What changed in this filing

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Item 2. Management’s Discussion and Analysis

2024-10-23 compared with 2024-07-24 · 268 added, 246 removed, 673 unchanged (43% of the section changed)

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We are organized as a holding company and conduct our business primarily through our various subsidiaries.

Recent Developments

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 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.

For the three months ended September 30, 2024, we recorded a basic net loss per share of $0.32, declared a dividend of $0.47 per share, and reported $0.39 per share of Distributable Earnings.

In addition, our book value as of September 30, 2024 was $22.17 per share, which is net of cumulative CECL reserves of $5.89 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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Earnings Per Share and Dividends Declared

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

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

Three Months Ended

June 30, 2024 March 31, 2024

September 30, 2024 June 30, 2024

$ (56,384) $ (61,057)

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

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

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

Distributable Earnings

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Distributable Earnings and Distributable Earnings prior to charge-offs of CECL reserves do not represent net income (loss) or cash generated from operating activities and should not be considered as alternatives to GAAP net income (loss), or indicators of our GAAP cash flows from operations, measures of our liquidity, or indicators of funds available for our cash needs.

In addition, our methodology for calculating Distributable Earnings and Distributable Earnings prior to charge-offs of CECL reserves may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings and Distributable Earnings prior to charge-offs of CECL reserves may not be comparable to similar metrics reported by other companies.

The following table provides a reconciliation of Distributable Earnings and Distributable Earnings prior to charge-offs of CECL reserves to GAAP net loss ($ in thousands, except per share data):

In addition, our methodology for calculating Distributable Earnings and Distributable Earnings prior to charge-offs

of CECL reserves may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings and Distributable Earnings prior to charge-offs of CECL reserves may not be comparable to similar metrics reported by other companies.

The following table provides a reconciliation of Distributable Earnings and Distributable Earnings prior to charge-offs of CECL reserves to GAAP net income (loss) ($ in thousands, except per share data):

Three Months Ended

June 30, 2024 March 31, 2024

September 30, 2024 June 30, 2024

$ (56,384) $ (61,057)

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

(180) (1,352)

Adjustments attributable to non-controlling interests, net 251 134

Depreciation on real estate owned 185 —

Depreciation and amortization of real estate owned 1,030 185

Other items 14 —

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16,989 12,537

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

Distributable Earnings prior to charge-offs of CECL reserves $ 85,185 $ 98,280

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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 June 30, 2024 and March 31, 2024, respectively.

(2) Represents realized losses related to loan principal amounts deemed non-recoverable during the three months ended September 30, 2024 and June 30, 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 of incentive fee expenses that would have been incurred if such charge-offs had not occurred during the three months ended March 31, 2024.

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

(4) 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):

June 30, 2024 March 31, 2024

September 30, 2024 June 30, 2024

Stockholders’ equity $ 3,844,592 $ 3,984,504

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Loan Portfolio

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.

During the three months September 30, 2024, we originated or acquired $131.5 million of loans.

Loan fundings during the quarter totaled $403.7 million and loan repayments and sales totaled $1.8 billion.

We generated interest income of $430.1 million and incurred interest expense of $321.7 million during the quarter, which resulted in $108.3 million of net interest income during the three months ended September 30, 2024.

Portfolio Overview

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

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

Three Months Ended September 30, 2024 Nine Months Ended September 30, 2024

Loan originations (1)

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

(2) Loan fundings during the three and six months ended June 30, 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):

(2) Loan fundings during the three and nine months ended September 30, 2024, include $44.8 million and $134.1 million, respectively, of additional fundings under related non-consolidated senior interests.

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

There were no such related loan repayments during the three months ended September 30, 2024.

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

Balance Sheet

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

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.

As of September 30, 2024, total loan exposure, includes (i) loans with an outstanding principal balance of $21.8 billion that are included in our consolidated financial statements, (ii) $770.2 million of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements, and excludes (iii) $103.5 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements.

We have retained an aggregate $199.5 million of subordinate mezzanine loans, as of September 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 June 30, 2024, all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR.

As of September 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.

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

As of June 30, 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.

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

As of September 30, 2024, 14% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 86% 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 June 30, 2024 ($ in thousands):

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

Total Loan Exposure (1)

Index Rate Floors USD Non-USD (2)

Fixed Rate $ — $ — $ —

0.00% or no floor (3)(4)

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

(2) Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, and Swiss Franc 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) Includes all impaired loans.

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

(5) As of September 30, 2024, the weighted-average index rate floor of our total loan exposure was 0.97%.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 1.56%.

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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 June 30, 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 September 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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(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 June 30, 2024:

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

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

(1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of September 30, 2024, which is our total loan exposure net of (i) $770.2 million of non-consolidated senior interests, (ii) $1.2 billion of asset-specific debt, (iii) $99.0 million of cost-recovery proceeds, and (iv) our total loans receivable CECL reserve of $1.0 billion.

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

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Portfolio Management

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.

As of September 30, 2024, 88% of our loans were performing with risk ratings of “1” through “4,” and the remaining 12% were impaired with a risk rating of “5.” All of the performing loans were in compliance with the applicable contractual terms.

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.

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We believe that we benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors.

Our loan portfolio’s low weighted-average origination LTV 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 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 loan portfolio’s low weighted-average origination LTV is 62.8%, excluding any loans that are impaired and any junior participations sold, as of September 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 September 30, 2024, we had an aggregate $883.6 million asset-specific CECL reserve related to 20 of our loans receivable, with an aggregate amortized cost basis of $3.2 billion, net of cost-recovery proceeds.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of September 30, 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 June 30, 2024 and December 31, 2023.

