ended December 31, 2023 include $50.0 million of sales of junior loan interests.

There were no sales of junior loan interests during the three months ended March 31, 2024.

The following table details overall statistics for our loan portfolio as of March 31, 2024 ($ in thousands):

(2) Loan fundings during the three and six months ended June 30, 2024, include $44.6 million and $89.3 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three and six months ended June 30, 2024, include $57.3 million and $512.1 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests.

The following table details overall statistics for our loan portfolio as of June 30, 2024 ($ in thousands):

Balance Sheet

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

As of March 31, 2024, total loan exposure, includes (i) loans with an outstanding principal balance of $23.3 billion that are included in our consolidated financial statements, (ii) $742.6 million of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements, and excludes (iii) $100.5 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements.

We have retained an aggregate $185.3 million of subordinate mezzanine loans, as of March 31, 2024, related to non-consolidated senior interests that are included in our balance sheet portfolio.

As of June 30, 2024, total loan exposure, includes (i) loans with an outstanding principal balance of $23.0 billion that are included in our consolidated financial statements, (ii) $725.4 million of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements, and excludes (iii) $100.6 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements.

We have retained an aggregate $187.1 million of subordinate mezzanine loans, as of June 30, 2024, related to non-consolidated senior interests that are included in our balance sheet portfolio.

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

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

As of March 31, 2024, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR.

As of June 30, 2024, all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR.

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.

Excludes loans accounted for under the cost-recovery and nonaccrual methods, if any.

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

As of March 31, 2024, 13% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 87% were open to repayment by the borrower without penalty.

As of June 30, 2024, 12% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 88% 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 loans that are impaired and any junior participations sold.

The following table details the index rate floors for our loan portfolio based on total loan exposure as of March 31, 2024 ($ in thousands):

The following table details the index rate floors for our loan portfolio based on total loan exposure as of June 30, 2024 ($ in thousands):

Total Loan Exposure (1)

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

See Note 2 to our consolidated financial statements for further discussion of loan participations sold.

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(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) Includes all floating rate impaired loans.

(5) As of March 31, 2024, the weighted-average index rate floor of our total loan exposure was 0.76%.

(4) Includes all impaired loans.

(5) As of June 30, 2024, the weighted-average index rate floor of our total loan exposure was 0.80%.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 1.35%.

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Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 1.02%.

The following table details the floating benchmark rates for our loan portfolio based on total loan exposure as of March 31, 2024 (total loan exposure amounts in thousands):

The following table details the floating benchmark rates for our loan portfolio based on total loan exposure as of June 30, 2024 (total loan exposure amounts in thousands):

Currency Total Loan Exposure (1)

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

See Note 2 to our consolidated financial statements for further discussion of loan participations sold.

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(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.

Excludes loans accounted for under the cost-recovery and nonaccrual methods, if any.

(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.

The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of March 31, 2024:

The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of June 30, 2024:

Geographic Diversification

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______________

(1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of March 31, 2024, which is our total loan exposure net of (i) $742.6 million of non-consolidated senior interests, (ii) $1.1 billion of asset-specific debt, (iii) $234.8 million of senior loan participations sold, (iv) $57.9 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $751.4 million.

(1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of June 30, 2024, which is our total loan exposure net of (i) $725.4 million of non-consolidated senior interests, (ii) $1.1 billion of asset-specific debt, (iii) $76.3 million of cost-recovery proceeds, and (iv) our total loans receivable CECL reserve of $893.9 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.

Geographic locations that represent less than 1% of net loan exposure are excluded from the chart above.

(2) Assets with multiple components are proportioned into the relevant collateral types based on the allocated value of each collateral type.

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Portfolio Management

As of March 31, 2024, 99.0% of borrowers, based on net loan exposure, were compliant with the contractual terms of each respective loan.

As of June 30, 2024, 90% of our loans were performing with risk ratings of “1” through “4,” and the remaining 10% were impaired with a risk rating of “5.” Of the performing loans, 99.8%, based on net loan exposure, were in compliance 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 March 31, 2024, one of our impaired loans with an amortized cost basis of $138.8 million was past its current maturity date.

This loan was also more than 90 days past due on its interest payment and had a risk rating of “5.” Additionally, as of March 31, 2024, one other impaired loan with an amortized cost basis of $223.4 million was less than 30 days past due on its interest payment and had a risk rating of “5.”

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 is 63.4%,

excluding any loans that are impaired and any junior participations sold, as of March 31, 2024.

Our loan portfolio’s low weighted-average origination LTV is 62.9%, excluding any loans that are impaired and any junior participations sold, as of June 30, 2024.

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 March 31, 2024, we had an aggregate $602.6 million asset-specific CECL reserve related to 17 of our loans receivable, with an aggregate amortized cost basis of $2.4 billion, net of cost-recovery proceeds.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of March 31, 2024.

As of June 30, 2024, we had an aggregate $759.4 million asset-

specific CECL reserve related to 19 of our loans receivable, with an aggregate amortized cost basis of $2.9 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 June 30, 2024.

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

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

Our loan portfolio had a weighted-average risk rating of 3.0 as of both March 31, 2024 and December 31, 2023, respectively.

Our loan portfolio had a weighted-average risk rating of 3.0 as of both June 30, 2024 and December 31, 2023.

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

March 31, 2024

June 30, 2024

Risk Rating Number

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

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 March 31, 2024, which is our total loan exposure net of (i) $742.6 million of non-consolidated senior interests, (ii) $1.1 billion of asset-specific debt, (iii) $234.8 million of senior loan participations sold, (iv) $57.9 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $751.4 million.

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of June 30, 2024, which is our total loan exposure net of (i) $725.4 million of non-consolidated senior interests, (ii) $1.1 billion of asset-specific debt, (iii) $76.3 million of cost-recovery proceeds, and (iv) our total loans receivable CECL reserve of $893.9 million.

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

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

During the three months ended March 31, 2024, we recorded an increase of $235.4 million in the CECL reserves against our loans receivable portfolio, primarily related to seven new impaired loans, offset by charge-offs of our CECL reserves of $61.0 million, bringing our total loans receivable CECL reserve to $751.4 million as of March 31, 2024.

These charge-offs related to three previously impaired loans that were resolved during the three months ended March 31, 2024.

resolutions were the result of (i) a deed-in-lieu of foreclosure related to an office asset in Mountain View, CA, which is now included on our consolidated balance sheet as an REO asset, (ii) the sale of an office asset in Miami, FL to a new borrower, resulting in a repayment of $9.5 million and a reduction to the outstanding principal balance of the loan, and (iii) a repayment of a multifamily asset in New York, NY.

