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Item 7. Management’s Discussion and Analysis

2022-02-09 compared with 2021-02-10 · 579 added, 555 removed, 345 unchanged (77% of the section changed)

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Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate in North America, Europe, and Australia.

Our investment objective is to preserve and protect shareholder capital while producing attractive risk-adjusted returns primarily through dividends generated from current income from our loan portfolio.

We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of The Blackstone Group 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 are headquartered in New York City.

Our portfolio is composed primarily of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators.

These senior loans are capitalized by accessing a variety of financing options, including borrowing under our credit facilities, issuing CLOs or single-asset securitizations, and syndicating senior loan participations, depending on our view of the most prudent financing option available for each of our investments.

We are not in the business of buying or trading securities, and the only securities we own are the retained interests from our securitization financing transactions, which we have not financed.

We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of Blackstone Inc., or Blackstone, and are a real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.”

We benefit from the deep knowledge, experience and information advantages of our Manager, which is a part of Blackstone’s real estate platform.

Blackstone Real Estate is one of the largest owners and operators of real estate in the world, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility.

Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility.

The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and we believe gives us the tools to expertly manage the assets in our portfolio and work with our borrowers throughout periods of economic stress and uncertainty.

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Recent Developments

As of December 31, 2020, there is an ongoing global outbreak of a novel coronavirus, or COVID-19.

In March 2020, the World Health Organization designated COVID-19

as a pandemic, and numerous countries, including the United States, declared national emergencies with respect to COVID-19.

The United States and other countries reacted to the COVID-19

outbreak with unprecedented government intervention, including interest rate cuts and economic stimulus.

The global impact of the outbreak rapidly evolved (and continues to do so), and many countries reacted by instituting, or strongly encouraging, quarantines and restrictions on travel, closing financial markets and/or restricting trading, limiting operations of non-essential

offices, retail centers, hotels, and other businesses, and taking other restrictive measures designed to help slow the spread of COVID-19.

Businesses also implemented similar precautionary measures.

Such measures, as well as the general uncertainty surrounding the dangers and impact of COVID-19,

have created disruption in global supply chains, increasing rates of unemployment and adversely impacting many industries, including industries related to the collateral underlying certain of our loans.

Moreover, with the continued spread of COVID-19,

governments and businesses are likely to continue to take aggressive measures to help slow its spread.

For this reason, among others, as COVID-19

continues to spread, the potential impacts, including a global, regional, or other economic recession, are increasingly uncertain and difficult to assess.

The outbreak of COVID-19

and its impact on the current financial, economic and capital markets environment, and future developments in these and other areas present uncertainty and risk with respect to our financial

condition, results of operations, liquidity, and ability to pay distributions.

We expect that these impacts are likely to continue to some extent as the outbreak persists and potentially even longer.

The rapid development and fluidity of this situation preclude any prediction as to the ultimate adverse impact of COVID-19

on economic and market conditions, and, as a result, present material uncertainty and risk with respect to us and the performance of our investments.

The full extent of the impact and effects of COVID-19

will depend on future developments, including, among other factors, the duration and spread of the outbreak, along with related travel advisories, quarantines and restrictions, the effectiveness and efficiency of distribution of vaccines, the recovery time of the disrupted supply chains and industries, the impact of labor market interruptions, the impact of government interventions, and uncertainty with respect to the duration of the global economic slowdown.

For additional discussion with respect to the potential impact of the COVID-19

pandemic on our liquidity and capital resources, see “Liquidity and Capital Resources” below.

The novel coronavirus, or COVID-19, pandemic has evolved from its emergence in early 2020, so has its global impact.

Many countries have re-instituted, or strongly encouraged, varying levels of quarantines and restrictions on travel and in some cases have at times limited operations of certain businesses and taken other restrictive measures designed to help slow the spread of COVID-19 and its variants.

Governments and businesses have also instituted vaccine mandates and testing requirements for employees.

While vaccine availability and uptake has increased, the longer-term macro-economic effects on global supply chains, inflation, labor shortages and wage increases continue to impact many industries, including the collateral underlying certain of our loans.

Moreover, with the potential for new strains of COVID-19 to emerge, governments and businesses may re-impose aggressive measures to help slow its spread in the future.

For this reason, among others, as the COVID-19 pandemic continues, the potential global impacts are uncertain and difficult to assess.

Reference Rate Reform

LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, and the Swiss Average Rate Overnight, or SARON, or collectively, IBORs, are the subject of recent national, international and regulatory guidance and proposals for reform.

As of December 31, 2021, the ICE Benchmark Association, or IBA, ceased publication of all non-USD LIBOR and previously announced its intention to cease publication of remaining U.S.

dollar LIBOR settings immediately after June 30, 2023.

Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee comprised of large U.S.

financial institutions, has identified the Secured Overnight Financing Rate, or SOFR, a new index calculated using short-term repurchase agreements backed by Treasury securities, as its preferred alternative rate for USD LIBOR.

Market participants have started to transition to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K.

As of December 31, 2021, one-month SOFR is utilized as the floating benchmark rate on 16 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, plus a credit spread adjustment, and one of our credit facilities.

Additionally, as of December 31, 2021, daily compounded SONIA is utilized as the floating benchmark rate on nine of our loans and five of our credit facilities.

At this time, it is not possible to predict how markets will respond to SOFR, SONIA, or other alternative reference rates as the transition away from USD LIBOR and GBP LIBOR proceeds.

Despite the LIBOR transition in other markets, benchmark rate methodologies in Europe, Australia, Canada, and Switzerland have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, and SARON may persist as International Organization of Securities Commissions, or IOSCO, compliant reference rates moving forward.

However, multi-rate environments may persist in these markets as regulators and working groups have suggested market participants adopt alternative reference rates.

Refer to “Part I.

Risk Factors—Risks Related to Our Lending and Investment Activities—The recent and expected discontinuation of currently used financial reference rates and use of alternative replacement reference rates may adversely affect net interest income related to our loans and investments or otherwise adversely affect our results of operations, cash flows and the market value of our investments.” of this Annual Report on Form 10-K.

2021 Highlights

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• Net income of $419.2 million, or $2.77 per share, and Distributable Earnings of $396.7 million, or $2.62 per share, with dividends declared of $383.9 million, or $2.48 per share.

Net income includes a $167.7 million increase to the current expected credit loss, or CECL, reserve that is excluded from Distributable Earnings, as further described below.

Book value per share of $26.42 as of December 31, 2020, which is net of a $1.26 cumulative CECL reserve.

Increased liquidity by $387.7 million during the year to $1.1 billion as of December 31, 2020.

Net income includes a $39.9 million decrease to the current expected credit loss, or CECL, reserve that is excluded from Distributable Earnings, as further described below.

• Increased book value per share $0.80 to $27.22 as of December 31, 2021, which is net of a $0.78 cumulative CECL reserve.

Loan portfolio:

• Loan originations of $14.6 billion.

During the year we had loan fundings of $2.1 billion and loan repayments of $2.0 billion, resulting in net portfolio growth of $139.5 million.

Portfolio of 121 investments as of December 31, 2020, with a weighted-average origination loan-to-value

ratio of 64.0% and weighted-average all-in

yield of L+3.56%.

Collected 99.7% of the contractual interest payments that were due under our loans during the year, with virtually no interest deferrals during the year.

During the year we had loan fundings of $12.9 billion and loan repayments of $7.2 billion, resulting in net fundings of $5.7 billion.

• Portfolio of 189 investments as of December 31, 2021, with a weighted-average origination loan-to-value ratio of 64.4% and weighted-average all-in yield of + 3.54%.

• Maintained our disciplined focus on institutional quality assets and sponsors while accelerating our activities in sectors and markets with the highest potential for growth, including increasing our portfolio exposure to multifamily to 24% from 10% and to the Sunbelt to 27% from 19%.

Capital markets and financing activity:

Issued an aggregate 10.0 million shares of our class A common stock through an underwritten public offering, generating aggregate net proceeds of $278.3 million and entered into a $325.0 million senior secured term loan facility.

Refinanced $2.1 billion of our secured credit facilities with the proceeds from two non-recourse,

non-mark-to-market

securitization transactions that closed during the year, reducing our debt-to-equity

ratio to 2.5x as of December 31, 2020 from 3.0x as of December 31, 2019.

Closed $1.2 billion of new financings under our secured credit facilities and maintained stable facility pricing and advance rates with our 12 credit providers through the volatile lending environment in 2020.

• Closed $10.5 billion of new financings under our secured debt facilities, adding two new credit facilities with innovative structures to finance our investments.

• Closed a $1.0 billion collateralized loan obligation, or CLO, securitization resulting in an aggregate $3.5 billion of our loans financed through our CLO securitizations as of December 31, 2021.

• Increased the borrowings under our senior term loan facilities by an aggregate $300.0 million, decreased the spread on our B-2 senior term loan facility by 2.00% to L + 2.75%, and issued $400.0 million of 3.75% senior secured notes due 2027.

Key Financial Measures and Indicators

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

For the three months ended December 31, 2020, we recorded earnings per share of $0.57, declared a dividend of $0.62 per share, and

reported $0.60 per share of Distributable Earnings.

In addition, our book value as of December 31, 2020 was $26.42 per share,

which is net of a $1.26 cumulative CECL reserve.

For the three months ended December 31, 2021, we recorded earnings per share of $0.76, declared a dividend of $0.62 per share, and reported $0.78 per share of Distributable Earnings.

In addition, our book value as of December 31, 2021 was $27.22 per share, which is net of a $0.78 cumulative CECL reserve.

For the year ended December 31, 2021, we recorded earnings per share of $2.77, declared aggregate dividends of $2.48 per share, and reported $2.62 per share of Distributable Earnings.

As further described below, Distributable Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, which 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.

current loan portfolio and operations.

In addition, Distributable Earnings is a performance metric we consider when declaring our dividends.

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

Three Months Ended

Three months ended December 31, 2021 Year Ended December 31,

Net income (1)

$ 123,940 $ 419,193 $ 137,670

Weighted-average shares outstanding, basic and diluted 162,056,782 151,521,941 141,795,977

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Distributable Earnings

Distributable Earnings is a non-GAAP

measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise recognized in current period GAAP net income (loss), and excluding (i) non-cash

equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), (iv) net income (loss) attributable to our legacy portfolio, and (v) certain non-cash

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 is a non-GAAP measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise recognized in current period GAAP net income (loss), and excluding (i) non-cash equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), and (iv) certain non-cash items.

Distributable Earnings may also be adjusted from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as determined by our Manager, subject to approval by a majority of our independent directors.

Distributable Earnings mirrors the terms of our management agreement between our Manager and us, or our Management Agreement, for purposes of calculating our incentive fee expense.

During the year ended December 31, 2020, we recorded a $167.7 million increase in the CECL reserve, which has been excluded from Distributable Earnings consistent with other unrealized gains (losses) pursuant to our existing policy for reporting Distributable Earnings.

Our CECL reserve has 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 deemed nonrecoverable 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 non-recoverability

may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected.

This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected.

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

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.

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The following table provides a reconciliation of Distributable Earnings to GAAP net income ($ in thousands, except per share data):

Three Months Ended

Year Ended December 31,

Three Months Ended December 31, 2021 Year Ended December 31,

Net income (1)

$ 123,940 $ 419,193 $ 137,670

Charge-offs of current expected credit loss reserve (2)

(14,427) (14,427) —

(Decrease) increase in current expected credit loss reserve 9,568 (39,864) 167,653

compensation expense

Non-cash compensation expense 7,463 31,647 34,532

Realized hedging and foreign currency income, net (3)

Adjustments attributable to non-controlling

interests, net

(668) (521) 10,852

Other items 120 561 1,487

Adjustments attributable to non-controlling interests, net (30) 132 (204)

Distributable Earnings (4)

$ 125,966 $ 396,721 $ 351,990

Weighted-average shares outstanding, basic and diluted 162,056,782 151,521,941 141,795,977

Distributable Earnings per share, basic and diluted (4)

$ 0.78 $ 2.62 $ 2.48

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

For the three months ended December 31, 2020, represents realized gains (losses) on the repatriation of unhedged foreign currency.

