What changed in this filing

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Item 2. Management’s Discussion and Analysis

2022-07-27 compared with 2022-04-27 · 219 added, 233 removed, 651 unchanged (41% of the section changed)

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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.

Moreover, with the potential for new strains of COVID-19 or outbreaks of other infectious diseases, governments and businesses may re-impose aggressive measures to help slow the spread of infectious diseases in the future.

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

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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.

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 and 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.

This legislation establishes a uniform benchmark replacement process for financial contracts maturing after June 30, 2023 that 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.

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.

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

Treasury securities, as its preferred alternative rate for USD LIBOR.

As of June 30, 2022, one-month SOFR is utilized as the floating benchmark rate on 43 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, and certain borrowings under eight of our credit facilities.

As of June 30, 2022, the one-month SOFR was 1.69% and one-month USD LIBOR was 1.79%.

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.

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.

As of June 30, 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.

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

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

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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.

Macroeconomic Environment

Federal Reserve’s recent actions to increase interest rates in order to control inflation have created further uncertainty for the economy and for our borrowers.

Although our business model is such that rising interest rates will, all else being equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers.

It is difficult to predict the full impact of recent changes and any future changes in interest rates or inflation.

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.

For the three months ended June 30, 2022, we recorded basic earnings per share of $0.55, declared a dividend of $0.62 per share, and reported $0.67 per share of Distributable Earnings.

In addition, our book value as of June 30, 2022 was $27.17 per share, which is net of an $0.83 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.

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Three Months Ended

March 31, 2022 December 31, 2021

June 30, 2022 March 31, 2022

Basic Earnings:

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Three months ended

March 31, 2022 December 31, 2021

June 30, 2022 March 31, 2022

Net income (1)

$ 93,250 $ 99,687

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

(Decrease) increase in current expected credit loss reserve (2,537) 9,568

Increase (decrease) in current expected credit loss reserve 12,983 (2,537)

Non-cash compensation expense 8,418 8,650

Realized hedging and foreign currency income, net (3)

Realized hedging and foreign currency loss, net (2)

Other items (65) (30)

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Distributable Earnings $ 113,711 $ 105,566

$ 105,566 $ 125,966

Weighted-average shares outstanding, basic (3)

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Distributable Earnings per share, basic $ 0.67 $ 0.62

$ 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.

(2) 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.

(3) The weighted-average shares outstanding, basic, exclude shares issuable from a potential conversion of our Convertible Notes.

Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs.

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

March 31, 2022 December 31, 2021

June 30, 2022 March 31, 2022

Stockholders’ equity $ 4,637,591 $ 4,642,938

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Loan Portfolio

During the three months ended March 31, 2022, we originated or acquired $3.4 billion of loans.

During the three months ended June 30, 2022, we originated or acquired $3.0 billion of loans.

Loan fundings during the quarter totaled $2.8 billion and loan repayments and sales during the quarter totaled $1.4 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.

We generated interest income of $283.7 million and incurred interest expense of $136.6 million during the quarter, which resulted in $147.1 million of net interest income during the three months ended June 30, 2022.

Portfolio Overview

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

Three Months Ended March 31, 2022 Three Months Ended December 31, 2021

Three Months Ended June 30, 2022 Six Months Ended June 30, 2022

Loan originations (1)

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

(2) Loan fundings during the three 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):

(2) Loan fundings during the three and six months ended June 30, 2022, include $101.1 million and $193.2 million, respectively, of additional fundings under related non-consolidated senior interests.

(3) Loan repayments and sales during the three and six months ended June 30, 2022, include $390.5 million and $731.7 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 June 30, 2022 ($ in thousands):

Balance Sheet

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(3) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include 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.

As of June 30, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

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.

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

As of 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.

As of June 30, 2022, 61% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 39% were open to repayment by the borrower without penalty.

(5) Based on LTV as of the dates loans were originated or acquired by us.

The following table details the index rate floors for our loans receivable portfolio as of March 31, 2022 ($ in thousands):

The following table details the index rate floors for our loans receivable portfolio as of June 30, 2022 ($ in thousands):

Loans Receivable Principal Balance

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1.01% to 1.50% floor 2,894,351 59,366 2,953,717

1.51% to 2.00% floor 977,195 — 977,195

2.01% or more floor 216,126 49,160 265,286

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

(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%.

(4) As of June 30, 2022, the weighted-average index rate floor of our loan portfolio was 0.35%.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.61%.

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):

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.70%.