Our loan portfolio had a weighted-average risk rating of 3.1 and 3.0 as of September 30, 2024 and December 31, 2023, 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):

June 30, 2024

September 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 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.

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of September 30, 2024, which is our total loan exposure net of (i) $770.2 million of non-consolidated senior interests, (ii) $1.2 billion of asset-specific debt, (iii) $99.0 million of cost-recovery proceeds, and (iv) our total loans receivable CECL reserve of $1.0 billion.

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

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

During the three months ended June 30, 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.

During the three months ended September 30, 2024, we recorded a net increase of $117.1 million in the CECL reserves against our loans receivable portfolio, due to a $134.1 million increase in CECL reserves, offset by charge-offs of our CECL reserves of $17.0 million, bringing our total loans receivable CECL reserve to $1.0 billion as of September 30, 2024.

This increase primarily relates to two loans impaired during the three months ended September 30, 2024, both of

which were secured by office buildings.

The office sector is generally facing reduced tenant and capital markets demand in recent years.

These impairments are each determined individually as a result of changes in the specific credit quality factors for such loans.

These factors included, among others, (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.

As of September 30, 2024, the income accrual was suspended on the two additional loans that were impaired as the recovery of income and principal was doubtful.

During the three months ended September 30, 2024, we recorded $4.9 million of interest income on these two loans.

In addition, our general CECL reserves decreased primarily as a result of loan repayments reducing the size of our portfolio during the three months ended September 30, 2024.

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

The resolution was the result of the consolidation of an office property located in Burlington, MA as a result of a loan modification that provided us an equity interest in the property.

Refer to Note 19 to our consolidated financial statements for additional information.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of September 30, 2024.

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

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.

During the three and nine months ended September 30, 2024, we received an aggregate $24.5 million and $59.8 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 September 30, 2024, all borrowers under performing loans were in compliance with the applicable contractual terms, including any required payment of interest.

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

Multifamily Joint Venture

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

As of September 30, 2024, our multifamily joint venture held $294.7 million of loans, which are included in the loan disclosures above, respectively.

As of September 30, 2024, our Multifamily Joint Venture also held a $32.2 million REO asset.

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

Agency Multifamily Lending Partnership

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 September 30, 2024.

Portfolio Financing

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Outstanding Principal Balance

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Secured debt $ 11,012,558 $ 12,697,058

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Borrowings Outstanding

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Secured credit facilities $ 11,012,558 $ 12,697,058

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Secured Credit Facilities

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

Six Months Ended June 30, 2024 June 30, 2024

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

Nine Months Ended September 30, 2024 September 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 six months ended June 30, 2024.

(2) Represents the amount of new borrowings we obtained approval for during the nine months ended September 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 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.

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

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

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

(6) Represents the difference between the weighted-average all-in yield and weighted-average all-in cost.

Acquisition Facility

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.

Securitizations

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

June 30, 2024

September 30, 2024

Securitized Debt Obligations Count Principal

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Senior CLO Securities Outstanding 1 $ 785,453 $ 785,371 + 1.40 % May 2038

Underlying Collateral Assets 26 981,703 981,703 + 3.26 % March 2026

Underlying Collateral Assets 25 981,703 981,703 + 3.26 % January 2026

2020 FL3 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 659,495 659,494 + 1.86 % November 2037

Underlying Collateral Assets 15 880,634 880,634 + 2.93 % January 2026

Underlying Collateral Assets 14 850,745 850,745 + 3.06 % February 2026

2020 FL2 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 803,484 803,442 + 1.38 % February 2038

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

Underlying Collateral Assets 14 1,060,359 1,060,359 + 2.82 % April 2026

Senior CLO Securities Outstanding (5)

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

(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.

(5) During the three and nine months ended September 30, 2024, we recorded $40.6 million and $123.9 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):

June 30, 2024

September 30, 2024

Asset-Specific Debt Count Principal

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Yield/Cost (2)

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

Financing provided 2 $ 1,201,237 $ 1,197,056 + 3.19 % June 2026

Collateral assets 2 $ 1,433,807 $ 1,425,388 + 4.06 % June 2026

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

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Outstanding Principal Balance

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Term loans $ 2,116,425 $ 2,135,221

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Total corporate financing $ 2,717,898 $ 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 June 30, 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 September 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 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.

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

During the nine months ended September 30, 2024, we repurchased an aggregate principal amount of $2.3 million of the B-1 Term Loan at a weighted-average price of 99%, an aggregate principal amount of $30.8 million of the Senior Secured Notes at a weighted-average price of 88%, and an aggregate principal amount of $33.8 million of the Convertible Notes at a weighted-average price of 93%.

This resulted in a gain on extinguishment of debt of $25,000, $3.3 million, and $2.0 million, respectively, during the nine months ended September 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 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.

As of September 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 June 30, 2024 (amounts in thousands):

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

All Other (1)

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$ 35,581 $ 801,883 $ 642,265 $ 331,114

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

(1) Includes Australian Dollar, 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.

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(4) Excludes $3.3 billion of floating rate impaired loans.

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

(5) Excludes $770.2 million of non-consolidated senior interests and $103.5 million of loan participations sold, as of September 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.

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(9) Represents the U.S.

dollar equivalent as of June 30, 2024.

dollar equivalent as of September 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 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.