As of March 31, 2024, the income accrual was suspended on the seven additional loans that were impaired as the recovery of income and principal was doubtful.

During the three months ended March 31, 2024, we recorded $16.8 million of interest income on these seven loans.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of March 31, 2024.

During the three months ended June 30, 2024, we recorded an increase of $142.6 million in the CECL reserves against our loans receivable portfolio, primarily related to three new impaired loans, offset by charge-offs of our CECL reserves of $12.5 million, bringing our total loans receivable CECL reserve to $893.9 million as of June 30, 2024.

These charge-offs primarily related to one previously impaired loan that was resolved during the three months ended June 30, 2024.

The resolution was the result of the repayment of a loan collateralized by an office asset in New York, NY.

As of June 30, 2024, the income accrual was suspended on the three additional loans that were impaired as the recovery of income and

principal was doubtful.

During the three months ended June 30, 2024, we recorded $11.1 million of interest income on these three loans.

As of June 30, 2024, we had an aggregate $759.4 million asset-specific CECL reserve related to 19 of our loans receivable, with an aggregate amortized cost basis of $2.9 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 June 30, 2024.

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

During the three months ended March 31, 2024, we received an aggregate $16.8 million of cash proceeds from such loans that were applied as a reduction to the amortized cost basis of each respective loan.

As of March 31, 2024, one of our impaired loans with an amortized cost basis of $138.8 million was past its current maturity date.

This loan was also more than 90 days past due on its interest payment and had a risk rating of “5.”.

Additionally, as of March 31, 2024, one other impaired loan with an amortized cost basis of $223.4 million was less than 30 days past due on its interest payment and had a risk rating of “5.” As of March 31, 2024, all other borrowers were compliant with the contractual terms of each respective loan, including any required payment of interest.

During the three and six months ended June 30, 2024, we received an aggregate $18.5 million and $35.3 million, respectively, of cash proceeds from such loans that were applied as a reduction to the amortized cost basis of each respective loan.

As of June 30, 2024, one of our performing loans with an amortized cost basis of $33.0 million was past its current maturity date, was less than 30 days past due on its interest payment, and had a risk rating of “4.” Subsequent to June 30, 2024, we foreclosed on the assets securing this loan and recognized them as REO.

This loan was not impaired as of June 30, 2024 as the fair value of the underlying collateral exceeded our basis in the loan.

As of June 30, 2024, all other borrowers under performing loans were in compliance with the contractual terms of each respective loan, including any required payment of interest.

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

Multifamily Joint Venture

As of March 31, 2024, our multifamily joint venture held $614.4 million of loans, which are included in the loan disclosures above.

As of June 30, 2024, our multifamily joint venture held $473.2 million of loans, which are included in the loan disclosures above.

Refer to Note 2 to our consolidated financial statements for additional discussion of our multifamily joint venture.

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Outstanding Principal Balance

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

Secured debt $ 12,110,576 $ 12,697,058

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Borrowings Outstanding

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

Secured credit facilities $ 12,110,576 $ 12,697,058

Acquisition facility — —

Total secured debt $ 12,110,576 $ 12,697,058

Secured Credit Facilities

The following table details our secured credit facilities by spread over the applicable base rates as of March 31, 2024 ($ in thousands):

Three Months Ended March 31, 2024 March 31, 2024

The following table details our secured credit facilities by spread over the applicable base rates as of June 30, 2024 ($ in thousands):

Six Months Ended June 30, 2024 June 30, 2024

New Financings (2)

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

(2) Represents the amount of new borrowings we obtained approval for during the three months ended March 31, 2024.

(2) Represents the amount of new borrowings we obtained approval for during the six months ended June 30, 2024.

(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 March 31, 2024 and is not necessarily indicative of the spread applicable to recent or future borrowings.

All-in yield excludes loans accounted for under the cost-recovery and nonaccrual methods, if any.

(4) Represents the weighted-average all-in cost as of June 30, 2024 and is not necessarily indicative of the spread applicable to recent or future borrowings.

(5) Represents the principal balance of the collateral assets and the book value of the REO asset.

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Acquisition Facility

As of March 31, 2024, we had a $100.0 million full recourse secured credit facility that was 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 was variable, dependent on the type of loan collateral.

As of March 31, 2024, we had no assets pledged to our acquisition facility and no outstanding borrowings.

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

of borrowing under the facility was variable, dependent on the type of loan collateral.

This facility matured on April 3, 2024.

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

March 31, 2024

June 30, 2024

Securitized Debt Obligations Count Principal

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Senior CLO Securities Outstanding 1 853,656 853,612 + 1.36 % February 2038

Underlying Collateral Assets 15 1,111,495 1,111,495 + 2.85 % February 2026

Underlying Collateral Assets 15 1,110,530 1,110,530 + 2.86 % March 2026

Senior CLO Securities Outstanding (5)

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(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.

(3) The weighted-average all-in yield and cost are expressed as a spread over SOFR.

All-in yield excludes loans accounted for under the cost-recovery and nonaccrual methods, if any.

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

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

(5) During the three months ended March 31, 2024, we recorded $41.5 million of interest expense related to our securitized debt obligations.

(5) During the three and six months ended June 30, 2024, we recorded $40.2 million and $81.7 million, respectively, of interest expense related to our securitized debt obligations.

Refer to Note 7 and Note 19 to our consolidated financial statements for additional details of our securitized debt obligations.

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

March 31, 2024

June 30, 2024

Asset-Specific Debt Count Principal

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Yield/Cost (2)

Financing provided 2 $ 1,064,484 $ 1,061,380 + 3.16 % April 2026

Collateral assets 2 $ 1,268,225 $ 1,261,171 + 3.90 % April 2026

Financing provided 2 $ 1,125,854 $ 1,120,760 + 3.18 % May 2026

Collateral assets 2 $ 1,342,810 $ 1,333,335 + 4.04 % May 2026

(1) The book value of underlying collateral assets excludes any applicable CECL reserves.

(2) The weighted-average all-in yield and cost are expressed as a spread over SOFR.

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

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Outstanding Principal Balance

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

Term loans $ 2,124,223 $ 2,135,221

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Total corporate financing $ 2,764,141 $ 2,801,311

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 March 31, 2024 ($ in thousands):

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 June 30, 2024 ($ in thousands):

Corporate Financing Face Value Interest Rate (1)

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

The cumulative dividend threshold has not been exceeded as of March 31, 2024.

