BLACKSTONE MORTGAGE TRUST, INC. 10-Q

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us,” or “our” refer to Blackstone Mortgage Trust, Inc. and its subsidiaries unless the context specifically requires otherwise. The following discussion should be read in conjunction with the unaudited consolidated financial statements and notes thereto appearing elsewhere in this quarterly report on Form 10-Q. In addition to historical data, this discussion contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, which reflect our current views with respect to, among other things, our business, operations and financial performance. You can identify these forward-looking statements by the use of words such as “intend,” “goal,” “estimate,” “expect,” “project,” “projections,” “plans,” “seeks,” “anticipates,” “should,” “could,” “may,” “designed to,” “foreseeable future,” “believe,” “scheduled,” and similar expressions. Such forward-looking statements are subject to various risks, uncertainties and assumptions. Our actual results or outcomes may differ materially from those in this discussion as a result of various factors, including but not limited to those discussed in Item 1A. Risk Factors in our annual report on Form 10-K for the year ended December 31, 2021 and elsewhere in this quarterly report on Form 10-Q. Introduction 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 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 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. We conduct our operations as a REIT for U.S. federal income tax purposes. We generally will not be subject to U.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries. Recent Developments COVID-19 As the novel coronavirus, or COVID-19, pandemic has evolved from its emergence in early 2020, so has its global impact. Many countries have at times 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. 47 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, the Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, 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 the one-week and two-month USD LIBOR and, as previously announced, intends to cease publication of remaining U.S. dollar LIBOR settings immediately after June 30, 2023. Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, was signed into law in the U.S. This legislation establishes a uniform benchmark replacement process for financial contracts that mature after June 30, 2023 which do not contain clearly defined or practicable fallback provisions. The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Board of Governors of the Federal Reserve. The U.S. 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. Additionally, market participants have started to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K. regulators. As of March 31, 2022, one-month SOFR is utilized as the floating benchmark rate on 37 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, and certain borrowings under eight of our credit facilities. As of March 31, 2022, the one-month SOFR was 0.30% and one-month USD LIBOR was 0.45%. Additionally, as of March 31, 2022, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings. 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, SARON, and CIBOR may persist as International Organization of Securities Commissions 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. Item 1A. 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 our Annual Report on Form 10-K filed with the SEC on February 9, 2022. I. Key Financial Measures and Indicators As a real estate finance company, we believe the key financial measures and indicators for our business are earnings per share, dividends declared, Distributable Earnings, and book value per share. For the three months ended March 31, 2022, we recorded basic earnings per share of $0.59, declared a dividend of $0.62 per share, and reported $0.62 per share of Distributable Earnings. In addition, our book value as of March 31, 2022 was $27.21 per share, which is net of a $0.75 per share cumulative CECL reserve. As further described below, Distributable Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, which helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations. In addition, Distributable Earnings is a performance metric we consider when declaring our dividends. 48 Earnings Per Share and Dividends Declared The following table sets forth the calculation of basic net income per share and dividends declared per share ($ in thousands, except per share data): Three Months Ended March 31, 2022 December 31, 2021 Basic Earnings: Net income (1) $ 99,687 $ 123,940 Weighted-average shares outstanding, basic 169,254,059 162,056,782 Per share amount, basic $ 0.59 $ 0.76 Dividends declared per share $ 0.62 $ 0.62 (1) Represents net income attributable to Blackstone Mortgage Trust. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share. 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), 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. 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. The realized loss amount reflected in Distributable Earnings will equal the difference between the cash received, or expected to be received, and the book value of the asset, and is reflective of our economic experience as it relates to the ultimate realization of the loan. We believe that Distributable Earnings provides meaningful information to consider in addition to our net income (loss) and cash flow from operating activities determined in accordance with GAAP. We believe Distributable Earnings is a useful financial metric for existing and potential future holders of our class A common stock as historically, over time, Distributable Earnings has been a strong indicator of our dividends per share. As a REIT, we generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments, and therefore we believe our dividends are one of the principal reasons stockholders may invest in our class A common stock. Refer to Note 15 to our consolidated financial statements for further discussion of our distribution requirements as a REIT. Further, Distributable Earnings helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations, and is a performance metric we consider when declaring our dividends. Distributable Earnings does not represent net income (loss) or cash generated from operating activities and should not be considered as an alternative to GAAP net income (loss), or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs. In addition, our methodology for calculating Distributable Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings may not be comparable to the Distributable Earnings reported by other companies. 49 The following table provides a reconciliation of Distributable Earnings to GAAP net income ($ in thousands, except per share data): Three months ended March 31, 2022 December 31, 2021 Net income (1) $ 99,687 $ 123,940 Charge-offs of current expected credit loss reserve (2) — (14,427) (Decrease) increase in current expected credit loss reserve (2,537) 9,568 Non-cash compensation expense 8,650 7,463 Realized hedging and foreign currency income, net (3) (200) (668) Other items (30) 120 Adjustments attributable to non-controlling interests, net (4) (30) Distributable Earnings (4) $ 105,566 $ 125,966 Weighted-average shares outstanding, basic (5) 169,254,059 162,056,782 Distributable Earnings per share, basic (4) $ 0.62 $ 0.78 (1) Represents net income attributable to Blackstone Mortgage Trust. (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) Represents realized gains (losses) on the repatriation of unhedged foreign currency. These amounts were not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements. (4) Includes favorable Distributable Earnings impact, net of incentive fees, of $19.1 million, or $0.12 per share for the three months ended December 31, 2021 relating to (i) prepayment income and acceleration of deferred origination fees related to a certain loan repayment during the three months ended December 31, 2021 and (ii) the charge-off of a certain previously recorded current expected credit loss reserve discussed above. (5) The weighted-average shares outstanding, basic, exclude shares issuable from a potential conversion of our Convertible Notes, other than the May 2017 convertible notes. Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs. Book Value Per Share The following table calculates our book value per share ($ in thousands, except per share data): March 31, 2022 December 31, 2021 Stockholders’ equity $ 4,642,938 $ 4,588,187 Shares Class A common stock 170,283,071 168,179,798 Deferred stock units 370,635 363,572 Total outstanding 170,653,706 168,543,370 Book value per share (1) $ 27.21 $ 27.22 (1) The book value per share excludes shares issuable from a potential conversion of our Convertible Notes. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share. II. Loan Portfolio During the three months ended March 31, 2022, we originated or acquired $3.4 billion of loans. Loan fundings during the quarter totaled $3.0 billion and loan repayments and sales during the quarter totaled $1.3 billion. We generated interest income of $234.4 million and incurred interest expense of $100.7 million during the quarter, which resulted in $133.7 million of net interest income during the three months ended March 31, 2022. 50 Portfolio Overview The following table details our loan origination activity ($ in thousands): Three Months Ended March 31, 2022 Three Months Ended December 31, 2021 Loan originations (1) $ 3,407,524 $ 5,966,853 Loan fundings (2) $ 3,012,987 $ 5,210,261 Loan repayments and sales (3) (1,271,517) (3,530,274) Total net fundings $ 1,741,470 $ 1,679,987 (1) Includes new loan originations and additional commitments made under existing loans. (2) Loan fundings during the three months ended March 31, 2022 and December 31, 2021 include $88.6 million and $109.3 million, respectively, of additional fundings under related non-consolidated senior interests. (3) Loan repayments and sales during the three months ended March 31, 2022 and December 31, 2021 include $341.2 million and $148.3 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests and the loan held by our non-consolidated securitized debt obligation. The following table details overall statistics for our loan portfolio as of March 31, 2022 ($ in thousands): Balance Sheet Portfolio Loan Exposure (1) Number of investments 203 203 Principal balance $ 23,873,563 $ 25,627,588 Net book value $ 23,586,769 $ 23,586,769 Unfunded loan commitments (2) $ 4,545,691 $ 5,199,651 Weighted-average cash coupon (3) + 3.22 % + 3.25 % Weighted-average all-in yield (3) + 3.57 % + 3.60 % Weighted-average maximum maturity (years) (4) 3.5 3.5 Origination loan to value (LTV) (5) 64.8 % 64.6 % (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. Total loan exposure encompasses the entire loan we originated and financed, including $1.8 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio. (2) Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date. (3) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each investment. As of March 31, 2022, 98.6% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR. The other 1.4% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2022, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes a loan accounted for under the cost-recovery method. (4) Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As of March 31, 2022, 62% of our loans and other investments by total loan exposure were subject to yield maintenance or other prepayment restrictions and 38% were open to repayment by the borrower without penalty. (5) Based on LTV as of the dates loans were originated or acquired by us. 51 The following table details the index rate floors for our loans receivable portfolio as of March 31, 2022 ($ in thousands): Loans Receivable Principal Balance Index Rate Floors USD Non-USD (1) Total Fixed Rate $ 37,500 $ 314,988 $ 352,488 0.00% or no floor (2) 3,950,220 6,544,292 10,494,512 0.01% to 0.25% floor 8,570,179 479,462 9,049,641 0.26% to 1.00% floor 1,320,187 51,856 1,372,043 1.01% or more floor 4,246,116 112,788 4,358,904 Total (3)(4) $ 18,124,202 $ 7,503,386 $ 25,627,588 (1) Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies. (2) Includes a $286.3 million loan accounted for under the cost-recovery method. (3) 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 $1.8 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio. (4) As of March 31, 2022, the weighted-average index rate floor of our loan portfolio was 0.37%. Excluding 0.0% index rate floors, the weighted-average index rate floor was 0.62%. 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%. The following table details the floating benchmark rates for our loan portfolio as of March 31, 2022 (total investment portfolio amounts in thousands): Investment Count Currency Total Loan Portfolio Floating Rate Index (1) Cash Coupon (2) All-in Yield (2) 167 $ $ 18,124,202 USD LIBOR / SOFR (3) + 3.14% + 3.48% 9 € € 2,774,135 EURIBOR + 3.02% + 3.37% 20 £ £ 2,405,221 SONIA (4) + 3.86% + 4.30% 7 Various $ 1,273,271 Other (5) + 3.79% + 4.09% 203 $ 25,627,588 Applicable Index + 3.25% + 3.60% (1) We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S. dollar. We earn forward points on our forward contracts that reflect the interest rate differentials between the applicable base rate for our foreign currency investments and prevailing US interest rates. These forward contracts effectively convert the foreign currency rate exposure for such investments to USD-equivalent interest rates. (2) The cash coupon and all-in yield of our fixed rate loans are reflected as a spread over USD LIBOR or SONIA, as applicable, 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 one loan accounted for under the cost-recovery method. (3) As of March 31, 2022, $14.7 billion and $3.4 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 March 31, 2022, one-month USD LIBOR was 0.45% and SOFR was 0.30%. (4) As of March 31, 2022, £2.2 billion of loans were indexed to SONIA and the remaining £232.8 million of our British Pound Sterling loans are fixed rate. (5) Includes floating rate loans indexed to STIBOR, BBSY, CDOR, SARON, and CIBOR indices. 52 The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of March 31, 2022: 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 ended March 31, 2022, we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals, 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 loan portfolio’s low weighted-average origination LTV of 64.6% as of March 31, 2022 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments. 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. 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 as of both March 31, 2022 and December 31, 2021, respectively. 53 The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands): March 31, 2022 Risk Rating Number of Loans Net Book Value Total Loan Exposure (1) 1 5 $ 426,984 $ 429,779 2 39 5,982,543 6,456,584 3 148 14,827,128 16,261,775 4 10 2,187,526 2,193,141 5 1 284,809 286,309 Loans receivable 203 $ 23,708,990 $ 25,627,588 CECL reserve (122,221) Loans receivable, net $ 23,586,769 (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 $1.8 billion of such non-consolidated senior interests as of March 31, 2022. Current Expected Credit Loss Reserve The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets. Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the 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. During the three months ended March 31, 2022, we recorded an aggregate $2.5 million decrease in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $128.5 million as of March 31, 2022. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. Previously, we entered into loan modifications related to a multifamily asset in New York City, which are classified as troubled debt restructurings under GAAP, as of March 31, 2022. 