As of September 30, 2024, 96% of our performing loans have interest rate caps, with a weighted-average strike price of 3.5%, or interest guarantees.

During the nine months ended September 30, 2024, interest rate caps on $10.8 billion of performing loans, with a 3.4% weighted-average strike price, expired and 95% were replaced with new interest rate caps, with a weighted-average strike price of 3.4%, 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 June 30, 2024 and March 31, 2023 ($ in thousands, except per share data):

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

Three Months Ended Change

June 30, 2024 March 31, 2024 $

September 30, 2024 June 30, 2024 $

Income from loans and other investments

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Income from loans and other investments, net 108,348 126,772 (18,424)

Revenue from real estate owned 1,214 — 1,214

Gain on extinguishment of debt 2,389 — 2,389

Total net revenues 111,951 126,772 (14,821)

Other expenses

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General and administrative expenses 13,423 13,660 (237)

Expenses from real estate owned 2,684 963 1,721

Total other expenses 34,712 33,349 1,363

Increase in current expected credit loss reserve (132,470) (152,408) 19,938

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

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

Loss before income taxes (55,231) (58,985) 3,754

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Income from loans and other investments, net

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.

Income from loans and other investments, net decreased $18.4 million during the three months ended September 30, 2024 compared to the three months ended June 30, 2024.

The decrease was primarily due to a decrease in the weighted-average principal balance of our loan portfolio by $1.2 billion during the three months ended September 30, 2024, as well as a decline in interest income related to additional loans accounted for under the cost-recovery method during the three months ended September 30, 2024.

This was offset by a decrease in the weighted-average principal balance of our outstanding financing arrangements by $1.1 billion for the three months ended September 30, 2024 compared to the three months ended June 30, 2024.

Revenue from real estate owned

Revenue from real estate owned increased by $1.2 million during the three months ended September 30, 2024 due to additional REO assets acquired during the quarter.

There was no revenue from real estate owned during the three months ended June 30, 2024.

Gain on extinguishment of debt

Gain on extinguishment of debt increased by $2.4 million during the three months ended September 30, 2024.

During the three months ended September 30, 2024, we recognized an aggregate gain on extinguishment of debt of $2.4 million

related to the repurchase of an aggregate principal amount of $33.8 million, $4.6 million, and $2.3 million of our Convertible Notes, Senior Secured Notes, and B-1 Term Loan, respectively.

There was no repurchase activity during the three months ended June 30, 2024.

Other expenses

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

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.

Other expenses include management and incentive fees payable to our Manager, general and administrative expenses, and expenses from real estate owned.

Other expenses increased by $1.4 million during the three months ended September 30, 2024 compared to the three months ended June 30, 2024 primarily due to an increase in expenses of real estate owned due to additional REO assets acquired during the quarter.

Changes in current expected credit loss reserve

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 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.

During the three months ended September 30, 2024, we recorded a $132.5 million increase in our CECL reserves, as compared to a $152.4 million increase during the three months ended June 30, 2024.

These incremental CECL reserves primarily reflect a $124.2 million increase in the specific reserves, primarily related to two loans impaired during the three months ended September 30, 2024, both of which were secured by office buildings.

The office sector is generally facing reduced tenant and capital markets demand in recent years.

These impairments are each determined individually as a result of changes in the specific credit quality factors for such loans.

In addition, our general CECL reserves decreased primarily as a result of loan repayments reducing the size of our portfolio during the three months ended September 30, 2024.

We may be required to record further increases to our CECL reserves in the future, depending on the performance of our portfolio and broader market conditions, and there may be volatility in the level of our CECL reserves.

In particular, our loans secured by office buildings have experienced higher levels of CECL reserves and may continue to do so if market conditions relevant to office buildings do not improve.

Any such reserve increases are difficult to predict, but are expected to be primarily the result of incremental loan impairments resulting from changes in the specific credit quality factors of such loans and to be concentrated in our loans receivable with a risk rating of “4” as of September 30, 2024.

Income tax provision

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.

The income tax provision decreased by $604,000 during the three months ended September 30, 2024 compared to the three months ended June 30, 2024 primarily due to a decrease in the income tax provisions related to our taxable REIT subsidiaries.

Dividends per share

During the three months ended September 30, 2024, we declared dividends of $0.47 per share, or $81.3 million in aggregate.

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.

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

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

Nine Months Ended September 30, Change

Income from loans and other investments

2 unchanged sentences

Income from loans and other investments, net 377,513 516,900 (139,387)

Revenue from real estate owned 1,214 — 1,214

Gain on extinguishment of debt 5,352 4,541 811

Total net revenues 384,079 521,441 (137,362)

Other expenses

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General and administrative expenses 40,811 37,888 2,923

Expenses from real estate owned 3,647 — 3,647

Total other expenses 100,716 130,635 (29,919)

Increase in current expected credit loss reserve (519,747) (134,530) (385,217)

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

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

(Loss) income before income taxes (236,384) 256,276 (492,660)

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Income from loans and other investments, net

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.

Income from loans and other investments, net decreased $139.4 million during the nine months ended September 30, 2024 compared to the nine months ended September 30, 2023.

The decrease was primarily due to a decrease in the weighted-average principal balance of our loan portfolio by $1.8 billion during the nine months ended September 30, 2024 compared to the nine months ended September 30, 2023, as well as a decline in interest income related to additional loans accounted for under the cost-recovery method during the nine months ended September 30, 2024.

