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Item 7. Management’s Discussion and Analysis

2023-02-08 compared with 2022-02-09 · 378 added, 369 removed, 555 unchanged (57% of the section changed)

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Recent Developments

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

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

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

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

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

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

Macroeconomic Environment

The year ended December 31, 2022 has been characterized by steep declines and significant volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth and geopolitical uncertainty.

Inflation across many key economies reached generational highs, prompting central banks to take monetary policy tightening actions that are likely to create headwinds to economic growth.

The ongoing war between Russia and Ukraine is also contributing to economic and geopolitical uncertainty.

Inflation continues to rise and has caused the Federal Reserve to raise interest rates with indications of future increases, which has 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.

Additionally, rising rates and increasing costs may dampen consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans.

While there is debate among economists as to whether such factors, coupled with recent periods of economic contraction in the U.S., indicate that the U.S.

has entered, or in the near term will enter, a recession, it remains difficult to predict the full impact of recent changes and any future changes in interest rates or inflation.

Reference Rate Reform

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

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

Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, have been the subject of national, international and regulatory guidance and proposals for reform.

As of December 31, 2021, the ICE Benchmark Association, or IBA, ceased publication of most non-USD LIBOR settings.

IBA also previously announced its intention to cease publication of remaining U.S.

dollar LIBOR settings immediately after June 30, 2023;

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

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

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

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

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

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

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

however, in November 2022 the U.K.

Financial Conduct Authority, which regulates IBA, announced a public consultation regarding whether it should compel IBA to continue publishing “synthetic” USD LIBOR settings from June 2023 to the end of September 2024.

Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, or LIBOR Act, was signed into law in the U.S.

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.

Under the LIBOR Act, such contracts will automatically transition as a matter of law to a Secured Overnight Financing Rate, or SOFR, based replacement rate identified by the Board of Governors of the Federal Reserve System, or Federal Reserve.

The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Federal Reserve.

In July 2022, the Federal Reserve issued a notice of proposed rulemaking implementing the LIBOR Act.

As of December 31, 2022, no regulations have been promulgated.

The Federal Reserve, in conjunction with the Alternative Reference Rates Committee, or ARRC, a steering committee composed of large U.S.

financial institutions, identified SOFR, a new index calculated using short-term repurchase agreements backed by U.S.

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

According to the ARRC, data from the cash and derivatives markets show continued momentum in the transition from LIBOR to SOFR, and SOFR is currently predominant across cash and derivatives markets.

As of December 31, 2022, one-month term SOFR is utilized as the floating benchmark rate on 76 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under twelve of our credit facilities, and our B-4 Term Loan.

As of December 31, 2022, one-month term SOFR was 4.36% and one-month USD LIBOR was 4.39%.

Additionally, market participants have continued to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K.

As of December 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 December 31, 2022, 63.5% of our aggregate loan principal balance has either transitioned to the applicable replacement benchmark rate, or its existing benchmark rate is not expected to be replaced, and we expect to transition the remaining 36.5% in 2023.

At this time, it is not possible to predict how markets will respond in the future 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, 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.

Refer to “Part I.

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

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

2022 Highlights

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• Net income of $248.6 million, or $1.46 per share, and Distributable Earnings of $489.8 million, or $2.87 per share, with dividends declared of $423.6 million, or $2.48 per share.

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

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

Net income includes a $211.5 million increase to the current expected credit loss, or CECL, reserve that is excluded from Distributable Earnings, as further described below.

• Book value per share of $26.26 as of December 31, 2022, which is net of a $1.99 cumulative CECL reserve, and is within 1% of our book value of $26.42 as of December 31, 2020, despite an increase of $171.6 million in our CECL reserve since that time.

• Increased our liquidity to $1.8 billion as of December 31, 2022.

Loan portfolio:

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• Portfolio of 203 investments as of December 31, 2022, with a weighted-average origination loan-to-value ratio of 63.9% and weighted-average all-in yield of + 3.76%.

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

Capital markets and financing activity:

• Closed $4.6 billion of new financings under our secured debt facilities, adding two new credit facilities with innovative structures to finance our investments.

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

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

• Borrowed an additional $825.0 million under our term loan facilities with an interest rate of SOFR plus 3.50% and maturity in 2029, issued $300.0 million aggregate principal amount of 5.50% convertible senior notes due 2027, and issued an aggregate 2.3 million shares of our class A common stock, providing aggregate net proceeds of $70.7 million.

Key Financial Measures and Indicators

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

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

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

For the three months ended December 31, 2022, we recorded a net loss per share of $0.28, declared a dividend of $0.62 per share, and reported $0.87 per share of Distributable Earnings.

