Blackstone Mortgage Trust, Inc.: Form 10-Q for the period ended Sep 30, 2025

RESULTS OF OPERATIONS

References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us,” or “our” refer to Blackstone Mortgage

Trust, Inc. and its subsidiaries unless the context specifically requires otherwise.

The following discussion and analysis of our financial condition and results of operations should be read in conjunction

with the unaudited consolidated financial statements and notes thereto appearing elsewhere in this Quarterly Report on

Form 10-Q and with our Annual Report on Form 10-K for the year ended December 31, 2024. In addition to historical

data, this discussion and analysis contains forward-looking statements within the meaning of Section 27A of the Securities

Act of 1933, as amended, or the Securities Act, and Section 21E of the Securities Exchange Act of 1934, as amended, or the

Exchange Act, which reflect our current views with respect to, among other things, our business, operations and financial

performance. You can identify these forward-looking statements by the use of words such as “intend,” “goal,” “estimate,”

“expect,” “project,” “projections,” “plans,” “seeks,” “anticipates,” “should,” “could,” “may,” “designed to,”

“foreseeable future,” “believe,” “scheduled,” and similar expressions. Such forward- looking statements are subject to

various risks, uncertainties and assumptions. Our actual results or outcomes may differ materially from those in this

discussion and analysis as a result of various factors, including but not limited to those discussed in Item 1A. Risk Factors

in our Annual Report on Form 10-K for the year ended December 31, 2024 and elsewhere in this Quarterly Report on

Form 10-Q.

Introduction

Blackstone Mortgage Trust is a real estate finance company that originates, acquires, and manages senior loans and other

debt or credit-oriented investments collateralized by or relating to commercial real estate in North America, Europe, and

Australia. Our portfolio is composed primarily of senior loans secured by high-quality, institutional assets located in major

markets, and sponsored by experienced, well-capitalized real estate investment owners and operators. We finance our

investments in a variety of ways, including borrowing under our credit facilities, issuing collateralized loan obligations, or

CLOs, or single-asset securitizations, asset-specific financings, syndicating senior loan participations, and corporate

financing, depending on our view of the most prudent financing option available for each of our investments. We are

externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of Blackstone Inc., or Blackstone, and are a

real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.”

We benefit from the deep knowledge, experience and information advantages of our Manager, which is a part of

Blackstone Real Estate. Blackstone Real Estate is the largest owner of commercial real estate globally with over 12,500

commercial assets and a proven track record of successfully navigating market cycles and emerging stronger through

periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone platform deeply

informs our credit and underwriting process, and we believe gives us the tools to expertly manage the assets in our

portfolio and work with our borrowers throughout periods of economic stress and uncertainty.

We conduct our operations as a REIT for U.S. federal income tax purposes. We generally will not be subject to U.S. federal

income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders

and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an

exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding

company and conduct our business primarily through our various subsidiaries.

Macroeconomic Environment

During the third quarter, real estate transaction activity continued to strengthen as the recovery of commercial real estate

from its cyclical downturn continued, further supported by the decline in construction starts and continuing low supply

(including in sectors in which our portfolio is concentrated, such as multifamily), as well as continuing improvement in the

cost and availability of debt.

The Federal Reserve lowered interest rates in September 2025, and interest rates are likely to continue to decline.

Continued deceleration in inflation should also encourage further lowering of interest rates, which would be constructive

for real estate values. Nevertheless, the timing, direction and extent of any future interest rate changes remain uncertain.

Earlier this year, tariff announcements in the U.S. and ongoing global trade negotiations contributed to significant

uncertainty and volatility of debt and equity markets. More recently, there has been greater clarity in the U.S. policy

environment and lower market volatility. Nevertheless, a resurfacing of policy-driven uncertainty or market volatility could

adversely affect us, our borrowers, their tenants and the value of the real estate assets related to our investments.

58

I. Key Financial Measures and Indicators

As a real estate finance company, we believe the key financial measures and indicators for our business are earnings per

share, dividends declared, Distributable Earnings, Distributable Earnings prior to charge-offs, and book value per share.

For the three months ended September 30, 2025, we recorded basic net earnings per share of $0.37, declared a dividend of

$0.47 per share, reported $0.24 per share of Distributable Earnings, and reported $0.48 per share of Distributable Earnings

prior to charge-offs. In addition, our book value as of September 30, 2025 was $20.99 per share, which is net of cumulative

CECL reserves of $4.16 per share.

As further described below, Distributable Earnings and Distributable Earnings prior to charge-offs are measures that are

not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP.

Distributable Earnings and Distributable Earnings prior to charge-offs helps us to evaluate our performance excluding the

effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan

portfolio and operations. In addition, Distributable Earnings and Distributable Earnings prior to charge-offs are

performance metrics we consider when declaring our dividends.

Earnings Per Share and Dividends Declared

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):

(1) Represents net income attributable to Blackstone Mortgage Trust. Refer to Note 15 to our consolidated financial

statements for the calculation of diluted net (loss) income per share.

Distributable Earnings and Distributable Earnings Prior to Charge-Offs

Distributable Earnings and Distributable Earnings prior to charge-offs of CECL reserves are non-GAAP measures. We

define Distributable Earnings as GAAP net income (loss), including realized gains and losses not otherwise recognized in

current period GAAP net income (loss), and excluding (i) non-cash equity compensation expense, (ii) depreciation and

amortization, (iii) unrealized gains (losses), and (iv) certain non-cash items. Distributable Earnings may also be adjusted

from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as

determined by our Manager, subject to approval by a majority of our independent directors. Distributable Earnings mirrors

the terms of our management agreement between our Manager and us, or our Management Agreement, for purposes of

calculating our incentive fee expense. Therefore, Distributable Earnings prior to charge-offs of CECL reserves is calculated

net of the incentive fee expense that would have been recognized if such charge-offs had not occurred.

Our CECL reserves have been excluded from Distributable Earnings consistent with other unrealized gains (losses)

pursuant to our existing policy for reporting Distributable Earnings. We expect to only recognize such potential credit

losses in Distributable Earnings if and when such amounts are realized and deemed non-recoverable upon a realization

event. This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but

realization and non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due

will not be collected. The timing of any such credit loss realization in our Distributable Earnings may differ materially from

the timing of CECL reserves or charge-offs in our consolidated financial statements prepared in accordance with GAAP.

The realized loss amount reflected in Distributable Earnings will equal the difference between the cash received, or

expected to be received, and the book value of the asset, and is reflective of our economic experience as it relates to the

ultimate realization of the loan.

We believe that Distributable Earnings provides meaningful information to consider in addition to our net income (loss)

and cash flow from operating activities determined in accordance with GAAP. We believe Distributable Earnings is a

useful financial metric for existing and potential future holders of our class A common stock as historically, over time,

Distributable Earnings has been a strong indicator of our dividends per share. As a REIT, we generally must distribute

annually at least 90% of our net taxable income, subject to certain adjustments, and therefore we believe our dividends are

one of the principal reasons stockholders may invest in our class A common stock. Refer to Note 17 to our consolidated

59

financial statements for further discussion of our distribution requirements as a REIT. Further, Distributable Earnings helps

us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not

necessarily indicative of our current loan portfolio and operations, and is a performance metric we consider when declaring

our dividends.

Furthermore, we believe it is useful to present Distributable Earnings prior to charge-offs of CECL reserves to reflect our

direct operating results and help existing and potential future holders of our class A common stock assess the performance

of our business excluding such charge-offs. We utilize Distributable Earnings prior to charge-offs of CECL reserves as an

additional performance metric to consider when declaring our dividends. Distributable Earnings mirrors the terms of our

Management Agreement for purposes of calculating our incentive fee expense. Therefore, Distributable Earnings prior to

charge-offs of CECL reserves is calculated net of the incentive fee expense that would have been recognized if such

charge-offs had not occurred.