This was offset by a decrease in the weighted-average principal balance of our outstanding financing arrangements by $1.8 billion for the nine months ended September 30, 2024 compared to the nine months ended September 30, 2023.

Revenue from real estate owned

Revenue from real estate owned increased by $1.2 million during the nine months ended September 30, 2024 due to REO assets being acquired.

There was no revenue from real estate owned during the nine months ended June 30, 2024.

Gain on extinguishment of debt

Gain on extinguishment of debt increased by $811,000 during the nine months ended September 30, 2024.

During the nine months ended September 30, 2024, we recognized an aggregate gain on extinguishment of debt of $5.4 million related to

the repurchase of an aggregate principal amount of $33.8 million, $30.8 million, and $2.3 million, of our Convertible Notes, Senior Secured Notes, and B-1 Term Loan, respectively.

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

Other expenses

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

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.

Other expenses include management and incentive fees payable to our Manager, general and administrative expenses, and expenses from real estate owned.

Other expenses decreased by $29.9 million during the nine months ended September 30, 2024 compared to the nine months ended September 30, 2023 primarily due to a decrease of $36.8 million of incentive fees payable to our Manager, driven primarily by charge-offs of CECL reserves.

Expenses of real estate owned, which relates to real estate owned operations, increased by $3.6 million.

We did not incur any expenses from REO during the nine months ended September 30, 2023.

Additionally, general and administrative expenses increased by $2.9 million primarily due to (i) an increase in non-cash restricted stock amortization of $982,000 related to shares awarded under our long-term incentive plans, (ii) a $774,000 increase in legal expenses, and (iii) an increase of $279,000 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 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 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.

During the nine months ended September 30, 2024, we recorded a $519.7 million increase in our CECL reserves, as compared to a $134.5 million increase during the nine months ended September 30, 2023.

These incremental CECL reserves primarily reflect a $465.9 million increase in the specific reserves related to certain impaired loans in our portfolio, most of which were secured by office buildings.

The office sector is generally facing reduced tenant and capital markets demand in recent years.

These impairments are each determined individually as a result of changes in the specific credit quality factors for such loans.

In addition, our general CECL reserves decreased primarily as a result of loan repayments reducing the size of our portfolio during the nine months ended September 30, 2024.

In particular, our loans secured by office buildings have experienced higher levels of CECL reserves and may continue to do so if market conditions relevant to office buildings do not improve.

Income tax provision

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.

The income tax provision decreased by $1.8 million during the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, due to a decrease in the income tax provisions related to our taxable REIT subsidiaries.

Dividends per share

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.

During the nine months ended September 30, 2024, we declared dividends of $1.71 per share, or $296.6 million in aggregate.

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

As of September 30, 2024, our capitalization structure included $3.8 billion of common equity, $2.7 billion of corporate debt, and $14.5 billion of asset-level financings.

Our $2.7 billion of corporate debt includes $2.1 billion of Term Loan borrowings, $335.3 million of Senior Secured Notes, and $266.2 million of Convertible Notes.

Our $14.5 billion of asset-level financings includes $11.0 billion of secured debt, $2.2 billion of securitizations, and $1.2 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 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.

As of September 30, 2024, we have $1.5 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:

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Debt-to-equity ratios (1)

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

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

$ 3,860,397 $ 4,387,504

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

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Cash and cash equivalents $ 322,104 $ 350,014

2 unchanged sentences

26,269 48,287

$ 1,455,321 $ 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 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.

During the nine months ended September 30, 2024, we generated cash flow from operating activities of $281.9 million and received $3.1 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 9,971,796 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.

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,970,314 shares of class A common stock were available for issuance as of September 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 September 30, 2024.

Refer to Note 14 to our consolidated financial statements for additional details.

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

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.

During the nine months ended September 30, 2024, we repurchased an aggregate principal amount of $2.3 million of the B-1 Term Loan at a weighted-average price of 99%, an aggregate principal amount of $30.8 million of our Senior Secured Notes at a weighted-average price of 88%, and an aggregate principal amount of $33.8 million of the Convertible Notes at a weighted-average price of 93%.

This resulted in gains on extinguishment of debt of $25,000, $3.3 million, and $2.0 million, respectively, during the nine months ended September 30, 2024.

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

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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.

During the three and nine months ended September 30, 2024, we repurchased 628,884 shares of class A common stock at a weighted-average price per share of $17.49, for a total cost of $11.0 million.

As of September 30, 2024, the amount remaining available for repurchases under the program was $139.0 million.

As of September 30, 2024, we had unfunded commitments of $1.6 billion related to 76 loans receivable and $717.9 million of committed or identified financing for those commitments resulting in net unfunded commitments of $844.7 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 June 30, 2024 were as follows ($ in thousands):

Our contractual obligations and commitments as of September 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 June 30, 2024 will remain constant into the future.

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

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

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

Six Months Ended June 30,

Nine Months Ended September 30,

Cash flows provided by operating activities $ 281,908 $ 347,681

Cash flows provided by used in investing activities 864,368 741,095

Cash flows used in by financing activities (1,032,778) (788,499)

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

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.

Cash flows provided by investing activities 2,150,500 1,188,464

Cash flows used in financing activities (2,458,947) (1,407,463)

Net (decrease) increase in cash and cash equivalents $ (26,539) $ 128,682

We experienced a net decrease in cash and cash equivalents of $26.5 million for the nine months ended September 30, 2024, compared to a net increase of $128.7 million for the nine months ended September 30, 2023.