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, which remains unchanged as of March 31, 2022. As a result of the modification, during the three months ended December 31, 2021, we charged-off $14.4 million of the $14.8 million asset-specific CECL reserve we recorded on this loan, and reversed the remaining $360,000 CECL reserve. We have no remaining asset-specific CECL reserve against this loan as of March 31, 2022. The loan is paying interest income current and we resumed income accrual for this loan as of December 31, 2021. No income was recorded on this loan during the three months ended March 31, 2021 . Previously, 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, as of March 31, 2022. As of March 31, 2022, the CECL reserve on this loan was $54.9 million. No income was recorded on this loan during both the three months ended March 31, 2022 and 2021. This loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, as of March 31, 2022. The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of March 31, 2022. 54 Multifamily Joint Venture As of March 31, 2022, our Multifamily Joint Venture held $833.2 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture. Portfolio Financing Our portfolio financing consists of secured debt, securitizations, and asset-specific financings. The following table details our portfolio financing ($ in thousands): Portfolio Financing Outstanding Principal Balance March 31, 2022 December 31, 2021 Secured debt $ 13,117,249 $ 12,299,580 Securitizations (1) 2,855,625 3,155,727 Asset-specific financings (2) 2,468,158 1,913,374 Total portfolio financing $ 18,441,032 $ 17,368,681 (1) Includes our consolidated securitized debt obligations of $2.9 billion as of March 31, 2022. Includes our consolidated securitized debt obligations of $2.9 billion and non-consolidated securitized debt of $300.1 million as of December 31, 2021. The non-consolidated securitized debt obligation represents the senior non-consolidated investment exposure to the 2018 Single Asset Securitization. We owned the related subordinate position, which was classified as a held-to-maturity debt security on our balance sheet. During the three months ended March 31, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization. (2) Includes our consolidated asset-specific debt of $469.8 million, our loan participations sold of $244.4 million, and our non-consolidated senior interests of $1.8 billion, as of March 31, 2022. Includes our consolidated asset-specific debt of $400.7 million and our non-consolidated senior interests of $1.5 billion, as of December 31, 2021. The loan participations sold and non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. Secured Debt The following table details our outstanding secured debt ($ in thousands): Secured Debt Borrowings Outstanding March 31, 2022 December 31, 2021 Secured credit facilities $ 13,117,249 $ 12,299,580 Acquisition facility — — Total secured debt $ 13,117,249 $ 12,299,580 55 Secured Credit Facilities The following table details our secured credit facilities by spread over the applicable base rates as of March 31, 2022 ($ in thousands): Three Months Ended March 31, 2022 March 31, 2022 Spread (1) New Financings (2) Total Borrowings Wtd. Avg. All-in Cost (1)(3)(4) Collateral (5) Wtd. Avg. All-in Yield (1)(6) Net Interest Margin (7) + 1.50% or less $ 1,267,118 $ 8,320,043 +1.51 % $ 11,497,642 +3.18 % +1.67 % + 1.51% to + 1.75% 283,924 2,825,032 +1.87 % 4,124,634 +3.60 % +1.73 % + 1.76% to + 2.00% 74,596 1,060,611 +2.17 % 1,623,549 +4.35 % +2.18 % + 2.01% or more 26,091 911,563 +2.52 % 1,464,881 +4.79 % +2.27 % Total $ 1,651,729 $ 13,117,249 +1.71 % $ 18,710,706 +3.50 % +1.79 % (1) The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable. (2) Represents borrowings outstanding as of March 31, 2022 for new financings during the three months ended March 31, 2022, 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 March 31, 2022 and is not necessarily indicative of the spread applicable to recent or future borrowings. (5) Represents the principal balance of the collateral assets. (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 $250.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval. The maturity date of the facility is April 4, 2023. As of March 31, 2022, we had no assets pledged to our acquisition facility. Securitizations The following table details our outstanding securitizations ($ in thousands): Securitizations Outstanding March 31, 2022 December 31, 2021 Securitized debt obligations $ 2,855,625 2,855,625 Non-consolidated securitized debt obligation (1) — 300,102 Total securitizations $ 2,855,625 $ 3,155,727 (1) These non-consolidated securitized debt obligations represent the senior non-consolidated investment exposure to the 2018 Single Asset Securitization. We owned the related subordinate position, which was classified as a held-to-maturity debt security on our balance sheet. During the three months ended March 31, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization. 56 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. The following table details our securitized debt obligations ($ in thousands): March 31, 2022 Securitized Debt Obligations Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1)(2) Term (3) 2021 FL4 Collateralized Loan Obligation Collateral assets 33 $ 1,000,000 $ 1,000,000 + 3.54 % March 2025 Financing provided 1 803,750 797,870 + 1.56 % May 2038 2020 FL3 Collateralized Loan Obligation Collateral assets 16 1,000,000 1,000,000 + 3.18 % September 2024 Financing provided 1 808,750 804,658 + 2.03 % November 2037 2020 FL2 Collateralized Loan Obligation Collateral assets 18 1,500,000 1,500,000 + 3.29 % August 2024 Financing provided 1 1,243,125 1,237,290 + 1.39 % February 2038 Total Collateral assets 67 $ 3,500,000 $ 3,500,000 + 3.33 % Financing provided (4) 3 $ 2,855,625 $ 2,839,818 + 1.62 % (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 March 31, 2022, 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 March 31, 2022, the one-month SOFR was 0.30% and one-month USD LIBOR was 0.45%. (3) Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations. (4) During the three months ended March 31, 2022, we recorded $11.0 million of interest expense related to our securitized debt obligations. Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations. Asset-Specific Financings The following table details our outstanding asset-specific financings ($ in thousands): Asset-Specific Financings Outstanding Principal Balance March 31, 2022 December 31, 2021 Asset-specific debt $ 469,766 $ 400,699 Loan participations sold (1) 244,367 — Non-consolidated senior interests (1) 1,754,025 1,512,675 Total asset-specific financings $ 2,468,158 $ 1,913,374 (1) These loan participations sold and 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. 57 Asset-Specific Debt The following table details our asset-specific debt ($ in thousands): March 31, 2022 Asset-Specific Debt Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Wtd. Avg. Term (2) Collateral assets 2 $ 520,527 $ 510,190 + 4.45 % July 2025 Financing provided 2 $ 469,766 $ 463,097 + 3.24 % July 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. 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, yield/cost includes the amortization of deferred origination fees / financing costs. (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 debt is term-matched to the corresponding collateral loans. Loan Participations Sold The following table details our loan participations sold ($ in thousands): March 31, 2022 Loan Participations Sold Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Term (2) Total Loan 1 $ 305,459 $ 302,423 + 4.86 % March 2027 Senior Participation 1 $ 244,367 $ 243,760 + 3.20 % March 2027 (1) The loan and related participation sold is indexed to SONIA. This non-debt participation sold structure is inherently matched in terms of currency and interest rate. In addition to cash coupon, yield/cost includes the amortization of deferred fees / financing costs. (2) The term is determined based on the on maximum maturity of the loan, assuming all extension options are exercised by the borrower. 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. 