During the three months ended March 31, 2024, we repurchased an aggregate principal amount of $26.2 million of the Senior Secured Notes at a weighted-average price of 88%.

This resulted in a gain on extinguishment of debt of $3.0 million during the three months ended March 31, 2024.

The cumulative dividend threshold has not been exceeded as of June 30, 2024.

During the six months ended June 30, 2024, we repurchased an aggregate principal amount of $26.2 million of the Senior Secured Notes at a weighted-average price of 88%.

This resulted in a gain on extinguishment of debt of $3.0 million during the six months ended June 30, 2024.

Refer to Note 2, Note 10, Note 11, and Note 12 to our consolidated financial statements for additional discussion of our Term Loans, Senior Secured Notes, and Convertible Notes.

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

As of March 31, 2024, substantially all 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.

As of June 30, 2024, all of our loans by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate loans.

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

The following table details our investment portfolio’s exposure to interest rates by currency as of March 31, 2024 (amounts in thousands):

The following table details our investment portfolio’s exposure to interest rates by currency as of June 30, 2024 (amounts in thousands):

All Other (1)

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$ 11,993,797 £ 2,474,167 € 2,545,497 $ 2,043,886

Floating rate debt (2)(5)(7)

Floating rate portfolio financings (2)(5)(7)

(9,629,433) (1,860,420) (1,851,889) (1,599,058)

Floating rate corporate financings (8)

(2,124,223) — — —

Net floating rate exposure $ 240,141 £ 613,747 € 693,608 $ 444,828

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(4) Excludes $3.0 billion of floating rate impaired loans.

(5) Excludes $742.6 million of non-consolidated senior interests and $335.3 million of loan participations sold, as of March 31, 2024.

(5) Excludes $725.4 million of non-consolidated senior interests and $100.6 million of loan participations sold, as of June 30, 2024.

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.

(7) Includes amounts outstanding under secured debt, securitizations, and asset-specific debt.

(8) Includes amounts outstanding under Term Loans.

(9) Represents the U.S.

dollar equivalent as of March 31, 2024.

dollar equivalent as of June 30, 2024.

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.

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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 guarantees or other structural protections.

As of March 31, 2024, 95% of our performing loans have interest rate caps, with a weighted-average strike price of 3.4%, or interest guarantees.

During the three months ended March 31, 2024, interest rate caps on $4.2 billion of loans, with a 3.3% weighted-average strike price, expired and 95% were replaced with new interest rate caps, with a weighted-average strike price of 4.2%, or interest guarantees.

As of June 30, 2024, 95% of our performing loans have interest rate caps, with a weighted-average strike price of 3.3%, or interest guarantees.

During the six months ended June 30, 2024, interest rate caps on $8.1 billion of performing loans, with a 3.4% weighted-average strike price, expired and 94% were replaced with new interest rate caps, with a weighted-average strike price of 3.5%, or interest guarantees.

Our Results of Operations

Operating Results

The following table sets forth information regarding our consolidated results of operations for the three months ended March 31, 2024 and December 31, 2023 ($ in thousands, except per share data):

The following table sets forth information regarding our consolidated results of operations for the three months ended June 30, 2024 and March 31, 2023 ($ in thousands, except per share data):

Three Months Ended Change

March 31, 2024 December 31, 2023 $

June 30, 2024 March 31, 2024 $

Income from loans and other investments

8 unchanged sentences

Gain on extinguishment of debt — 2,963 (2,963)

Net expense from real estate owned (963) — (963)

Loss before income taxes (58,985) (122,168) 63,183

8 unchanged sentences

Income from loans and other investments, net

Income from loans and other investments, net decreased $11.4 million during the three months ended March 31, 2024 compared to the three months ended December 31, 2023.

The decrease was primarily due to a decline in interest income related to additional loans accounted for under the cost-recovery method during the three months ended March 31, 2024.

This was offset by a decrease in the weighted-average principal balance of our outstanding financing arrangements by $144.4 million for the three months ended March 31, 2024 compared to the three months ended December 31, 2023.

Income from loans and other investments, net decreased $15.6 million during the three months ended June 30, 2024 compared to the three months ended March 31, 2024.

The decrease was primarily due to a decline in interest income related to additional loans accounted for under the cost-recovery method during the three months ended June 30, 2024.

This was offset by a decrease in the weighted-average principal balance of our outstanding financing arrangements by $264.7 million for the three months ended June 30, 2024 compared to the three months ended March 31, 2024.

Other expenses

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

Other expenses decreased by $6.9 million during the three months ended March 31, 2024 compared to the three months ended December 31, 2023 primarily due to a decrease of $7.5 million of incentive fees payable to our Manager, due to a decrease in Distributable Earnings, driven primarily by charge-offs of CECL reserves.

This was offset by an increase of $353,000 of non-cash restricted stock amortization related to shares awarded under our long-term incentive plans.

Other expenses decreased by $269,000 during the three months ended June 30, 2024 compared to the three months ended March 31, 2024 primarily due to a decrease in management fees payable to our Manager.

Additionally, there was a decrease of $150,000 of non-cash restricted stock amortization related to shares awarded under our long-term incentive plans as a result of forfeitures.

Changes in current expected credit loss reserve

During the three months ended March 31, 2024, we recorded a $234.9 million increase in our CECL reserves, as compared to a $115.3 million increase during the three months ended December 31, 2023.

These CECL reserves primarily reflect certain impaired loans in our portfolio.

During the three months ended June 30, 2024, we recorded a $152.4 million increase in our CECL reserves, as compared to a $234.9 million increase during the three months ended March 31, 2024.

These increases in CECL reserves primarily reflect certain impaired loans in our portfolio.

Gain on extinguishment of debt

During the three months ended March 31, 2024 we recognized a gain on extinguishment of debt of $3.0 million related to the repurchase of an aggregate principal amount of $26.2 million of our Senior Secured Notes.

During the three months ended December 31, 2023 we recognized a gain on extinguishment 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 June 30, 2024, there was no repurchase activity or gain on extinguishment of debt.

Net expense from real estate owned

During the three months ended June 30, 2024, we recognized net expense from REO of $963,000, which primarily relates to operating expenses and depreciation expense.

We did not earn any income or incur any expense from REO during the three months ended March 31, 2024.