The following table details the floating benchmark rates for our loan portfolio as of June 30, 2022 (total investment portfolio amounts in thousands):

Currency Total Loan

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20 £ £ 2,644,945 SONIA + 3.67% + 4.13%

+ 3.86% + 4.30%

8 Various $ 2,144,142 Other (4)

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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.

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

Excludes 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.

(3) As of June 30, 2022, $14.2 billion and $4.0 billion of loans were indexed to USD LIBOR and SOFR, respectively.

As of June 30, 2022, one-month USD LIBOR was 1.79% and SOFR was 1.69%.

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

The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of March 31, 2022:

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

During the three months ended June 30, 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.

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.

Our loan portfolio’s low weighted-average origination LTV of 63.9% as of June 30, 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.

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

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

The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and 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.

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

The weighted-average risk rating of our total loan exposure was 2.8 as of both June 30, 2022 and December 31, 2021, respectively.

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

March 31, 2022

June 30, 2022

Rating Number

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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.

Total loan exposure encompasses the entire loan we originated and financed, including $1.5 billion of such non-consolidated senior interests as of June 30, 2022.

Current Expected Credit Loss Reserve

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

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.

During the three months ended June 30, 2022, we recorded an aggregate $13.0 million increase in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $141.5 million as of June 30, 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.

Previously, we entered into loan modifications related to a multifamily asset in New York City, which were classified as troubled debt restructurings under GAAP.

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.

We have no remaining asset-specific CECL reserve against this loan as of June 30, 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.

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 June 30, 2022, this loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, and a CECL reserve of $54.9 million, which was recorded based on our estimation of the fair value of the loan’s underlying collateral as of June 30, 2022.

No income was recorded on this loan during the six months ended June 30, 2022.

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.

As of June 30, 2022, our Multifamily Joint Venture held $802.2 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.

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Outstanding Principal Balance

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Secured debt $ 13,932,436 $ 12,299,580

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Total portfolio financing $ 19,393,510 $ 17,368,681

(1) Includes our consolidated securitized debt obligations of $2.9 billion as of March 31, 2022.

(1) Includes our consolidated securitized debt obligations of $2.9 billion as of June 30, 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.

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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.

During the six months ended June 30, 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.

(2) Includes our consolidated asset-specific debt of $870.7 million, our loan participations sold of $226.5 million, and our non-consolidated senior interests of $1.5 billion, as of June 30, 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.

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Borrowings Outstanding

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Secured credit facilities $ 13,932,436 $ 12,299,580

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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

The following table details our secured credit facilities by spread over the applicable base rates as of June 30, 2022 ($ in thousands):

Six Months Ended June 30, 2022 June 30, 2022

New Financings (2)

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

(2) Represents borrowings outstanding as of June 30, 2022 for new financings during the six months ended June 30, 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.

(4) Represents the weighted-average all-in cost as of June 30, 2022 and is not necessarily indicative of the spread applicable to recent or future borrowings.

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

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

As of March 31, 2022, we had no assets pledged to our acquisition facility.

As of June 30, 2022, we had no assets pledged to our acquisition facility.

Securitizations

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Securitizations Outstanding

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

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

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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.

During the six months ended June 30, 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.

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

March 31, 2022

June 30, 2022

Securitized Debt Obligations Count Principal

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2021 FL4 Collateralized Loan Obligation

Collateral assets 33 $ 1,000,000 $ 1,000,000 + 3.54 % March 2025

Collateral assets 32 $ 1,000,000 $ 1,000,000 + 3.51 % April 2025

Financing provided 1 803,750 798,466 + 1.57 % May 2038

2020 FL3 Collateralized Loan Obligation

Collateral assets 16 1,000,000 1,000,000 + 3.18 % September 2024

Collateral assets 16 1,000,000 1,000,000 + 3.21 % October 2024

Financing provided 1 808,750 805,362 + 2.03 % November 2037

2020 FL2 Collateralized Loan Obligation

Collateral assets 18 1,500,000 1,500,000 + 3.29 % August 2024

Collateral assets 18 1,500,000 1,500,000 + 3.31 % September 2024

Financing provided 1 1,243,125 1,238,073 + 1.39 % February 2038

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(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%.

As of June 30, 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 June 30, 2022, the one-month SOFR was 1.69% and one-month USD LIBOR was 1.79%.

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

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

(4) During the three months ended March 31, 2022, we recorded $11.0 million of interest expense related to our securitized debt obligations.

(4) During the three and six months ended June 30, 2022, we recorded $15.5 million and $26.5 million, respectively, 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.