58 The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests ($ in thousands): March 31, 2022 Non-Consolidated Senior Interests Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Wtd. Avg. Term Total loan 7 2,165,826 n/a + 3.98 % July 2025 Senior participation 7 1,754,025 n/a + 2.75 % July 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 SOFR, as applicable to each investment. As of March 31, 2022, 85% of these loans’ total investment exposure earned a floating rate of interest indexed to USD LIBOR or SOFR. The other 15% of our investments earned a fixed rate of interest, which we reflect as a spread over SONIA, as of March 31, 2022, 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 The following table details our outstanding corporate financing ($ in thousands): Corporate Financing Outstanding Principal Balance March 31, 2022 December 31, 2021 Term loans $ 1,345,837 $ 1,349,271 Senior secured notes 400,000 400,000 Convertible notes 857,850 622,500 Total corporate financing $ 2,603,687 $ 2,371,771 Term Loans As of March 31, 2022, 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) Maturity B-1 Term Loan $ 927,500 + 2.25 % + 2.53 % April 23, 2026 B-2 Term Loan $ 418,337 + 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 9 to our consolidated financial statements for additional discussion of our Term Loans. Senior Secured Notes As of March 31, 2022, the following Senior Secured Notes, were outstanding ($ in thousands): Senior Secured Notes Face Value Interest Rate All-in Cost (1) Maturity 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 10 to our consolidated financial statements for additional discussion of our Senior Secured Notes. 59 Convertible Notes As of March 31, 2022 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands): Convertible Notes Issuance Face Value Interest Rate All-in Cost (1) Conversion Rate (2) Maturity May 2017 $ 337,850 4.38 % 4.85 % $ 35.67 May 5, 2022 March 2018 $ 220,000 4.75 % 5.33 % $ 36.23 March 15, 2023 March 2022 $ 300,000 5.50 % 5.94 % $ 36.27 March 15, 2027 (1) Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method. (2) Represents the price of class A common stock per share based on a conversion rate of 28.0324, 27.6052, and 27.5702, respectively, for the May 2017, March 2018, and March 2022 convertible notes. The conversion rate represents the number of shares of class A common stock issuable per $1,000 principal amount of Convertible Notes. The cumulative dividend threshold as defined in the respective May 2017, March 2018, and March 2022 convertible notes supplemental indentures have not been exceeded as of March 31, 2022. Refer to Note 2 and Note 11 to our consolidated financial statements for additional discussion of our Convertible Notes. Floating Rate Portfolio Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income. As of March 31, 2022, 99% of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments. As of March 31, 2022, the remaining 1% of our investments by total loan exposure earned a fixed rate of interest. 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 March 31, 2022 (amounts in thousands): USD EUR GBP All Other (5) Floating rate loans (1)(2) $ 18,086,702 € 2,765,872 £ 2,172,428 $ 1,273,271 Floating rate debt (1)(2)(3) (14,129,120) (2,068,178) (1,633,123) (965,379) Net floating rate exposure $ 3,957,582 € 697,694 £ 539,305 $ 307,892 Net floating rate exposure in USD (4) $ 3,957,582 $ 772,139 $ 708,539 $ 307,892 (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. (2) As of March 31, 2022, $14.7 billion and $3.4 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively. As of March 31, 2022, $9.9 billion and $4.2 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively. As of March 31, 2022, one-month SOFR was 0.30% and one-month USD LIBOR was 0.45%. (3) Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans. (4) Represents the U.S. Dollar equivalent as of March 31, 2022. (5) Includes Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies. 60 III. Our Results of Operations Operating Results The following table sets forth information regarding our consolidated results of operations for the three months ended March 31, 2022 and December 31, 2021 ($ in thousands, except per share data): Three Months Ended Change March 31, 2022 December 31, 2021 $ Income from loans and other investments Interest and related income $ 234,432 $ 270,749 $ (36,317) Less: Interest and related expenses 100,714 96,809 3,905 Income from loans and other investments, net 133,718 173,940 (40,222) Other expenses Management and incentive fees 23,486 28,373 (4,887) General and administrative expenses 12,360 11,060 1,300 Total other expenses 35,846 39,433 (3,587) Decrease (increase) in current expected credit loss reserve 2,537 (9,568) 12,105 Income before income taxes 100,409 124,939 (24,530) Income tax provision 146 77 69 Net income 100,263 124,862 (24,599) Net income attributable to non-controlling interests (576) (922) 346 Net income attributable to Blackstone Mortgage Trust, Inc. $ 99,687 $ 123,940 $ (24,253) Net income per share of common stock Basic $ 0.59 $ 0.76 $ (0.17) Diluted $ 0.58 $ 0.76 $ (0.18) Weighted-average shares of common stock outstanding Basic 169,254,059 162,056,782 7,197,277 Diluted 175,602,905 162,056,782 13,546,123 Dividends declared per share $ 0.62 $ 0.62 $ — Income from loans and other investments, net Income from loans and other investments, net decreased $40.2 million during the three months ended March 31, 2022 compared to the three months ended December 31, 2021. The decrease was primarily due to (i) a decrease in prepayment fee income, (ii) an increase in the weighted-average principal balance of our outstanding financing arrangements by $1.0 billion for the three months ended March 31, 2022, as compared to the three months ended December 31, 2021, and (iii) two days less of net interest income accrued during the three months ended March 31, 2022, as compared to the three months ended December 31, 2021. This was offset by an increase in the weighted-average principal balance of our loan portfolio by $1.5 billion for the three months ended March 31, 2022, as compared to the three months ended December 31, 2021. Other expenses Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses decreased by $3.6 million during the three months ended March 31, 2022 compared to the three months ended December 31, 2021 due to a decrease of $5.7 million of incentive fees payable to our Manager, primarily due to a decrease in Distributable Earnings. This was offset by an increase of (i) $1.2 million of additional non-cash restricted stock amortization related to shares awarded under our long-term incentive plans, (ii) $824,000 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 March 31, 2022, and (iii) $113,000 of other general operating expenses. 61 Changes in current expected credit loss reserve During the three months ended March 31, 2022, we recorded a $2.5 million decrease in the CECL reserve, as compared to a $9.6 million increase during the three months ended December 31, 2021. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. Net income attributable to non-controlling interests During the three months ended March 31, 2022 and December 31, 2021, we recorded $576,000 and $922,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture. Dividends per share During the three months ended March 31, 2022, we declared aggregate dividends of $0.62 per share, or $105.6 million. During the three months ended December 31, 2021, we declared aggregate dividends of $0.62 per share, or $104.3 million. 