Income tax provision

The income tax provision increased by $304,000 during the three months ended March 31, 2024 compared to the three months ended December 31, 2023 primarily due to an increase in the income tax provisions related to our taxable REIT subsidiaries.

The income tax provision increased by $215,000 during the three months ended June 30, 2024 compared to the three months ended March 31, 2024 primarily due to an increase in the income tax provisions related to our taxable REIT subsidiaries.

Dividends per share

During the three months ended June 30, 2024, we declared dividends of $0.62 per share, or $107.6 million in aggregate.

During the three months ended March 31, 2024, we declared dividends of $0.62 per share, or $107.7 million in aggregate.

During the three months ended December 31, 2023, we declared dividends of $0.62 per share, or $107.4 million in aggregate.

The following table sets forth information regarding our consolidated results of operations for the three months ended March 31, 2024 and 2023 ($ in thousands, except per share data):

Three Months Ended March 31, Change

The following table sets forth information regarding our consolidated results of operations for the six months ended June 30, 2024 and 2023 ($ in thousands, except per share data):

Six Months Ended June 30, Change

Income from loans and other investments

8 unchanged sentences

Gain on extinguishment of debt 2,963 — 2,963

Net expense from real estate owned (963) — (963)

(Loss) income before income taxes (181,153) 224,148 (405,301)

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Income from loans and other investments, net

Income from loans and other investments, net decreased $31.8 million during the three months ended March 31, 2024 compared to the three months ended March 31, 2023.

The decrease was primarily due to (i) a decline in interest income related to additional loans accounted for under the cost-recovery method for the three months ended March 31, 2024, and

(ii) a decrease in the weighted-average principal balance of our loan portfolio by $1.6 billion for the three months ended March 31, 2024, as compared to the three months ended March 31, 2023.

This was offset by a decrease in the weighted-average principal balance of our outstanding financing arrangements by $1.7 billion for the three months ended March 31, 2024, as compared to the three months ended March 31, 2023.

Income from loans and other investments, net decreased $82.4 million during the six months ended June 30, 2024 compared to the six months ended June 30, 2023.

The decrease was primarily due to a decline in interest income related to additional loans accounted for under the cost-recovery method for the six months ended June 30, 2024.

This was offset by an increase in floating rate indices during the six months ended June 30, 2024, as compared to the six months ended June 30, 2023.

Other expenses

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

Other expenses decreased by $11.3 million during the three months ended March 31, 2024 compared to the three months ended March 31, 2023 due to a decrease of $12.5 million of incentive fees payable to our Manager, due to a decrease in Distributable Earnings, driven primarily by charge-offs of CECL reserves.

This was offset by (i) an increase in non-cash restricted stock amortization of $419,000 related to shares awarded under our long-term incentive plans, (ii) a $406,000 increase of other operating expenses, and (iii) an increase of $374,000 of management fees payable to our Manager, primarily as a result of an increase in our Equity, as defined in our Management Agreement.

Other expenses decreased by $24.7 million during the six months ended June 30, 2024 compared to the six months ended June 30, 2023 due to a decrease of $26.7 million of incentive fees payable to our Manager, driven primarily by charge-offs of CECL reserves.

This was offset by (i) a $746,000 increase of operating expenses, (ii) an increase in non-cash restricted stock amortization of $687,000 related to shares awarded under our long-term incentive plans, and (iii) an increase of $444,000 of management fees payable to our Manager, primarily as a result of an increase in our Equity, as defined in our Management Agreement.

Changes in current expected credit loss reserve

During the three months ended March 31, 2024, we recorded a $234.9 million increase in our CECL reserves, as compared to a $9.8 million increase during the three months ended March 31, 2023.

These CECL reserves primarily reflect certain impaired loans in our portfolio.

During the six months ended June 30, 2024, we recorded a $387.3 million increase in our CECL reserves, as compared to a $37.6 million increase during the six months ended June 30, 2023.

These increases in CECL reserves primarily reflect certain impaired loans in our portfolio.

Gain on extinguishment of debt

During the three months ended March 31, 2024, we recognized a gain on extinguishment of debt of $3.0 million related to the repurchase of an aggregate principal amount of $26.2 million of our Senior Secured Notes.

There was no repurchase activity or gain on extinguishment of debt in the three months ended March 31, 2023.

During the six months ended June 30, 2024, we recognized a gain on extinguishment of debt of $3.0 million related to the repurchase of an aggregate principal amount of $26.2 million of our Senior Secured Notes.

There was no repurchase activity or gain on extinguishment of debt in the six months ended June 30, 2023.

Net expense from real estate owned

During the six months ended June 30, 2024, we recognized net expense from REO of $963,000, which primarily relates to operating expenses and depreciation expense.

We did not earn any income or incur any expense from REO during the six months ended June 30, 2023.

Income tax provision

The income tax provision decreased by $891,000 during the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, due to decreased activity in our taxable REIT subsidiaries.

The income tax provision decreased by $876,000 during the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, due to a decrease in the income tax provisions related to our taxable REIT subsidiaries.

Dividends per share

During the three months ended March 31, 2024, we declared dividends of $0.62 per share, or $107.7 million in aggregate.

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

During the six months ended June 30, 2024, we declared dividends of $1.24 per share, or $215.3 million in aggregate.

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

Liquidity and Capital Resources

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

As of March 31, 2024, our capitalization structure included $4.1 billion of common equity, $2.8 billion of corporate debt, and $15.8 billion of asset-level financings.

As of June 30, 2024, our capitalization structure included $4.0 billion of common equity, $2.8 billion of corporate debt, and $15.6 billion of asset-level financings.

Our $2.8 billion of corporate debt includes $2.1 billion of Term Loan borrowings, $339.9 million of Senior Secured Notes, and $300.0 million of Convertible Notes.

Our $15.6 billion of asset-level financings includes $12.1 billion of secured debt, $2.3 billion of securitizations, and $1.1 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 March 31, 2024, we have $1.7 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business.

As of June 30, 2024, we have $1.6 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business.

See Notes 6, 7, 8, 9, 10, 11, and 12 to our co nsolidated financial statements for additional details regarding our secured debt, securitized debt obligations, asset-specific debt, loan participations sold, Term Loans, Senior Secured Notes, and Convertible Notes, respectively.