During the nine months ended September 30, 2024, we received $3.6 billion from loan principal collections and sales proceeds, of which $3.1 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 nine months ended September 30, 2024, we (i) repaid a net $1.7 billion of secured debt borrowings, (ii) funded $982.2 million of loans, (iii) paid $322.7 million of dividends on our class A common stock, and (iv) repaid $259.1 million of securitized debt obligations.

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

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

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

As of September 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 May 31, 2024.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through August 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 June 30, 2024.

• Impairment :

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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.

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 estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan.

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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 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.

During the nine months ended September 30, 2024, our CECL reserves increased by $434.1 million, bringing our total reserves to $1.0 billion as of September 30, 2024.

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

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Renovations and/or replacements that improve or extend the life of the asset are capitalized and depreciated over their estimated useful lives.

Lease intangibles are amortized over the remaining term of applicable leases on a straight-line basis.

The cost of ordinary repairs and maintenance are expensed as incurred.

Real estate assets held for investment are assessed for impairment on a quarterly basis.

If the depreciated cost basis of the asset exceeds the undiscounted cash flows, the asset is considered impaired and the depreciated cost basis is reduced to the fair value.

The impairment loss is recognized based on the excess of the carrying amount of the asset over its fair value.

If the depreciated cost basis of the asset exceeds the undiscounted cash flows over the remaining holding period, the asset is considered for impairment.

The impairment loss is recognized when the carrying value of the real estate assets exceed their fair value.

The evaluation of anticipated future cash flows is highly subjective and is based in part on assumptions regarding future occupancy, rental rates, capital requirements and anticipated holding periods that could differ materially from actual results.

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

If circumstances arise and we decide not to sell a real estate asset previously classified as held for sale, the real estate asset is reclassified as held for investment.

reclassification, the real estate asset is measured at the lower of (i) its carrying amount prior to classification as held for sale, adjusted for depreciation expense that would have been recognized had the real estate been classified as held for investment, and (ii) its estimated fair value at the time of reclassification.

As of September 30, 2024, we had three REO assets which were all 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 June 30, 2024 ($ in millions):

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

Loan Type (1)

2 unchanged sentences

1 Senior Loan 4/9/2018 $ 1,487 $ 1,301 $ 1,298 +4.19 % +4.51 % 6/9/2025 New York Office $458 / sqft 48 % 1

2 Senior Loan 8/14/2019 1,052 991 989 +3.08 % +3.72 % 12/23/2024 Dublin - IE Mixed-Use $305 / sqft 74 % 3

2 Senior Loan 6/24/2022 915 915 909 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $416 / sqft 59 % 3

3 Senior Loan 8/14/2019 1,001 912 907 +3.20 % +3.95 % 1/29/2027 Dublin - IE Mixed-Use $266 / sqft 74 % 3

4 Senior Loan 3/22/2018 580 580 580 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4

4 unchanged sentences

8 Senior Loan 12/9/2021 385 377 376 +2.76 % +3.00 % 12/9/2026 New York Mixed-Use $130 / sqft 50 % 2

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 345 341 341 +2.25 % +2.25 % 5/1/2025 New York Office $433 / sqft n/m 5

9 Senior Loan 6/28/2022 675 350 344 +4.60 % +5.06 % 7/9/2029 Austin Mixed-Use $291 / sqft 53 % 3

10 Senior Loan 4/11/2018 345 344 339 +2.25 % +2.25 % 5/1/2025 New York Office $436 / sqft n/m 5

11 Senior Loan 7/15/2021 326 326 325 +4.25 % +4.76 % 7/16/2026 Diversified - EUR Hospitality $249,337 / key 53 % 3

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

12 Senior Loan 5/6/2022 310 310 309 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $98 / sqft 53 % 2

13 Senior Loan 12/11/2018 356 301 302 +1.75 % +1.76 % 12/9/2026 Chicago Office $254 / sqft 78 % 4

14 Senior Loan 9/29/2021 293 287 286 +2.81 % +3.03 % 10/9/2026 Washington, DC Office $374 / sqft 66 % 2

15 Senior Loan 11/30/2018 286 286 256 +2.43 % +2.43 % 8/9/2025 New York Hospitality $306,870 / key n/m 5

16 Senior Loan 10/23/2018 290 286 286 +2.86 % +3.01 % 11/9/2024 Atlanta Mixed-Use $266 / sqft 64 % 2

17 Senior Loan 1/11/2019 283 283 283 +5.10 % +5.06 % 6/14/2028 Diversified - UK Other $280 / sqft 74 % 3

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

19 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

20 Senior Loan 6/8/2022 272 266 265 +7.65 % +7.65 % 6/9/2027 New York Office $1,488 / sqft n/m 5

21 Senior Loan 12/23/2021 345 266 260 +4.25 % +4.97 % 6/24/2028 London - UK Multi $293,500 / unit 59 % 3

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

2 unchanged sentences

11/10/2021 362 255 51 +4.11 % +4.91 % 12/9/2026 San Francisco Life Sciences $473 / 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

25 Senior Loan 9/30/2021 256 235 235 +7.11 % +7.11 % 10/9/2028 Chicago Office $260 / 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