In addition, our book value as of December 31, 2022 was $26.26 per share, which is net of a $1.99 per share cumulative CECL reserve.

For the year ended December 31, 2022, we recorded earnings per share of $1.46, declared aggregate dividends of $2.48 per share, and reported $2.87 per share of Distributable Earnings.

As further described below, Distributable Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, which helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our

current loan portfolio and operations.

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

Earnings Per Share and Dividends Declared

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

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

Three Months Ended December 31, 2022 Year Ended December 31,

Net income (1)

Net (loss) income (1)

$ (47,540) $ 248,642 $ 419,193

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

Net income per share, basic and diluted $ 0.76 $ 2.77 $ 0.97

Weighted-average shares outstanding, basic 171,604,533 170,631,410 151,521,941

Per share amount, basic $ (0.28) $ 1.46 $ 2.77

Dividends declared per share $ 0.62 $ 2.48 $ 2.48

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

Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share.

Distributable Earnings

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In addition, our methodology for calculating Distributable Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings may not be comparable to the Distributable Earnings reported by other companies.

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

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

Three Months Ended December 31, 2022 Year Ended December 31,

Net income (1)

Net (loss) income (1)

$ (47,540) $ 248,642 $ 419,193

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

(14,427) (14,427) —

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

Increase (decrease) in current expected credit loss reserve 188,811 211,505 (39,864)

Non-cash compensation expense 8,128 33,414 31,647

Realized hedging and foreign currency income, net (3)

Realized hedging and foreign currency loss, net (3)

(511) (3,239) (521)

Other items 120 561 1,487

Adjustments attributable to non-controlling interests, net (268) (361) 132

Other items (25) (131) 561

Distributable Earnings $ 148,595 $ 489,830 $ 396,721

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

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

Distributable Earnings per share, basic and diluted (4)

Weighted-average shares outstanding, basic (4)

171,604,533 170,631,410 151,521,941

(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.

Distributable Earnings per share, basic $ 0.87 $ 2.87 $ 2.62

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

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

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

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

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

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

dollar terms.

(3) Represents realized (losses) on the repatriation of unhedged foreign currency.

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

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

(4) 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.

Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share.

Book Value Per Share

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Book value per share (1)

$ 26.26 $ 27.22

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

Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share.

Loan Portfolio

During the year ended December 31, 2022, we originated or acquired $7.1 billion of loans.

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

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

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

Loan fundings during the year totaled $7.2 billion and loan repayments and sales during the year totaled $3.7 billion.

We generated interest income of $1.3 billion and incurred interest expense of $710.9 million during the year, which resulted in $628.1 million of net interest income during the year ended December 31, 2022.

Portfolio Overview

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(2) Loan fundings during the three months and year ended December 31, 2022, include $90.5 million and $344.9 million, respectively, of additional fundings under related non-consolidated senior interests.

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

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

Total Investment Exposure

(3) Loan repayments and sales during the year ended December 31, 2022 include $441.6 million of additional repayments or reduction of loan exposure under related non-consolidated senior interests.

Loan repayments and sales during the year ended December 31, 2022 include $300.1 million of additional repayments by the loan held by our non-consolidated securitized debt obligation.

There were no such related loan repayments during the three months ended December 31, 2022.

The following table details overall statistics for our loan portfolio as of December 31, 2022 ($ in thousands):

Balance Sheet

Portfolio (1)

Exposure (1)(2)

Investments (3)

Total Investment

Portfolio Loan

Number of investments 203 203

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Weighted-average maximum maturity (years) (4)

3.4 3.4 3.4 3.4

Origination loan to value (LTV) (5)

64.1 % 63.9 %

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

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

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

Total loan exposure encompasses the entire loan we originated and financed, including $1.6 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

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

We do not consolidate the 2018 Single Asset Securitization on our consolidated financial statements, and instead reflect our $79.2 million subordinate position as a component of other assets on our consolidated balance sheet.

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

(2) Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures.

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

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

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

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

(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 December 31, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR and SOFR.

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

Excludes a loan accounted for under the cost-recovery method.

Excludes loans accounted for under the cost-recovery method.

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

As of December 31, 2021, 56% of our loans and other investments by total investment exposure were subject to yield maintenance or other prepayment restrictions and 44% were open to repayment by the borrower without penalty.