For the years ended December 31, 2020 and 2019, primarily represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR.

(2) Represents a realized loss related to loan principal amounts deemed nonrecoverable following a realization event during the three months ended December 31, 2021.

This amount was previously recognized as a component of GAAP net income as an increase in our current expected credit loss reserve.

(3) For the three months and year ended December 31, 2021, represents realized gains (losses) on the repatriation of unhedged foreign currency.

For the year ended December 31, 2020, primarily represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR.

These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S.

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These amounts were not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements.

(4) Includes favorable Distributable Earnings impact, net of incentive fees, of $19.1 million, or $0.12 and $0.13 per share for the three months and year ended December 31, 2021 relating to (i) prepayment income and acceleration of deferred origination fees related to a certain loan repayment during the three months ended December 31, 2021 and (ii) the charge-off of a certain previously recorded current expected credit loss reserve above.

Book Value Per Share

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

December 31, 2020

December 31, 2019

December 31, 2021 December 31, 2020

Stockholders’ equity $ 4,588,187 $ 3,886,067

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During the year ended December 31, 2021, we originated or acquired $14.6 billion of loans.

Loan fundings during the year totaled $2.1 billion, including $241.8 million of non-consolidated

senior interests.

Loan repayments and sales during the year totaled $2.0 billion, including $135.7 million of non-consolidated

senior interests.

Loan fundings during the year totaled $12.9 billion, including $393.9 million of non-consolidated senior interests.

Loan repayments and sales during the year totaled $7.2 billion, including $475.5 million of non-consolidated senior interests and the loan held by our non-consolidated securitized debt obligation.

We generated interest income of $854.7 million and incurred interest expense of $340.2 million during the year, which resulted in $514.5 million of net interest income during the year ended December 31, 2021.

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

Three Months Ended

December 31, 2020

Three Months Ended December 31, 2021 Year Ended December 31, 2021

Loan originations (1)

$ 5,966,853 $ 14,571,453

Loan fundings (2)

$ 5,210,261 $ 12,944,396

Loan repayments and sales (3)

Total net (repayments) fundings

(3,530,274) (7,208,647)

Total net fundings $ 1,679,987 $ 5,735,749

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

Loan fundings during the three months and year ended December 31, 2020 include $71.3 million and $241.8 million, respectively, of additional fundings under related non-consolidated

senior interests.

Loan repayments and sales during the three months and year ended December 31, 2020 include $647,000 and $135.7 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated

senior interests.

(2) Loan fundings during the three months and year ended December 31, 2021 include $109.3 million and $393.9 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three months and year ended December 31, 2021 include $148.3 and $475.5 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests and the loan held by our non-consolidated securitized debt obligation.

The following table details overall statistics for our investment portfolio as of December 31, 2021 ($ in thousands):

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Unfunded loan commitments (4)

$ 4,180,128 $ 4,924,287 $ — $ 4,924,287

Weighted-average cash coupon (5)

Weighted-average all-in

+ 3.19 % + 3.22 % + 2.75 % + 3.22 %

Weighted-average all-in yield (5)

+ 3.52 % + 3.55 % + 2.86 % + 3.54 %

Weighted-average maximum maturity (years) (6)

3.4 3.4 3.4 3.4

Origination loan to value (LTV) (7)

64.9 % 64.8 % 42.6 % 64.4 %

(1) Excludes investment exposure to the $79.2 million subordinate position we own in the $379.3 million 2018 Single Asset Securitization.

Refer to Notes 4 and 17 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.

In certain instances, we finance our loans through the non-recourse

sale of a senior loan interest that is not included in our consolidated financial statements.

Total loan exposure encompasses the entire loan we originated and financed, including $801.8 million of such non-consolidated

senior interests that are not included in our balance sheet portfolio.

(2) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

Total loan exposure encompasses the entire loan we originated and financed, including $1.5 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

(3) Includes investment exposure to the $379.3 million 2018 Single Asset Securitization.

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

The weighted-average cash coupon and all-in

yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each investment.

As of December 31, 2020, 98% of our investments by total investment exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $14.2 billion of such investments earned interest based on floors that are above the applicable index.

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

As of December 31, 2021, 98% of our investments by total investment exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

The other 2% of our investments earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of December 31, 2021, for purposes of the weighted-averages.

In addition to cash coupon, all-in

yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

Excludes loans accounted for under the cost-recovery method.

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 a loan accounted for under the cost-recovery method.

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

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(7) Based on LTV as of the dates loans and other investments were originated or acquired by us.

The following table details the floating benchmark rates for our investment portfolio as of December 31, 2020 ($/€/£/A$/C$ in thousands):

Total Investment

The following table details the index rate floors for our loans receivable portfolio as of December 31, 2021 ($ in thousands):

Loans Receivable Principal Balance

Index Rate Floors USD Non-USD (1)

Fixed Rate $ 37,500 $ 344,696 $ 382,196

0.00% or no floor (2)

4,224,778 5,444,841 9,669,619

0.01% to 0.25% floor 7,125,069 447,339 7,572,408

0.26% to 1.00% floor 1,259,076 501,764 1,760,840

1.01% or more floor 4,439,258 224,092 4,663,350

$ 17,085,681 $ 6,962,732 $ 24,048,413

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

(2) Includes a $286.3 million loan accounted for under the cost-recovery method.

(3) Includes investment exposure to the $79.2 million subordinate position we own in the $379.3 million 2018 Single Asset Securitization.

Refer to Notes 4 and 17 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.

(4) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

Total loan exposure encompasses the entire loan we originated and financed, including $1.5 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

(5) As of December 31, 2021, the weighted-average index rate floor of our loan portfolio was 0.42%.

Excluding 0.0% index rate floors, the weighted-average index rate floor was 0.70%.

As of December 31, 2020, the weighted-average index rate floor of our loan portfolio was 0.82%.

Excluding 0.0% index rate floors, the weighted-average index rate floor was 1.35%.

The following table details the floating benchmark rates for our investment portfolio as of December 31, 2021 (total investment portfolio amounts in thousands):

Currency Total Investment

Floating Rate Index (1)

Cash Coupon (2)

INDEX + 3.22%

INDEX + 3.56%

All-in Yield (2)

156 $ $ 17,085,680 USD LIBOR / SOFR (3)

+ 3.12% + 3.43%

9 € € 2,777,193 EURIBOR + 3.01% + 3.39%

17 £ £ 1,956,619 GBP LIBOR / SONIA (4)

+ 3.84% + 4.23%

7 $ $ 1,157,368 OTHER (5)

+ 3.73% + 4.02%

189 $ 24,048,413 Applicable Index + 3.22% + 3.54%

(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.

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

The cash coupon and all-in

yield of our fixed rate loans are reflected as a spread over USD LIBOR for purposes of the weighted-averages.

In addition to cash coupon, all-in

yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

Excludes loans accounted for under the cost-recovery method.

(2) The cash coupon and all-in yield of our fixed rate loans are reflected as a spread over USD LIBOR for purposes of the weighted-averages.

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 a loan accounted for under the cost-recovery method.

(3) As of December 31, 2021, $15.6 billion and $1.5 billion of loans were indexed to USD LIBOR and SOFR, respectively.

The remaining $37.5 million of our United States Dollar loans are fixed rate.

As of December 31, 2021, one-month USD LIBOR was 0.10% and SOFR was 0.05%.

(4) As of December 31, 2021, £874.8 million and £848.4 million of loans were indexed to SONIA and GBP LIBOR, respectively.

The remaining £233.4 million of our British Pound Sterling loans are fixed rate.

As of December 31, 2021, SONIA was 0.19% and three-month GBP LIBOR was 0.26%.

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

The charts below detail the geographic distribution and types of properties securing our investment portfolio, as of December 31, 2021:

Refer to section VI of this Item 7 for details of our loan portfolio, on a loan-by-loan

Refer to section VI of this Item 7 for details of our loan portfolio, on a loan-by-loan basis.

Portfolio Management

During the three months and year ended December 31, 2020, we collected 100.0% and 99.7%, respectively, of the contractual interest payments that were due under our loans, with virtually no interest deferrals, including with respect to loans collateralized by hospitality assets, which we believe 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, experienced sponsors.

We maintain a robust asset management relationship with our borrowers and have utilized these relationships to address the potential impacts of the COVID-19

pandemic on our loans secured by properties experiencing cash flow pressure, most significantly hospitality assets.

Some of our borrowers have indicated that due to the impact of the COVID-19

pandemic, they will be unable to timely execute their business plans, have had to temporarily close their businesses, or have experienced other negative business consequences and have requested temporary interest deferral or forbearance, or other modifications of their loans.

During the three months ended December 31, 2020, we closed 18 loan modifications, representing an aggregate principal balance of $2.5 billion, as of December 31, 2020.

During the year ended December 31, 2020, we closed 49 loan modifications, representing an aggregate principal balance of $6.5 billion, as of December 31, 2020.

The loan modifications primarily included term extensions, interest rate changes, repurposing of reserves, and performance test or covenant waivers, many of which were coupled with additional equity commitments from sponsors, with virtually no interest deferrals.

We are generally encouraged by our borrowers’ initial response to the COVID-19

pandemic’s impacts on their properties.

With limited exceptions, we believe our loan sponsors are committed to supporting assets collateralizing our loans through additional equity investments, and that we will benefit from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors.

During the year ended December 31, 2021, we collected 100.0% of the contractual interest payments that were due under our loans, with virtually no interest deferrals, including with respect to loans collateralized by hospitality assets, which we believe 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, 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, such as the COVID-19 pandemic.

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

Our investment portfolio’s low origination weighted-average LTV of 64.4% as of December 31, 2021 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption.

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

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.

Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility.

The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic stress and uncertainty.

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

The weighted-average risk rating of our total loan exposure was 2.8 and 3.0 as of December 31, 2021 and December 31, 2020, respectively.

The increase in the risk rating was primarily the result of loans with an aggregate principal balance of $3.2 billion that were downgraded to a “4” or “5” during the year ended December 31, 2020 to reflect the higher risk in loans collateralized by hospitality assets and select other assets that are particularly negatively impacted by the COVID-19

The decrease in risk rating reflects the ongoing recovery from COVID-19 and the improvement of our portfolio’s credit.

The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands):

December 31, 2021

Net Book Value

Rating Number

of Loans Net Book Value Total Loan

Exposure (1)(2)

1 8 $ 642,776 $ 645,854

2 28 5,200,533 5,515,250

3 141 13,604,027 14,944,045

4 10 2,270,872 2,277,653

5 1 284,809 286,309

Loans receivable 188 $ 22,003,017 $ 23,669,111

CECL reserve (124,679)

Loans receivable, net $ 21,878,338

In certain instances, we finance our loans through the non-recourse

sale of a senior loan interest that is not included in our consolidated financial statements.

(1) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

See Note 2 to our consolidated financial statements for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $801.8 million of such non-consolidated

senior interests as of December 31, 2020.

Total loan exposure encompasses the entire loan we originated and financed, including $1.5 billion of such non-consolidated senior interests as of December 31, 2021.

(2) Excludes investment exposure to the $379.3 million 2018 Single Asset Securitization.

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

Our initial CECL reserve of $17.7 million recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity;

however subsequent changes to the CECL reserve are recognized through net income on our consolidated statements of operations.

During the year ended December 31, 2020, we recorded a $167.7 million increase in the current expected credit loss reserve, bringing our total CECL reserve to $185.4 million as of December 31, 2020.

This CECL reserve reflects the macroeconomic impact of the COVID-19

pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

Further, this reserve is not reflective of what we expect our

CECL reserve would be absent the current and potential future impacts of the COVID-19

During the year ended December 31, 2021, we recorded an aggregate $39.9 million decrease in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, and $14.4 million of charge-offs, bringing our total reserve to $131.0 million as of December 31, 2021.

This CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

The decrease in the CECL reserve during the year ended December 31, 2021 reflects the ongoing market recovery from COVID-19 and the resulting improvement in the performance of the collateral assets underlying our portfolio.