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.

60

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):

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

(2) Represents realized losses related to loan principal amounts deemed non-recoverable.

(3) Represents depreciation of REO assets and amortization of intangible real estate assets and liabilities.

(4) Represents realized losses on the repatriation of unhedged foreign currency. These amounts were not included in

GAAP net income, but rather as a component of other comprehensive income in our consolidated financial

statements.

(5) Allocable share of adjustments related to unconsolidated entities reflects our share of non-cash items such as (i)

$(2.3) million of unrealized gains recorded by such unconsolidated entities, (ii) $1.3 million of depreciation and

amortization, and (iii) related adjustments for realized gains, if any.

(6) Represents (i) the non-cash income recognized under GAAP related to our Agency Multifamily Lending

Partnership, in which we receive a portion of origination, servicing, and other fees for loans we refer to MTRCC for

origination, offset by the related loss-sharing obligation accruals and (ii) the cash received related to such income

previously recognized under GAAP. Refer to Note 2 to our consolidated financial statements for further information

on our Agency Multifamily Lending Partnership.

(7) The weighted-average shares outstanding, basic, exclude shares issuable from a potential conversion of our

Convertible Notes then outstanding. Consistent with the treatment of other unrealized adjustments to Distributable

Earnings, these potentially issuable shares are excluded until a conversion occurs. Refer to Note 15 to our

consolidated financial statements for the calculation of diluted net income per share.

61

Book Value Per Share

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

(1) The book value per share excludes shares issuable from a potential conversion of our Convertible Notes then

outstanding. Refer to Note 15 to our consolidated financial statements for the calculation of diluted net income per

share.

II. Investments

Loan Originations

During the three months ended September 30, 2025, we originated or acquired $945.1 million of loans, including our share

of a loan portfolio acquired by our Bank Loan Portfolio Joint Venture.

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

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

(2) Represents our share of loans that were acquired by our Bank Loan Portfolio Joint Venture. This reflects our

aggregate 35% ownership interest in the joint venture, which is included in investments in unconsolidated entities on

our consolidated balance sheets.

Loan Portfolio

Loan Portfolio Activity

During the three months ended September 30, 2025, loan fundings totaled $496.8 million and loan repayments and sales

totaled $1.6 billion. During the three months ended September 30, 2025, we generated interest income of $346.0 million

and incurred interest expense of $247.1 million, which resulted in $98.9 million of net interest income.

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

(1) Excludes amounts held by our Bank Loan Portfolio Joint Venture, which is included in investments in

unconsolidated entities on our consolidated balance sheets.

62

The following table details overall statistics for our loans receivable portfolio ($ in thousands):

(1) Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real

estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will

generally be funded over the term of each loan, subject in certain cases to an expiration date.

(2) 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, CORRA, and other indices as applicable to each investment. As of

September 30, 2025, 98% of our loans by principal balance earned a floating rate of interest, primarily indexed to

SOFR. The remaining 2% of our loans by principal balance earned a fixed rate of interest.

(3) Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other

investments may be repaid prior to such date. Excludes loans accounted for under the cost-recovery and nonaccrual

methods, if any. As of September 30, 2025, 31% of our loans by principal balance were subject to yield maintenance

or other prepayment restrictions and 69% were open to repayment by the borrower without penalty.

(4) Based on LTV as of the dates loans were originated or acquired by us, excluding any loans that are impaired.

The following table details the index rate floors for our loans receivable portfolio as of September 30, 2025 ($ in

thousands):

(1) Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, and Canadian Dollar currencies.

(2) Includes all impaired loans.

(3) As of September 30, 2025, the weighted-average index rate floor of our floating-rate loans receivable principal

balance was 1.25%. Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor

was 1.90%.

63

The following table details the floating benchmark rates for our loans receivable portfolio as of September 30, 2025 (loans

receivable principal balance amounts in thousands):

(1) We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash

flows in terms of the U.S. dollar. We earn forward points on our forward contracts that reflect the interest rate

differentials between the applicable base rate for our foreign currency investments and prevailing U.S. interest rates.

These forward contracts effectively convert the foreign currency rate exposure for such investments to USD-

equivalent interest rates.

(2) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan

origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the

cost-recovery and nonaccrual methods, if any.

(3) Includes floating rate loans indexed to STIBOR, CORRA, and BBSY indices.

64

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

2025:

Geographic Diversification

(Net Loan Exposure)(1)

Collateral Diversification

(Net Loan Exposure)(1)(2)

(1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of September 30,

2025, which is our principal balance net of (i) $629.9 million of asset-specific debt, (ii) $69.2 million of cost-

recovery proceeds, and (iii) our total loans receivable CECL reserve of $695.7 million. Our asset-specific debt is

structurally non-recourse and term-matched to the corresponding collateral loans. Geographic locations that

represent less than 1% of net loan exposure are excluded from the chart.

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

each collateral type.

Refer to section VI of this Item 2 for details of our loan portfolio, on a loan-by-loan basis.

Portfolio Management

As of September 30, 2025, 96% of our loans were performing with risk ratings of “1” through “4,” and the remaining 4%

were impaired with a risk rating of “5.” As of September 30, 2025, all borrowers under performing loans were in

compliance with the applicable contractual terms of each respective loan, including any required payment of interest. We

believe this demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our

borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-

capitalized, and experienced sponsors.

We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the

performance of our portfolio, including during periods of volatility. We believe that we benefit from these relationships and

from our long-standing core business model of originating senior loans collateralized by large assets in major markets with

experienced, well-capitalized institutional sponsors. 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, 2025, we had an aggregate $505.4 million asset-specific CECL reserve related to

65

12 of our loans receivable, with an aggregate amortized cost basis of $1.2 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, 2025.

Our portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information

advantages derived from our position as part of Blackstone Real Estate’s real estate platform. Blackstone Real Estate is the

largest owner of commercial real estate globally with over 12,500 commercial assets and a proven track record of

successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate

expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and

gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic

stress and uncertainty.

As discussed in Note 2 to our consolidated financial statements, we perform a quarterly review of our loan portfolio, assess

the performance of each loan, and assign 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 September 30, 2025 and December 31, 2024.

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

thousands):

(1) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of September 30,

2025, which is our principal balance net of (i) $629.9 million of asset-specific debt, (ii) $69.2 million of cost-

recovery proceeds, and (iii) our total loans receivable CECL reserve of $695.7 million. Our asset-specific debt is

structurally non-recourse and term-matched to the corresponding collateral loans.

Current Expected Credit Loss Reserve

The CECL reserves required by GAAP reflect our current estimate of potential credit losses related to our loans and notes

receivable included in our consolidated balance sheets. Other than a few narrow exceptions, GAAP requires that all

financial instruments subject to the CECL model have some amount of loss reserve to reflect the principle underlying the

CECL model that all loans and similar assets have some inherent risk of loss, regardless of credit quality, subordinate

capital, or other mitigating factors.

During the three months ended September 30, 2025, we recorded a net decrease of $45.1 million in the CECL reserves

against our loans receivable portfolio, primarily driven by a $53.4 million decrease in our asset-specific CECL reserves,

including charge-offs of our CECL reserves of $42.1 million. This was offset by an $8.2 million increase in our general

CECL reserves, bringing our total loans receivable CECL reserve to $695.7 million as of September 30, 2025. The increase

in our general CECL reserves was primarily as a result of an increase in the historical loss rate used in reserve calculations

as a result of additional CECL charge-offs.