1 unchanged sentence

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

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

Debt-to-equity ratios (1)

21 unchanged sentences

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

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

$ 4,004,598 $ 4,387,504

3 unchanged sentences

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

March 31, 2024 December 31, 2023

June 30, 2024 December 31, 2023

Cash and cash equivalents $ 373,876 $ 350,014

2 unchanged sentences

$ 1,584,200 $ 1,667,412

$ 1,665,951 $ 1,667,412

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

During the three months ended March 31, 2024, we generated cash flow from operating activities of $94.6 million and received $637.2 million from loan principal collections, sales proceeds, and cost-recovery proceeds.

During the six months ended June 30, 2024, we generated cash flow from operating activities of $194.8 million and received $1.4 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.

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

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,973,525 shares of class A common stock were available for issuance as of March 31, 2024, and our at the market stock offering program, pursuant to which we may sell, from time to time, up to $480.9 million of additional shares of our class A common stock as of March 31, 2024.

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,971,796 shares of class A common stock were available for issuance as of June 30, 2024, and our at the market stock offering program, pursuant to which we may sell, from time to time, up to $480.9 million of additional shares of our class A common stock as of June 30, 2024.

Refer to Note 14 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 $12.4 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes.

Uses of Liquidity

In addition to our loan origination and funding activity and general operating expenses, our primary uses of liquidity include interest and principal payments under our $12.1 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes.

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

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

During the three months ended March 31, 2024 we repurchased an aggregate principal amount of $26.2 million of the Senior Secured Notes at a weighted-average price of 88%.

This resulted in a gain on extinguishment of debt of $3.0 million during the three months ended March 31, 2024.

As of March 31, 2024, we had unfunded commitments of $2.1 billion related to 90 loans receivable and $1.0 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.0 billion.

During the six months ended June 30, 2024, we repurchased an aggregate principal amount of $26.2 million of the Senior Secured Notes at a weighted-average price of 88%.

This resulted in a gain on extinguishment of debt of $3.0 million during the six months ended June 30, 2024.

In July 2024, our board of directors authorized the repurchase of up to $150.0 million of our class A common stock.

Under the repurchase program, repurchases may be made from time to time in open market transactions, in privately negotiated transactions or otherwise.

The timing and the actual amounts repurchased will depend on a variety of factors, including legal requirements, price and economic and market conditions.

The repurchase program may be changed, suspended or discontinued at any time and does not have a specified expiration date.

As of June 30, 2024, we had unfunded commitments of $1.8 billion related to 89 loans receivable and $867.5 million of committed or identified financing for those commitments resulting in net unfunded commitments of $958.8 million.

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.

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 2.3 years.

Contractual Obligations and Commitments

Our contractual obligations and commitments as of March 31, 2024 were as follows ($ in thousands):

Our contractual obligations and commitments as of June 30, 2024 were as follows ($ in thousands):

Payment Timing

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(6) Represents interest payments on our secured debt, asset-specific debt, Term Loans, Senior Secured Notes, and convertible notes.

Future interest payment obligations are estimated assuming the interest rates in effect as of March 31, 2024 will remain constant into the future.

Future interest payment obligations are estimated assuming the interest rates in effect as of June 30, 2024 will remain constant into the future.

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

9 unchanged sentences

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

Three Months Ended March 31,

Six Months Ended June 30,

Cash flows provided by operating activities $ 194,793 $ 235,635

2 unchanged sentences

Net increase in cash and cash equivalents $ 26,383 $ 188,231

We experienced a net increase in cash and cash equivalents of $66.6 million for the three months ended March 31, 2024, compared to a net increase of $223.0 million for the three months ended March 31, 2023.

During the three months ended March 31, 2024, we received $1.0 billion from loan principal collections and sales proceeds, of which $637.2 million is reflected in our consolidated statement of cash flows prepared in accordance with GAAP, excluding (i) $454.8 million of additional repayments or reduction of loan exposure under related non-consolidated senior interests and (ii) $114.2 million of loan portfolio payments held by servicer.

Also, during the three months ended March 31, 2024, we (i) funded $301.7 million of loans, (ii) repaid $178.1 million of securitized debt obligations, (iii) repaid a net $141.9 million of secured debt borrowings, and (iv) paid $107.4 million of dividends on our class A common stock.

We experienced a net increase in cash and cash equivalents of $26.4 million for the six months ended June 30, 2024, compared to a net increase of $188.2 million for the six months ended June 30, 2023.

During the six months ended June 30, 2024, we received $1.7 billion from loan principal collections and sales proceeds, of which $1.4 billion is reflected in our consolidated statement of cash flows prepared in accordance with GAAP, excluding $512.1 million of additional repayments or reduction of loan exposure under related non-consolidated senior interests.

Also, during the six months ended June 30, 2024, we (i) funded $626.7 million of loans, (ii) repaid $179.0 million of securitized debt obligations, (iii) repaid a net $475.5 million of secured debt borrowings, and (iv) paid $215.1 million of dividends on our class A common stock.

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

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If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state, and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years.

As of March 31, 2024 and December 31, 2023, we were in compliance with all REIT requirements.

As of June 30, 2024 and December 31, 2023, we were in compliance with all REIT requirements.

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

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

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through February 29, 2024.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through May 31, 2024.

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

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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 March 31, 2024.

• Impairment :

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

During the three months ended March 31, 2024, we recorded an aggregate $173.9 million increase in our CECL reserves, bringing our total reserves to $766.2 million as of March 31, 2024.

During the six months ended June 30, 2024, our CECL reserves increased by $317.0 million, bringing our total reserves to $906.0 million as of June 30, 2024.

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

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Real estate assets are classified as held for sale in the period when they meet the criteria under ASC Topic 360 “Property, Plant, and Equipment.” Once a real estate asset is classified as held for sale, depreciation is suspended and the asset is reported at the lower of its carrying value or fair value less cost to sell.

As of March 31, 2024, we had one REO asset which was vacant and classified as held for investment.

As of June 30, 2024, we had one REO asset which was vacant and classified as held for investment.