62 The following table sets forth information regarding our consolidated results of operations for the three months ended March 31, 2022 and March 31, 2021 ($ in thousands, except per share data): Three Months Ended Change March 31, 2022 March 31, 2021 $ Income from loans and other investments Interest and related income $ 234,432 $ 187,524 $ 46,908 Less: Interest and related expenses 100,714 78,372 22,342 Income from loans and other investments, net 133,718 109,152 24,566 Other expenses Management and incentive fees 23,486 19,207 4,279 General and administrative expenses 12,360 10,597 1,763 Total other expenses 35,846 29,804 6,042 Decrease in current expected credit loss reserve 2,537 1,293 1,244 Income before income taxes 100,409 80,641 19,768 Income tax provision 146 101 45 Net income 100,263 80,540 19,723 Net income attributable to non-controlling interests (576) (638) 62 Net income attributable to Blackstone Mortgage Trust, Inc. $ 99,687 $ 79,902 $ 19,785 Net income per share of common stock Basic $ 0.59 $ 0.54 $ 0.05 Diluted $ 0.58 $ 0.54 $ 0.04 Weighted-average shares of common stock outstanding Basic 169,254,059 147,336,936 21,917,123 Diluted 175,602,905 147,336,936 28,265,969 Dividends declared per share $ 0.62 $ 0.62 $ — Income from loans and other investments, net Income from loans and other investments, net increased $24.6 million during the three months ended March 31, 2022 compared to the three months ended March 31, 2021. The increase was primarily due to an increase in the weighted-average principal balance of our loan portfolio by $6.0 billion for the three months ended March 31, 2022, as compared to the three months ended March 31, 2021. This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $5.3 billion for the three months ended March 31, 2022, as compared to the three months ended March 31, 2021. Other expenses Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by $6.0 million during the three months ended March 31, 2022 compared to the three months ended March 31, 2021 due to an increase of (i) $2.5 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 2021, (ii) $1.8 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (iii) $1.2 million of other general operating expenses, primarily due to an increase in our loan portfolio during 2021 and 2022, and (iv) $563,000 of non-cash restricted stock amortization related to shares issued under our long-term incentive plans. Changes in current expected credit loss reserve During the three months ended March 31, 2022, we recorded a $2.5 million decrease in the CECL reserve, as compared to a $1.3 million decrease during the three months ended March 31, 2021. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. 63 Net income attributable to non-controlling interests During the three months ended March 31, 2022 and March 31, 2021 , we recorded $576,000 and $638,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture. Dividends per share During the three months ended March 31, 2022, we declared aggregate dividends of $0.62 per share, or $105.6 million. During the three months ended March 31, 2021, we declared aggregate dividends of $0.62 per share, or $91.2 million. IV. Liquidity and Capital Resources Capitalization We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, corporate debt, and asset-level financing. As of March 31, 2022, our capitalization structure included $4.6 billion of common equity, $2.6 billion of corporate debt, and $18.4 billion of asset-level financing. Our $2.6 billion of corporate debt includes $1.3 billion of term loan borrowings, $400.0 million of senior secured notes, and $857.9 million of convertible notes, of which $337.9 million matures in May 2022. Our $18.4 billion of asset-level financing includes $13.1 billion of secured debt, $2.9 billion of securitizations, and $2.5 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 March 31, 2022, we have $1.5 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business. See Notes 5, 6, 7, 8, 9, 10, and 11 to our co nsolidated financial statements for additional details regarding our secured debt, securitized debt obligations, asset-specific debt, loan participations sold, Term Loans, Senior Secured Notes, and Convertible Notes, respectively. Debt-to-Equity Ratio and Total Leverage Ratio The following table presents our debt-to-equity ratio and total leverage ratio: March 31, 2022 December 31, 2021 Debt-to-equity ratio (1) 3.4x 3.2x Total leverage ratio (2) 4.5x 4.2x (1) Represents (i) total outstanding secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, in each case at period end. (2) Represents (i) total outstanding secured debt, securitizations, asset-specific financings, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, in each case at period end. 64 Sources of Liquidity Our primary sources of liquidity include cash and cash equivalents, available borrowings under our secured debt facilities, and net receivables from servicers related to loan repayments, which are set forth in the following table ($ in thousands): March 31, 2022 December 31, 2021 Cash and cash equivalents $ 309,425 $ 551,154 Available borrowings under secured debt 1,190,899 754,900 Loan principal payments held by servicer, net (1) 4,635 17,528 $ 1,504,959 $ 1,323,582 (1) Represents loan principal payments held by our third-party servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle, net of the related secured debt balance. During the three months ended March 31, 2022, we generated cash flow from operating activities of $90.1 million and received $1.2 billion of loan repayments, $887.8 million of net proceeds from secured debt borrowings, $294.0 million of net proceeds from the issuance of convertible notes, $245.3 million from the sale of a senior loan participation, $69.1 million of net proceeds from asset-specific debt, and $52.2 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 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. To facilitate such offerings, in July 2019, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires at the end of July 2022. The amount of securities to be issued pursuant to this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of securities we may issue. The securities covered by this registration statement include: (i) class A common stock; (ii) preferred stock; (iii) debt securities; (iv) depositary shares representing preferred stock; (v) warrants; (vi) subscription rights; (vii) purchase contracts; and (viii) units consisting of one or more of such securities or any combination of these securities. The specifics of any future offerings, along with the use of proceeds of any securities offered, will be described in detail in a prospectus supplement, or other offering materials, at the time of any offering. We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,989,151 shares of class A common stock were available for issuance as of March 31, 2022, and our at-the-market stock offering program, pursuant to which we may sell, from time to time, up to $300.9 million of additional shares of our class A common stock as of March 31, 2022. Refer to Note 13 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 $13.1 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes. As of March 31, 2022, we had unfunded commitments of $4.5 billion related to 126 loans receivable and $2.5 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $2.0 billion. The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability varies depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. We expect to fund our loan commitments over the remaining term of the related loans, which have a weighted-average future funding period of 3.5 years. 