The charge-offs primarily related to two previously impaired loans secured by a hospitality asset in New York, NY and an

office asset in Atlanta, GA, that were resolved and transferred to REO during the three months ended September 30, 2025

pursuant to loan modifications that resulted in us consolidating the collateral assets. Refer to Notes 4 and 20 for further

information.

As of September 30, 2025, we had an aggregate $505.4 million asset-specific CECL reserve related to 12 of our loans

66

receivable, with an aggregate amortized cost basis of $1.2 billion, net of cost-recovery proceeds, and a concentration in the

office sector with $382.2 million of reserves, generally driven by reduced tenant and capital markets demand in the office

sector in recent years. 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. 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, 2025.

No income was recorded on our impaired loans subsequent to determining that they were impaired. During the three and

nine months ended September 30, 2025, we received an aggregate $9.7 million and $39.4 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, 2025, all borrowers under performing loans were in compliance with the applicable contractual terms

of each respective loan, 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.

Real Estate Owned

As part of our portfolio management strategy to maximize economic outcomes, we may hold certain real estate owned, or

REO, assets resulting from transactions in which we assume legal title, physical possession, or control of the collateral

underlying a loan through a foreclosure, a deed-in-lieu of foreclosure transaction, or a loan modification in which we

receive an equity interest in and/or control over decision-making at the property. As of September 30, 2025, we had 10

REO assets with an aggregate carrying value of $1.0 billion.

Multifamily Joint Venture

As of September 30, 2025, our Multifamily Joint Venture held a $43.3 million loan, which is included in the loan

disclosures above. As of September 30, 2025, our Multifamily Joint Venture also held a $32.1 million REO asset. Refer to

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

Agency Multifamily Lending Partnership

In the second quarter of 2024, we entered into our Agency Multifamily Lending Partnership that allows 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 for loans that we refer to MTRCC for origination under both

the Fannie Mae and Freddie Mac programs. Additionally, we will share in losses with MTRCC and Fannie Mae on loans

that we refer to MTRCC for origination under the Fannie Mae program. During the nine months ended September 30,

2025, we referred one loan to MTRCC.

Net Lease Joint Venture

In the fourth quarter of 2024, we entered into our Net Lease Joint Venture with a Blackstone-advised investment vehicle to

invest in triple net lease properties. Our investment in the joint venture is recorded on our consolidated balance sheets as an

investment in unconsolidated entities. As of September 30, 2025, our investment in unconsolidated entities related to the

joint venture totaled $77.7 million. During the nine months ended September 30, 2025 we contributed $76.4 million to the

joint venture, did not receive any distributions, and recorded a $1.6 million loss from unconsolidated entities in our

consolidated statements of operations.

Bank Loan Portfolio Joint Venture

In the second quarter of 2025, we entered into our Bank Loan Portfolio Joint Venture with a Blackstone-advised

investment vehicle. In the second quarter of 2025, the Bank Loan Portfolio Joint Venture acquired a $1.4 billion portfolio

of 171 performing senior commercial real estate loans from a regional bank. The loans are secured primarily by retail and

multifamily properties located across various markets in the Mid-Atlantic region, are primarily fixed rate, and were

acquired at a discount to par. In the third quarter of 2025, the Bank Loan Portfolio Joint Venture acquired a $606.0 million

portfolio of 425 performing senior commercial real estate loans from a regional bank. The loans are secured primarily by

net lease retail assets located throughout the United States, are fixed rate, and were acquired at a discount to par. We have

an aggregate 35% ownership interest in the joint venture as of September 30, 2025.

67

Our Bank Loan Portfolio Joint Venture is recorded on our consolidated balance sheets as an investment in unconsolidated

entities. As of September 30, 2025, our investment in the joint venture totaled $104.9 million. During the nine months

ended September 30, 2025, we contributed $102.3 million to the joint venture, did not receive any distributions, and

recorded $2.6 million of income from unconsolidated entities in our consolidated statements of operations.

Loan Portfolio Financing

Our loan portfolio financing consists of secured debt, securitizations, and asset-specific debt. The following table details

our portfolio financing ($ in thousands):

Secured Debt

The following table details our secured credit facilities by spread over the applicable base rates as of September 30, 2025 ($

in thousands):

(1) The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include

SOFR, SONIA, EURIBOR, CORRA, and other indices as applicable.

(2) Represents the amount of new borrowings we closed during the nine months ended September 30, 2025.

(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, and REO assets.

(4) Represents the weighted-average all-in cost as of September 30, 2025 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.

68

Securitizations

We have financed certain pools of our loans through CLOs. The following table details our securitized debt obligations and

the underlying collateral assets that are financed by our CLOs ($ in thousands):

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

(2) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan

origination costs, purchase discounts, and accrual of exit fees.

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

accounted for under the cost-recovery and nonaccrual methods, if any, and REO assets.

(4) Underlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all

extension options are exercised by the borrower, and excludes REO assets. Repayments of securitized debt

obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents

the rated final distribution date of the securitizations.

(5) During the three and nine months ended September 30, 2025, we recorded $40.0 million and $107.8 million,

respectively, of interest expense related to our securitized debt obligations.

Refer to Note 8 and Note 20 to our consolidated financial statements for additional details of our securitized debt

obligations.

69

Asset-Specific Debt

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

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

(2) The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates,

which include SOFR and CORRA, as applicable. These floating rate loans and related liabilities are currency and

index-matched to the applicable benchmark rate relevant in each arrangement. In addition to cash coupon, yield/cost

includes the amortization of deferred origination fees and financing costs.

(3) The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all

extension options are exercised by the borrower. Our non-recourse, asset-specific debt is term-matched in each case

to the corresponding collateral loans.

Corporate Financing

The following table details our outstanding corporate financing ($ in thousands):

70

The following table details our outstanding senior term loan facilities, or Term Loans, our outstanding Senior Secured

Notes, or Senior Secured Notes, and convertible senior notes, or Convertible Notes, as of September 30, 2025 ($ in

thousands):

(1) The B-6 Term Loan and the B-7 Term Loan borrowings are subject to a benchmark interest rate floor of 0.50%. The

Term Loans are indexed to one-month SOFR.

(2) Includes issue discounts, transaction expenses, and/or issuance costs, as applicable, that are amortized through

interest expense over the life of each respective financing.

(3) Represents the stated coupon rate of the notes. We have entered into an interest rate swap that effectively converts

our fixed rate exposure to a SOFR + 3.95% floating rate exposure. Refer to Note 12 to our consolidated financial

statements for further information.

(4) The conversion price of the Convertible Notes is $36.27, which represents the price of class A common stock per

share based on a conversion rate of 27.5702. The conversion rate represents the number of shares of class A

common stock issuable per $1,000 principal amount of Convertible Notes. The cumulative dividend threshold has

not been exceeded as of September 30, 2025.

Refer to Note 2, Note 11, Note 12, and Note 13 to our consolidated financial statements for further discussion of our Term

Loans, Senior Secured Notes, and Convertible Notes.

Floating Rate Loan Portfolio

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

will decrease net income. As of September 30, 2025, 98% of our loans by principal balance earned a floating rate of

interest, primarily indexed to SOFR, 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.

71

The following table details our investment portfolio’s exposure to interest rates by currency as of September 30, 2025

(amounts in thousands):

(1) Includes Australian Dollar, Canadian Dollar, and Swedish Krona currencies.

(2) Our floating rate loans and related liabilities are currency and index-matched to the applicable benchmark rate

relevant in each arrangement.