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

During the first and fourth quarters of 2020, we entered into loan modifications related to a multifamily asset in New York City, which is classified as a troubled debt restructuring under GAAP.

During the three months ended June 30, 2020, we recorded a $14.8 million CECL reserve on this loan, which was unchanged as of December 31, 2020.

This loan has an outstanding principal balance of $52.4 million, net of cost-recovery proceeds, as of December 31, 2020.

The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of December 31, 2020.

During 2020 and 2021, we entered into loan modifications related to a multifamily asset in New York City, which are classified as troubled debt restructurings under GAAP.

During the three months ended June 30, 2020, we recorded a $14.8 million CECL reserve on this loan.

During the three months ended December 31, 2021, the borrower committed significant additional capital to the property and engaged new management to oversee property operations, and we reduced the loan's outstanding principal balance to $37.5 million.

As a result of the modification, we charged-off $14.4 million of the $14.8 million asset-specific CECL reserve we recorded on this loan during the three months ended June 30, 2020, and reversed the remaining $360,000 CECL reserve.

We have no remaining asset-specific CECL reserve against this loan as of December 31, 2021.

The loan is paying interest income current and we resumed income accrual for this loan as of December 31, 2021.

See Note 2 to our consolidated financial statements for further discussion on the CECL reserve.

During the third quarter of 2020, we entered into a loan modification related to a hospitality asset in New York City, which is classified as a troubled debt restructuring under GAAP.

During the three months ended June 30, 2020, we recorded a $54.9 million CECL reserve on this loan, which was unchanged as of December 31, 2020.

During the three months ended June 30, 2020, we recorded $54.9 million CECL reserve on this loan, which was unchanged as of December 31, 2021.

As of July 1, 2020, the income accrual on this loan was suspended and no income was recorded subsequent to July 1, 2020.

This loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, as of December 31, 2021.

The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of December 31, 2021.

As of July 1, 2020, the income accrual was suspended on the two loans detailed above, which had an aggregate outstanding principal balance of $338.7 million, as of December 31, 2020.

No income was recorded on these loans subsequent to July 1, 2020.

Multifamily Joint Venture

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Portfolio Financing

Our portfolio financing consists of secured debt agreements, securitizations, and asset-specific financings.

During the year-ended December 31, 2020, we refinanced $2.1 billion of our secured debt agreements through the issuance of two securitizations, which are inherently non-mark

to market, non-recourse,

and term-matched to the financed assets.

Our portfolio financing consists of secured debt, securitizations, and asset-specific financings.

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

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Outstanding Principal Balance

December 31, 2020

December 31, 2019

Secured debt agreements

December 31, 2021 December 31, 2020

Secured debt $ 12,299,580 $ 7,896,863

Securitizations (1)

3,155,727 3,596,980

Asset-specific financings (2)

1,913,374 1,201,495

Total portfolio financing $ 17,368,681 $ 12,695,338

Includes our consolidated securitized debt obligations of $2.9 billion and our non-consolidated

securitized debt obligations of $656.3 million.

The non-consolidated

securitized debt obligation represents the senior non-consolidated

investment exposure to the 2018 Single Asset Securitization.

We own the related subordinate position, which is classified as a held-to-maturity

debt security on our balance sheet.

Refer to Notes 4 and 16 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

Includes our consolidated asset-specific debt agreements of $399.7 million and our non-consolidated

senior interests of $801.8 million.

The non-consolidated

senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.

Secured Debt Agreements

The following table details our outstanding secured debt agreements ($ in thousands):

Secured Debt Agreements

(1) Includes our consolidated securitized debt obligations of $2.9 billion and our non-consolidated securitized debt obligations of $300.1 million.

The non-consolidated securitized debt obligation represents the senior non-consolidated investment exposure to the 2018 Single Asset Securitization.

We own the related subordinate position, which is classified as a held-to-maturity debt security on our balance sheet.

Refer to Note 4 and Note 17 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

(2) Includes our consolidated asset-specific debt of $400.7 million and our non-consolidated senior interests of $1.5 billion.

The non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.

The following table details our outstanding secured debt ($ in thousands):

Borrowings Outstanding

December 31, 2020

December 31, 2019

December 31, 2021 December 31, 2020

Secured credit facilities $ 12,299,580 $ 7,896,863

Revolving credit agreement

Total secured debt agreements

Acquisition facility — —

Total secured debt $ 12,299,580 $ 7,896,863

Secured Credit Facilities

The following table details our secured credit facilities ($ in thousands):

December 31, 2020

Credit Facility Borrowings

Potential (1)

Available (1)

Deutsche Bank

Goldman Sachs

Bank of America

Morgan Stanley

Société Générale

US Bank – Multi.

Goldman Sachs – Multi.

Bank of America – Multi.

Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged.

When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility.

The following table details our secured credit facilities as of December 31, 2021 ($ in thousands):

Year Ended December 31, 2021 December 31, 2021

New Financings (2)

All-in Cost (1)(3)(4)

Collateral (5)

All-in Yield (1)(6)

+ 1.50% or less

$ 5,306,925 $ 7,746,026 +1.52 % $ 10,193,801 +3.18 % +1.66 %

+ 1.51% to + 1.75%

1,477,177 2,710,587 +1.88 % 3,977,492 +3.55 % +1.67 %

+ 1.76% to + 2.00%

668,470 998,781 +2.13 % 1,458,074 +4.28 % +2.15 %

+ 2.01% or more

310,991 844,186 +2.49 % 1,413,014 +4.75 % +2.26 %

Total $ 7,763,563 $ 12,299,580 +1.72 % $ 17,042,381 +3.49 % +1.77 %

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

(2) Represents borrowings outstanding as of December 31, 2021 for new financings during the year ended December 31, 2021, based on the date collateral was initially pledged to each credit facility.

(3) In addition to spread, the cost includes the associated deferred fees and expenses related to the respective borrowings.

(4) Represents the weighted-average all-in cost as of December 31, 2021 and is not necessarily indicative of the spread applicable to recent or future borrowings.

(5) Represents the principal balance of the collateral assets.

These facilities finance the loan investments of our consolidated Multifamily Joint Venture.

Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture.

Revolving Credit Agreement

We have a $250.0 million full recourse secured revolving credit agreement with Barclays that is designed to finance first mortgage originations for up to nine months as a bridge to term financing or syndication.

Advances under the agreement are subject to availability under a specified borrowing base and accrue interest at a per annum pricing rate equal to the sum of (i) an applicable base rate or Eurodollar rate and (ii) an applicable margin, in each case, dependent on the applicable type of loan collateral.

(6) 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.

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

Acquisition Facility

We have a $250.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval.

The maturity date of the facility is April 4, 2023.

As of December 31, 2020, we had no outstanding borrowings under the agreement.

As of December 31, 2021, we had one asset pledged to our acquisition facility and there was an aggregate $147.5 million available to be drawn at our discretion.

Securitizations

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Securitizations Outstanding

December 31, 2021 December 31, 2020

Securitized debt obligations $ 2,855,625 2,940,638

Non-consolidated

securitized debt obligation (1)

Non-consolidated securitized debt obligation (1)

300,102 656,342

Total securitizations $ 3,155,727 $ 3,596,980

These non-consolidated

securitized debt obligations represent the senior non-consolidated

investment exposure to the 2018 Single Asset Securitization.

We own the related subordinate position, which is classified as a held-to-maturity

debt security on our balance sheet.

Refer to Notes 4 and 16 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

(1) These non-consolidated securitized debt obligations represent the senior non-consolidated investment exposure to the 2018 Single Asset Securitization.

We own the related subordinate position, which is classified as a held-to-maturity debt security on our balance sheet.

Refer to Note 6 and Note 17 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

Securitized Debt Obligations

We have financed certain pools of our loans through collateralized loan obligations, which include the 2021 FL4 CLO, 2020 FL3 CLO, and 2020 FL2 CLO, or collectively, the CLOs.

We have also financed one of our loans through a single asset securitization vehicle, or the 2017 Single Asset Securitization.

The following table details our securitized debt obligations ($ in thousands):

December 31, 2021

Securitized Debt Obligations

Securitized Debt Obligations Count Principal

Yield/Cost (1)(2)

2021 FL4 Collateralized Loan Obligation

Collateral assets

February 2024

Financing provided

November 2037

Collateral assets 34 $ 1,000,000 $ 1,000,000 + 3.42 % October 2024

Financing provided 1 803,750 797,373 + 1.66 % May 2038

2020 FL3 Collateralized Loan Obligation

Collateral assets

Financing provided

February 2038

Collateral assets 18 1,000,000 1,000,000 + 3.06 % May 2024

Financing provided 1 808,750 804,096 + 2.10 % November 2037

2020 FL2 Collateralized Loan Obligation

Collateral assets

Financing provided

2017 Single Asset Securitization

Collateral assets (3)

Financing provided

Collateral assets 21 1,500,000 1,500,000 + 3.15 % March 2024

Financing provided 1 1,243,125 1,236,593 + 1.45 % February 2038

Collateral assets 73 $ 3,500,000 $ 3,500,000 + 3.20 %

Financing provided (4)

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.

yield for the total portfolio assumes applicable floating benchmark rates for weighted-average calculation.

3 $ 2,855,625 $ 2,838,062 + 1.69 %

(1) 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.

(2) The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and SOFR, as applicable to each securitized debt obligation.

As of December 31, 2021, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%.

As of December 31, 2021, the one-month SOFR was 0.05% and one-month USD LIBOR was 0.10%.

(3) Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower.

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

The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.

During the year ended December 31, 2020, we recorded $43.1 million of interest expense related to our securitized debt obligations.

Refer to Notes 6 and 16 to our consolidated financial statements for additional details of our securitized debt obligations.

Non-Consolidated

Securitized Debt Obligation

(4) During the three and twelve months ended December 31, 2021, we recorded $10.8 million and $46.0 million, respectively, of interest expense related to our securitized debt obligations.

Refer to Note 6 and Note 17 to our consolidated financial statements for additional details of our securitized debt obligations.

Non-Consolidated Securitized Debt Obligation

In the third quarter of 2018, we contributed a senior loan to the 2018 Single Asset Securitization, and invested in the related subordinate position.

We do not consolidate the 2018 Single Asset Securitization on our balance sheet.

The non-consolidated

securitized debt obligation provides structural leverage for our net investment which is reflected as a held-to-maturity

debt security and is included in other assets on our consolidated balance sheets.

The following table details our non-consolidated

securitized debt obligations ($ in thousands):

The non-consolidated securitized debt obligation provides structural leverage for our net investment which is reflected as a held-to-maturity debt security and is included in other assets on our consolidated balance sheets.

The following table details our non-consolidated securitized debt obligations ($ in thousands):

December 31, 2021

Non-Consolidated

Securitized Debt Obligation

Non-Consolidated Securitized Debt Obligation Count Principal

Balance Book Value Wtd.

Yield/Cost (1)

Collateral assets

Financing provided

In addition to cash coupon, all-in

yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts.

Collateral assets 1 $ 379,302 n/a + 2.86 % June 2025

Financing provided 1 $ 300,102 n/a + 2.66 % June 2035

(1) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts.

(2) Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower.

Repayments of non-consolidated

securitized debt obligations are tied to timing of the related collateral loan asset repayments.

Repayments of non-consolidated 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.

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Outstanding Principal Balance

December 31, 2020

December 31, 2019

Asset-specific debt agreements

Non-consolidated

senior interests (1)

December 31, 2021 December 31, 2020

Asset-specific debt $ 400,699 $ 399,699

Non-consolidated senior interests (1)

1,512,675 801,796

Total asset-specific financings $ 1,913,374 $ 1,201,495

These non-consolidated

Asset-Specific Debt Agreements

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

(1) These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.

Asset-Specific Debt

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

December 31, 2021

Asset-Specific Debt Agreements

Asset-Specific Debt Count Principal

Book Value Wtd.

Yield/Cost (1)

Guarantee (2)

Collateral assets

Financing provided

Collateral assets 4 $ 446,276 $ 435,727 + 4.04 % March 2025

Financing provided 4 $ 400,699 $ 393,824 + 2.78 % March 2025

(1) These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency.