65 Contractual Obligations and Commitments Our contractual obligations and commitments as of March 31, 2022 were as follows ($ in thousands): Payment Timing Total Obligation Less Than 1 Year (1) 1 to 3 Years 3 to 5 Years More Than 5 Years Unfunded loan commitments (2) $ 4,545,691 $ 335,837 $ 1,473,713 $ 1,877,084 $ 859,057 Principal repayments under secured debt (3) 13,117,249 114,552 4,843,419 7,337,027 822,251 Principal repayments under asset-specific debt (3) 469,766 — — 469,766 — Principal repayments of term loans (4) 1,345,837 13,738 27,477 1,304,622 — Principal repayments of senior secured notes 400,000 — — 400,000 — Principal repayments of convertible notes (5) 857,850 557,850 — 300,000 — Interest payments (3)(6) 1,319,163 384,602 605,962 325,201 3,398 Total (7) $ 22,055,556 $ 1,406,579 $ 6,950,571 $ 12,013,700 $ 1,684,706 (1) Represents known and 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. (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 9 for further details on our term loans. (5) Reflects the outstanding principal balance of convertible notes, excluding any potential conversion premium. Refer to Note 11 to our consolidated financial statements for further details on our convertible notes. (6) Represents interest payments on our secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes. Future interest payment obligations are estimated assuming the interest rates in effect as of March 31, 2022 will remain constant into the future. This is only an estimate as actual amounts borrowed and interest rates will vary over time. (7) Total does not include $2.9 billion of consolidated securitized debt obligations, $1.8 billion of non-consolidated senior interests, and $244.4 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us. We are also required to settle our foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 12 to our consolidated financial statements for details regarding our derivative contracts. We are required to pay our Manager a base management fee, an incentive fee, and reimbursements for certain expenses pursuant to our Management Agreement. The table above does not include the amounts payable to our Manager under our Management Agreement as they are not fixed and determinable. Refer to Note 14 to our consolidated financial statements for additional terms and details of the fees payable under our Management Agreement. As a REIT, we generally must distribute substantially all of our net taxable income to stockholders in the form of dividends to comply with the REIT provisions of the Internal Revenue Code. Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Distributable Earnings as described above. 66 Cash Flows The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands): Three Months Ended March 31, 2022 2021 Cash flows provided by operating activities $ 90,098 $ 83,048 Cash flows used in investing activities (1,688,750) (523,591) Cash flows provided by financing activities 1,360,093 431,693 Net decrease in cash and cash equivalents $ (238,559) $ (8,850) We experienced a net decrease in cash and cash equivalents of $238.6 million for the three months ended March 31, 2022, compared to a net decrease of $8.9 million for the three months ended March 31, 2021. During the three months ended March 31, 2022, we received (i) $1.2 billion from loan principal collections and sales proceeds, (ii) $887.8 million of net proceeds from secured debt borrowings, (iii) $294.0 million of net proceeds from the issuance of convertible notes, (iv) $245.3 million from the sale of a senior loan participation, (v) $69.1 million of net proceeds from asset-specific debt, and (vi) $52.2 million of net proceeds from the issuance of shares of class A common stock. We used the proceeds from these activities to fund $2.9 billion of new loans. Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Notes 5, 7, 8, 11, and 13 to our consolidated financial statements for additional discussion of our secured debt, asset-specific debt, loan participations sold, convertible notes, and equity, respectively. V. Other Items Income Taxes We have elected to be taxed as a REIT under the Internal Revenue Code for U.S. federal income tax purposes. We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S. federal income tax not to apply to our earnings that we distribute. To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S. federal income tax on our undistributed taxable income. In addition, we will be subject to a 4% nondeductible excise tax if the actual amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal tax laws. Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to the nature of our assets and the sources of our income. Even if we qualify as a REIT, we may be subject to certain U.S. federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of March 31, 2022 and December 31, 2021, 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 15 to our consolidated financial statements for additional discussion of our income taxes. Critical Accounting Policies Our discussion and analysis of our financial condition and results of operations is based upon our consolidated financial statements, which have been prepared in accordance with GAAP. There have been no material changes to our Critical Accounting Policies described in our annual report on Form 10-K filed with the SEC on February 9, 2022. Current Expected Credit Losses 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 67 WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board Staff Q&A Topic 326, No. 1. Estimating the CECL reserve requires judgment, including the following assumptions: • Historical loan loss reference data: To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance with market loan loss data licensed from Trepp LLC. This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through February 28, 2022. Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and origination loan-to-value, or LTV. We believe this CMBS data, which includes month-over-month loan and property performance, is the most relevant, available, and comparable dataset to our portfolio. • Expected timing and amount of future loan fundings and repayments: Expected credit losses are estimated over the contractual term of each loan, adjusted for expected prepayments. As part of our quarterly review of our loan portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for purposes of computing our CECL reserve. Additionally, the expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. The CECL reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future funding obligations over the estimated life of the loan. The considerations in estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loan receivables. • 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. • 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. In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance. 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 March 31, 2022. • Impairment: impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan. Determining that a loan is impaired requires significant judgment from management and is based on several factors including (i) the underlying collateral performance, (ii) discussions with the borrower, (iii) borrower events of default, and (iv) other facts that impact the borrower’s ability to pay the contractual amounts due under the terms of the loan. If a loan is determined to be impaired, we record the impairment as a component of our CECL 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. 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. During the three months ended March 31, 2022, we recorded an aggregate $2.5 million decrease in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $128.5 million as of March 31, 2022. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. 68 Revenue Recognition Interest income from our loans receivable portfolio and debt securities is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis. Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan or debt security as an adjustment to yield. Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of our Manager, recovery of income and principal becomes doubtful. Interest received is then recorded as a reduction in the outstanding principal balance until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. In addition, for loans we originate, the related origination expenses are deferred and recognized as a component of interest income, however expenses related to loans we acquire are included in general and administrative expenses as incurred. 