(3) Excludes $1.2 billion of floating rate impaired loans.

(4) Our loan agreements generally require our borrowers to purchase interest rate caps, which mitigates our borrowers’

exposure to an increase in interest rates.

(5) Excludes amounts related to our investments in unconsolidated entities.

(6) Includes amounts outstanding under secured debt, securitizations, and asset-specific debt. Excludes amounts related

to the indebtedness of our unconsolidated entities.

(7) Includes amounts outstanding under Term Loans and the December 2024 Senior Secured Notes. In connection with

the issuance of the December 2024 Senior Secured Notes, we entered into an interest rate swap with a notional

amount of $450.0 million to effectively convert our fixed rate exposure to floating rate exposure for such notes.

(8) Represents the U.S. dollar equivalent as of September 30, 2025.

In addition to the risks related to fluctuations in cash flows and asset values associated with movements in interest rates,

there is also the risk of non-performance on floating rate assets. In the case of a significant increase in interest rates, the

cash flows of the collateral real estate assets may not be sufficient to pay debt service due under our loans, which may

contribute to non-performance or, in severe cases, default. This risk is partially mitigated by our consideration of rising rate

stress-testing during our underwriting process, which generally includes a requirement for our borrower to purchase an

interest rate cap contract with an unaffiliated third party, provide an interest reserve deposit, and/or provide interest

guarantees or other structural protections. During the nine months ended September 30, 2025, interest rate caps on

$6.5 billion of performing loans, with a 3.7% weighted-average strike price, expired and 93% were replaced with new

interest rate caps, with a weighted-average strike price of 3.8%, or interest guarantees.

72

III. Our Results of Operations

Operating Results

The following table sets forth information regarding our consolidated results of operations for the three months ended

September 30, 2025 and June 30, 2025 ($ in thousands, except per share data):

Income from loans and other investments, net

Income from loans and other investments, net increased $4.1 million during the three months ended September 30, 2025

compared to the three months ended June 30, 2025. The increase was primarily driven by (i) a $555.4 million decrease in

the weighted-average principal balance of our outstanding financing arrangements during the three months ended

September 30, 2025 compared to the three months ended June 30, 2025, and (ii) a $3.8 million increase as a result of the

receipt of unaccrued default interest upon repayment of a loan that was previously in maturity default during the three

months ended September 30, 2025. This was offset by a decrease in the weighted-average principal balance of our loan

portfolio by $681.2 million during the three months ended September 30, 2025.

Revenue from real estate owned

Revenue from REO decreased by $5.1 million during the three months ended September 30, 2025 compared to the three

months ended June 30, 2025. The decrease was primarily due to seasonality of the operations at our hospitality assets.

73

Other income

Other income relates to origination, servicing, and other fees recognized in connection with our Agency Multifamily

Lending Partnership. Other income decreased by $157,000 during the three months ended September 30, 2025 compared to

the three months ended June 30, 2025, as a result of no loan referrals pursuant to the Agency Multifamily Lending

Partnership during the three months ended September 30, 2025 that were originated and sold by MTRCC, compared to one

corresponding loan referral during the three months ended June 30, 2025.

Expenses

Expenses include management and incentive fees payable to our Manager, general and administrative expenses, expenses

from real estate owned, and other expenses. Expenses decreased by $5.7 million during the three months ended

September 30, 2025 compared to the three months ended June 30, 2025 primarily due to (i) a decrease in expenses from

real estate owned primarily due to lower operating expenses at certain of our REO assets, and (ii) a decrease in general and

administrative expenses, primarily due to lower professional services expenses.

Changes in current expected credit loss reserve

During the three months ended September 30, 2025, we recorded a $1.0 million decrease in our CECL reserves, as

compared to a $45.6 million increase during the three months ended June 30, 2025. The decrease during the three months

ended September 30, 2025 is primarily due to a $53.4 million decrease in our asset-specific CECL reserves, primarily as a

result of the resolution of two previously impaired loans. The charge-offs primarily related to two previously impaired

loans secured by a hospitality asset in New York, NY and an office asset in Atlanta, GA, that were resolved and transferred

to REO during the three months ended September 30, 2025 pursuant to loan modifications that resulted in us consolidating

the collateral assets. This decrease was partially offset by an $8.2 million increase in our general CECL reserves driven by

an increase in the historical loss rate used in reserve calculations as a result of additional CECL charge-offs.

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, 2025.

Income (loss) from unconsolidated entities

During the three months ended September 30, 2025, we recorded income from unconsolidated entities of $3.9 million

compared to a loss of $2.0 million during the three months ended June 30, 2025. This increase was primarily due to our

share of income from our Bank Loan Portfolio Joint Venture as the three months ended September 30, 2025 reflected a full

quarter of income recognition related to the portfolio our Bank Loan Portfolio Joint Venture acquired in June.

Income tax provision

The income tax provision increased by $609,000 during the three months ended September 30, 2025 compared to the three

months ended June 30, 2025 primarily due to an increase in the income tax provisions related to our taxable REIT

subsidiaries.

Dividends per share

During the three months ended September 30, 2025, we declared dividends of $0.47 per share, or $80.2 million in

aggregate. During the three months ended June 30, 2025, we declared dividends of $0.47 per share, or $80.6 million in

aggregate.

74

The following table sets forth information regarding our consolidated results of operations for the nine months ended

September 30, 2025 and 2024 ($ in thousands, except per share data):

Income from loans and other investments, net

Income from loans and other investments, net decreased $94.0 million during the nine months ended September 30, 2025

compared to the nine months ended September 30, 2024. The decrease was primarily due to (i) a decrease in average

floating rate indices during the nine months ended September 30, 2025 compared to the nine months ended September 30,

2024, (ii) a $3.9 billion decrease in the weighted-average principal balance of our loan portfolio during the nine months

ended September 30, 2025 compared to the nine months ended September 30, 2024, and (iii) a decline in interest income

related to additional loans accounted for under the cost-recovery method or loans that are now accounted for as REO assets

during the nine months ended September 30, 2025 compared to the nine months ended September 30, 2024. This was

offset by a $2.6 billion decrease in the weighted-average principal balance of our outstanding financing arrangements

during the nine months ended September 30, 2025 compared to the nine months ended September 30, 2024.

Revenue from real estate owned

Revenue from REO increased by $108.4 million during the nine months ended September 30, 2025 compared to the nine

months ended September 30, 2024 due to the acquisition of seven additional REO assets.

75

Gain on extinguishment of debt

Gain on extinguishment of debt decreased by $5.4 million during the nine months ended September 30, 2025 compared to

the nine months ended September 30, 2024. There was no debt repurchase activity during the nine months ended

September 30, 2025. During the nine months ended September 30, 2024 we recognized a 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.

Expenses

Expenses include management and incentive fees payable to our Manager, general and administrative expenses, expenses

from real estate owned, and other expenses. Expenses increased by $126.5 million during the nine months ended

September 30, 2025 compared to the nine months ended September 30, 2024, primarily due to a $133.6 million increase in

expenses from real estate owned due to the acquisition of seven additional REO assets. This was partially offset by (i) a

$5.1 million decrease in management fees payable to our Manager, driven primarily by lower Distributable Earnings, and

(ii) a $1.9 million decrease in general and administrative expenses primarily due to a $2.3 million decrease in non-cash

restricted stock amortization related to shares awarded under our long-term incentive plans.