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Outstanding Principal Balance

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Asset-specific debt $ 870,684 $ 400,699

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

March 31, 2022

June 30, 2022

Asset-Specific Debt Count Principal

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Yield/Cost (1)

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.

Collateral assets 4 $ 1,022,146 $ 1,003,394 + 4.30 % March 2026

Financing provided 4 $ 870,684 $ 860,007 + 3.02 % March 2026

(1) These floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement.

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.

Our asset-specific debt is term-matched in each case to the corresponding collateral loans.

Loan Participations Sold

The following table details our loan participations sold ($ in thousands):

March 31, 2022

June 30, 2022

Loan Participations Sold Count Principal

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Senior participation 1 $ 226,511 $ 225,884 + 3.22 % March 2027

(1) The loan and related participation sold is indexed to SONIA.

(1) This non-debt participation sold structure is inherently matched in terms of currency and interest rate.

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

March 31, 2022

June 30, 2022

Non-Consolidated Senior Interests Count Principal

Yield/Cost (1)

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.

Total loan 7 1,866,308 n/a + 3.67 % February 2026

Senior participation 7 1,508,254 n/a + 2.64 % February 2026

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

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.

Corporate Financing

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Outstanding Principal Balance

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Term loans $ 1,842,401 $ 1,349,271

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Total corporate financing $ 2,762,401 $ 2,371,771

As of March 31, 2022, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

As of June 30, 2022, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans Face Value Interest Rate (1)

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B-3 Term Loan $ 417,280 + 2.75 % + 3.42 % April 23, 2026

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

B-4 Term Loan $ 500,000 + 3.50 % + 3.98 % May 9, 2029

(1) The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of 0.50%.

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

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Senior Secured Notes

As of March 31, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):

As of June 30, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):

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

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

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

(1) Includes transaction expenses that are amortized through interest expense over the life of the Senior Secured Notes.

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

Convertible Notes

As of March 31, 2022 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

As of June 30, 2022 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes Issuance Face Value Interest Rate

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Conversion Rate (2)

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

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(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.

(2) Represents the price of class A common stock per share based on a conversion rate of 27.6052 and 27.5702, respectively, for the 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.

The cumulative dividend threshold as defined in the respective March 2018 and March 2022 convertible notes supplemental indentures have not been exceeded as of June 30, 2022.

Refer to Note 2 and Note 11 to our consolidated financial statements for additional discussion of our Convertible Notes.

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

As of 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.

As of June 30, 2022, substantially all 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.

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):

The following table details our investment portfolio’s net exposure to interest rates by currency as of June 30, 2022 (amounts in thousands):

All Other (5)

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$ 3,238,513 $ 796,889 $ 709,737 $ 490,910

(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%.

(1) Our floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement.

(2) As of June 30, 2022, $14.2 billion and $4.0 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively.

As of June 30, 2022, $9.4 billion and $5.6 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively.

As of June 30, 2022, one-month SOFR was 1.69% and one-month USD LIBOR was 1.79%.

(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.

Dollar equivalent as of June 30, 2022.

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

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):

The following table sets forth information regarding our consolidated results of operations for the three months ended June 30, 2022 and March 31, 2022 ($ in thousands, except per share data):

Three Months Ended Change

March 31, 2022 December 31, 2021 $

June 30, 2022 March 31, 2022 $

Income from loans and other investments

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Total other expenses 39,474 35,846 3,628

Decrease (increase) in current expected credit loss reserve 2,537 (9,568) 12,105

(Increase) decrease in current expected credit loss reserve (12,983) 2,537 (15,520)

Income before income taxes 94,611 100,409 (5,798)

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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.

Income from loans and other investments, net increased $13.4 million during the three months ended June 30, 2022 compared to the three months ended March 31, 2022.

The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices, (ii) an increase in the weighted-average principal balance of our loan portfolio by $1.5 billion for the three months ended June 30, 2022, as compared to the three months ended March 31, 2022, and (iii) an increase in prepayment fee income.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $1.4 billion for the three months ended June 30, 2022, as compared to the three months ended March 31, 2022.

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.

Other expenses increased by $3.6 million during the three months ended June 30, 2022 compared to the three months ended March 31, 2022 due to an increase of (i) $3.4 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii) $280,000 of other general operating expenses, and (iii) $152,000 of management fees payable to our Manager.

This was offset by a decrease of non-cash restricted stock amortization of $231,000 related to shares awarded 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 $9.6 million increase during the three months ended December 31, 2021.