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In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.

Other than amounts guaranteed on an asset-by-asset

basis, borrowings under our asset-specific financings are non-recourse

(2) The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower.

Each of our asset-specific financings is term-matched to the corresponding collateral loans.

Non-Consolidated

Senior Interests

In certain instances, we finance our loans through the non-recourse

sale of a senior loan interest that is not included in our consolidated financial statements.

These non-consolidated

The following table details the subordinate interests retained on our balance sheet and the related non-consolidated

senior interests ($ in thousands):

Each of our asset-specific debt is term-matched to the corresponding collateral loans.

Non-Consolidated Senior Interests

In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.

The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests ($ in thousands):

December 31, 2021

Non-Consolidated

Senior Interests

Non-Consolidated Senior Interests Count Principal

Yield/Cost (1)

Senior participation

Our floating rate loans and related liabilities were indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency.

Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate.

In addition to cash coupon, all-in

yield/cost includes the amortization of deferred fees / financing costs.

Total loan 7 1,933,758 n/a + 3.89 % June 2025

Senior participation 7 1,512,675 n/a + 2.83 % June 2025

(1) The weighted-average spread and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and GBP LIBOR, as applicable to each investment.

As of December 31, 2021, 83% of these loans’ total investment exposure earned a floating rate of interest indexed to USD LIBOR or SOFR.

The other 17% of our investments earned a fixed rate of interest, which we reflect as a spread over GBP LIBOR, as of December 31, 2021, for purposes of the weighted-averages.

In addition to spread, 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.

Corporate Financing

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Outstanding Principal Balance

December 31, 2020

December 31, 2019

Secured term loans

December 31, 2021 December 31, 2020

Term loans $ 1,349,271 $ 1,062,766

Senior secured notes 400,000 —

Convertible notes 622,500 622,500

Total corporate financing $ 2,371,771 $ 1,685,266

Secured Term Loans

As of December 31, 2020, the following senior secured term loan facilities, or Secured Term Loans, were outstanding ($ in thousands):

Interest Rate (1)

2019 Term Loan

April 23, 2026

2020 Term Loan

April 23, 2026

The 2020 Term Loan borrowing is subject to a LIBOR floor of 1.00%.

Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Secured Term Loans.

Refer to Notes 2 and 8 to our consolidated financial statements for additional discussion of our Secured Term Loans.

As of December 31, 2021, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans Face Value Interest Rate (1)

All-in Cost (1)(2)

B-1 Term Loan $ 929,878 + 2.25 % + 2.53 % April 23, 2026

B-2 Term Loan $ 419,393 + 2.75 % + 3.42 % April 23, 2026

(1) The B-2 Term Loan borrowing is subject to a LIBOR floor of 0.50%.

(2) Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Term Loans.

Refer to Note 2 and Note 8 to our consolidated financial statements for additional discussion of our Term Loans.

Senior Secured Notes

As of December 31, 2021, the following Senior Secured Notes, were outstanding ($ in thousands):

Senior Secured Notes Face Value Interest Rate All-in Cost (1)

Senior Secured Notes $ 400,000 3.75 % 4.04 % January 15, 2027

(1) Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Notes.

Refer to Note 2 and Note 9 to our consolidated financial statements for additional discussion of our Senior Secured Notes.

Convertible Notes

As of December 31, 2021 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes Issuance

Interest Rate

March 15, 2023

Convertible Notes Issuance Face Value Interest Rate

All-in Cost (1)

Conversion Rate (2)

May 2017 $ 402,500 4.38 % 4.85 % 28.0324 May 5, 2022

March 2018 $ 220,000 4.75 % 5.33 % 27.6052 March 15, 2023

(1) Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.

Refer to Notes 2 and 9 to our consolidated financial statements for additional discussion of our Convertible Notes.

(2) Represents the number of shares of class A common stock issuable per $1,000 principal amount of Convertible Notes, which is equivalent to a conversion price of $35.67 and $36.23 per share of class A common stock, respectively, for the May 2017 and March 2018 convertible notes.

The cumulative dividend threshold as defined in the respective May 2017 and March 2018 convertible notes supplemental indentures have not been exceeded as of December 31, 2021.

Refer to Note 2 and Note 10 to our consolidated financial statements for additional discussion of our Convertible Notes.

Floating Rate Portfolio

4 unchanged sentences

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

The following table details our investment portfolio’s net exposure to interest rates by currency as of December 31, 2020 ($/€/£/A$/C$ in thousands):

The following table details our investment portfolio’s net exposure to interest rates by currency as of December 31, 2021 (amounts in thousands):

All Other (7)

Floating rate loans (1)(2)(3)

$ 17,048,180 € 2,768,909 £ 1,723,235 $ 1,137,905

Floating rate debt (1)(2)(3)(4)(5)

(13,486,462) (2,052,351) (1,288,441) (888,118)

Net floating rate exposure $ 3,561,718 € 716,558 £ 434,794 $ 249,787

Net floating rate exposure in USD (6)

$ 3,561,718 $ 814,726 $ 588,363 $ 249,787

(1) Our floating rate investments and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency.

Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate.

Includes investment exposure to the 2018 Single Asset Securitization.

Refer to Notes 4 and 16 to our consolidated financial statements for details of the subordinate position we own in the 2018 Single Asset Securitization.

Euro balance includes a loan denominated in British Pound Sterling, with an outstanding principal balance of £146.2 million as of December 31, 2020, that is hedged to Euro exposure through a foreign currency forward contract.

Refer to Note 10 to our consolidated financial statements for additional discussion of our foreign currency derivatives.

Includes borrowings under secured debt agreements, securitizations, asset-specific financings, and secured term loans.

In addition, we have two interest rate caps of C$38.3 million ($30.1 million as of December 31, 2020) to limit our exposure to increases in interest rates.

(2) Includes investment exposure and related financing of the 2018 Single Asset Securitization.

Refer to Note 4 and Note 17 to our consolidated financial statements for details of the subordinate position we own in the 2018 Single Asset Securitization.

(3) As of December 31, 2021, £874.8 million and £848.4 million of floating rate loans were indexed to SONIA and GBP LIBOR, respectively.

As of December 31, 2021, £856.6 million and £431.8 million of floating rate debt was indexed to SONIA and GBP LIBOR, respectively.

As of December 31, 2021, SONIA was 0.19%.

and three-month GBP LIBOR was 0.26%.

(4) Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans.

(5) As of December 31, 2021, $15.6 billion and $1.5 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively.

As of December 31, 2021, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%.

As of December 31, 2021, one-month SOFR was 0.05% and one-month USD LIBOR was 0.10%.

(6) Represents the U.S.

Dollar equivalent as of December 31, 2021.

(7) Includes Swedish Krona, Australian Dollar, Canadian Dollar, and Swiss Franc currencies.

Our Results of Operations

1 unchanged sentence

The following table sets forth information regarding our consolidated results of operations for the years ended December 31, 2021, 2020, and 2019 ($ in thousands, except per share data):

December 31, 2021 vs 2020 Year Ended

December 31, 2020 vs 2019

2021 2020 $ 2020 2019 $

Income from loans and other investments

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Total other expenses 131,635 123,787 7,848 123,787 117,289 6,498

Increase in current expected credit loss reserve

Decrease (increase) in current expected credit loss reserve 39,864 (167,653) 207,517 (167,653) — (167,653)

Income before income taxes 422,696 140,737 281,959 140,737 306,887 (166,150)

Income tax provision (benefit) 423 323 100 323 (506) 829

Net income attributable to non-controlling

Net income 422,273 140,414 281,859 140,414 307,393 (166,979)

Net income attributable to non-controlling interests (3,080) (2,744) (336) (2,744) (1,826) (918)

Net income attributable to Blackstone Mortgage Trust, Inc.

$ 419,193 $ 137,670 $ 281,523 $ 137,670 $ 305,567 $ (167,897)

Net income per share – basic and diluted $ 2.77 $ 0.97 $ 1.80 $ 0.97 $ 2.35 $ (1.38)

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Income from loans and other investments, net increased $82.3 million during the year ended December 31, 2021 compared to the year ended December 31, 2020.

The increase was primarily due to (i) $13.7 billion of our loans earning interest based on floors that were above the applicable floating rate index, as of December 31, 2020, and (ii) an increase in the weighted-average principal balance of our loan portfolio by $1.7 billion during the year ended December 31, 2020, as compared to the corresponding period in 2019.

prepayment fee income, and (iv) a decline in interest income related to two loans that are accounted for under the cost-recovery method effective June 30, 2020.

The increase was primarily due to (i) an increase in prepayment fee income, (ii) an increase in the weighted-average principal balance of our loan portfolio by $2.0 billion for the year ended December 31, 2021, as compared to the year ended December 31, 2020, and (iii) the impact of declining LIBOR and other floating rate indices, which had a larger impact on interest expense than interest income as a result of certain of our loans earning interest based on floors that were above the applicable floating rate index during the period.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $1.9 billion for the year ended December 31, 2021, as compared to the year ended December 31, 2020.

Income from loans and other investments, net increased $8.0 million during the year ended December 31, 2020 compared to the year ended December 31, 2019.

The increase was primarily due to (i) an increase in the weighted-average principal balance of our loan portfolio by $3.0 billion during the year ended December 31, 2019, compared to the year ended December 31, 2018 and (ii) an increase in the weighted-average LIBOR and other floating rate indices in 2019, compared to 2018.

This was offset by (i) the increase in the weighted-average principal balance of our outstanding financing arrangements by $2.6 billion during the year ended December 31, 2019, compared to the year ended December 31, 2018, and (ii) a decrease in non-recurring

prepayment fee income.

This was offset by (i) a decrease in weighted-average LIBOR and other floating rate indices in 2020, (ii) an increase in the weighted-average principal balance of our outstanding financing arrangements by $1.6 billion during year ended December 31, 2020, as compared to the year ended December 31, 2019, (iii) a decrease in prepayment fee income, and (iv) a decline in interest income related to two loans that are accounted for under the cost-recovery method effective June 30, 2020.

Other expenses

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

Other expenses increased by $6.5 million during the year ended December 31, 2020 compared to the

year ended December 31, 2019 due to (i) an increase of $5.1 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2019 and 2020, (ii) $3.9 million of additional non-cash

restricted stock amortization related to shares awarded under our long-term incentive plans, and (iii) an increase of $3.1 million of other general operating expenses.

This was offset by a decrease of $5.7 million of incentive fees payable to our Manager.

Other expenses increased by $6.9 million during the year ended December 31, 2019 compared to the year ended December 31, 2018 due to (i) an increase of $8.3 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2018 and 2019, (ii) $2.5 million of additional non-cash

restricted stock amortization related to shares awarded under our long-term incentive plans, and (iii) an increase of $823,000 of other general operating expenses.

Other expenses increased by $7.8 million during the year ended December 31, 2021 compared to the year ended

December 31, 2020 due to (i) an increase of $6.8 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, and (ii) an increase of $3.8 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021 and 2020.

This was offset by a decrease of $3.0 million of non-cash restricted stock amortization related to shares issued under our long-term incentive plans in 2021 and 2020, primarily due to the difference in the grant date share price.

Other expenses increased by $6.5 million during the year ended December 31, 2020 compared to the year ended December 31, 2019 due to (i) an increase of $5.1 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2019 and 2020, (ii) $3.9 million of additional non-cash restricted stock amortization related to shares awarded under our long-term incentive plans, and (iii) an increase of $3.1 million of other general operating expenses.

This was offset by a decrease of $5.7 million of incentive fees payable to our Manager.

Changes in current expected credit loss reserve

We adopted ASU 2016-13,

which implemented the CECL accounting model, on January 1, 2020.

During year ended December 31, 2020, we recorded a $167.7 million increase in the CECL reserve.

This CECL reserve reflects the macroeconomic impact of the COVID-19

pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

This reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the COVID-19

We adopted ASU 2016-13, which implemented the CECL accounting model, on January 1, 2020.

During year ended December 31, 2021, we recorded a $39.9 million decrease in the CECL reserve, as compared to a $167.7 million increase during the year ended December 31, 2020.

This CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

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

Net income attributable to non-controlling

During the years ended December 31, 2020, 2019, and 2018, we recorded $2.7 million, $1.8 million, and $735,000, respectively, of net income attributable to non-controlling

interests related to our Multifamily Joint Venture.

Net income attributable to non-controlling interests

During the years ended December 31, 2021, 2020, and 2019, we recorded $3.1 million, $2.7 million, and $1.8 million, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

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During 2019, we declared aggregate dividends of $2.48 per share, or $328.1 million.

The following table sets forth information regarding our consolidated results of operations for the three months ended December 31, 2020 and 2019 ($ in thousands, except per share data):

Three Months Ended

The following table sets forth information regarding our consolidated results of operations for the three months ended December 31, 2021 and September 30, 2021 ($ in thousands, except per share data):

Three Months Ended December 31, Three Months Ended September 30, Change

Income from loans and other investments

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Total other expenses 39,433 30,183 9,250

Decrease in current expected credit loss reserve

Decrease (increase) in current expected credit loss reserve (9,568) (2,767) (6,801)

Income before income taxes 124,939 84,474 40,465

Income tax provision 77 70 7

Net income attributable to non-controlling

Net income 124,862 84,404 40,458

Net income attributable to non-controlling interests (922) (647) (275)

Net income attributable to Blackstone Mortgage Trust, Inc.

$ 123,940 $ 83,757 $ 40,183

Net income per share – basic and diluted $ 0.76 $ 0.56 $ 0.20

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Income from loans and other investments, net

Income from loans and other investments, net decreased $261,000 during the three months ended December 31, 2020 compared to the three months ended December 31, 2019.

The decrease was primarily due to (i) a decrease in weighted-average LIBOR and other floating rate indices in 2020, (ii) an increase in the weighted-average principal balance of our outstanding financing arrangements by $631.2 million during the three months ended December 31, 2020, as compared to the corresponding period in 2019, (iii) a decrease in non-recurring

prepayment fee income, and (iv) a decline in interest income related to two loans that are accounted for under the cost-recovery method effective June 30, 2020.

This was offset by (i) $13.7 billion of our loans earning interest based on floors that were above the applicable floating rate index, as of December 31, 2020, and (ii) an increase in the weighted-average principal balance of our loan portfolio by $811.1 million during the three months ended December 31, 2020, as compared to the corresponding period in 2019.

Income from loans and other investments, net increased $56.5 million during the three months ended December 31, 2021 compared to the three months ended September 30, 2021.

The increase was primarily due to (i) an increase in prepayment fee income and (ii) an increase in the weighted-average principal balance of our loan portfolio by $2.8 billion for the three months ended December 31, 2021, as compared to the three months ended September 30, 2021.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $2.7 billion for the three months ended December 31, 2021, as compared to the three months ended September 30, 2021.

Other expenses

Other expenses are composed of management and incentive fees payable to our Manager and general and administrative expenses.

Other expenses increased by $646,000 during the three months ended December 31, 2020 compared to the corresponding period in 2019 due to (i) a $1.2 million increase in non-cash

restricted stock amortization related to shares awarded under our long-term incentive plans, (ii) an increase of $1.1 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2020, and (iii) an increase of $473,000 of general operating expenses.

This was offset by a decrease of $2.1 million of incentive fees payable to our Manager.

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

Other expenses increased by $9.3 million during the three months ended December 31, 2021 compared to the three months ended September 30, 2021 primarily due to (i) an increase of $7.6 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii) an increase of $1.5 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during the three months ended December 31, 2021, and (iii) an increase of $847,000 of general operating expense.

This was offset by a decrease of $618,000 of non-cash restricted stock amortization related to the timing of shares issued under our long-term incentive plans.

Changes in current expected credit loss reserve

We adopted ASU 2016-13,

which implemented the CECL accounting model, on January 1, 2020.

Our CECL reserve reflects the macroeconomic impact of the COVID-19

pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

This reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the COVID-19

During the three months ended December 31, 2020, we recorded a $5.8 million decrease in the CECL reserve as a result of changes in our underlying assumptions with respect to portfolio tenor and application of

historical loss data to our portfolio.

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

Net income attributable to non-controlling

During the three months ended December 31, 2020 and 2019, we recorded $807,000 and $650,000, respectively, of net income attributable to non-controlling

interests related to our Multifamily Joint Venture.

During the three months ended December 31, 2021, we recorded a $9.6 million increase in the CECL reserve, as compared to a $2.8 million increase during the three months ended September 30, 2021.

Our CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

Net income attributable to non-controlling interests

During the three months ended December 31, 2021 and September 30, 2021, we recorded $922,000 and $647,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

During the three months ended December 31, 2021, we declared aggregate dividends of $0.62 per share, or $104.3 million.

During the three months ended December 31, 2019, we declared aggregate dividends of $0.62 per share, or $83.7 million.

During the three months ended September 30, 2021, we declared aggregate dividends of $0.62 per share, or $97.3 million.

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, borrowings under secured debt agreements, borrowings under secured term loans, and the issuance and sale of convertible notes.

As of December 31, 2020, our balance sheet included $1.7 billion of corporate debt and $12.7 billion of asset-level financing.

No portion of our corporate debt matures before 2022 and our asset-specific financing is generally term-matched or matures in 2022 or later.

Our $12.7 billion of asset-level financing includes $7.9 billion of secured debt agreements, $3.6 billion of securitizations, which are inherently non-recourse,

to market, and term matched to the financed assets, and $1.2 billion of asset-specific financings.

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.

During the three months ended June 30, 2020, we entered into agreements with our seven largest secured credit facility lenders, representing an aggregate $7.9 billion of our secured credit facilities as of June 30, 2020, to temporarily suspend credit mark provisions and pre-approve

certain loan modifications to certain of their portfolio assets, primarily in exchange for cash repayments and pledging additional loan collateral.

During the three months ended December 31, 2020, we extended the credit facility modification agreements with the seven lenders without any further deleveraging or increased cost.

We are in frequent, consistent dialogue with the providers of our secured credit facilities regarding our management of their collateral assets in light of the impacts of the COVID-19

Our Manager’s robust, in-house

asset management team has extensive experience managing loans throughout cycles, and maintains a rated special servicer as part of its broader real estate debt investment and asset management platform.

The feedback we have received from our lenders indicates that they believe our Manager, as part of the broader Blackstone Real Estate platform, has a superior capability to manage the loans in our portfolio to a successful resolution.

See Notes 5, 6, 7, 8, and 9 to our consolidated financial statements for additional details regarding our secured debt agreements, securitized debt obligations, asset-specific debt agreements, Secured Term Loans, 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:

December 31, 2020

December 31, 2019

Debt-to-equity

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 financing.

As of December 31, 2021, our capitalization structure included $4.6 billion of common equity, $2.4 billion of corporate debt, and $17.4 billion of asset-level financing.

Our $2.4 billion of corporate debt includes $1.3 billion of term loan borrowings, $400.0 million of senior secured notes, and $622.5 million of convertible notes, of which $402.5 million matures in 2022.

Our $17.4 billion of asset-level financing includes $12.3 billion of secured debt, $3.2 billion of securitizations, and $1.9 billion of asset-specific financings all of which are structured to produce term, currency and index matched funding with no margin call provisions based upon capital markets events.

As of December 31, 2021, we have $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 5, 6, 7, 8, 9, and 10 to our co nsolidated 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:

December 31, 2021 December 31, 2020

Debt-to-equity ratio (1)

Total leverage ratio (2)

Represents (i) total outstanding secured debt agreements, asset-specific debt agreements, secured term loans, and convertible notes, less cash, to (ii) total equity, in each case at period end.

Represents (i) total outstanding secured debt agreements, securitizations, asset-specific financings, secured term loans, and convertible notes, less cash, to (ii) total equity, in each case at period end.

(1) Represents (i) total outstanding secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, in each case at period end.

(2) Represents (i) total outstanding secured debt, securitizations, asset-specific financings, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, in each case at period end.

Sources of Liquidity

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

December 31, 2020

December 31, 2019

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

December 31, 2021 December 31, 2020

Cash and cash equivalents $ 551,154 $ 289,970

Available borrowings under secured debt agreements

Available borrowings under secured debt 754,900 829,165

Loan principal payments held by servicer, net (1)

17,528 19,460

$ 1,323,582 $ 1,138,595

(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.

Typically, loan repayments are our largest source of incremental liquidity.

For the year ended December 31, 2020, loan repayments generated $451.1 million of liquidity, net of any related financings.

Similarly, during the year ended December 31, 2019, loan repayments and sales generated $998.2 million of liquidity.

Loan repayments have slowed as a result of the COVID-19

pandemic, however, as of December 31, 2020, our portfolio does include $3.0 billion of loans with a final maturity date earlier than December 31, 2022.

During the year ended December 31, 2020, we generated cash flow from operating activities of $336.6 million.

Additionally, during the year ended December 31, 2020, we received $315.4 million of net proceeds from borrowings under a secured term loan and $278.3 million of net proceeds from the issuance of shares of class A common stock.

Furthermore, we are able to generate incremental liquidity through the replenishment provisions of our 2020 FL3 and 2020 FL2 CLOs, which allow us to replace a repaid loan in the CLO by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

During the year ended December 31, 2021, we generated cash flow from operating activities of $382.5 million and received $6.7 billion of loan repayments, $4.7 billion of net proceeds from secured debt borrowings, $638.0 million of net proceeds from the issuance of shares of class A common stock, $400.0 million from the issuance of senior secured notes, and $298.5 million of net proceeds from borrowings under term loans.

Furthermore, we are able to generate incremental liquidity through the replenishment provisions of our 2021 FL4, 2020 FL3, and 2020 FL2 CLOs, which allow us to replace a repaid loan in the CLO by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

We have access to liquidity through public offerings of debt and equity securities.

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

We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,991,974 shares of class A common stock were available for issuance as of December 31, 2020, and our at-the-market

stock offering program, pursuant to which we may sell, from time to time, up to $363.8 million of additional shares of our class A common stock as of December 31, 2020.

We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,989,790 shares of class A common stock were available for issuance as of December 31, 2021, and our at-the-market stock offering program, pursuant to which we may sell, from time to time, up to $353.8 million of additional shares of our class A common stock as of December 31, 2021.

Refer to Note 11 to our consolidated financial statements for additional details.

Liquidity Needs

In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $7.9 billion of outstanding borrowings under secured debt agreements, our asset-specific debt agreements, our Secured Term Loans, and our Convertible Notes.

In addition, we had aggregate unfunded loan commitments of $3.2 billion as of December 31, 2020.

We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of 72.8% for such financed loans, resulting in identified financing for $2.2 billion of our aggregate unfunded loan commitments as of December 31, 2020.

Some of our lenders, including substantially all of our financing of construction loans, are contractually obligated to fund their ratable portion of these loan commitments over time, while other lenders have some degree of discretion over future loan funding obligations.

We expect to fund our loan commitments over the tenor of these loans, which have a weighted-average future funding period of 3.7 years.

Our future loan fundings comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and will vary depending on the progress of capital projects, leasing, and cash flows at the assets underlying our loans.

In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $12.3 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes.

As of December 31, 2021, we had unfunded commitments of $4.2 billion related to 118 loans receivable and $2.5 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.7 billion.

The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability will vary depending on 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.

As a result of the COVID-19

pandemic, the progress of capital expenditures, construction, and leasing has been slower than otherwise expected, and the pace of funding relating to these capital needs has been commensurately slower and may continue to be slower.

We expect to fund our loan commitments over the remaining term of the related loans, which have a weighted-average future funding period of 3.6 years.