Changes in current expected credit loss reserve

During the nine months ended September 30, 2025, we recorded a $94.1 million increase in our CECL reserves, as

compared to a $519.7 million increase during the nine months ended September 30, 2024. The increase during the nine

months ended September 30, 2025 is primarily due to an increase in our asset-specific CECL reserves, primarily as a result

of three additional loans that were impaired during the nine months ended September 30, 2025. Two of the loans that were

impaired during the nine months ended September 30, 2025 were secured by office assets, and one was secured by a life

sciences / studio asset. The office sector has generally faced reduced tenant and capital markets demand in recent years.

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. Additionally, we recorded an increase in our general CECL reserves as a result of changes in the

historical loss rate.

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, 2025.

Income from unconsolidated entities

Income from unconsolidated entities of $1.0 million primarily represents our share of income from our Bank Loan

Portfolio Joint Venture, offset by the acquisition costs incurred by our Bank Loan Portfolio Joint Venture in acquiring two

portfolios of commercial mortgage loans during the nine months ended September 30, 2025. Additionally, this represents

our share of the loss incurred by the Net Lease Joint Venture during the nine months ended September 30, 2025, driven by

depreciation of the underlying real estate assets owned by the Net Lease Joint Venture. There was no income or loss from

unconsolidated entities during the nine months ended September 30, 2024.

Income tax provision

The income tax provision increased by $301,000 during the nine months ended September 30, 2025 as compared to the

nine months ended September 30, 2024, due to an increase in the income tax provisions related to our taxable REIT

subsidiaries.

Dividends per share

During the nine months ended September 30, 2025, we declared dividends of $1.41 per share, or $241.5 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.

76

IV. Liquidity and Capital Resources

Capitalization

We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock,

corporate debt, and asset-level financings. As of September 30, 2025, our capitalization structure included $3.6 billion of

common equity, $2.9 billion of corporate debt, and $12.7 billion of asset-level financings. Our $2.9 billion of corporate

debt includes $1.8 billion of Term Loan borrowings, $785.3 million of Senior Secured Notes, and $266.2 million of

Convertible Notes. Our $12.7 billion of asset-level financings includes $9.5 billion of secured debt, $2.5 billion of

securitizations, and $629.9 million of asset-specific debt, all of which are structured to produce term, currency, and index

matched funding with no margin call provisions based upon capital markets events.

As of September 30, 2025, we had $1.3 billion of liquidity that can be used to satisfy our short-term cash requirements and

as working capital for our business.

See Notes 7, 8, 9, 11, 12, and 13 to our consolidated financial statements for additional details regarding our secured debt,

securitized debt obligations, asset-specific debt, Term Loans, Senior Secured Notes, and Convertible Notes, respectively.

Debt-to-Equity Ratio and Total Leverage Ratio

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

(1) The debt and leverage amounts included in the calculations above use gross outstanding principal balances,

excluding any unamortized deferred financing costs and discounts.

(2) Represents, in each case at period end, the ratio of (i) total outstanding secured debt, asset-specific debt, Term

Loans, Senior Secured Notes, and convertible notes, less cash, to (ii) total equity.

(3) Represents, in each case at period end, the ratio of (i) total outstanding secured debt, asset-specific debt, Term

Loans, Senior Secured Notes, and convertible notes, less cash, to (ii) Adjusted Equity. Adjusted Equity is a non-

GAAP financial measure. Refer to “Adjusted Debt-to-Equity Ratio and Adjusted Total Leverage Ratio” below for

the definition of Adjusted Equity and a reconciliation to total equity.

(4) Represents, in each case at period end, the ratio of (i) total outstanding secured debt, securitizations, asset-specific

debt, Term Loans, Senior Secured Notes, and convertible notes, less cash, to (ii) total equity.

(5) Represents, in each case at period end, the ratio of (i) total outstanding secured debt, securitizations, asset-specific

debt, Term Loans, Senior Secured Notes, and convertible notes, less cash, to (ii) Adjusted Equity. Adjusted Equity is

a non-GAAP financial measure. Refer to “Adjusted Debt-to-Equity Ratio and Adjusted Total Leverage Ratio” below

for the definition of Adjusted Equity and a reconciliation to total equity.

Adjusted Debt-to-Equity Ratio and Adjusted Total Leverage Ratio

Our adjusted debt-to-equity and total leverage ratios are measures that are not prepared in accordance with GAAP, as they

are calculated using Adjusted Equity, which we define as our total equity, excluding the aggregate CECL reserves on our

loans receivable and unfunded loan commitments.

We believe that Adjusted Equity provides meaningful information to consider in addition to our total equity determined in

accordance with GAAP in the context of assessing our debt-to-equity and total leverage ratios. The adjusted debt-to-equity

and total leverage ratios are metrics we use, in addition to our unadjusted debt-to-equity and total leverage ratios, when

evaluating our capitalization structure, as Adjusted Equity excludes the unrealized impact of our CECL reserves, which

may vary from quarter-to-quarter as our loan portfolio changes and market and economic conditions evolve. We believe

these ratios, and therefore our Adjusted Equity, are useful financial metrics for existing and potential future holders of our

77

class A common stock to consider when evaluating how our business is capitalized and the relative amount of leverage in

our business.

Adjusted Equity does not represent our total equity and should not be considered as an alternate to GAAP total equity. In

addition, our methodology for calculating Adjusted Equity may differ from methodologies employed by other companies

to calculate the same or similar supplemental measures, and accordingly, our reported Adjusted Equity may not be

comparable to the Adjusted Equity reported by other companies.

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

Sources of Liquidity

Our primary sources of liquidity include cash and cash equivalents, available borrowings under our secured debt facilities,

and net receivables from servicers related to loan repayments, which are set forth in the following table ($ in thousands):

(1) Represents loan principal payments held by our third-party servicer as of the balance sheet date which were remitted

to us during the subsequent remittance cycle, net of the related secured debt balance.

During the nine months ended September 30, 2025, we generated cash flow from operating activities of $139.6 million and

received $4.8 billion from loan principal collections, sales proceeds, and cost-recovery proceeds. Furthermore, we are able

to generate incremental liquidity through provisions of certain of our CLOs, which allow us to effectively replace a repaid

loan in the CLO by replenishment, increasing the principal amount of existing CLO collateral assets, or reinvestment,

purchasing an equal amount of new eligible CLO collateral, to maintain the aggregate amount of collateral assets in the

CLO, and the related financing outstanding.

We have access to further liquidity through public and private offerings of equity and debt securities, syndicated term

loans, and similar transactions. To facilitate public offerings, in July 2025, we filed a shelf registration statement with the

SEC that is effective for a term of three years and expires in July 2028. The amount of securities to be issued pursuant to

this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of

securities we may issue. The securities covered by this registration statement include: (i) class A common stock; (ii)

preferred stock; (iii) depositary shares representing preferred stock; (iv) debt securities; (v) warrants; (vi) subscription

rights; (vii) purchase contracts; and (viii) units consisting of one or more of such securities or any combination of these

securities. The specifics of any future offerings, along with the use of proceeds of any securities offered, will be described

in detail in a prospectus supplement, or other offering materials, at the time of any offering.

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which

9,966,682 shares of class A common stock were available for issuance as of September 30, 2025, 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, 2025. Refer to Note 15 to our consolidated financial statements for additional

details.

78

Uses of Liquidity

In addition to funding our lending and other investment activity and our general operating expenses, our primary uses of

liquidity include interest and principal payments with respect to our $9.5 billion of outstanding borrowings under secured

debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes.

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, in agreements and arrangements structured in a manner consistent with Rules 10b-18 and 10b5-1 under the

Exchange Act 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.