Loan Portfolio Details

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of March 31, 2024 ($ in millions):

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of June 30, 2024 ($ in millions):

Loan Type (1)

11 unchanged sentences

9 Senior Loan 9/23/2019 372 349 349 +3.00 % +3.27 % 8/16/2024 Diversified - Spain Hospitality $122,206 / key 62 % 2

10 Senior Loan 4/11/2018 345 340 340 +2.25 % +2.28 % 5/1/2025 New York Office $431 / sqft 71 % 4

10 Senior Loan 4/11/2018 345 341 341 +2.25 % +2.25 % 5/1/2025 New York Office $433 / sqft n/m 5

11 Senior Loan 6/28/2022 675 311 304 +4.60 % +5.07 % 7/9/2029 Austin Mixed-Use $258 / sqft 53 % 3

12 Senior Loan 7/15/2021 310 308 306 +4.25 % +4.76 % 7/16/2026 Diversified - EUR Hospitality $235,484 / key 53 % 3

12 Senior Loan 5/6/2022 298 298 296 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $94 / sqft 53 % 2

13 Senior Loan 12/11/2018 356 296 298 +1.75 % +1.76 % 12/9/2026 Chicago Office $251 / sqft 78 % 4

13 Senior Loan 9/29/2021 312 303 302 +2.81 % +3.03 % 10/9/2026 Washington, DC Office $395 / sqft 66 % 2

15 Senior Loan 3/25/2022 294 294 293 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $129,402 / key 65 % 2

14 Senior Loan 10/25/2021 300 300 300 +4.00 % +4.32 % 10/25/2024 Diversified - AU Hospitality $147,930 / key 56 % 1

15 Senior Loan 12/11/2018 356 298 300 +1.75 % +1.76 % 12/9/2026 Chicago Office $252 / sqft 78 % 4

16 Senior Loan 5/6/2022 296 296 294 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $94 / sqft 53 % 2

17 Senior Loan 11/30/2018 286 286 262 +2.43 % +2.43 % 8/9/2025 New York Hospitality $306,870 / key n/m 5

1 unchanged sentence

19 Senior Loan 9/30/2021 280 277 277 +2.61 % +2.88 % 9/30/2026 Dallas Multi $146,437 / unit 74 % 3

20 Senior Loan 6/28/2022 675 270 264 +4.60 % +5.06 % 7/9/2029 Austin Mixed-Use $224 / sqft 53 % 3

20 Senior Loan 2/27/2020 273 267 267 +2.70 % +2.83 % 1/9/2027 New York Multi $702,969 / unit 59 % 3

21 Senior Loan 1/11/2019 266 266 266 +5.08 % +5.06 % 6/14/2028 Diversified - UK Other $263 / 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 % 4

22 Senior Loan 6/8/2022 272 266 265 +7.65 % +7.65 % 6/9/2027 New York Office $1,487 / sqft n/m 5

23 Senior Loan 11/30/2018 260 260 260 +4.80 % +4.80 % 12/9/2024 San Francisco Hospitality $378,454 / key n/m 5

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

26 Senior Loan 2/23/2022 245 233 232 +2.60 % +2.84 % 3/9/2027 Reno Multi $216,568 / unit 74 % 3

25 Senior Loan (4)

11/10/2021 362 244 49 +4.11 % +4.90 % 12/9/2026 San Francisco Life Sciences $462 / sqft 66 % 4

26 Senior Loan 2/23/2022 245 234 233 +2.60 % +2.84 % 3/9/2027 Reno Multi $216,978 / unit 74 % 3

27 Senior Loan 9/30/2021 256 233 233 +7.11 % +7.11 % 10/9/2028 Chicago Office $258 / sqft n/m 5

28 Senior Loan (7)

9/16/2021 227 227 227 +1.63 % +1.63 % 11/9/2025 San Francisco Office $276 / sqft 53 % 4

29 Senior Loan 9/30/2021 256 224 223 +3.11 % +3.11 % 10/9/2028 Chicago Office $248 / sqft n/m 5

30 Senior Loan 12/22/2016 252 222 216 +10.50 % +10.50 % 6/9/2028 New York Office $313 / sqft n/m 5

29 Senior Loan 12/23/2021 326 225 220 +4.25 % +4.99 % 6/24/2028 London - UK Multi $248,995 / unit 59 % 3

30 Senior Loan 12/22/2016 252 222 216 +10.50 % +10.50 % 6/9/2028 New York Mixed-Use $313 / sqft n/m 5

Loan Type (1)

3 unchanged sentences

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

33 Senior Loan 7/29/2022 253 209 206 +4.60 % +5.65 % 7/27/2027 London - UK Industrial $275 / sqft 52 % 3

34 Senior Loan 6/27/2019 207 207 207 +2.80 % +2.94 % 8/15/2026 Berlin - DEU Office $435 / sqft 62 % 3

33 Senior Loan 6/28/2019 207 207 206 +4.00 % +4.74 % 6/26/2026 London - UK Office $499 / sqft 71 % 3

36 Senior Loan 12/23/2021 326 202 197 +4.25 % +5.02 % 6/24/2028 London - UK Multi $223,087 / unit 59 % 3

34 Senior Loan 6/27/2019 205 205 205 +2.80 % +2.94 % 8/15/2026 Berlin - DEU Office $431 / sqft 62 % 4

35 Senior Loan 1/26/2022 338 187 184 +4.10 % +4.74 % 2/9/2027 Seattle Office $392 / sqft 56 % 3

36 Senior Loan 9/25/2019 186 186 186 +4.47 % +4.84 % 9/26/2024 London - UK Office $867 / sqft 72 % 3

2 unchanged sentences

7/23/2021 244 184 183 -1.30 % -0.92 % 8/9/2028 New York Office $596 / sqft 53 % 4

39 Senior Loan (4)

3/17/2022 224 183 233 +2.72 % +2.87 % 6/30/2025 London - UK Office $821 / sqft 50 % 3

40 Senior Loan 7/29/2022 201 182 180 +4.60 % +5.60 % 7/27/2027 London - UK Industrial $240 / sqft 52 % 3

41 Senior Loan 2/15/2022 191 181 178 +2.90 % +2.90 % 3/9/2027 Denver Office $361 / sqft n/m 5

1 unchanged sentence

43 Senior Loan 1/27/2022 178 177 177 +3.10 % +3.40 % 2/9/2027 Dallas Multi $115,681 / unit 71 % 3

43 Senior Loan (4)

3/17/2022 223 171 220 +2.65 % +4.37 % 6/30/2025 London - UK Office $768 / sqft 50 % 3