Contractual Obligations and Commitments

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Unfunded loan commitments (2)

Principal repayments under secured debt agreements (2)

Principal repayments under asset-specific debt agreements (2)

Principal repayments of secured term loans (3)

$ 4,180,128 $ 181,560 $ 1,611,957 $ 1,395,295 $ 991,316

Principal repayments under secured debt (3)

12,299,580 64,564 5,378,851 5,986,465 869,700

Principal repayments under asset-specific debt (3)

400,699 — 78,659 322,039 —

Principal repayments of term loans (4)

1,349,271 13,738 27,477 1,308,056 —

Principal repayments of senior secured notes 400,000 — — — 400,000

Principal repayments of convertible notes (5)

622,500 402,500 220,000 — —

Interest payments (3)(6)

1,035,532 305,220 468,574 247,088 14,650

$ 20,287,710 $ 967,582 $ 7,785,518 $ 9,258,943 $ 2,275,666

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

Refer to the sources of liquidity section above for our sources of funds to satisfy our short-term cash requirements.

(2) The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the final loan maturity date, however we may be obligated to fund these commitments earlier than such date.

The allocation of repayments under our secured debt agreements and asset-specific debt agreements for both principal and interest payments is based on the earlier of (i) the maturity date of each agreement, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

The Secured Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the principal balance due in quarterly installments.

Refer to Note 8 to our consolidated financial statements for further details on our secured term loans.

(3) The allocation of repayments under our secured debt and asset-specific debt for both principal and interest payments is based on the earlier of (i) the maturity date of each agreement, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

(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 8 for further details on our term loans.

(5) Reflects the outstanding principal balance of convertible notes, excluding any potential conversion premium.

Refer to Note 10 to our consolidated financial statements for further details on our convertible notes.

Represents interest payments on our secured debt agreements, convertible notes, and Secured Term Loans.

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

Future interest payment obligations are estimated assuming the interest rates in effect as of December 31, 2021 will remain constant into the future.

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

Total does not include $2.9 billion of consolidated securitized debt obligations, $656.3 million of non-consolidated

securitized debt obligations, and $801.8 million of non-consolidated

senior interests, as the satisfaction of these liabilities will not require cash outlays from us.

(7) Total does not include $2.9 billion of consolidated securitized debt obligations, $1.5 billion of non-consolidated senior interests, and $300.1 million of non-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 derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty.

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For the years ended December 31,

2021 2020 2019

Cash flows provided by operating activities $ 382,483 $ 336,607 $ 304,037

Cash flows used in investing activities (5,627,461) (88,251) (1,871,148)

Cash flows (used in) provided by financing activities

Net increase (decrease) in cash and cash equivalents

Cash flows provided by (used in) financing activities 5,508,224 (110,769) 1,612,552

Net increase in cash and cash equivalents $ 263,246 $ 137,587 $ 45,441

We experienced a net increase in cash and cash equivalents of $263.2 million for the year ended December 31, 2021, compared to a net increase of $137.6 million for the year ended December 31, 2020.

During 2021, we received (i) $6.7 billion from loan principal collections and sales proceeds, (ii) $4.7 billion of net proceeds from secured debt borrowings, (iii) $638.0 million of net proceeds from the issuance of shares of class A common stock, (iv) $395.0 million of net proceeds from the issuance of senior secured notes, and (v) $298.5 million of net proceeds from secured term loan borrowings.

We used the proceeds from these activities to fund $12.6 billion of new loans.

We experienced a net increase in cash and cash equivalents of $137.6 million for the year ended December 31, 2020, compared to a net increase of $45.4 million for the year ended December 31, 2019.

During 2020, we received (i) $2.1 billion of proceeds from the issuance of collateralized loan obligations, (ii) $1.9 billion from loan principal collections and sales proceeds, (iii) $315.4 million of net proceeds from secured term loan borrowings, and (iv) $278.3 million in net proceeds from the issuance of shares of class A common stock.

We used the proceeds from these activities to (i) repay a net $2.1 billion under our secured debt agreements and (ii) fund $1.9 billion of new loans.

We experienced a net increase in cash and cash equivalents of $45.4 million for the year ended December 31, 2019, compared to a net decrease of $3.9 million for the year ended December 31, 2018.

During 2019, we received (i) $4.9 billion from loan principal collections and sales proceeds, (ii) $795.2 million of net borrowings under our secured debt agreements, (iii) $748.4 million of net proceeds from secured term loan borrowings, and (iv) $372.3 million of net proceeds from the issuance of shares of class A common stock.

We used the proceeds from these activities to fund $6.9 billion of new loans during the year ended December 31, 2019.

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

Refer to Notes 5, 8, and 11 to our consolidated financial statements for additional discussion of our secured debt agreements, secured term loans, and equity.

Refer to Notes 5, 8, and 12 to our consolidated financial statements for additional discussion of our secured debt, term loans, and equity.

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.

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 that we distribute.

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As of December 31, 2021 and 2020, we were in compliance with all REIT requirements.

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

Refer to Note 14 to our consolidated financial statements for additional discussion of our income taxes.

Sheet Arrangements

We have no off-balance

sheet arrangements.

Critical Accounting Policies

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Current Expected Credit Losses

The CECL reserve required under Accounting Standard Update, or ASU, 2016-13

“Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic 326),” or ASU 2016-13,

reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets.

The initial CECL reserve recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity;

however subsequent changes to the CECL reserve are recognized through net income on our consolidated statements of operations.

While ASU 2016-13

does not require any particular method for determining the CECL reserve, it does specify the reserve should be based on relevant information about past events, including historical loss experience, current portfolio and market conditions, and reasonable and supportable forecasts for the duration of each respective loan.

In addition, other than a few narrow exceptions, ASU 2016-13

requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principal underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

The current expected credit loss, or CECL, reserve required under Accounting Standard Update, or ASU, 2016-13 “Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic 326),” or ASU 2016-13, reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets.

We estimate our CECL reserve 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.

The WARM method requires us to reference historic loan loss data across a comparable data set and apply such loss rate to each of our loans over their expected remaining term, taking into consideration expected economic conditions over the relevant timeframe.

the WARM method for the majority of our loan portfolio, which loans share similar risk characteristics.

In certain instances, for loans with unique risk characteristics, we may instead use a probability-weighted model that considers the likelihood of default and expected loss given default for each such individual loan.

Application of the WARM method to estimate a CECL reserve requires judgment, including (i) the appropriate historical loan loss reference data, (ii) the expected timing and amount of future loan fundings and repayments, and (iii) the current credit quality of our portfolio and our expectations of performance and market conditions over the relevant time period.

To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance, which includes zero realized loan losses since the launch of our senior loan origination business in 2013, with market loan loss data licensed from Trepp LLC.

Estimating the CECL reserve requires judgment, including the following assumptions:

• Historical loan loss reference data:

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

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through November 30, 2021.

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,

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.

Our loans typically include commitments to fund incremental proceeds to our borrowers over the life of the loan, which future funding commitments are also subject to the CECL model.

The CECL reserve related to future loan fundings is recorded as a component of Other Liabilities on our consolidated balance sheets.

This CECL reserve is estimated using the same process outlined above for our outstanding loan balances, and changes in this component of the CECL reserve will similarly impact our consolidated net income.

For both the funded and unfunded portions of our loans, we consider our internal risk rating of each loan as the primary credit quality indicator underlying our assessment.

The CECL reserve is measured on a collective basis wherever similar risk characteristics exist within a pool of similar assets.

We have identified the following pools and measure the reserve for credit losses using the following methods:

WARM method that incorporates a subset of historical loss data, expected weighted-average remaining maturity of our loan pool, and an economic view.

WARM method that incorporates a subset of historical loss data, expected weighted average remaining maturity of our loan pool, and an economic view.

a probability of default and loss given default model, assessed on an individual basis.

Impaired Loans

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 reserve by applying the practical expedient for collateral dependent loans.

The CECL reserve is 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 our Manager.

Actual losses, if any, could ultimately differ materially from these estimates.

We only expect to realize the impairment losses if and when such amounts are deemed nonrecoverable 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 non-recoverability

may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected.

We adopted ASU 2016-13

using the modified-retrospective method for all financial assets measured at amortized cost.

Prior to our adoption, we had no loan loss provisions on our consolidated balance sheets.

We recorded a cumulative-effective adjustment to the opening retained earnings in our consolidated statement of equity as of January 1, 2020.

The following table details the impact of this adoption ($ in thousands):

CECL reserve on loans

CECL reserve on held-to-maturity

debt securities

CECL reserve on unfunded loan commitments

Total impact of ASU 2016-13

adoption on retained earnings

Contractual Term and Unfunded Loan Commitments

• 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 prepayments.

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The considerations in estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loan receivables.

Credit Quality Indicator

• Current credit quality of our portfolio:

Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve.

Our Manager performs a quarterly risk review of our portfolio of loans, and assigns each loan a risk rating based on a variety of factors, including, without limitation, 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.

Based on a 5-point

scale, our loans are rated “l” through “5,” from less risk to greater risk, relative to our loan portfolio in the aggregate, which ratings are defined as follows:

Very Low Risk

High Risk/Potential for Loss:

A loan that has a risk of realizing a principal loss.

Impaired/Loss Likely:

A loan that has a very high risk of realizing a principal loss or has otherwise incurred a principal loss.

Estimation of Economic Conditions

In addition to the WARM method computations and probability-weighted models described above, our CECL reserve is also 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.

• Expectations of performance and market conditions:

Our CECL reserve is 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, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term.

1 unchanged sentence

These estimations require significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of December 31, 2021.

• 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.

If a loan is determined to be impaired, we record the impairment as a component of our CECL reserve by applying the practical expedient for collateral dependent loans.

The CECL reserve is 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.

Actual losses, if any, could ultimately differ materially from these estimates.

We only expect to realize the impairment losses if and when such amounts are deemed nonrecoverable upon a realization event.

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 reserve may change over time and from period to period.

The decrease in the CECL reserve during the year ended December 31,

2021 reflects the ongoing market recovery from COVID-19 and the improvement in the performance of the collateral assets underlying our portfolio.

This CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

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

Revenue Recognition

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In addition, for loans we originate, the related origination expenses are deferred and recognized as a component of interest income, however expenses related to loans we acquire are included in general and administrative expenses as incurred.

Refer to Note 2 to our consolidated financial statements for the complete listing and description of our significant accounting policies.

Loan Portfolio Details

The following table provides details of our loan portfolio, on a loan-by-loan

basis, as of December 31, 2020 ($ in millions):

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of December 31, 2021 ($ in millions):

Loan Type (1)

Property Type

SQFT / Unit / Key

Diversified-Spain

Washington DC

$467,454 / key

Location Property Type Loan Per

SQFT / Unit / Key Origination

1 Senior Loan 8/14/2019 $ 1,192 $ 1,160 $ 1,156 +2.54 % +2.96 % 12/23/2024 Dublin - IE Office $422 / sqft 74 % 2

2 Senior Loan 3/22/2018 822 822 821 +3.25 % +3.42 % 3/15/2023 Diversified - Spain Mixed-Use n / a 71 % 4

3 Senior Loan (4)

Diversified-EUR

Diversified-UK

12/9/2021 770 667 382 +2.65 % +2.82 % 12/9/2026 New York Mixed-Use $220 / sqft 50 % 2

4 Senior Loan 3/30/2021 551 551 546 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $101 / sqft 76 % 2

5 Senior Loan (4)

$306,870 / key

San Francisco

Diversified-Spain

$138,195 / key

San Francisco

$365,544 / key

San Francisco

Washington DC

Diversified-IT

Loan Type (1)

Property Type

SQFT / Unit / Key

Diversified-UK

$1,212 / sqft

Orange County

$309,308 / key

8/7/2019 746 497 99 +3.12 % +3.60 % 9/9/2025 Los Angeles Office $338 / sqft 59 % 3

6 Senior Loan (4)

Fort Lauderdale

$1,041 / sqft

$189,902 / key

Washington DC

$532,000 / key

Diversified-US

Loan Type (1)

Property Type

SQFT / Unit / Key

Diversified-UK

Washington DC

Diversified-NL

$129,761 / unit

12/17/2021 448 440 283 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $13,716 / unit 61 % 3