During the three months ended June 30, 2022, we recorded a $13.0 million increase in the CECL reserve, as compared to a $2.5 million decrease during the three months ended March 31, 2022.

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.

During the three months ended June 30, 2022 and March 31, 2022, we recorded $615,000 and $576,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

During the three months ended June 30, 2022, we declared aggregate dividends of $0.62 per share, or $105.6 million.

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.

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 $

The following table sets forth information regarding our consolidated results of operations for the six months ended June 30, 2022 and June 30, 2021 ($ in thousands, except per share data):

Six Months Ended Change

June 30, 2022 June 30, 2021 $

Income from loans and other investments

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Total other expenses 75,320 62,019 13,301

Decrease in current expected credit loss reserve 2,537 1,293 1,244

(Increase) decrease in current expected credit loss reserve (10,446) 52,199 (62,645)

Income before income taxes 195,020 213,284 (18,264)

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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.

Income from loans and other investments, net increased $57.7 million during the six months ended June 30, 2022 compared to the six months ended June 30, 2021.

The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices during 2022 and (ii) an increase in the weighted-average principal balance of our loan portfolio by $6.4 billion for the six months ended June 30, 2022, as compared to the six months ended June 30, 2021.

This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $5.6 billion for the six months ended June 30, 2022, as compared to the six months ended June 30, 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.

Other expenses increased by $13.3 million during the six months ended June 30, 2022 compared to the six months ended June 30, 2021 due to an increase of (i) $5.1 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021, (ii) $4.7 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (iii) $2.5 million of other general operating expenses, and (iv) $961,000 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.

During the six months ended June 30, 2022, we recorded a $10.4 million increase in the CECL reserve, as compared to a $52.2 million decrease during the six months ended June 30, 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 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.

During the six months ended June 30, 2022 and June 30, 2021, we recorded $1.2 million and $1.5 million, 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.

During the six months ended June 30, 2022, we declared aggregate dividends of $1.24 per share, or $211.2 million.

During the six months ended June 30, 2021, we declared aggregate dividends of $1.24 per share, or $182.3 million.

Liquidity and Capital Resources

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We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, corporate debt, and asset-level 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.

As of June 30, 2022, our capitalization structure included $4.6 billion of common equity, $2.8 billion of corporate debt, and $19.4 billion of asset-level financing.

Our $2.8 billion of corporate debt includes $1.8 billion of term loan borrowings, $400.0 million of senior secured notes, and $520.0 million of convertible notes.

Our $19.4 billion of asset-level financing includes $13.9 billion of secured debt, $2.9 billion of securitizations, and $2.6 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.

As of June 30, 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.

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

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Debt-to-equity ratio (1)

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

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Cash and cash equivalents $ 283,580 $ 551,154

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189,909 17,528

$ 1,508,313 $ 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.

During the six months ended June 30, 2022, we generated cash flow from operating activities of $183.6 million and received (i) $2.1 billion of net proceeds from secured debt borrowings, (ii) $2.0 billion from loan principal collections and sales proceeds, (iii) $551.9 million of proceeds from asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $245.3 million from the sale of a senior loan participation, and (vii) $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 CLOs, which allow us to replace a repaid loan in the CLO by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

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

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

We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,989,151 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.

We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,986,370 shares of class A common stock were available for issuance as of June 30, 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 June 30, 2022.

Refer to Note 13 to our consolidated financial statements for additional details.

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In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $13.9 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.

As of June 30, 2022, we had unfunded commitments of $4.6 billion related to 125 loans receivable and $2.7 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.9 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.

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Contractual Obligations and Commitments

Our contractual obligations and commitments as of March 31, 2022 were as follows ($ in thousands):

Our contractual obligations and commitments as of June 30, 2022 were as follows ($ in thousands):

Payment Timing

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(6) Represents interest payments on our secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes.

Future interest payment obligations are estimated assuming the interest rates in effect as of March 31, 2022 will remain constant into the future.

Future interest payment obligations are estimated assuming the interest rates in effect as of June 30, 2022 will remain constant into the future.

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

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

Three Months Ended March 31,

Six Months Ended June 30,

Cash flows provided by operating activities $ 183,596 $ 165,373

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Cash flows provided by financing activities 2,964,231 806,118

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.

Net (decrease) increase in cash and cash equivalents $ (256,629) $ 46,519

We experienced a net decrease in cash and cash equivalents of $256.6 million for the six months ended June 30, 2022, compared to a net increase of $46.5 million for the six months ended June 30, 2021.