44 Senior Loan 3/9/2022 171 171 170 +2.95 % +3.17 % 8/15/2027 Diversified - UK Retail $145 / sqft 55 % 2

45 Senior Loan 1/26/2022 338 161 158 +4.10 % +4.73 % 2/9/2027 Seattle Office $337 / sqft 56 % 3

45 Senior Loan (4)

3/29/2022 224 169 33 +4.50 % +5.60 % 4/9/2027 Miami Multi $286,976 / unit 72 % 3

46 Senior Loan 10/7/2021 165 161 158 +3.25 % +3.25 % 10/9/2025 Los Angeles Office $328 / sqft n/m 5

47 Senior Loan 12/21/2021 156 156 156 +2.83 % +3.15 % 4/29/2027 London - UK Industrial $316 / sqft 67 % 3

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

47 Senior Loan 5/27/2021 184 159 158 +2.31 % +2.57 % 6/9/2026 Atlanta Office $133 / sqft 66 % 3

48 Senior Loan 9/30/2021 184 157 156 +4.00 % +4.67 % 9/30/2026 Diversified - Spain Hospitality $135,858 / key 60 % 3

49 Senior Loan 12/21/2021 156 156 156 +2.83 % +3.15 % 4/29/2027 London - UK Industrial $317 / sqft 67 % 3

50 Senior Loan 1/17/2020 203 156 156 +3.12 % +3.39 % 2/9/2025 New York Mixed-Use $129 / sqft 43 % 3

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

52 Senior Loan 6/4/2018 153 153 152 +4.00 % +4.24 % 6/9/2025 New York Hospitality $251,647 / key 52 % 3

1 unchanged sentence

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

54 Senior Loan (4)

3/29/2022 224 150 29 +4.50 % +5.49 % 4/9/2027 Miami Multi $255,037 / unit 72 % 3

55 Senior Loan 9/30/2021 185 147 146 +4.00 % +4.51 % 9/30/2026 Diversified - Spain Hospitality $123,124 / key 60 % 3

55 Senior Loan 2/20/2019 154 149 149 +4.62 % +4.91 % 2/19/2025 London - UK Office $599 / sqft 61 % 3

4 unchanged sentences

59 Senior Loan 3/10/2020 140 140 139 +3.10 % +3.10 % 10/11/2024 New York Mixed-Use $854 / sqft n/m 5

60 Senior Loan 2/25/2022 135 135 134 +4.05 % +4.43 % 2/25/2027 Copenhagen - DK Industrial $76 / sqft 69 % 1

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

61 Senior Loan 2/25/2022 $ 136 $ 136 $ 135 +4.05 % +4.43 % 2/25/2027 Copenhagen - DK Industrial $77 / sqft 69 % 2

61 Senior Loan 8/24/2021 $ 156 $ 133 $ 133 +2.71 % +3.03 % 9/9/2026 San Jose Office $317 / sqft 65 % 4

63 Senior Loan 9/14/2021 132 129 129 +2.81 % +3.07 % 10/9/2026 San Bernardino Multi $260,871 / unit 75 % 3

62 Senior Loan 12/15/2021 146 131 130 +2.92 % +4.23 % 12/9/2026 Dublin - IE Multi $327,452 / unit 79 % 3

65 Senior Loan 5/20/2021 150 126 120 +3.76 % +3.76 % 6/9/2026 San Jose Office $322 / sqft n/m 5

63 Senior Loan 9/14/2021 132 129 129 +2.81 % +3.07 % 10/9/2026 San Bernardino Multi $260,871 / unit 75 % 4

64 Senior Loan 6/30/2022 127 127 127 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $246,078 / key 60 % 2

65 Senior Loan 5/20/2021 150 126 117 +3.76 % +3.76 % 6/9/2026 San Jose Office $322 / sqft n/m 5

66 Senior Loan 3/28/2022 130 122 122 +2.55 % +2.80 % 4/9/2027 Miami Office $331 / sqft 69 % 3

67 Senior Loan 4/6/2021 123 122 122 +7.31 % +7.31 % 8/9/2024 Los Angeles Office $501 / sqft n/m 5

68 Senior Loan 6/1/2021 120 120 120 +2.96 % +3.11 % 6/9/2026 Miami Multi $298,507 / unit 61 % 2

69 Senior Loan 3/28/2022 130 120 119 +2.55 % +2.80 % 4/9/2027 Miami Office $325 / sqft 69 % 3

69 Senior Loan 8/27/2021 122 120 120 +3.11 % +3.41 % 9/9/2026 San Diego Retail $453 / sqft 58 % 3

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

70 Senior Loan 12/21/2021 120 118 118 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $405 / sqft 68 % 3

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

72 Senior Loan 7/15/2019 138 117 117 +3.01 % +3.43 % 8/9/2024 Houston Office $211 / sqft 58 % 4

3 unchanged sentences

76 Senior Loan 6/28/2019 109 109 109 +3.75 % +4.01 % 2/1/2026 Los Angeles Studio $551 / sqft 48 % 3

78 Senior Loan 3/13/2018 123 108 108 +3.11 % +3.34 % 4/9/2027 Honolulu Hospitality $167,735 / key 50 % 3

77 Senior Loan (4)

12/30/2021 228 109 21 +4.00 % +4.97 % 1/9/2028 Los Angeles Multi $312,085 / unit 50 % 3

78 Senior Loan 12/29/2021 110 108 108 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $185,641 / unit 64 % 3

79 Senior Loan 3/13/2018 108 108 107 +3.11 % +3.36 % 4/9/2027 Honolulu Hospitality $166,803 / key 50 % 3

80 Senior Loan 2/15/2022 106 105 105 +2.85 % +3.19 % 3/9/2027 Tampa Multi $241,437 / unit 73 % 2

81 Senior Loan 3/29/2022 103 103 103 +2.70 % +2.96 % 4/9/2027 Miami Multi $286,439 / unit 75 % 4

82 Senior Loan 1/30/2020 104 102 102 +2.96 % +3.20 % 2/9/2026 Honolulu Hospitality $277,513 / key 63 % 3

82 Senior Loan 11/27/2019 104 102 102 +2.86 % +3.12 % 12/9/2024 Minneapolis Office $93 / sqft 64 % 4

1 unchanged sentence

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

85 Senior Loan 1/30/2020 99 98 98 +3.50 % +3.68 % 2/9/2027 Honolulu Hospitality $265,497 / key 63 % 3

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

9 unchanged sentences

93 Senior Loan 10/16/2018 88 88 88 +7.36 % +7.36 % 11/9/2024 San Francisco Hospitality $191,807 / key n/m 5

94 Senior Loan (4)

12/30/2021 228 88 17 +4.00 % +5.00 % 1/9/2028 Los Angeles Multi $252,325 / unit 50 % 3