26 Senior Loan 2/23/2022 245 234 233 +2.60 % +2.84 % 3/9/2027 Reno Multi $217,378 / unit 74 % 3

27 Senior Loan 7/16/2021 244 233 232 +3.25 % +3.51 % 2/15/2027 London - UK Multi $240,929 / unit 69 % 2

28 Senior Loan (7)

9/16/2021 227 227 227 +1.63 % +1.63 % 11/9/2025 San Francisco Office $276 / sqft n/m 5

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

30 Senior Loan 1/26/2022 338 220 217 +4.10 % +4.72 % 2/9/2027 Seattle Office $460 / sqft 56 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

31 Senior Loan 7/16/2021 $ 231 $ 220 $ 219 +3.25 % +3.51 % 2/15/2027 London - UK Multi $227,780 / unit 69 % 2

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

31 Senior Loan 6/28/2019 $ 219 $ 219 $ 218 +4.00 % +4.74 % 6/26/2026 London - UK Office $528 / sqft 71 % 3

32 Senior Loan 6/27/2019 214 214 213 +2.80 % +2.93 % 8/15/2026 Berlin - DEU Office $448 / 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

37 Senior Loan 11/23/2018 185 185 185 +2.68 % +3.30 % 8/15/2024 Diversified - UK Office $1,143 / sqft 50 % 3

38 Senior Loan (8)

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

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

34 Senior Loan 7/29/2022 212 201 199 +4.60 % +5.60 % 7/27/2027 London - UK Industrial $265 / sqft 52 % 3

35 Senior Loan (4)

3/17/2022 237 198 252 +2.76 % +2.90 % 6/30/2025 London - UK Office $773 / 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

36 Senior Loan (4)

3/29/2022 224 187 37 +4.50 % +5.65 % 4/9/2027 Miami Multi $317,986 / unit 72 % 3

37 Senior Loan (8)

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

38 Senior Loan 2/15/2022 191 181 174 +2.90 % +2.90 % 3/9/2027 Denver Office $361 / sqft n/m 5

39 Senior Loan 3/9/2022 181 181 180 +2.95 % +3.17 % 8/15/2027 Diversified - UK Retail $154 / sqft 55 % 2

40 Senior Loan 5/13/2021 199 179 179 +3.66 % +3.92 % 6/9/2026 Boston Life Sciences $910 / sqft 64 % 3

41 Senior Loan 1/27/2022 178 177 177 +3.10 % +3.40 % 2/9/2027 Dallas Multi $115,681 / unit 71 % 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 (4)

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

42 Senior Loan 12/21/2021 165 165 165 +2.83 % +3.15 % 4/29/2027 London - UK Industrial $335 / sqft 67 % 3

43 Senior Loan 9/30/2021 191 165 164 +4.00 % +4.67 % 9/30/2026 Diversified - Spain Hospitality $142,607 / key 60 % 3

44 Senior Loan 10/7/2021 165 162 156 +3.25 % +3.25 % 10/9/2025 Los Angeles Office $329 / sqft n/m 5

45 Senior Loan 5/27/2021 184 161 160 +2.31 % +2.57 % 6/9/2026 Atlanta Office $135 / sqft 66 % 4

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

46 Senior Loan 2/20/2019 163 158 158 +4.62 % +4.91 % 2/19/2025 London - UK Office $634 / sqft 61 % 3

47 Senior Loan 1/17/2020 203 157 156 +3.12 % +3.39 % 2/9/2025 New York Mixed-Use $129 / sqft 43 % 3

3 unchanged sentences

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

52 Senior Loan 11/18/2021 151 151 151 +3.25 % +3.51 % 11/18/2026 London - UK Other $191 / sqft 65 % 2

53 Senior Loan 12/20/2019 150 150 150 +3.22 % +3.44 % 12/18/2026 London - UK Office $762 / sqft 75 % 4

1 unchanged sentence

9/30/2021 145 145 195 +2.96 % +3.38 % 10/9/2026 Boca Raton Multi $396,175 / unit 58 % 3

57 Senior Loan 11/18/2021 143 143 143 +3.25 % +3.51 % 11/18/2026 London - UK Other $180 / sqft 65 % 2

58 Senior Loan 12/20/2019 142 142 142 +3.22 % +3.44 % 12/18/2026 London - UK Office $721 / sqft 75 % 4

55 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)

Location Property Type Loan Per

SQFT / Unit / Key Origination

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

56 Senior Loan 12/15/2021 151 136 135 +2.75 % +4.04 % 12/9/2026 Dublin - IE Multi $340,351 / unit 79 % 3

57 Senior Loan 11/23/2018 134 134 132 +3.50 % +3.74 % 11/15/2029 Diversified - UK Office $986 / sqft 50 % 3

58 Senior Loan 8/24/2021 156 133 133 +2.71 % +2.98 % 9/9/2026 San Jose Office $317 / sqft 65 % 4

59 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

60 Senior Loan 5/20/2021 150 126 115 +8.76 % +8.76 % 4/9/2025 San Jose Office $323 / sqft n/m 5

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

61 Senior Loan (4)

12/30/2021 $ 228 $ 125 $ 25 +4.00 % +4.99 % 1/9/2028 Los Angeles Multi $358,199 / unit 50 % 3