During the six months ended June 30, 2022, we (i) funded $5.6 billion of loans, (ii) repaid $402.5 million of convertible notes, and (iii) paid $209.8 million of dividends on our class A common stock.

During the six months ended June 30, 2022, we received (i) $2.1 billion of net proceeds from secured debt borrowings, (ii) $2.0 billion from loan principal collections and sales proceeds, (iii) $551.9 million of proceeds from asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $245.3 million from the sale of a senior loan participation, and (vii) $52.2 million of net proceeds from the issuance of shares of class A common stock.

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.

Refer to Notes 5, 7, 8, 9, 11, and 13 to our consolidated financial statements for additional discussion of our secured debt, asset-specific debt, loan participations sold, term loans, convertible notes, and equity, respectively.

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

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

As of March 31, 2022 and December 31, 2021, we were in compliance with all REIT requirements.

As of June 30, 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.

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

We estimate our CECL reserve primarily using the Weighted Average Remaining Maturity, or

WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board Staff Q&A Topic 326, No.

We estimate our CECL reserve primarily using the Weighted Average Remaining Maturity, or WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board Staff Q&A Topic 326, No.

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

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

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through February 28, 2022.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through May 31, 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.

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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.

We perform 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:

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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:

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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.

3 unchanged sentences

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

During the six months ended June 30, 2022, we recorded an aggregate $13.0 million increase in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $141.5 million as of June 30, 2022.

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

2 unchanged sentences

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.

Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in our opinion, recovery of income and principal becomes doubtful.

Interest received is then recorded as a reduction in the outstanding principal balance until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed.

1 unchanged sentence

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):

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of June 30, 2022 ($ in millions):

Loan Type (1)

2 unchanged sentences

1 Senior Loan 8/14/2019 $ 1,141 $ 1,040 $ 1,036 +2.59 % +3.22 % 12/23/2024 Dublin - IE Office $381 / 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

2 Senior Loan 6/24/2022 913 913 904 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $416 / sqft 59 % 3

3 Senior Loan 4/9/2018 1,487 702 692 +4.81 % +5.68 % 6/9/2025 New York Office $525 / sqft 48 % 2

4 Senior Loan (4)

12/9/2021 770 685 393 +2.65 % +2.82 % 12/9/2026 New York Mixed-Use $226 / sqft 50 % 2

5 Senior Loan 3/22/2018 683 683 682 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4

6 Senior Loan (4)

1 unchanged sentence

7 Senior Loan 3/30/2021 486 486 482 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $90 / 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

8 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 88 +3.95 % +4.35 % 1/9/2026 Diversified - US Other $13,716 / unit 61 % 3

9 Senior Loan 8/22/2018 363 363 363 +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

10 Senior Loan 7/23/2021 500 348 343 +4.00 % +4.44 % 8/9/2027 New York Multi $467,033 / 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

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

12 Senior Loan (4)

11/22/2019 470 328 65 +3.70 % +4.17 % 12/9/2025 Los Angeles Office $328 / sqft 69 % 3

13 Senior Loan 9/23/2019 367 328 326 +3.00 % +3.22 % 11/15/2024 Diversified - Spain Hospitality $179,097 / key 62 % 4

14 Senior Loan 10/25/2021 311 311 308 +4.30 % +4.62 % 10/25/2024 Diversified - AU Hospitality $153,098 / key 56 % 3

15 Senior Loan 5/6/2022 305 305 302 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $95 / sqft 53 % 3

16 Senior Loan 2/27/2020 303 302 301 +2.70 % +3.04 % 3/9/2025 New York Multi $948 / sqft 59 % 2

17 Senior Loan 1/11/2019 292 292 291 +4.35 % +4.70 % 1/11/2026 Diversified - UK Other $289 / sqft 74 % 4

18 Senior Loan 11/30/2018 286 286 285 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

19 Senior Loan 3/25/2022 283 283 281 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $129,257 / key 65 % 3

20 Senior Loan 12/11/2018 310 279 279 +2.55 % +2.77 % 12/9/2023 Chicago Office $235 / sqft 78 % 3

21 Senior Loan 10/23/2018 290 278 278 +2.80 % +3.04 % 11/9/2024 Atlanta Office $259 / sqft 64 % 2

22 Senior Loan 9/29/2021 312 272 270 +2.70 % +2.92 % 10/9/2026 Washington, DC Office $355 / sqft 66 % 2

23 Senior Loan 9/30/2021 280 267 266 +2.50 % +2.77 % 9/30/2026 Dallas Multi $141,128 / 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