69 VI. Loan Portfolio Details The following table provides details of our loan portfolio, on a loan-by-loan basis, as of March 31, 2022 ($ in millions): Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 1 Senior Loan 8/14/2019 $ 1,160 $ 1,137 $ 1,134 +2.55 % +2.96 % 12/23/2024 Dublin - IE Office $417 / sqft 74 % 2 2 Senior Loan 3/22/2018 749 749 748 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4 3 Senior Loan (4) 12/9/2021 770 676 387 +2.65 % +2.82 % 12/9/2026 New York Mixed-Use $222 / sqft 50 % 2 4 Senior Loan (4) 8/7/2019 746 544 108 +3.11 % +3.60 % 9/9/2025 Los Angeles Office $358 / sqft 59 % 3 5 Senior Loan 3/30/2021 529 529 525 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $98 / sqft 76 % 2 6 Senior Loan 4/9/2018 1,487 523 512 +5.33 % +6.06 % 6/9/2025 New York Office $525 / sqft 40 % 2 7 Senior Loan (4) 8/6/2015 315 315 57 5.74 % 5.85 % 10/29/2022 Diversified - EUR Other n / a 71 % 3 8 Senior Loan (4) 12/17/2021 448 440 87 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $13,716 / unit 61 % 3 9 Senior Loan 8/22/2018 363 363 362 +3.15 % +3.28 % 8/9/2023 Maui Hospitality $471,391 / key 61 % 2 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 9/23/2019 387 340 338 +3.00 % +3.22 % 11/15/2024 Diversified - Spain Hospitality $185,926 / key 62 % 4 12 Senior Loan 10/25/2021 337 337 333 +4.30 % +4.62 % 10/25/2024 Diversified - AU Hospitality $165,939 / key 56 % 3 13 Senior Loan 1/11/2019 315 315 314 +4.35 % +4.70 % 1/11/2026 Diversified - UK Other $312 / sqft 74 % 4 14 Senior Loan 7/23/2021 500 307 302 +4.00 % +4.47 % 8/9/2027 New York Multi $412,117 / unit 58 % 3 15 Senior Loan 3/25/2022 306 306 302 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $139,447 / key 65 % 3 16 Senior Loan (4) 11/22/2019 470 303 60 +3.70 % +4.17 % 12/9/2025 Los Angeles Office $296 / sqft 69 % 3 17 Senior Loan 2/27/2020 303 300 299 +2.70 % +3.04 % 3/9/2025 New York Multi $940 / sqft 59 % 2 18 Senior Loan 11/30/2018 286 286 285 n/m (7) % n/m (7) % 8/9/2025 New York Hospitality $306,870 / key 73 % 5 19 Senior Loan 10/23/2018 290 277 276 +2.80 % +3.04 % 11/9/2024 Atlanta Office $258 / sqft 64 % 2 20 Senior Loan 12/11/2018 310 276 275 +2.55 % +2.77 % 12/9/2023 Chicago Office $232 / sqft 78 % 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 7/15/2021 319 264 260 +4.25 % +4.73 % 7/15/2026 Diversified - EUR Hospitality $201,770 / key 53 % 3 23 Senior Loan 4/26/2021 264 264 262 +2.45 % +2.63 % 5/9/2026 Diversified - US Multi $156,393 / unit 75 % 3 24 Senior Loan 9/29/2021 312 258 256 +2.70 % +2.92 % 10/9/2026 Washington, DC Office $336 / sqft 66 % 2 25 Senior Loan 11/30/2018 264 257 257 +2.80 % +3.03 % 12/9/2024 San Francisco Hospitality $377,577 / key 73 % 4 26 Senior Loan 9/14/2021 259 252 250 +2.50 % +2.76 % 9/14/2026 Dallas Multi $203,644 / unit 72 % 3 27 Senior Loan 2/23/2022 245 227 225 +2.60 % +2.84 % 3/9/2027 Reno Multi $210,655 / unit 74 % 3 28 Senior Loan 7/16/2021 240 223 221 +3.50 % +3.81 % 2/15/2027 London - UK Multi $252,889 / unit 72 % 3 29 Senior Loan 7/20/2017 250 223 222 +3.70 % +4.16 % 8/9/2023 San Francisco Office $369 / sqft 58 % 2 30 Senior Loan 9/16/2021 247 216 215 +3.80 % +4.49 % 4/9/2024 San Francisco Office $272 / sqft 53 % 3 continued… 70 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 31 Senior Loan 4/23/2021 $ 219 $ 209 $ 209 +3.65 % +3.77 % 5/9/2024 Washington, DC Office $234 / sqft 57 % 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 6/28/2019 215 200 198 +3.70 % +4.37 % 6/27/2024 London - UK Office $655 / sqft 71 % 3 34 Senior Loan 6/27/2019 212 198 198 +2.80 % +3.16 % 8/15/2026 Berlin - DEU Office $208 / sqft 62 % 3 35 Senior Loan 9/30/2021 195 195 193 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3 36 Senior Loan 9/30/2021 245 194 192 +4.00 % +4.49 % 9/30/2026 Diversified - Spain Hospitality $175,076 / key 60 % 3 37 Senior Loan 9/25/2019 193 193 193 +4.35 % +4.93 % 9/26/2023 London - UK Office $881 / sqft 72 % 3 38 Senior Loan 11/23/2018 192 192 191 +2.62 % +2.87 % 2/15/2024 Diversified - UK Office $571 / sqft 50 % 3 39 Senior Loan (4) 3/23/2020 256 191 38 +3.75 % +4.47 % 1/9/2025 Nashville Other $219 / sqft 60 % 2 40 Senior Loan 12/22/2016 203 191 191 +3.90 % +4.65 % 12/9/2023 New York Office $269 / sqft 64 % 3 41 Senior Loan 6/4/2018 188 188 188 +3.50 % +3.76 % 6/9/2024 New York Hospitality $309,308 / key 52 % 4 42 Senior Loan 10/1/2019 248 182 181 +3.75 % +4.25 % 10/9/2025 Atlanta Office $369 / sqft 68 % 1 43 Senior Loan 11/5/2019 190 180 180 +3.85 % +4.45 % 2/21/2025 Diversified - IT Office $405 / sqft 66 % 3 44 Senior Loan 3/9/2022 177 177 176 +2.95 % +3.17 % 8/15/2027 Various Retail $152 / sqft 55 % 3 45 Senior Loan 2/15/2022 191 177 175 +2.90 % +3.14 % 3/9/2027 Denver Office $353 / sqft 61 % 3 46 Senior Loan 12/17/2021 178 175 174 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,680 / unit 48 % 3 47 Senior Loan 9/5/2019 198 173 172 +2.75 % +3.26 % 9/9/2024 New York Office $1,076 / sqft 62 % 2 48 Senior Loan 9/30/2021 256 172 170 +3.00 % +3.35 % 10/9/2028 Chicago Office $190 / sqft 74 % 3 49 Senior Loan 9/26/2019 165 165 165 +3.10 % +3.34 % 7/9/2023 New York Office $241 / sqft 65 % 3 50 Senior Loan 9/4/2018 173 159 159 +3.00 % +3.39 % 9/9/2023 Las Vegas Hospitality $192,600 / key 70 % 3 51 Senior Loan 10/7/2021 165 159 158 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $323 / sqft 68 % 3 52 Senior Loan 3/7/2022 156 156 155 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 3 53 Senior Loan 5/27/2021 205 154 153 +2.70 % +2.99 % 6/9/2026 Atlanta Office $130 / sqft 66 % 3 54 Senior Loan 8/24/2021 179 153 152 +3.10 % +3.41 % 9/9/2026 San Jose Office $365 / sqft 65 % 3 55 Senior Loan 8/31/2021 150 150 149 +3.15 % +3.42 % 9/9/2026 Diversified - US Retail $299 / sqft 65 % 3 56 Senior Loan 1/27/2022 178 149 147 +3.10 % +3.44 % 2/9/2027 Dallas Multi $97,259 / unit 71 % 3 57 Senior Loan 11/18/2021 149 149 148 +3.25 % +3.51 % 10/21/2026 London - UK Industrial $203 / sqft 65 % 2 58 Senior Loan 12/20/2019 148 148 147 +3.10 % +3.32 % 12/18/2026 London - UK Office $748 / sqft 75 % 2 59 Senior Loan 7/23/2021 244 146 144 +5.00 % +5.39 % 8/9/2027 New York Office $473 / sqft 53 % 3 60 Senior Loan 12/21/2021 141 141 139 +2.75 % +3.11 % 12/21/2026 London - UK Industrial $489 / sqft 67 % 3 continued… 71 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 61 Senior Loan 1/17/2020 $ 203 $ 139 $ 139 +2.75 % +3.07 % 2/9/2025 New York Mixed-Use $115 / sqft 43 % 3 62 Senior Loan 3/10/2020 140 131 131 +2.50 % +2.50 % 10/11/2024 New York Mixed-Use $797 / sqft 53 % 2 63 Senior Loan 9/14/2021 132 127 127 +2.70 % +2.95 % 10/9/2026 San Bernardino Multi $256,774 / unit 75 % 3 64 Senior Loan 11/27/2019 146 127 126 +2.75 % +3.13 % 12/9/2024 Minneapolis Office $127 / sqft 64 % 3 65 Senior Loan 11/17/2021 135 125 124 +2.80 % +3.15 % 12/9/2026 Denver Multi $323,316 / unit 71 % 3 66 Senior Loan 4/3/2018 126 125 125 +2.75 % +2.92 % 4/9/2024 Dallas Mixed-Use $761 / sqft 64 % 3 67 Senior Loan 3/29/2021 134 124 122 +3.90 % +4.49 % 3/29/2026 Diversified - UK Multi $54,199 / unit 61 % 3 68 Senior Loan 2/25/2022 124 124 123 +4.00 % +4.31 % 2/25/2027 Copenhagen - DK Industrial $87 / sqft 69 % 3 69 Senior Loan 3/28/2022 150 123 122 +3.05 % +3.35 % 4/9/2027 Miami Office $338 / sqft 69 % 3 70 Senior Loan 5/13/2021 199 121 120 +3.55 % +3.94 % 6/9/2026 Boston Office $614 / sqft 64 % 3 71 Senior Loan 3/17/2022 285 119 118 +3.75 % +4.51 % 6/30/2025 London - UK Office $537 / sqft 62 % 3 72 Senior Loan 6/1/2021 120 117 117 +2.85 % +3.05 % 6/9/2026 Miami Multi $291,189 / unit 61 % 2 73 Senior Loan 9/14/2018 117 117 117 +3.50 % +3.84 % 9/14/2023 Canberra - AU Mixed-Use $344 / sqft 68 % 3 74 Senior Loan 6/28/2019 125 117 117 +2.75 % +2.91 % 2/1/2024 Los Angeles Office $591 / sqft 48 % 3 75 Senior Loan 4/6/2021 123 117 116 +3.20 % +3.52 % 4/9/2026 Los Angeles Office $494 / sqft 65 % 3 76 Senior Loan 7/15/2019 145 117 116 +2.90 % +3.25 % 8/9/2024 Houston Office $211 / sqft 58 % 3 77 Senior Loan 10/21/2021 114 114 114 +2.90 % +3.15 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 2 78 Senior Loan 8/27/2021 122 114 113 +3.00 % +3.29 % 9/9/2026 San Diego Retail $430 / sqft 58 % 3 79 Senior Loan 12/21/2021 120 110 109 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $384 / sqft 68 % 3 80 Senior Loan 5/20/2021 148 110 108 +3.60 % +4.00 % 6/9/2026 San Jose Office $281 / sqft 65 % 3 81 Senior Loan 1/7/2022 155 110 109 +3.70 % +3.70 % 1/9/2027 Fort Lauderdale Office $283 / sqft 55 % 2 82 Senior Loan 3/13/2018 123 105 105 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $162,093 / key 50 % 3 83 Senior Loan 2/15/2022 106 104 103 +2.85 % +3.19 % 3/9/2027 Tampa