During the nine months ended September 30, 2025, we repurchased 2,653,583 shares of class A common stock at a

weighted-average price per share of $17.97, for a total cost of $47.7 million. As of September 30, 2025, the amount

remaining available for repurchases under the program was $73.1 million. In October 2025, we repurchased an additional

3,336,416 shares of class A common stock at a weighted-average price per share of $18.38, for a total cost of

$61.3 million, such that the amount remaining available for repurchases under the program was $11.6 million. Following

these repurchases, our board of directors amended the program, such that, as of the date of this filing, we are authorized to

repurchase up to $150.0 million of our class A common stock under the program, as amended.

From time to time we have repurchased and may continue to repurchase our outstanding debt or shares of our class A

common stock. Such repurchases, if any, will depend on prevailing market conditions, our liquidity requirements,

contractual restrictions, and other factors. The amounts involved in any such purchase transactions, individually or in the

aggregate, may be material.

As of September 30, 2025, we had unfunded commitments of $1.5 billion related to 57 loans receivable and $800.1 million

of committed or identified financing for those commitments resulting in net unfunded commitments of $732.3 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. We expect to fund our loan commitments over the remaining term of the related loans, which

have a weighted-average future funding period of 2.1 years.

79

Contractual Obligations and Commitments

Our contractual obligations and commitments as of September 30, 2025 were as follows ($ in thousands):

(1) Represents known and estimated short-term cash requirements related to our contractual obligations and

commitments. Refer to “Sources of Liquidity” above for information about our sources of funds to satisfy our short-

term cash requirements.

(2) The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the

final loan maturity date, however we may be obligated to fund these commitments earlier than such date.

(3) Our secured debt and asset-specific debt agreements are generally term-matched to their underlying collateral.

Therefore, the allocation of both principal and interest payments under such agreements is generally allocated based

on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

In limited instances, the maturity date of the respective debt agreement is used.

(4) The Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the initial principal balance

due in quarterly installments. Refer to Note 11 to our consolidated financial statements for further details on our

Term Loans.

(5) Reflects the outstanding principal balance of Convertible Notes, excluding any potential conversion premium. Refer

to Note 13 to our consolidated financial statements for further details on our Convertible Notes.

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

convertible notes. Future interest payment obligations are estimated assuming the interest rates in effect as of

September 30, 2025 will remain constant into the future. This is only an estimate as actual amounts borrowed and

interest rates will vary over time.

(7) Total does not include $2.5 billion of consolidated securitized debt obligations, as the satisfaction of these liabilities

will not require cash outlays from us.

We are also required to settle our foreign exchange and interest rate derivatives with our derivative counterparties upon

maturity which, depending on foreign currency exchange and interest rate movements, may result in cash received from or

due to such counterparties. The table above does not include these amounts as they are not fixed and determinable. Refer to

Note 14 to our consolidated financial statements for details regarding our derivative contracts.

We are required to pay our Manager a base management fee, an incentive fee, and reimbursements for certain expenses

pursuant to our Management Agreement. The table above does not include the amounts payable to our Manager under our

Management Agreement as they are not fixed and determinable. Refer to Note 16 to our consolidated financial statements

for additional terms and details of the fees payable under our Management Agreement.

As a REIT, we generally must distribute substantially all of our net taxable income to stockholders in the form of dividends

to comply with the REIT provisions of the Internal Revenue Code. Our taxable income does not necessarily equal our net

income as calculated in accordance with GAAP, or our Distributable Earnings as described above.

80

Cash Flows

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

We experienced a net increase in cash and cash equivalents of $47.0 million for the nine months ended September 30,

2025, compared to a net decrease of $26.5 million for the nine months ended September 30, 2024. During the nine months

ended September 30, 2025, we (i) received $4.8 billion from loan principal collections and sales proceeds, (ii) received

$831.3 million of net proceeds from the issuance of a securitized debt obligation, and (iii) received a net $50.0 million

under our secured term loan borrowings. Also, during the nine months ended September 30, 2025, we (i) funded

$3.9 billion of loans, (ii) repaid a net $601.8 million of asset-specific financings, (iii) repaid a net $342.9 million under our

secured debt borrowings, (iv) paid $242.5 million of dividends on our class A common stock, (v) repaid $193.3 million of

securitized debt obligations, (vi) invested $178.7 million in unconsolidated entities, and (vii) paid $47.8 million to

repurchase shares of our class A common stock.

Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Notes 7, 8, and

15 to our consolidated financial statements for further discussion of our secured debt, securitized debt obligations, and

equity, respectively.

V. Other Items

Income Taxes

We have elected to be taxed as a REIT under the Internal Revenue Code for U.S. federal income tax purposes. We

generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any

net capital gain, in order for U.S. federal income tax not to apply to our earnings. To the extent that we satisfy this

distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S. federal income

tax on our undistributed taxable income. In addition, we will be subject to a 4% nondeductible excise tax if the actual

amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal

tax laws.

Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal

Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to

the nature of our assets and the sources of our income. Even if we qualify as a REIT, we may be subject to certain U.S.

federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification

as a REIT for any taxable year, we may be subject to material penalties as well as federal, state, and local income tax on

our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full

taxable years. As of September 30, 2025 and December 31, 2024, we were in compliance with all REIT requirements.

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

Refer to Note 17 to our consolidated financial statements for further discussion of our income taxes.

Critical Accounting Policies

Our discussion and analysis of our financial condition and results of operations is based upon our consolidated financial

statements, which have been prepared in accordance with GAAP. The preparation of these financial statements requires us

to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenue and expenses, and related

disclosure of contingent assets and liabilities. Actual results could differ from these estimates. We evaluated our critical

accounting policies and believe them to be appropriate. The following is a summary of our significant accounting policies

that we believe are the most affected by our judgments, estimates, and assumptions:

81

Current Expected Credit Losses

The current expected credit loss, or CECL, reserve required under the FASB Accounting Standards Codification, or ASC,

Topic 326 “Financial Instruments – Credit Losses,” or ASC 326, reflects our current estimate of potential credit losses

related to our portfolio. We estimate our CECL reserves primarily using the Weighted-Average Remaining Maturity, or

WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial

Accounting Standards Board Staff Q&A Topic 326, No. 1. Estimating the CECL reserve requires judgment, including the

following assumptions:

• Historical loan loss reference data: To estimate the historic loan losses relevant to our portfolio, we have

augmented our historical loan performance with market loan loss data licensed from Trepp LLC. This database

includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through August 31,

2025. Within this database, we focused our historical loss reference calculations on the most relevant subset of

available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio

including asset type, geography, and origination loan-to-value, or LTV. We believe this CMBS data, which

includes month-over-month loan and property performance, is the most relevant, available, and comparable

dataset to our portfolio.

• Expected timing and amount of future loan fundings and repayments: Expected credit losses are estimated over

the contractual term of each loan, adjusted for expected repayments. As part of our quarterly review of our loan

portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for

purposes of computing our CECL reserves. Additionally, the expected credit losses over the contractual period of

our loans are subject to the obligation to extend credit through our unfunded loan commitments. The CECL

reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future

funding obligations over the estimated life of the loan. The considerations in estimating our CECL reserve for

unfunded loan commitments are similar to those used for the related outstanding loans receivable.

• Current credit quality of our portfolio: Our risk rating is our primary credit quality indicator in assessing our

CECL reserves. We perform a quarterly risk review of our portfolio of loans and assign each loan a risk rating

based on a variety of factors, including, without limitation, origination LTV, debt yield, property type, geographic

and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and

exit plan, and project sponsorship.

