Blackstone Secured Lending Fund 10-Q

Item 3. Quantitative and Qualitative Disclosures About Market Risk. Uncertainty with respect to the economic conditions has introduced significant volatility in the financial markets, and the effect of the volatility could materially impact our market risks. We are subject to financial market risks, including valuation risk and interest rate risk. Our exposure to valuation risk has not materially changed from what was previously disclosed in our Annual Report on Form 10-K for the fiscal year ended December 31, 2023 . Interest Rate Risk Interest rate sensitivity refers to the change in earnings that may result from changes in the level of interest rates. We intend to fund portions of our investments with borrowings, and at such time, our net investment income will be affected by the difference between the rate at which we invest and the rate at which we borrow. Accordingly, we cannot assure shareholders that a significant change in market interest rates will not have a material adverse effect on our net investment income. In a prolonged low interest rate environment, the difference between the total interest income earned on interest earning assets and the total interest expense incurred on interest bearing liabilities may be compressed, reducing our net income and potentially adversely affecting our operating results. Conversely, in a rising interest rate environment, such difference could potentially increase thereby increasing our net income as indicated per the table below. As of June 30, 2024, 99.8 % of our debt investments based on fair value in our portfolio were at floating rates. Based on our consolidated balance sheet as of June 30, 2024, the following table shows the annualized impact on net income of hypothetical base rate changes in interest rates (considering interest rate floors and ceilings for floating rate instruments assuming no changes in our investment and borrowing structure) (dollar amounts in thousands): Interest Income Interest Expense Net Income (1) Up 300 basis points $ 339,050 $ (99,500) $ 239,550 Up 200 basis points 226,034 (66,334) 159,700 Up 100 basis points 113,017 (33,167) 79,850 Down 100 basis points (113,017) 33,167 (79,850) Down 200 basis points (226,034) 66,334 (159,700) (1) Excludes the impact of incentive fees. See “ Item 1. Financial Statements—Notes to Condensed Consolidated Financial Statements—Note 3. Agreements and Related Party Transactions ” for further information.