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

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

Loans Receivable Principal Balance

As of December 31, 2022, 53% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 47% 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 loan portfolio based on total loan exposure as of December 31, 2022 ($ in thousands):

Total Loan Exposure (1)

Index Rate Floors USD Non-USD (2)

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0.00% or no floor 4,562,239 6,973,651 11,535,890

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

0.01% to 1.00% floor 9,837,376 858,247 10,695,623

1.01% to 1.50% floor 2,637,027 153,453 2,790,480

1.51% to 2.00% floor 1,000,252 343,841 1,344,093

2.01% or more floor 356,603 49,432 406,035

$ 18,431,657 $ 8,378,624 $ 26,810,281

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

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

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

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

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

Total loan exposure encompasses the entire loan we originated and financed, including $1.6 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

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

(3) As of December 31, 2022, the weighted-average index rate floor of our loan portfolio was 0.38%.

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

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.65%.

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 1.35%.

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

Currency Total Investment

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 based on total loan exposure as of December 31, 2022 (total investment portfolio amounts in thousands):

Currency Total Loan Exposure (1)

Floating Rate Index (2)

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12 € € 2,717,778 EURIBOR + 3.20% + 3.63%

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

+ 3.84% + 4.23%

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

23 £ £ 2,782,967 SONIA + 3.82% + 4.36%

8 Various $ 2,106,582 Other (5)

+ 4.21% + 4.52%

203 $ 26,810,281 Applicable Index + 3.37% + 3.76%

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

Total loan exposure encompasses the entire loan we originated and financed, including $1.6 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

(2) We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S.

We earn forward points on our forward contracts that reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR.

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

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

We earn forward points on our forward contracts that reflect the interest rate differentials between the applicable base rate for our foreign currency investments and prevailing U.S.

interest rates.

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

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

Excludes a loan accounted for under the cost-recovery method.

Excludes loans accounted for under the cost-recovery method.

(4) As of December 31, 2022, $10.4 billion and $8.0 billion of loans were indexed to USD LIBOR and SOFR, respectively.

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

As of December 31, 2022, one-month USD LIBOR was 4.39% and SOFR was 4.36%.

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

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

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

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

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

(5) 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 December 31, 2022:

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

Portfolio Management

During the year ended December 31, 2021, we collected 100.0% of the contractual interest payments that were due under our loans, with virtually no interest deferrals, including with respect to loans collateralized by hospitality assets, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.

We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility, such as the COVID-19 pandemic.

During the year ended December 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.

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

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

Our loan portfolio’s low weighted-average origination LTV of 63.9% as of December 31, 2022 reflects significant equity value that we expect our sponsors will be 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 and 3.0 as of December 31, 2021 and December 31, 2020, respectively.

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

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 December 31, 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):

December 31, 2022

Rating Number

Risk Rating Number

of Loans Net Book Value Total Loan

Exposure (1)(2)

1 17 $ 1,403,185 $ 1,428,232

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Total loan exposure encompasses the entire loan we originated and financed, including $1.6 billion of such non-consolidated senior interests as of December 31, 2022.

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

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

Current Expected Credit Loss Reserve

The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets.

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

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

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

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

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

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

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

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 principle 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 year ended December 31, 2022, we recorded an increase of $201.5 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to $326.1 million as of December 31, 2022.

This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions, including inflationary pressures and market volatility.

During the year ended December 31, 2022, we recorded an increase of $134.9 million in the CECL reserve specifically related to four of our loans receivable with an aggregate net book value of $644.3 million as of December 31, 2022.

As of December 31, 2022, the income accrual was suspended on these four loans as recovery of income and principal was doubtful.

During the three months ended December 31, 2022, we recorded $11.3 million of interest income on these loans.

As of December 31, 2022, we had an aggregate $189.8 million CECL reserve specifically related to five of our loans receivable, with an aggregate net book value of $929.1 million.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan’s underlying collateral as of December 31, 2022.

As of December 31, 2021, we had a $54.9 million CECL reserve specifically related to one of our loans receivable, with a net book value of $284.8 million.

No income was recorded on this loan during the years ended December 31, 2022 and 2021.

As of December 31, 2022, all borrowers were current with all contractual terms of each respective loan, including payments of interest.

Refer to Note 2 for further discussion of our revenue recognition policy and CECL reserve.

During the fourth quarter of 2022, we entered into a loan modification related to an office asset in New York City, which is classified as a troubled debt restructuring under GAAP.

This modification included, among other changes, a reduction in the loan's contractual interest payments, an incremental exit fee, and an extension of the loan's maturity date.

This loan has an outstanding principal balance of $193.6 million, with commitments to fund an additional $8.2 million, at our discretion, as of December 31, 2022.