62 Senior Loan 3/28/2022 130 124 124 +2.55 % +2.80 % 4/9/2027 Miami Office $336 / sqft 69 % 3

63 Senior Loan 4/6/2021 123 122 122 +7.31 % +7.31 % 10/9/2024 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

64 Senior Loan 8/27/2021 122 121 120 +3.11 % +3.35 % 9/9/2026 San Diego Retail $457 / sqft 58 % 3

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

66 Senior Loan 12/21/2021 120 118 118 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $406 / sqft 68 % 3

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

68 Senior Loan 3/29/2021 118 118 117 +4.02 % +4.28 % 3/29/2026 Diversified - UK Multi $51,427 / unit 61 % 3

69 Senior Loan 7/15/2019 136 115 115 +3.01 % +3.22 % 8/9/2028 Houston Office $208 / sqft 58 % 4

1 unchanged sentence

71 Senior Loan 12/10/2021 135 113 113 +3.11 % +3.42 % 1/9/2027 Miami Office $379 / sqft 49 % 2

75 Senior Loan 3/29/2021 111 111 111 +4.02 % +4.28 % 3/29/2026 Diversified - UK Multi $48,620 / unit 61 % 3

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

73 Senior Loan 9/23/2019 117 109 109 +3.50 % +3.65 % 8/16/2027 Diversified - Spain Hospitality $127,206 / key 62 % 2

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

1 unchanged sentence

76 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 11/27/2019 104 102 102 +2.86 % +3.12 % 12/9/2024 Minneapolis Office $93 / sqft 64 % 4

83 Senior Loan 10/1/2021 101 100 100 +2.86 % +3.13 % 10/1/2026 Phoenix Multi $231,021 / unit 77 % 4

77 Senior Loan 11/27/2019 104 102 102 +2.86 % +2.86 % 12/9/2024 Minneapolis Office $93 / sqft n/m 5

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

79 Senior Loan 1/30/2020 99 98 98 +3.50 % +3.68 % 2/9/2027 Honolulu Hospitality $266,656 / key 63 % 3

80 Senior Loan 3/29/2022 97 97 97 +1.80 % +2.69 % 4/9/2027 Miami Multi $271,118 / unit 75 % 4

81 Senior Loan 10/1/2021 96 96 96 +1.85 % +2.53 % 10/1/2026 Phoenix Multi $222,840 / unit 77 % 4

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

83 Senior Loan 12/21/2018 98 95 88 +2.71 % +2.71 % 12/9/2024 Chicago Office $185 / sqft n/m 5

84 Senior Loan 3/25/2020 94 94 94 +2.40 % +2.66 % 3/31/2025 Diversified - NL Multi $113,747 / unit 65 % 2

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

86 Senior Loan 9/13/2024 94 93 92 +3.25 % +4.11 % 11/9/2027 Seattle Multi $84,456 / unit 67 % 3

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

90 Senior Loan 3/25/2020 91 91 91 +2.40 % +2.66 % 3/31/2025 Diversified - NL Multi $109,436 / unit 65 % 2

88 Senior Loan 12/15/2021 90 90 90 +3.25 % +3.54 % 12/15/2026 Melbourne - AU Multi $65,790 / bed 38 % 1

89 Senior Loan 12/15/2021 91 90 90 +2.96 % +3.22 % 1/9/2027 Charlotte Multi $256,393 / unit 76 % 4

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

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

92 Senior Loan 12/15/2021 91 90 90 +2.96 % +3.22 % 1/9/2027 Charlotte Multi $256,393 / unit 76 % 4

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

91 Senior Loan 6/14/2022 $ 106 $ 88 $ 87 +2.95 % +3.24 % 7/9/2027 San Francisco Mixed-Use $181 / sqft 76 % 4

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

92 Senior Loan 6/25/2021 85 85 86 +2.86 % +3.10 % 7/1/2026 St.

Louis Multi $80,339 / unit 70 % 2

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

93 Senior Loan 7/29/2021 82 82 82 +2.76 % +3.01 % 8/9/2026 Charlotte Multi $223,735 / unit 78 % 3

94 Senior Loan 8/27/2021 79 78 78 +4.35 % +4.59 % 9/9/2026 Diversified - US Hospitality $116,168 / key 67 % 3

101 Senior Loan 11/23/2021 92 77 77 +2.85 % +3.17 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3

95 Senior Loan 12/21/2021 74 72 72 +2.70 % +3.06 % 1/9/2027 Tampa Multi $212,924 / unit 77 % 3

103 Senior Loan 8/14/2019 70 70 70 +2.56 % +2.80 % 9/9/2024 Los Angeles Office $684 / sqft 57 % 3

104 Senior Loan 10/28/2021 69 69 69 +2.66 % +2.86 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3

96 Senior Loan 8/17/2022 79 71 70 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $110 / sqft 72 % 3

97 Senior Loan 8/16/2022 71 70 70 +4.75 % +5.19 % 8/16/2027 London - UK Hospitality $519,177 / key 64 % 3

107 Senior Loan 7/30/2021 67 66 66 +2.61 % +2.87 % 8/9/2026 Los Angeles Multi $171,069 / unit 70 % 1

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

98 Senior Loan 10/28/2021 69 69 69 +2.66 % +2.86 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3

99 Senior Loan 8/14/2019 67 67 67 +4.25 % +4.44 % 12/9/2024 Los Angeles Office $655 / sqft 57 % 3

100 Senior Loan 3/31/2022 70 65 65 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $142,750 / unit 71 % 3

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

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

103 Senior Loan 2/1/2022 84 63 63 +4.50 % +6.68 % 2/1/2027 Diversified - UK Life Sciences $487 / sqft 45 % 3

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

112 Senior Loan 4/15/2021 66 61 60 +3.06 % +3.06 % 5/9/2026 Austin Office $296 / sqft n/m 5

105 Senior Loan 6/30/2021 65 61 61 +2.95 % +3.20 % 7/9/2026 Nashville Office $252 / sqft 71 % 4

106 Senior Loan 4/15/2021 66 61 59 +8.06 % +8.06 % 12/9/2024 Austin Office $297 / sqft n/m 5

107 Senior Loan 12/10/2020 61 59 59 +3.30 % +3.55 % 1/9/2026 Fort Lauderdale Office $205 / sqft 68 % 3

1 unchanged sentence

109 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

110 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

111 Mezzanine Loan (9)

8/31/2017 64 56 39 +2.62 % +2.62 % 9/9/2026 Orange County Office $241 / sqft n/m 5