94 Senior Loan 6/14/2022 106 87 86 +2.95 % +3.30 % 7/9/2027 San Francisco Mixed-Use $180 / sqft 76 % 3

95 Senior Loan 12/15/2021 87 87 86 +3.25 % +3.54 % 12/15/2026 Melbourne - AU Multi $63,477 / bed 38 % 1

96 Senior Loan 6/27/2019 88 86 86 +2.75 % +2.99 % 7/9/2024 West Palm Beach Office $296 / sqft 70 % 2

1 unchanged sentence

Louis Multi $80,339 / unit 70 % 3

98 Senior Loan 12/15/2021 85 85 84 +4.00 % +4.29 % 12/15/2026 Melbourne - AU Multi $62,059 / unit 38 % 1

98 Senior Loan 3/9/2022 92 85 84 +2.90 % +2.90 % 3/9/2025 Boston Office $223 / sqft n/m 5

100 Senior Loan 3/31/2017 84 84 84 +9.41 % +9.41 % 4/9/2024 New York Office $403 / sqft n/m 5

99 Senior Loan 7/29/2021 82 82 82 +2.76 % +3.08 % 8/9/2026 Charlotte Multi $223,365 / unit 78 % 3

10 unchanged sentences

110 Senior Loan 12/17/2021 65 65 64 +4.35 % +4.59 % 1/9/2026 Diversified - US Other $4,886 / unit 37 % 1

113 Senior Loan 3/31/2021 62 62 62 +4.14 % +4.45 % 4/1/2024 Boston Multi $316,327 / unit 75 % 3

111 Senior Loan 7/30/2021 62 62 62 +2.86 % +3.06 % 8/9/2026 Salt Lake City Multi $224,185 / unit 73 % 3

1 unchanged sentence

113 Senior Loan 6/30/2021 65 61 61 +2.95 % +3.23 % 7/9/2026 Nashville Office $250 / sqft 71 % 4

117 Senior Loan (4)

3/23/2020 59 59 12 +3.82 % +4.57 % 4/9/2025 Nashville Office $90 / sqft 60 % 1

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

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

114 Senior Loan 12/10/2020 61 58 58 +3.30 % +3.55 % 1/9/2026 Fort Lauderdale Office $202 / sqft 68 % 3

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

115 Senior Loan 4/26/2024 69 58 57 +4.95 % +5.62 % 5/9/2029 Bermuda Hospitality $659,091 / key 39 % 3

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

117 Senior Loan 2/1/2022 79 58 57 +4.50 % +6.68 % 2/1/2027 Diversified - UK Life Sciences $446 / sqft 45 % 3

118 Senior Loan 6/14/2021 58 58 58 +2.30 % +2.30 % 3/9/2027 Miami Office $122 / sqft 65 % 3

119 Senior Loan 1/21/2022 68 55 54 +3.70 % +3.70 % 2/9/2027 Denver Office $327 / sqft n/m 5

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

120 Mezzanine Loan (9)

8/31/2017 64 55 38 +2.62 % +2.62 % 9/9/2026 Orange County Office $239 / sqft n/m 5

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

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

122 Senior Loan 8/22/2019 54 54 54 +2.66 % +2.89 % 9/9/2024 Los Angeles Office $310 / sqft 63 % 3

1 unchanged sentence

124 Senior Loan 8/5/2021 57 54 54 +2.96 % +3.24 % 8/9/2026 Denver Office $203 / sqft 70 % 3

128 Senior Loan 2/1/2022 79 52 52 +4.50 % +6.37 % 2/1/2027 Diversified - UK Life Sciences $404 / sqft 45 % 3

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

1 unchanged sentence

127 Senior Loan 7/28/2021 53 51 51 +2.75 % +3.07 % 8/9/2026 Los Angeles Multi $289,325 / unit 71 % 3

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

128 Senior Loan 4/7/2022 57 50 50 +3.25 % +3.54 % 4/9/2027 Denver Office $148 / sqft 59 % 4

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

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

10 unchanged sentences

141 Senior Loan 2/26/2021 36 36 36 +3.50 % +3.74 % 3/9/2026 Austin Multi $196,228 / unit 64 % 1

146 Senior Loan 12/23/2021 36 36 35 +1.71 % +2.61 % 11/15/2025 New York Multi $175,665 / unit 68 % 2

142 Senior Loan 5/12/2021 36 36 36 +2.96 % +3.94 % 6/9/2026 San Bernardino Multi $167,704 / unit 66 % 1

148 Senior Loan 12/23/2021 36 36 36 +2.90 % +3.19 % 1/1/2025 Jersey City Multi $112,228 / unit 46 % 2

143 Senior Loan 12/23/2021 36 36 35 +1.71 % +2.61 % 11/15/2025 New York Multi $174,795 / unit 68 % 2

144 Senior Loan 6/29/2021 40 36 36 +3.70 % +3.70 % 7/1/2025 Memphis Multi $96,431 / unit 54 % 3

145 Senior Loan 12/23/2021 35 35 35 +2.90 % +3.19 % 1/1/2025 Jersey City Multi $111,645 / unit 46 % 2

146 Senior Loan 9/1/2021 36 35 35 +2.86 % +3.14 % 9/9/2026 Phoenix Multi $127,416 / unit 70 % 2

147 Senior Loan 11/3/2021 35 35 36 +2.71 % +3.05 % 11/9/2026 Dallas Multi $175,495 / unit 54 % 1

148 Senior Loan 3/1/2022 35 35 34 +3.00 % +3.34 % 3/9/2027 Los Angeles Multi $372,340 / unit 72 % 3

149 Senior Loan 12/23/2021 35 35 35 +2.76 % +2.88 % 4/26/2025 Corvallis Multi $97,152 / Unit 71 % 1

150 Senior Loan 12/23/2021 35 35 35 +3.11 % +3.33 % 2/1/2026 New York Office $247 / sqft 30 % 3

Loan Type (1)

9 unchanged sentences

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

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

As of March 31, 2024, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR.

As of June 30, 2024, all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR.

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

Excludes loans accounted for under the cost-recovery method.

Excludes loans accounted for under the cost-recovery and nonaccrual methods, if any.

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

1 unchanged sentence

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 4.03% as of March 31, 2024.

(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 4.04% as of June 30, 2024.

(9) Loan consists of one or more floating and fixed rate tranches.

1 unchanged sentence

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

What changed 10-Q

Item 2. Management’s Discussion and Analysis