24 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 262 257 256 +2.80 % +3.03 % 12/9/2024 San Francisco Hospitality $373,895 / key 73 % 4

26 Senior Loan 9/14/2021 259 253 252 +2.50 % +2.76 % 9/14/2026 Dallas Multi $204,908 / unit 72 % 3

27 Senior Loan 7/15/2021 299 247 244 +4.25 % +4.73 % 7/15/2026 Diversified - EUR Hospitality $189,099 / key 53 % 3

28 Senior Loan 4/29/2022 228 228 226 +3.45 % +3.68 % 3/3/2027 Diversified - UK Hospitality n / a 41 % 3

29 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

30 Senior Loan 9/16/2021 247 220 219 +3.80 % +4.49 % 4/9/2024 San Francisco Office $277 / sqft 53 % 3

30 Senior Loan 9/16/2021 247 216 215 +3.80 % +4.49 % 4/9/2024 San Francisco Office $272 / sqft 53 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

31 Senior Loan 6/8/2022 $ 272 $ 217 $ 214 +3.35 % +3.70 % 6/9/2027 New York Office $1,223 / sqft 75 % 3

32 Senior Loan 4/23/2021 219 209 209 +3.65 % +3.77 % 5/9/2024 Washington, DC Office $234 / sqft 57 % 3

33 Senior Loan 7/16/2021 222 207 205 +3.25 % +3.81 % 2/15/2027 London - UK Multi $234,410 / unit 69 % 3

34 Senior Loan 8/31/2017 203 202 202 +2.50 % +2.85 % 9/9/2023 Orange County Office $236 / sqft 64 % 3

35 Senior Loan 6/28/2019 199 199 198 +3.70 % +4.37 % 6/27/2024 London - UK Office $652 / 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

36 Senior Loan 9/30/2021 195 195 194 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3

37 Senior Loan 10/1/2019 248 193 191 +3.75 % +4.25 % 10/9/2025 Atlanta Office $369 / sqft 68 % 1

38 Senior Loan 12/22/2016 202 190 190 +3.90 % +4.65 % 12/9/2023 New York Office $267 / sqft 64 % 3

39 Senior Loan 6/27/2019 201 188 188 +2.80 % +3.16 % 8/15/2026 Berlin - DEU Office $197 / sqft 62 % 3

40 Senior Loan 9/30/2021 232 184 182 +4.00 % +4.49 % 9/30/2026 Diversified - Spain Hospitality $165,853 / key 60 % 3

41 Senior Loan 6/4/2018 183 183 182 +3.50 % +3.76 % 6/9/2024 New York Hospitality $301,071 / key 52 % 4

42 Senior Loan 9/25/2019 179 179 179 +4.35 % +4.93 % 9/26/2023 London - UK Office $817 / sqft 72 % 3

43 Senior Loan 11/23/2018 178 178 178 +2.62 % +2.87 % 2/15/2024 Diversified - UK Office $530 / 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

44 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

45 Senior Loan 12/21/2021 183 176 175 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $362 / sqft 67 % 3

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

47 Senior Loan 9/26/2019 165 165 165 +3.10 % +3.34 % 7/9/2023 New York Office $241 / sqft 65 % 3

48 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,680 / unit 48 % 2

49 Senior Loan 3/9/2022 164 164 163 +2.95 % +3.17 % 8/15/2027 Various Retail $141 / sqft 55 % 2

50 Senior Loan 9/4/2018 173 159 159 +3.00 % +3.39 % 9/9/2023 Las Vegas Hospitality $192,600 / key 70 % 3

3 unchanged sentences

54 Senior Loan 8/24/2021 179 154 152 +3.10 % +3.41 % 9/9/2026 San Jose Office $366 / 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

55 Senior Loan 7/23/2021 244 153 151 +5.00 % +5.39 % 8/9/2027 New York Office $494 / sqft 53 % 3

56 Senior Loan 1/27/2022 178 151 149 +3.10 % +3.44 % 2/9/2027 Dallas Multi $98,430 / 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

57 Senior Loan 8/31/2021 150 150 149 +3.15 % +3.42 % 9/9/2026 Diversified - US Retail $299 / sqft 65 % 2

58 Senior Loan 1/17/2020 203 142 142 +2.75 % +3.07 % 2/9/2025 New York Mixed-Use $118 / sqft 43 % 3

59 Senior Loan 11/18/2021 138 138 137 +3.25 % +3.51 % 10/21/2026 London - UK Other $188 / sqft 65 % 2

60 Senior Loan 12/20/2019 137 137 136 +3.10 % +3.32 % 12/18/2026 London - UK Office $693 / 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