Multi $237,844 / unit 73 % 3 84 Senior Loan 2/20/2019 177 103 101 +3.95 % +5.69 % 2/19/2024 London - UK Office $504 / sqft 61 % 3 85 Senior Loan 12/29/2021 110 100 99 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $260 / sqft 64 % 3 86 Senior Loan 12/21/2018 108 99 99 +2.60 % +2.85 % 1/9/2024 Chicago Office $194 / sqft 72 % 3 87 Senior Loan 7/1/2021 104 99 98 +3.10 % +3.35 % 7/9/2026 Diversified - US Retail $281 / sqft 61 % 3 88 Senior Loan 6/18/2021 99 99 98 +2.60 % +2.83 % 7/9/2026 New York Industrial $52 / sqft 55 % 2 89 Senior Loan 3/25/2020 118 98 98 +2.40 % +2.78 % 3/31/2025 Diversified - NL Multi $120,029 / unit 65 % 2 90 Senior Loan 10/1/2021 101 98 97 +2.75 % +3.02 % 10/1/2026 Phoenix Multi $226,852 / unit 77 % 3 continued… 72 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 91 Senior Loan 3/29/2022 $ 103 $ 98 $ 97 +2.70 % +2.96 % 4/9/2027 Miami Multi $272,423 / unit 75 % 3 92 Senior Loan 10/16/2018 106 97 97 +3.25 % +3.52 % 11/9/2023 San Francisco Hospitality $211,959 / key 72 % 4 93 Senior Loan 3/28/2019 97 97 97 +3.25 % +3.25 % 1/9/2024 New York Hospitality $249,463 / key 63 % 4 94 Senior Loan 10/28/2021 96 96 95 +2.90 % +3.25 % 11/9/2026 Philadelphia Multi $353,704 / unit 79 % 3 95 Senior Loan 12/10/2018 117 95 94 +3.45 % +3.95 % 12/3/2024 London - UK Office $452 / sqft 72 % 3 96 Senior Loan 2/3/2021 111 93 92 +3.20 % +3.57 % 2/9/2026 Austin Office $385 / sqft 56 % 1 97 Senior Loan 10/27/2021 93 93 92 +2.50 % +2.69 % 11/9/2026 Orlando Multi $155,612 / unit 75 % 3 98 Senior Loan 3/3/2022 92 92 91 +3.45 % +3.76 % 3/9/2027 Boston Hospitality $418,182 / key 64 % 3 99 Senior Loan 6/14/2021 100 92 92 +3.70 % +4.04 % 7/9/2024 Miami Office $194 / sqft 65 % 3 100 Senior Loan 3/31/2017 97 91 91 +4.30 % +4.54 % 4/9/2023 New York Office $446 / sqft 64 % 3 101 Senior Loan 12/22/2021 91 91 90 +3.18 % +3.44 % 1/9/2027 Las Vegas Multi $205,682 / unit 65 % 3 102 Senior Loan 12/15/2021 91 87 87 +2.85 % +3.10 % 1/9/2027 Charlotte Multi $249,000 / unit 76 % 3 103 Senior Loan 12/10/2021 135 87 86 +3.00 % +3.37 % 1/9/2027 Miami Office $291 / sqft 49 % 3 104 Senior Loan 6/25/2021 85 85 85 +2.75 % +3.10 % 7/1/2026 St. Louis Multi $80,339 / unit 70 % 3 105 Senior Loan 7/30/2021 87 81 81 +2.50 % +2.84 % 8/9/2026 Los Angeles Multi $160,993 / unit 70 % 3 106 Senior Loan 3/9/2022 92 80 79 +2.90 % +3.43 % 3/9/2025 Boston Office $209 / sqft 68 % 3 107 Senior Loan 7/29/2021 82 78 77 +2.65 % +3.02 % 6/9/2026 Charlotte Multi $212,295 / unit 78 % 3 108 Senior Loan 6/27/2019 84 77 77 +2.50 % +2.66 % 7/9/2024 West Palm Beach Office $266 / sqft 70 % 2 109 Senior Loan 11/23/2021 92 77 76 +2.75 % +3.08 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3 110 Senior Loan 4/1/2021 102 76 75 +3.30 % +3.71 % 4/9/2026 San Jose Office $507 / sqft 67 % 3 111 Senior Loan 6/18/2019 75 75 75 +2.75 % +3.15 % 7/9/2024 Napa Valley Hospitality $785,340 / key 74 % 1 112 Senior Loan 12/30/2021 228 73 71 +4.35 % +5.05 % 1/9/2028 Santa Monica Multi $132,635 / unit 50 % 3 113 Senior Loan 7/23/2021 73 71 71 +3.00 % +3.02 % 7/9/2024 New York Multi $403 / sqft 62 % 2 114 Senior Loan 10/28/2021 69 69 69 +2.55 % +2.74 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3 115 Senior Loan 1/26/2022 338 69 66 +4.10 % +4.56 % 2/9/2027 Seattle Office $145 / sqft 56 % 3 116 Senior Loan 1/30/2020 104 68 68 +2.85 % +3.22 % 2/9/2026 Honolulu Hospitality $218,327 / key 63 % 3 117 Senior Loan 9/22/2021 67 67 67 +3.00 % +3.16 % 4/1/2024 Jacksonville Multi $181,081 / unit 62 % 2 118 Senior Loan 12/21/2021 74 67 66 +2.70 % +3.06 % 1/9/2027 Tampa Multi $195,588 / unit 77 % 3 119 Senior Loan 3/24/2022 65 65 65 +3.50 % +3.59 % 4/1/2027 Fairfield Multi $406,250 / unit 70 % 3 120 Senior Loan 12/10/2021 68 65 64 +2.85 % +3.19 % 1/9/2027 Austin Multi $260,000 / unit 73 % 3 continued… 73 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 121 Senior Loan 8/22/2019 $ 74 $ 65 $ 65 +2.55 % +2.93 % 9/9/2024 Los Angeles Office $389 / sqft 63 % 3 122 Senior Loan 10/5/2018 64 64 64 +5.50 % +5.92 % 12/20/2022 Sydney - AU Office $683 / sqft 78 % 3 123 Senior Loan 3/31/2022 70 62 62 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $136,602 / unit 71 % 3 124 Senior Loan 3/31/2021 62 62 62 +3.73 % +3.86 % 4/1/2024 Boston Multi $316,327 / unit 75 % 2 125 Senior Loan 12/23/2021 62 62 61 +2.18 % +2.99 % 9/1/2023 New York Office $144 / sqft 71 % 3 126 Senior Loan 7/30/2021 62 62 62 +2.75 % +2.94 % 8/9/2026 Salt Lake City Multi $224,185 / unit 73 % 3 127 Senior Loan 12/15/2021 151 61 59 +3.32 % +4.69 % 12/15/2026 Dublin - IE Multi $1,089,851 / unit 79 % 3 128 Senior Loan 6/29/2017 61 61 61 +3.40 % +4.16 % 7/9/2023 New York Multi $177,479 / unit 69 % 4 129 Senior Loan 8/27/2021 63 61 60 +3.85 % +4.37 % 9/9/2026 Diversified - US Hospitality $112,208 / key 67 % 3 130 Senior Loan 8/14/2019 70 59 58 +2.45 % +2.90 % 9/9/2024 Los Angeles Office $670 / sqft 57 % 3 131 Senior Loan 9/29/2021 62 58 58 +2.85 % +3.02 % 10/1/2025 Houston Multi $52,968 / unit 61 % 3 132 Senior Loan 12/17/2021 58 58 57 +2.65 % +2.85 % 1/9/2027 Phoenix Multi $209,601 / unit 69 % 3 133 Senior Loan 7/16/2021 58 58 58 +2.75 % +3.03 % 8/1/2025 Orlando Multi $195,750 / unit 74 % 2 134 Senior Loan 6/30/2021 65 58 57 +2.90 % +3.19 % 7/9/2026 Nashville Office $236 / sqft 71 % 3 135 Senior Loan 4/15/2021 66 57 57 +3.00 % +3.30 % 5/9/2026 Austin Office $277 / sqft 73 % 3 136 Senior Loan 11/11/2021 59 56 55 +3.95 % +4.74 % 8/6/2026 London - UK Hospitality $199,416 / key 40 % 3 137 Senior Loan 12/10/2020 61 55 55 +3.25 % +3.54 % 1/9/2026 Fort Lauderdale Office $191 / sqft 68 % 3 138 Senior Loan 6/28/2021 55 55 55 +3.60 % +4.86 % 2/15/2023 Diversified - Spain Hospitality $139,889 / key 56 % 3 139 Senior Loan 12/22/2021 55 55 54 +2.82 % +2.96 % 1/1/2027 Los Angeles Multi $272,500 / unit 68 % 3 140 Senior Loan 12/14/2018 60 52 52 +2.90 % +3.14 % 1/9/2024 Diversified - US Industrial $39 / sqft 57 % 2 141 Senior Loan 11/30/2016 61 52 52 +3.10 % +3.22 % 12/9/2023 Chicago Retail $1,014 / sqft 54 % 4 142 Senior Loan 6/26/2019 67 52 52 +3.35 % +3.66 % 6/20/2024 London - UK Office $586 / sqft 61 % 3 143 Senior Loan 7/30/2021 59 51 51 +2.75 % +2.96 % 8/9/2026 Tampa Multi $128,174 / unit 71 % 3 144 Senior Loan 12/9/2021 51 51 51 +2.75 % +2.89 % 1/1/2027 Portland Multi $241,825 / unit 65 % 3 145 Senior Loan 2/17/2021 53 51 51 +3.55 % +3.75 % 3/9/2026 Miami Multi $290,985 / unit 64 % 2 146 Senior Loan 9/23/2021 49 49 49 +2.75 % +2.86 % 10/1/2026 Portland Multi $232,938 / unit 65 % 3 147 Senior Loan 8/5/2021 57 49 49 +2.90 % +3.04 % 8/9/2026 Denver Office $186 / sqft 70 % 3 148 Senior Loan 12/17/2021 66 49 48 +4.35 % +4.93 % 1/9/2026 Diversified - US Other $3,693 / unit 37 % 3 149 Senior Loan 2/20/2019 54 48 48 +3.50 % +3.92 % 3/9/2024 Calgary - CAN Office $133 / sqft 52 % 2 150 Senior Loan 7/20/2021 48 48 48 +2.75 % +3.09 % 8/9/2026 Los Angeles Multi $366,412 / unit 60 % 3 continued… 74 Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 151 - 203 Senior Loan (4) Various 2,791 1,735 1,685 +3.05 % +3.52 % 3.7 yrs Various Various Various 62 % 2.7 CECL reserve (122) Loans receivable, net $ 30,827 $ 25,628 $ 23,587 +3.25 % +3.60 % 3.5 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) Date loan was originated or acquired by us, and the LTV as of such date. Origination dates are subsequently updated to reflect material loan modifications. (3) Total loan amount reflects outstanding principal balance as well as any related unfunded loan commitment. (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 March 31, 2022, seven loans in our portfolio have been financed with an aggregate $1.8 billion of non-consolidated senior interest, which are included in the table above. (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, SONIA, EURIBOR, and other indices as applicable to each loan. As of March 31, 2022, 99% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR. The other 1% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2022, 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 one 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. (7) Loan is accounted for under the cost-recovery method. 75