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

112 Senior Loan 1/21/2022 68 55 54 +8.70 % +8.70 % 2/9/2027 Denver Office $327 / sqft n/m 5

113 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

123 Senior Loan 12/14/2018 54 54 54 +3.01 % +3.28 % 1/9/2025 Diversified - US Industrial $40 / sqft 57 % 1

114 Senior Loan 8/5/2021 56 54 54 +2.96 % +3.21 % 8/9/2026 Denver Office $205 / sqft 70 % 3

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

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

115 Senior Loan 12/14/2018 54 54 54 +3.01 % +3.28 % 1/9/2025 Diversified - US Industrial $40 / sqft 57 % 1

116 Senior Loan 8/22/2019 53 53 53 +2.66 % +2.66 % 3/9/2025 Los Angeles Office $309 / sqft 63 % 4

117 Senior Loan 7/28/2021 53 53 53 +2.75 % +2.99 % 8/9/2026 Los Angeles Multi $303,097 / unit 71 % 3

118 Senior Loan 4/7/2022 57 51 51 +3.25 % +3.48 % 4/9/2027 Denver Office $151 / 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

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

120 Senior Loan 10/21/2022 48 48 48 +4.14 % +4.51 % 10/18/2027 Diversified - DEU Industrial $67 / sqft 74 % 2

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

121 Senior Loan 7/20/2021 $ 48 $ 48 $ 48 +2.86 % +3.11 % 8/9/2026 Los Angeles Multi $366,412 / unit 60 % 3

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

123 Senior Loan 11/30/2016 55 46 46 +3.33 % +3.66 % 12/9/2025 Chicago Retail $804 / sqft 54 % 4

134 Senior Loan 7/30/2021 45 45 45 +2.75 % +2.86 % 8/1/2026 Portland Multi $227,665 / unit 64 % 3

124 Senior Loan 12/8/2021 48 44 43 +2.75 % +2.96 % 12/9/2026 Columbus Multi $142,806 / unit 69 % 2

5 unchanged sentences

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

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

131 Senior Loan 12/23/2021 36 36 35 +1.71 % +2.61 % 11/15/2025 New York Multi $173,924 / 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

132 Senior Loan 12/23/2021 35 35 35 +2.90 % +3.19 % 1/1/2025 Jersey City Multi $111,063 / 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

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

134 Senior Loan 6/29/2021 35 35 35 +3.70 % +5.94 % 1/1/2025 Memphis Multi $95,072 / unit 54 % 2

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

1 unchanged sentence

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

138 Senior Loan 11/19/2020 38 32 32 +3.50 % +3.76 % 12/9/2025 Chicago Multi $184,388 / unit 53 % 1

139 Senior Loan 11/3/2021 32 32 32 +2.71 % +3.05 % 11/9/2026 Atlanta Multi $182,093 / unit 53 % 3

140 Senior Loan 8/12/2021 32 32 32 +6.87 % +6.87 % 9/9/2026 Phoenix Multi $135,705 / unit n/m 5

141 Senior Loan 11/3/2021 31 31 31 +2.71 % +3.05 % 11/9/2026 Dallas Multi $159,752 / unit 52 % 1

142 Senior Loan 11/5/2019 30 30 30 +3.85 % +3.85 % 11/15/2024 Diversified - IT Office $142 / sqft 66 % 2

143 Senior Loan 8/26/2022 29 29 28 +5.45 % +5.03 % 6/23/2029 Melbourne - AU Multi $302,712 / unit 68 % 3

144 Senior Loan 11/19/2020 28 28 28 +3.50 % +3.74 % 12/9/2025 Charlotte Multi $178,019 / unit 61 % 1

145 Senior Loan 10/31/2019 28 28 28 +3.36 % +3.62 % 11/1/2024 Raleigh Multi $137,192 / unit 52 % 1

146 Senior Loan 11/3/2021 27 27 27 +2.71 % +3.05 % 11/9/2026 Dallas Multi $160,023 / unit 57 % 2

147 Senior Loan 10/31/2019 25 25 25 +3.36 % +3.63 % 11/1/2024 Austin Multi $133,333 / unit 52 % 1

148 Senior Loan 8/4/2021 22 22 22 +2.86 % +3.13 % 8/9/2026 Las Vegas Multi $180,000 / unit 73 % 3

149 Senior Loan 6/25/2021 12 12 12 +2.86 % +3.10 % 7/1/2026 St.

Louis Multi $21,273 / unit 63 % 1

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

151 - 166 Senior Loan Various $ 414 $ 406 $ 405 +3.71 % +3.97 % 1.6 yrs Various Various Various 56 % 2.2

CECL reserve (1,011)

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

As of September 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.

1 unchanged sentence

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

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

(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 4.04% as of June 30, 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 3.55% as of September 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