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

61 Senior Loan 1/17/2020 $ 203 $ 139 $ 139 +2.75 % +3.07 % 2/9/2025 New York Mixed-Use $115 / sqft 43 % 3

61 Senior Loan 11/5/2019 $ 146 $ 136 $ 136 +3.85 % +3.90 % 2/21/2025 Diversified - IT Office $3,639 / sqft 66 % 3

62 Senior Loan 5/13/2021 199 133 131 +3.55 % +3.94 % 6/9/2026 Boston Office $672 / sqft 64 % 3

63 Senior Loan 6/30/2022 131 131 131 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $493 / sqft 60 % 3

64 Senior Loan 3/10/2020 140 131 131 +2.50 % +2.50 % 10/11/2024 New York Mixed-Use $800 / sqft 53 % 2

1 unchanged sentence

66 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

67 Senior Loan 4/3/2018 126 125 125 +2.75 % +2.92 % 4/9/2024 Dallas Retail $761 / sqft 64 % 3

68 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

69 Senior Loan 6/1/2021 120 120 120 +2.85 % +3.05 % 6/9/2026 Miami Multi $297,767 / 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

70 Senior Loan 4/6/2021 123 119 118 +3.20 % +3.52 % 4/9/2026 Los Angeles Office $501 / sqft 65 % 3

71 Senior Loan 4/29/2022 118 118 117 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,235,602 / key 66 % 3

72 Senior Loan 2/25/2022 118 118 117 +4.00 % +4.31 % 2/25/2027 Copenhagen - DK Industrial $83 / sqft 69 % 3

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

74 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

75 Senior Loan 1/7/2022 155 116 115 +3.70 % +3.70 % 1/9/2027 Fort Lauderdale Office $299 / sqft 55 % 1

76 Senior Loan 3/29/2021 124 116 115 +3.90 % +4.49 % 3/29/2026 Diversified - UK Multi $50,660 / unit 61 % 3

77 Senior Loan 8/27/2021 122 115 114 +3.00 % +3.29 % 9/9/2026 San Diego Retail $434 / 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

78 Senior Loan 10/21/2021 114 114 114 +2.90 % +3.15 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 1

79 Senior Loan 5/20/2021 148 112 111 +3.60 % +4.00 % 6/9/2026 San Jose Office $287 / 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

80 Senior Loan 3/17/2022 264 111 109 +3.75 % +4.51 % 6/30/2025 London - UK Office $497 / sqft 62 % 3

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

82 Senior Loan 3/13/2018 123 105 105 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $162,657 / key 50 % 3

5 unchanged sentences

88 Senior Loan 6/18/2021 99 99 98 +2.60 % +2.83 % 7/9/2026 New York Industrial $52 / sqft 55 % 1

89 Senior Loan 3/25/2020 118 98 98 +2.40 % +2.78 % 3/31/2025 Diversified - NL Multi $120,029 / unit 65 % 2

89 Senior Loan 10/1/2021 101 98 98 +2.75 % +3.02 % 10/1/2026 Phoenix Multi $227,497 / unit 77 % 3

90 Senior Loan 3/29/2022 103 98 97 +2.70 % +2.96 % 4/9/2027 Miami Multi $272,423 / unit 75 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

91 Senior Loan 3/29/2022 $ 103 $ 98 $ 97 +2.70 % +2.96 % 4/9/2027 Miami Multi $272,423 / unit 75 % 3

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

92 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

93 Senior Loan 2/3/2021 111 96 95 +3.20 % +3.57 % 2/9/2026 Austin Office $396 / sqft 56 % 1

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 3/25/2020 112 93 93 +2.40 % +2.78 % 3/31/2025 Diversified - NL Multi $113,706 / unit 65 % 2

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

97 Senior Loan 6/14/2021 100 92 92 +3.70 % +4.04 % 7/9/2024 Miami Office $195 / sqft 65 % 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 12/10/2021 135 91 90 +3.00 % +3.37 % 1/9/2027 Miami Office $303 / sqft 49 % 3