• Expectations of performance and market conditions: Our CECL reserves are adjusted to reflect our estimation of

the current and future economic conditions that impact the performance of the commercial real estate assets

securing our loans. These estimations include unemployment rates, interest rates, expectations of inflation and/or

recession, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for

our loans during their anticipated term. In addition to the CMBS data we have licensed from Trepp LLC, we have

also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that

broader economic conditions may have on our loan portfolio’s performance. We generally also incorporate

information from other sources, including information and opinions available to our Manager, to further inform

these estimations. This process requires significant judgments about future events that, while based on the

information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic

condition impacting our portfolio could vary significantly from the estimates we made as of September 30, 2025.

• Impairment: impairment is indicated when it is deemed probable that we will not be able to collect all amounts

due to us pursuant to the contractual terms of the loan. Determining that a loan is impaired requires significant

judgment from management and is based on several factors including (i) the underlying collateral performance,

(ii) discussions with the borrower, (iii) borrower events of default, and (iv) other facts that impact the borrower’s

ability to pay the contractual amounts due under the terms of the loan. If a loan is determined to be impaired, we

record the impairment as a component of our CECL reserves by applying the practical expedient for collateral

dependent loans. The CECL reserves are assessed on an individual basis for these loans by comparing the

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

valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates,

leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan

sponsorship, actions of other lenders, and other factors deemed relevant by us. Actual losses, if any, could

ultimately differ materially from these estimates. We only expect to charge off the impairment losses in our

consolidated financial statements prepared in accordance with GAAP if and when such amounts are deemed non-

recoverable. This is generally at the time a loan is repaid or foreclosed, or the underlying collateral assets are

otherwise consolidated. However, non-recoverability may also be concluded if, in our determination, it is nearly

certain that all amounts due will not be collected.

82

These assumptions vary from quarter-to-quarter as our loan portfolio changes and market and economic conditions evolve.

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

During the nine months ended September 30, 2025, our CECL reserves decreased by $34.9 million, bringing our total

reserves to $711.6 million as of September 30, 2025. See Notes 2 and 3 to our consolidated financial statements for further

discussion of our CECL reserves.

Revenue Recognition

Interest income from our loans receivable portfolio is recognized over the life of each loan using the effective interest

method and is recorded on the accrual basis. Recognition of fees, premiums, and discounts associated with these

investments is deferred and recorded over the term of the loan as an adjustment to yield. Income accrual is generally

suspended for loans at the earlier of the date at which payments become 90 days past due or when, in our opinion, recovery

of income and principal becomes doubtful. Interest received is then recorded as income or as a reduction in the amortized

cost basis, based on the specific facts and circumstances, until accrual is resumed when the loan becomes contractually

current and performance is demonstrated to be resumed. In addition, for loans we originate, the related origination expenses

are deferred and recognized as a reduction to interest income, however expenses related to loans we acquire are included in

general and administrative expenses as incurred.

The sources of revenue from our REO assets, which is included in revenue from real estate owned on our consolidated

statements of operations, and the related revenue recognition policies are as follows:

Rental income primarily consists of base rent income arising from tenant leases at our office and multifamily properties.

Base rent is recognized on a straight-line basis over the life of the lease, including any rent steps or abatement provisions.

We begin to recognize revenue upon the acquisition of the related property or when a tenant takes possession of the leased

space.

Other operating income primarily consists of income from our hospitality properties and tenant reimbursement income.

Revenue from our hospitality properties consists primarily of room revenue and food and beverage revenue. Room revenue

is recognized when the related room is occupied and other hospitality revenue is recognized when the service is rendered.

Tenant reimbursement income primarily consists of amounts due from tenants for costs related to common area

maintenance, real estate taxes, and other recoverable costs included in lease agreements.

We evaluate the collectibility of receivables related to rental revenue on an individual lease basis and exercise judgment in

assessing collectability considering the length of time a receivable has been outstanding, tenant credit-worthiness, payment

history, available information about the financial condition of the tenant, and current economic trends, among other factors.

Tenant receivables that are deemed uncollectible are recognized as a reduction to rental revenue.

Real Estate Owned

We may assume legal title, physical possession, or control of the collateral underlying a loan through a foreclosure, a deed-

in-lieu of foreclosure transaction, or a loan modification in which we receive an equity interest in and/or control over

decision-making at the property, resulting in us consolidating the real estate assets as VIEs. These real estate acquisitions

are classified as real estate owned, or REO, on our consolidated balance sheet and are initially recognized at fair value on

the acquisition date in accordance with the ASC Topic 805, “Business Combinations,” or ASC 805.

Upon acquisition of REO assets, we assess the fair value of acquired tangible and intangible assets, which may include

land, buildings, tenant improvements, “above-market” and “below-market” leases, acquired in-place leases, other identified

intangible assets and assumed liabilities, as applicable, and allocate the fair value to the acquired assets and assumed

liabilities. We assess and consider fair value based on estimated cash flow projections that utilize discount and/or

capitalization rates that we deem appropriate, as well as other available market information. Estimates of future cash flows

are based on a number of factors including the historical operating results, known and anticipated trends, and market and

economic conditions. We capitalize acquisition-related costs associated with asset acquisitions.

Real estate assets held for investment, except for land, are depreciated using the straight-line method over the assets’

estimated useful lives of up to 40 years for buildings and 10 years for tenant improvements. 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.

83

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 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. 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. Upon

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, 2025, we had 10 REO assets that were all classified as held for investment.

84

VI. Loan Portfolio Details

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of September 30, 2025 ($ in millions):

Senior Loan Portfolio(1)

85

Senior Loan Portfolio(1)

86

Senior Loan Portfolio(1)

87

Senior Loan Portfolio(1)

88

Subordinate Loan Portfolio(8)

(1) Senior loans include senior mortgages and similar credit quality loans, including related contiguous subordinate loans and pari passu participations in senior mortgage

loans.

(2) Date loan was originated or acquired by us, and the LTV as of such date, excluding any loans that are impaired.

(3) Total commitment reflects outstanding principal balance as well as any related unfunded loan commitment.

(4) Net book value represents outstanding principal balance, net of purchase and sale discounts or premiums, exit fees, deferred origination expenses, and cost-recovery

proceeds.

(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,

CORRA, and other indices as applicable to each loan. As of September 30, 2025, 98% of our loans by principal balance earned a floating rate of interest, primarily

indexed to SOFR. The remaining 2% of our loans by principal balance earned a fixed rate of interest. In addition to cash coupon, all-in yield includes the amortization of

deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-

recovery and nonaccrual methods, if any.

(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 has an interest rate of SOFR minus 1.30% with a SOFR floor of 3.50%, for an all-in rate of 3.02% as of September 30, 2025.

(8) Subordinate loans include: (i) loans in which we have previously originated a whole loan and sold a senior mortgage interest to a third party, resulting in these subordinate

interests in mortgages, (ii) mezzanine loans, and (iii) the subordinate portion of loans that have been modified that have resulted in a restructured senior loan and

subordinate loan.

(9) These subordinate loans are the result of a loan modification which resulted in a restructured senior loan and a subordinate loan. All of the subordinate loans are accounted

for under the cost-recovery method.

89

VII. REO Asset Details

The following table provides details of our REO asset as of September 30, 2025 ($ in thousands):

90

Interest Rate Risk

Investment Portfolio Net Interest Income

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

will decrease net income. As of September 30, 2025, 98% of our loans by principal balance earned a floating rate of

interest, primarily indexed to SOFR, and were financed with liabilities that pay interest at floating rates, which resulted in

an amount of net equity that is positively correlated to changing interest rates, subject to the impact of interest rate floors on

certain of our floating rate loans.