7 Senior Loan 8/22/2018 363 363 362 +3.15 % +3.28 % 8/9/2023 Maui Hospitality $471,391 / unit 61 % 2

8 Senior Loan 4/9/2018 1,487 358 346 +6.13 % +6.43 % 6/9/2025 New York Office $525 / sqft 48 % 2

9 Senior Loan 9/23/2019 398 346 343 +3.00 % +3.22 % 11/15/2024 Diversified - Spain Hospitality $188,896 / unit 62 % 4

10 Senior Loan 4/11/2018 355 345 344 +2.85 % +3.10 % 5/1/2023 New York Office $437 / sqft 71 % 3

11 Senior Loan 10/25/2021 327 327 323 +4.30 % +4.62 % 10/25/2024 Diversified - AU Hospitality $161,082 / unit 56 % 3

12 Senior Loan (4)

San Francisco

$547,745 / unit

San Francisco

$228,299 / key

$160,580 / key

San Francisco

$248,380 / key

$331,037 / unit

8/6/2015 325 325 59 5.74 % 5.85 % 10/29/2022 Diversified - EUR Other n / a 71 % 3

13 Senior Loan 1/11/2019 325 325 323 +4.35 % +4.70 % 1/11/2026 Diversified - UK Other $321 / sqft 74 % 4

14 Senior Loan 2/27/2020 303 299 298 +2.70 % +3.04 % 3/9/2025 New York Mixed-Use $938 / sqft 59 % 2

15 Senior Loan 11/30/2018 286 286 285 n/m (7)

% 8/9/2025 New York Hospitality $306,870 / unit 73 % 5

16 Senior Loan (4)

Diversified-CA

$317,164 / unit

$785,340 / key

West Palm Beach

11/22/2019 470 279 55 +3.70 % +4.17 % 12/9/2025 Los Angeles Office $279 / sqft 69 % 3

17 Senior Loan 10/23/2018 290 275 275 +2.80 % +3.04 % 11/9/2024 Atlanta Office $256 / sqft 64 % 2

18 Senior Loan 12/11/2018 310 273 272 +2.55 % +2.77 % 12/9/2023 Chicago Office $229 / sqft 78 % 3

19 Senior Loan 7/23/2021 500 271 266 +4.00 % +4.42 % 8/9/2027 New York Multi $364,197 / unit 58 % 3

20 Senior Loan 7/15/2021 327 270 266 +4.25 % +4.73 % 7/15/2026 Diversified - EUR Hospitality $206,234 / unit 53 % 3

21 Senior Loan 9/30/2021 280 265 263 +2.50 % +2.77 % 9/30/2026 Dallas Multi $139,884 / unit 74 % 3

22 Senior Loan 4/26/2021 264 264 262 +2.45 % +2.63 % 5/9/2026 Diversified - US Multi $156,393 / unit 75 % 3

23 Senior Loan 9/29/2021 312 255 253 +2.70 % +2.92 % 10/9/2026 Washington DC Office $332 / sqft 66 % 3

24 Senior Loan 9/14/2021 259 252 250 +2.50 % +2.76 % 9/14/2026 Dallas Multi $203,644 / unit 72 % 3

25 Senior Loan 11/30/2018 264 251 250 +2.80 % +3.03 % 12/9/2024 San Francisco Hospitality $368,495 / unit 73 % 4

26 Senior Loan 7/16/2021 247 230 227 +3.50 % +3.81 % 2/15/2026 London - UK Multi $260,473 / unit 72 % 3

27 Senior Loan (4)

3/23/2020 307 223 44 +3.75 % +4.47 % 1/9/2025 Nashville Mixed-Use $262 / sqft 78 % 3

28 Senior Loan 7/20/2017 250 223 222 +3.70 % +4.16 % 8/9/2023 San Francisco Office $369 / sqft 58 % 2

29 Senior Loan 9/16/2021 247 212 210 +3.80 % +4.49 % 4/9/2024 San Francisco Office $267 / sqft 53 % 3

30 Senior Loan 4/23/2021 219 209 209 +3.65 % +3.77 % 5/8/2024 Washington DC Office $234 / sqft 57 % 3

Loan Type (1)

Property Type

SQFT / Unit / Key

$69,038 / unit

Diversified-US

$214,341 / key

$184,768 / unit

$307,319 / unit

$99,598 / unit

Fort Lauderdale

$238,158 / unit

$223,254 / unit

$588,633 / unit

$1,014 / sqft

$92,529 / unit

Southern California

$137,304 / unit

$617,619 / unit

Diversified-FR

$203,880 / unit

Location Property Type Loan Per

SQFT / Unit / Key Origination

31 Senior Loan 6/27/2019 $ 218 $ 204 $ 203 +2.80 % +3.16 % 8/15/2026 Berlin - DEU Office $214 / sqft 62 % 3

32 Senior Loan 8/31/2017 203 202 202 +2.50 % +2.85 % 9/9/2023 Orange County Office $235 / sqft 64 % 3

33 Senior Loan 11/5/2019 210 200 199 +3.85 % +4.45 % 2/21/2025 Diversified - IT Office $394 / sqft 66 % 3

34 Senior Loan 9/25/2019 199 199 198 +4.35 % +4.93 % 9/26/2023 London - UK Office $908 / sqft 72 % 3

35 Senior Loan 11/23/2018 198 198 197 +2.62 % +2.87 % 2/15/2024 Diversified - UK Office $589 / sqft 50 % 3

36 Senior Loan 9/30/2021 195 195 193 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3

37 Senior Loan 12/22/2016 205 192 192 +2.90 % +3.13 % 12/9/2022 New York Office $270 / sqft 64 % 3

38 Senior Loan 6/4/2018 188 188 188 +3.50 % +3.76 % 6/9/2024 New York Hospitality $309,308 / unit 52 % 4

39 Senior Loan 12/21/2017 198 182 182 +2.65 % +2.87 % 1/9/2023 Atlanta Office $136 / sqft 51 % 1

40 Senior Loan 6/28/2019 222 182 180 +3.70 % +4.35 % 6/27/2024 London - UK Office $596 / sqft 71 % 3

41 Senior Loan 10/1/2019 248 175 173 +3.75 % +4.25 % 10/9/2025 Atlanta Office $369 / sqft 68 % 1

42 Senior Loan 9/26/2019 175 175 175 +3.10 % +3.54 % 1/9/2023 New York Office $256 / sqft 65 % 3

43 Senior Loan 12/17/2021 178 175 173 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,680 / unit 48 % 3

44 Senior Loan 9/30/2021 256 172 170 +3.00 % +3.35 % 10/9/2028 Chicago Office $190 / sqft 74 % 3

45 Senior Loan 9/5/2019 198 169 169 +2.75 % +3.26 % 9/9/2024 New York Office $1,055 / sqft 62 % 3

46 Senior Loan 9/4/2018 173 159 159 +3.00 % +3.39 % 9/9/2023 Las Vegas Hospitality $192,456 / unit 70 % 3

47 Senior Loan 10/7/2021 165 158 157 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $322 / unit 68 % 3

48 Senior Loan 9/30/2021 209 157 155 +4.00 % +4.52 % 9/30/2026 Diversified - Spain Hospitality $140,968 / unit 60 % 3

49 Senior Loan 5/27/2021 205 154 153 +2.70 % +2.99 % 6/9/2026 Atlanta Office $130 / sqft 66 % 3

50 Senior Loan 8/24/2021 179 153 152 +3.10 % +3.41 % 9/9/2026 San Jose Office $365 / sqft 65 % 3

51 Senior Loan 11/18/2021 153 153 152 +3.25 % +3.51 % 10/21/2026 London Industrial $209 / sqft 65 % 2

52 Senior Loan 12/20/2019 152 152 151 +3.10 % +3.32 % 12/18/2026 London - UK Office $756 / sqft 75 % 2

53 Senior Loan 12/21/2021 145 145 143 +2.75 % +3.11 % 12/21/2026 London Industrial $504 / sqft 67 % 3

54 Senior Loan 7/23/2021 244 141 138 +5.00 % +5.33 % 8/9/2027 New York Mixed-Use $455 / sqft 53 % 3

55 Senior Loan 1/17/2020 203 139 138 +2.75 % +3.07 % 2/9/2025 New York Mixed-Use $114 / sqft 43 % 3

56 Senior Loan 11/14/2017 133 133 133 +2.75 % +2.86 % 6/9/2023 Los Angeles Hospitality $532,000 / unit 56 % 2

57 Senior Loan 3/10/2020 140 130 130 +2.50 % +2.50 % 10/11/2024 New York Mixed-Use $793 / sqft 53 % 2

58 Senior Loan 9/14/2021 132 127 127 +2.70 % +2.95 % 10/9/2026 San Bernardino Multi $256,774 / unit 75 % 3

59 Senior Loan 4/3/2018 126 125 125 +2.75 % +2.92 % 4/9/2024 Dallas Mixed-Use $761 / sqft 64 % 3

60 Senior Loan 11/17/2021 135 125 124 +2.80 % +3.15 % 12/9/2026 Denver Multi $323,316 / unit 71 % 3

Loan Type (1)