100 Senior Loan 3/31/2017 97 91 91 +4.30 % +4.54 % 4/9/2023 New York Office $446 / sqft 64 % 3

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

101 Senior Loan 3/31/2017 96 90 91 +4.30 % +4.54 % 4/9/2023 New York Office $444 / sqft 64 % 3

102 Senior Loan 12/10/2018 108 88 87 +3.45 % +3.95 % 12/3/2024 London - UK Office $419 / sqft 72 % 3

103 Senior Loan 12/15/2021 91 88 87 +2.85 % +3.10 % 1/9/2027 Charlotte Multi $250,224 / 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 6/28/2022 675 84 77 +4.60 % +5.01 % 7/9/2029 Austin Mixed-Use $70 / sqft 53 % 3

106 Senior Loan 7/30/2021 87 82 81 +2.50 % +2.84 % 8/9/2026 Los Angeles Multi $161,927 / unit 70 % 3

107 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 6/14/2022 106 79 79 +2.95 % +3.30 % 7/9/2027 San Francisco Industrial $166 / sqft 76 % 3

109 Senior Loan 6/27/2019 84 78 78 +2.50 % +2.66 % 7/9/2024 West Palm Beach Office $269 / 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 7/29/2021 82 78 78 +2.65 % +3.02 % 6/9/2026 Charlotte Multi $213,979 / unit 78 % 3

111 Senior Loan 4/1/2021 102 78 77 +3.30 % +3.71 % 4/9/2026 San Jose Office $518 / 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

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

113 Senior Loan 8/27/2021 79 76 76 +3.85 % +4.43 % 9/9/2026 Diversified - US Hospitality $113,285 / key 67 % 3

114 Senior Loan (4)

12/30/2021 228 73 14 +4.35 % +5.17 % 1/9/2028 Los Angeles Multi $132,635 / unit 50 % 3

115 Senior Loan 7/23/2021 73 72 72 +3.00 % +3.02 % 7/9/2024 New York Multi $404 / sqft 62 % 1

116 Senior Loan 12/15/2021 143 69 68 +3.42 % +4.53 % 12/15/2026 Dublin - IE Multi $174,020 / unit 79 % 3

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

2 unchanged sentences

120 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

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

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

123 Senior Loan 12/10/2021 68 65 64 +2.85 % +3.19 % 1/9/2027 Austin Multi $260,000 / unit 73 % 2

124 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

125 Senior Loan 3/31/2022 70 63 62 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $137,212 / unit 71 % 3

126 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

127 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 12/23/2021 62 62 61 +2.18 % +2.99 % 9/1/2023 New York Office $144 / sqft 71 % 3

129 Senior Loan 6/29/2017 61 61 61 +3.40 % +4.16 % 7/9/2022 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 10/5/2018 59 59 59 +5.50 % +5.92 % 12/20/2022 Sydney - AU Office $630 / sqft 78 % 3

131 Senior Loan 8/14/2019 70 59 59 +2.45 % +2.90 % 9/9/2024 Los Angeles Office $677 / sqft 57 % 3

4 unchanged sentences

136 Senior Loan 4/15/2021 66 57 57 +3.00 % +3.30 % 5/9/2026 Austin Office $279 / 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 (4)

11/10/2021 362 56 11 +4.00 % +4.59 % 12/9/2026 San Francisco Office $106 / sqft 66 % 3

138 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 12/23/2021 314 53 48 +4.25 % +5.42 % 6/23/2028 London - UK Multi $58,144 / unit 59 % 3

141 Senior Loan 12/14/2018 60 53 53 +2.90 % +3.14 % 1/9/2024 Diversified - US Industrial $39 / sqft 57 % 2

142 Senior Loan 6/28/2021 52 52 52 +3.60 % +4.86 % 2/15/2023 Diversified - Spain Hospitality $132,520 / key 56 % 3

143 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

144 Senior Loan 11/11/2021 55 52 52 +3.95 % +4.74 % 8/6/2026 London - UK Hospitality $184,845 / key 40 % 3

145 Senior Loan 7/30/2021 59 51 51 +2.75 % +2.96 % 8/9/2026 Tampa Multi $128,174 / unit 71 % 3

1 unchanged sentence

147 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

148 Senior Loan 12/15/2021 90 50 49 +5.25 % +6.17 % 12/15/2026 Melbourne - AU Multi $36,167 / unit 38 % 3

149 Senior Loan 8/5/2021 57 49 49 +2.90 % +3.04 % 8/9/2026 Denver Office $187 / 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

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

Loan Type (1)

10 unchanged sentences

(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.

As of June 30, 2022, seven loans in our portfolio have been financed with an aggregate $1.5 billion of non-consolidated senior interest, which are included in the table above.

(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.

As of June 30, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

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.

3 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 2. Management’s Discussion and Analysis