The following table projects the earnings impact on our interest income and expense, presented net of implied changes in

incentive fees, for the twelve-month period following September 30, 2025, of an increase in the various floating-rate

indices referenced by our portfolio, assuming no change in credit spreads, portfolio composition, or asset performance,

relative to the average indices during the three months ended September 30, 2025 ($ in thousands):

(1) Reflects the USD equivalent value of floating rate assets and liabilities denominated in foreign currencies.

(2) Increases (decreases) in interest income and expense are presented net of theoretical impact of incentive fees. Refer

to Note 16 to our consolidated financial statements for additional details of our incentive fee calculation.

(3) Excludes income from loans accounted for under the cost-recovery method.

(4) Excludes $1.2 billion of floating rate impaired loans.

(5) Our loan agreements generally require our borrowers to purchase interest rate caps, which mitigates our borrowers’

exposure to an increase in interest rates.

(6) Excludes amounts related to our investments in unconsolidated entities.

(7) Includes amounts outstanding under our secured debt, securitizations, asset-specific debt, Term Loans, and Senior

Secured Notes due 2029, for which we entered into an interest rate swap with a notional amount of $450.0 million

that effectively converts our fixed rate exposure to floating rate exposure for such notes. Excludes amounts related to

the indebtedness of our unconsolidated entities.

Investment Portfolio Value

As of September 30, 2025, 98% of our loans by principal balance earned a floating rate of interest, so the value of such

investments is generally not impacted by changes in market interest rates. Additionally, we generally hold all of our loans

to maturity and so do not expect to realize gains or losses resulting from any mark to market valuation adjustments on our

loan portfolio.

Risk of Non-Performance

In addition to the risks related to fluctuations in cash flows and asset values associated with movements in interest rates,

there is also the risk of non-performance on floating rate assets. In the case of a significant increase in interest rates, the

cash flows of the collateral real estate assets may not be sufficient to pay debt service due under our loans, which may

contribute to non-performance or, in severe cases, default. This risk is partially mitigated by our consideration of rising rate

stress-testing during our underwriting process, which generally includes a requirement for our borrower to purchase an

interest rate cap contract with an unaffiliated third party, provide an interest reserve deposit, and/or provide interest

guarantees or other structural protections. As of September 30, 2025, 92% of our performing loans had interest rate caps,

with a weighted-average strike price of 3.7%, or interest guarantees. During the nine months ended September 30, 2025,

interest rate caps on $6.5 billion of performing loans, with a 3.7% weighted-average strike price, expired and 93% were

replaced with new interest rate caps, with a weighted-average strike price of 3.8%, or interest guarantees.

91

Credit Risks

Our loans are subject to credit risk, including the risk of default. The performance and value of our loans depend upon the

borrowers’ ability to operate the properties that serve as our collateral so that they produce cash flows adequate to pay

interest and principal due to us. To monitor this risk, our asset management team reviews our loan portfolios and, in certain

instances, is in regular contact with our borrowers, monitoring performance of the collateral and enforcing our rights as

necessary.

In addition, we are exposed to the risks generally associated with the commercial real estate market, including changes in

occupancy rates, capitalization rates, absorption rates, and other macroeconomic factors beyond our control. We seek to

manage these risks through our underwriting and asset management processes.

We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the

performance of our portfolio, including during periods of volatility. We believe that we benefit from these relationships and

from our long-standing core business model of originating senior loans collateralized by large assets in major markets with

experienced, well-capitalized institutional sponsors. 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 loans. As of September 30, 2025, we had an aggregate $505.4 million asset-specific CECL reserve related to 12 of

our loans receivable, with an aggregate amortized cost basis of $1.2 billion, net of cost-recovery proceeds, and a

concentration in the office sector with $382.2 million of reserves. 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, 2025.

Our portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information

advantages derived from our position as part of Blackstone’s real estate platform. Blackstone has built the world's

preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging

stronger through periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone

platform deeply informs our credit and underwriting process, and we believe gives us the tools to expertly asset manage

our portfolio and work with our borrowers throughout periods of economic stress and uncertainty.

Capital Market Risks

We are exposed to risks related to the equity capital markets, and our related ability to raise capital through the issuance of

our class A common stock or other equity instruments. We are also exposed to risks related to the debt capital markets, and

our related ability to finance our business through borrowings under credit facilities or other debt instruments. As a REIT,

we are required to distribute a significant portion of our taxable income annually, which constrains our ability to

accumulate operating cash flow and therefore requires us to utilize debt or equity capital to finance our business. We seek

to mitigate these risks by monitoring the debt and equity capital markets to inform our decisions on the amount, timing, and

terms of capital we raise.

Margin call provisions under our credit facilities do not permit valuation adjustments based on capital markets events, and

are limited to collateral-specific credit marks generally determined on a commercially reasonable basis.

Counterparty Risk

The nature of our business requires us to hold our cash and cash equivalents and obtain financing from various financial

institutions. This exposes us to the risk that these financial institutions may not fulfill their obligations to us under these

various contractual arrangements. We mitigate this exposure by depositing our cash and cash equivalents and entering into

financing agreements with high credit-quality institutions.

The nature of our loans also exposes us to the risk that our counterparties do not make required interest and principal

payments on scheduled due dates. We seek to manage this risk through a comprehensive credit analysis prior to making a

loan and active monitoring of the asset portfolios that serve as our collateral, as further discussed above.

Currency Risk

Our loans that are denominated in a foreign currency are also subject to risks related to fluctuations in currency rates. We

generally mitigate this exposure by matching the currency of our assets to the currency of the financing for our assets. As a

result, we substantially reduce our exposure to changes in portfolio value related to changes in foreign currency rates. In

92

addition, substantially all of our net asset exposure to foreign currencies has been hedged with foreign currency forward

contracts as of September 30, 2025.

The following tables outline our assets and liabilities that are denominated in a foreign currency (amounts in thousands):

(1) Includes Swedish Krona, Australian Dollar, and Canadian Dollar currencies.

(2) Represents the U.S. Dollar equivalent as of September 30, 2025.

Evaluation of Disclosure Controls and Procedures

The company maintains disclosure controls and procedures (as that term is defined in Rules 13a-15(e) and 15d-15(e) under

the Exchange Act) that are designed to ensure that information required to be disclosed in the company’s reports under the

Exchange Act is recorded, processed, and summarized and reported within the time periods specified in the SEC’s rules

and forms, and that such information is accumulated and communicated to the company’s management, including its Chief

Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosures.

Any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of

achieving the desired control objectives. An evaluation of the effectiveness of the design and operation of our disclosure

controls and procedures as of the end of the period covered by this Quarterly Report on Form 10-Q was made under the

supervision and with the participation of our management, including our Chief Executive Officer and Chief Financial

Officer. Based upon this evaluation, our Chief Executive Officer and Chief Financial Officer have concluded that our

disclosure controls and procedures (a) are effective to ensure that information required to be disclosed by us in reports filed

or submitted under the Exchange Act is recorded, processed, summarized and reported within the time periods specified by

SEC rules and forms and (b) include, without limitation, controls and procedures designed to ensure that information

required to be disclosed by us in reports filed or submitted under the Exchange Act is accumulated and communicated to

our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely

decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

There have been no changes in our “internal control over financial reporting” (as defined in Rule 13a–15(f) of the

Exchange Act) that occurred during our most recent quarter that have materially affected, or are reasonably likely to

materially affect, our internal control over financial reporting.

93

There have been no material changes to the risk factors previously disclosed under “Part I, Item 1A. Risk Factors” of our

Annual Report on Form 10-K for the year ended December 31, 2024.

94