Property Type

SQFT / Unit / Key

$444,934 / unit

$163,786 / unit

$165,711 / unit

$158,929 / unit

$161,351 / unit

$177,171 / unit

Virginia Beach

$160,839 / unit

$135,323 / unit

$95,149 / unit

$400,000 / unit

$71,430 / unit

Diversified-US

$303,882 / key

$198,020 / unit

Diversified-CAN

$3,682 / unit

$47,837 / unit

$130,180 / unit

$62,223 / unit

Orange County

Loans receivable, net

Location Property Type Loan Per

SQFT / Unit / Key Origination

61 Senior Loan 11/27/2019 $ 146 $ 125 $ 124 +2.75 % +3.13 % 12/9/2024 Minneapolis Office $125 / sqft 64 % 3

62 Senior Loan 4/30/2018 173 123 122 +3.25 % +3.51 % 4/30/2023 London - UK Office $553 / sqft 60 % 3

63 Senior Loan 8/31/2021 119 119 118 +3.05 % +3.32 % 9/9/2026 Diversified - US Retail $316 / sqft 65 % 3

64 Senior Loan 6/1/2021 120 117 117 +2.85 % +3.05 % 6/9/2026 Miami Multi $291,189 / unit 61 % 3

65 Senior Loan 6/28/2019 125 117 117 +2.75 % +2.91 % 2/1/2024 Los Angeles Office $591 / sqft 48 % 3

66 Senior Loan 4/6/2021 123 117 116 +3.20 % +3.52 % 4/9/2026 Los Angeles Office $493 / sqft 65 % 3

67 Senior Loan 7/15/2019 145 117 116 +2.90 % +3.25 % 8/9/2024 Houston Office $211 / sqft 58 % 3

68 Senior Loan 9/14/2018 114 114 114 +3.50 % +3.84 % 9/14/2023 Canberra - AU Mixed-Use $335 / sqft 68 % 3

69 Senior Loan 3/29/2021 138 114 113 +3.90 % +4.55 % 3/29/2026 Diversified - UK Multi $49,962 / unit 61 % 3

70 Senior Loan 8/27/2021 122 114 113 +3.00 % +3.29 % 9/9/2026 San Diego Retail $430 / sqft 58 % 3

71 Senior Loan 10/21/2021 114 114 114 +2.90 % +3.15 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 2

72 Senior Loan 12/21/2018 123 114 114 +2.60 % +2.99 % 1/9/2024 Chicago Office $223 / sqft 72 % 3

73 Senior Loan 5/13/2021 199 111 109 +3.55 % +3.94 % 6/9/2026 Boston Office $561 / sqft 64 % 3

74 Senior Loan 12/21/2021 120 110 109 +2.70 % +3.00 % 1/9/2027 Washington DC Office $384 / sqft 68 % 3

75 Senior Loan 5/20/2021 148 106 105 +3.60 % +4.00 % 6/9/2026 San Jose Office $273 / sqft 65 % 3

76 Senior Loan 3/13/2018 123 104 104 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $160,580 / unit 50 % 3

77 Senior Loan 2/20/2019 183 101 99 +3.95 % +4.43 % 2/19/2024 London - UK Office $493 / sqft 61 % 3

78 Senior Loan 12/29/2021 110 100 99 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $260 / sqft 64 % 3

79 Senior Loan 7/1/2021 104 99 98 +3.10 % +3.35 % 7/9/2026 Diversified - US Retail $281 / sqft 61 % 3

80 Senior Loan 3/25/2020 121 99 98 +2.40 % +2.78 % 3/31/2025 Diversified - NL Multi $120,775 / unit 65 % 2

81 Senior Loan 6/18/2021 99 99 98 +2.60 % +2.83 % 7/9/2026 New York Industrial $52 / sqft 55 % 2

82 Senior Loan 11/16/2018 118 98 98 +4.10 % +4.10 % 12/9/2023 Fort Lauderdale Mixed-Use $276 / sqft 59 % 2

83 Senior Loan 10/1/2021 101 98 97 +2.75 % +3.02 % 10/1/2026 Phoenix Multi $226,852 / unit 77 % 3

84 Senior Loan 12/10/2018 120 98 97 +2.95 % +3.95 % 12/3/2024 London - UK Office $466 / sqft 72 % 3

85 Senior Loan 10/16/2018 106 97 97 +3.25 % +3.52 % 11/9/2023 San Francisco Hospitality $211,959 / unit 72 % 4

86 Senior Loan 3/28/2019 98 97 97 +3.25 % +3.40 % 1/9/2024 New York Hospitality $249,463 / unit 63 % 4

87 Senior Loan 10/28/2021 96 96 95 +2.90 % +3.25 % 11/9/2026 Philadelphia Multi $353,704 / unit 79 % 3

88 Senior Loan 10/27/2021 93 93 92 +2.50 % +2.69 % 11/9/2026 Orlando Multi $155,612 / unit 75 % 3

89 Senior Loan 6/14/2021 100 92 92 +3.70 % +4.04 % 7/9/2024 Miami Office $195 / sqft 65 % 3

90 Senior Loan 2/3/2021 111 92 92 +3.20 % +3.57 % 2/9/2026 Austin Office $382 / sqft 56 % 1

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

91 Senior Loan 3/31/2017 $ 97 $ 91 $ 91 +4.30 % +4.54 % 4/9/2023 New York Office $444 / sqft 64 % 3

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

93 Senior Loan 12/15/2021 91 87 87 +2.85 % +3.10 % 1/9/2027 Charlotte Multi $249,000 / unit 76 % 3

94 Senior Loan 6/25/2021 85 85 85 +2.75 % +3.10 % 7/1/2026 St.

Louis Multi $80,339 / unit 70 % 3

95 Senior Loan 12/10/2021 135 85 84 +3.00 % +3.37 % 1/9/2027 Miami Office $286 / sqft 49 % 3

96 Senior Loan 6/29/2016 83 82 82 +2.80 % +3.04 % 7/8/2022 Miami Office $318 / sqft 64 % 2

97 Senior Loan 7/30/2021 87 80 80 +2.50 % +2.84 % 8/9/2026 Los Angeles Multi $159,040 / unit 70 % 3

98 Senior Loan 7/29/2021 82 78 77 +2.65 % +3.02 % 6/9/2026 Charlotte Multi $212,295 / unit 78 % 3

99 Senior Loan 11/23/2021 92 77 76 +2.75 % +3.08 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3

100 Senior Loan 6/27/2019 84 76 76 +2.50 % +2.77 % 7/9/2024 West Palm Beach Office $262 / sqft 70 % 2

101 Senior Loan 6/18/2019 75 75 75 +2.75 % +3.15 % 7/9/2024 Napa Valley Hospitality $785,340 / unit 74 % 2

102 Senior Loan 4/1/2021 102 75 74 +3.30 % +3.71 % 4/9/2026 San Jose Office $497 / sqft 67 % 3

103 Senior Loan 12/30/2021 228 73 71 +4.35 % +5.05 % 1/9/2028 Santa Monica Multi $132,635 / unit 50 % 3

104 Senior Loan 3/21/2018 74 73 73 +3.10 % +3.33 % 3/21/2024 Jacksonville Office $95 / sqft 72 % 1

105 Senior Loan 7/23/2021 73 71 71 +3.00 % +3.02 % 7/9/2024 New York Multi $402 / sqft 62 % 3

106 Senior Loan 10/28/2021 69 69 69 +2.55 % +2.74 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3

107 Senior Loan 9/22/2021 67 67 67 +3.00 % +3.16 % 4/1/2024 Jacksonville Multi $181,081 / unit 62 % 2

108 Senior Loan 1/30/2020 104 67 66 +2.85 % +3.22 % 2/9/2026 Honolulu Hospitality $214,341 / unit 63 % 3

109 Senior Loan 12/21/2021 74 67 66 +2.70 % +3.06 % 1/9/2027 Tampa Multi $195,588 / unit 77 % 3

110 Senior Loan 8/22/2019 74 65 65 +2.55 % +2.93 % 9/9/2024 Los Angeles Office $389 / sqft 63 % 3

111 Senior Loan 12/10/2021 68 65 64 +2.85 % +3.19 % 1/9/2027 Austin Multi $260,000 / unit 73 % 3

112 Senior Loan 6/29/2017 63 63 63 +3.40 % +4.35 % 7/9/2023 New York Multi $184,768 / unit 69 % 4

113 Senior Loan 10/5/2018 63 63 62 +5.50 % +5.92 % 12/20/2022 Sydney - AU Office $663 / sqft 78 % 3

114 Senior Loan 12/23/2021 62 62 61 +2.18 % +2.99 % 9/1/2023 New York Office $145 / unit 71 % 3

115 Senior Loan 3/31/2021 62 62 62 +3.73 % +3.86 % 4/1/2024 Boston Multi $316,327 / unit 75 % 2

116 Senior Loan 7/30/2021 62 62 62 +2.75 % +2.94 % 8/9/2026 Salt Lake City Multi $224,185 / unit 73 % 3

117 Senior Loan 9/29/2021 62 58 58 +2.85 % +3.02 % 10/1/2025 Houston Multi $52,968 / unit 61 % 3

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

119 Senior Loan 12/17/2021 58 58 57 +2.65 % +2.85 % 1/9/2027 Phoenix Multi $209,601 / unit 69 % 3

120 Senior Loan 8/14/2019 70 58 58 +2.45 % +2.90 % 9/9/2024 Los Angeles Office $661 / sqft 57 % 3

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

121 Senior Loan 11/11/2021 $ 61 $ 58 $ 57 +3.95 % +4.74 % 8/6/2026 London Hospitality $205,396 / unit 40 % 3

122 Senior Loan 6/30/2021 65 57 57 +2.90 % +3.19 % 7/9/2026 Nashville Office $235 / sqft 71 % 3

123 Senior Loan 4/15/2021 66 57 57 +3.00 % +3.30 % 5/9/2026 Austin Office $277 / sqft 73 % 3

124 Senior Loan 6/28/2021 57 57 56 +3.60 % +4.86 % 2/15/2023 Diversified - Spain Hospitality $143,719 / unit 56 % 3

125 Senior Loan 12/15/2021 155 57 55 +3.26 % +5.05 % 12/15/2026 Dublin Multi $1,012,688 / unit 79 % 3

126 Senior Loan 12/10/2020 61 55 55 +3.25 % +3.54 % 1/9/2026 Fort Lauderdale Office $189 / sqft 68 % 3

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

128 Senior Loan 6/26/2019 70 54 54 +3.35 % +3.66 % 6/20/2024 London - UK Office $610 / sqft 61 % 3

129 Senior Loan 12/14/2018 60 52 53 +2.90 % +3.33 % 1/9/2024 Diversified - US Industrial $39 / sqft 57 % 2

130 Senior Loan 11/30/2016 61 52 52 +3.10 % +3.22 % 12/9/2023 Chicago Retail $1,014 / sqft 54 % 4

131 Senior Loan 7/30/2021 59 51 51 +2.75 % +2.96 % 8/9/2026 Tampa Bay Multi $127,788 / unit 71 % 3

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

133 Senior Loan 2/17/2021 53 51 51 +3.55 % +3.75 % 3/9/2026 Miami Multi $290,985 / unit 64 % 3

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

135 Senior Loan 8/5/2021 57 49 49 +2.90 % +3.04 % 8/9/2026 Denver Office $186 / sqft 70 % 3

136 Senior Loan 12/17/2021 66 49 48 +4.35 % +4.93 % 1/9/2026 Diversified - US Other $3,693 / unit 37 % 3

137 Senior Loan 8/27/2021 51 48 48 +3.75 % +4.27 % 9/9/2026 Diversified - US Hospitality $107,519 / unit 67 % 3

138 Senior Loan 7/20/2021 48 48 48 +2.75 % +3.09 % 8/9/2026 Los Angeles Multi $366,412 / unit 60 % 3

139 Senior Loan 2/20/2019 53 47 47 +3.50 % +3.92 % 3/9/2024 Calgary - CAN Office $131 / sqft 52 % 2

140 Senior Loan 12/29/2021 47 47 46 +2.85 % +2.96 % 1/1/2027 Dallas Multi $155,000 / unit 73 % 3

141 Senior Loan 11/3/2017 45 45 45 +3.00 % +3.25 % 11/1/2022 Los Angeles Office $209 / sqft 50 % 1

142 Senior Loan 7/30/2021 45 45 45 +2.75 % +2.86 % 8/1/2026 Portland Multi $62,378 / unit 64 % 3

143 Senior Loan 10/1/2019 48 44 44 +3.75 % +4.25 % 10/9/2025 Atlanta Hospitality $249,016 / unit 74 % 3

144 Senior Loan 7/29/2021 42 42 42 +2.75 % +2.95 % 8/9/2026 Las Vegas Multi $167,113 / unit 72 % 3

145 Senior Loan 11/3/2021 41 41 41 +2.60 % +2.94 % 11/9/2026 Washington DC Multi $137,788 / unit 68 % 3

146 Senior Loan 12/8/2021 48 40 40 +2.75 % +2.96 % 12/9/2026 Columbus Multi $132,401 / unit 69 % 3

147 Senior Loan 12/23/2021 38 38 38 +2.35 % +3.38 % 4/26/2024 Corvallis Multi $65,793 / unit 71 % 3

148 Senior Loan 12/23/2021 38 38 38 +3.40 % +4.48 % 6/1/2023 Boston Hospitality $165,441 / unit 51 % 3

149 Senior Loan 12/23/2021 38 38 38 +3.00 % +4.13 % 9/1/2022 New York Other $21 / sqft 15 % 2

150 Senior Loan 12/23/2021 42 38 38 +3.30 % +3.45 % 1/1/2027 Dallas Multi $102,717 / unit 65 % 3

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

151 - 188 Senior Loan (4)

Various 1,895 1,066 1,039 +2.97 % +3.43 % 3.7 yrs Various Various Various 61 % 2.8

CECL reserve (125)

Loans receivable, net $ 28,593 $ 23,669 $ 21,878 + 3.22 % + 3.55 % 3.4 yrs 65 % 2.8

(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 unchanged sentences

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

In certain instances, we finance our loans through the non-recourse

sale of a senior loan interest that is not included in our consolidated financial statements.

As of December 31, 2020, five loans in our portfolio have been financed with an aggregate $801.8 million of non-consolidated

senior interest, which are included in the table above.

(4) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

As of December 31, 2021, seven loans in our portfolio have been financed with an aggregate $1.5 billion of non-consolidated senior interest, which are included in the table above.

Portfolio excludes our $79.2 million subordinate position in the $379.3 million 2018 Single Asset Securitization.

Refer to Notes 4 and 17 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

The weighted-average cash coupon and all-in

yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan.

As of December 31, 2020, 98% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $14.2 billion of such loans earned interest based on floors that are above the applicable index.

As of December 31, 2021, 98% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

The other 2% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of December 31, 2021, for purposes of the weighted-averages.

In addition to cash coupon, all-in

yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

Excludes loans accounted for under the cost-recovery method.

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 a loan accounted for under the cost-recovery method.

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

Loans are accounted for under the cost-recovery method.

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

Coupon and all-in

yield assume applicable floating benchmark rates for weighted-average calculation.

(7) Loan is accounted for under the cost-recovery method.

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

What changed 10-K

Item 7. Management’s Discussion and Analysis