As of December 31, 2022, this loan was deemed impaired and we recorded an asset-specific CECL reserve against this loan.

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

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

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

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

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

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

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

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

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

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

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

As 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.

As of December 31, 2022, this loan has an outstanding principal

balance of $38.2 million, net of cost-recovery proceeds.

As of December 31, 2022, this loan was deemed impaired and we recorded an asset-specific CECL reserve against this loan.

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 December 31, 2022, this loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds.

As of June 30, 2020 this loan was deemed impaired and we recorded an asset-specific CECL reserve against this loan.

This asset-specific CECL reserve has not changed as of December 31, 2022.

Multifamily Joint Venture

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Total portfolio financing $ 19,048,250 $ 17,368,681

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

(1) Includes our consolidated securitized debt obligations of $2.7 billion as of December 31, 2022.

Includes our consolidated securitized debt obligations of $2.9 billion and non-consolidated securitized debt of $300.1 million as of December 31, 2021.

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

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

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

During the year ended December 31, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

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

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

(2) Includes our asset-specific debt of $950.3 million, our loan participations sold of $224.7 million, and our non-consolidated senior interests of $1.6 billion, as of December 31, 2022.

Includes our asset-specific debt of $400.7 million and our non-consolidated senior interests of $1.5 billion, as of December 31, 2021.

The loan participations sold and non-consolidated senior interests are non-debt financings that provide structural leverage for our whole loan investments.

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

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Secured Credit Facilities

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

The following table details our secured credit facilities by spread over the applicable base rates as of December 31, 2022 ($ in thousands):

Year Ended December 31, 2022 December 31, 2022

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Total $ 3,350,146 $ 13,549,748 +1.85 % $ 19,694,790 +3.70 % +1.85 %

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

(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 December 31, 2022 for new financings during the year ended December 31, 2022, based on the date collateral was initially pledged to each credit facility.

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

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

Excludes loans accounted for under the cost recovery method.

(4) Represents the weighted-average all-in cost as of December 31, 2022 and is not necessarily indicative of the spread applicable to recent or future borrowings.

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

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

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

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

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

As of December 31, 2022, we had no assets pledged to our acquisition facility and no outstanding borrowings.

Securitizations

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Non-consolidated securitized debt obligation (1)

300,102 656,342

Total securitizations $ 2,673,541 $ 3,155,727

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

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

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

During the year ended December 31, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

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

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

The following table details our securitized debt obligations and the underlying collateral assets that are financed ($ in thousands):

December 31, 2022

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2021 FL4 Collateralized Loan Obligation

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

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

Senior CLO Securities Outstanding 1 $ 803,750 $ 799,626 + 1.57 % May 2038

Underlying Collateral Assets 30 1,000,000 1,000,000 + 3.47 % May 2025

2020 FL3 Collateralized Loan Obligation

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

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

Senior CLO Securities Outstanding 1 808,750 806,757 + 2.14 % November 2037

Underlying Collateral Assets 16 1,000,000 1,000,000 + 3.25 % November 2024

2020 FL2 Collateralized Loan Obligation

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

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

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

Financing provided (4)

Senior CLO Securities Outstanding 1 1,061,041 1,057,627 + 1.55 % February 2038

Underlying Collateral Assets 17 1,317,916 1,317,916 + 3.42 % November 2024

Senior CLO Securities Outstanding (4)

3 $ 2,673,541 $ 2,664,010 + 1.73 %

Underlying Collateral Assets 63 $ 3,317,916 $ 3,317,916 + 3.38 %

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

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

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

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

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

As of December 31, 2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR.

As of December 31, 2022, one-month SOFR was 4.36% and one-month USD LIBOR was 4.39%.

Excludes loans accounted for under the cost recovery method.

(3) Underlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower.

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

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

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

(4) During the year ended December 31, 2022, we recorded $87.6 million of interest expense related to our securitized debt obligations.

Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations.

Non-Consolidated Securitized Debt Obligation

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

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

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

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

December 31, 2021

Non-Consolidated Securitized Debt Obligation Count Principal

Balance Book Value Wtd.

Yield/Cost (1)

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

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

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

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

Repayments of non-consolidated securitized debt obligations are tied to timing of the related collateral loan asset repayments.

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

Asset-Specific Financings

4 unchanged sentences

Asset-specific debt $ 950,278 $ 400,699

Loan participations sold (1)

Non-consolidated senior interests (1)

1 unchanged sentence

Total asset-specific financings $ 2,824,961 $ 1,913,374

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

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

Asset-Specific Debt

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Yield/Cost (1)

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

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

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

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

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

Financing provided 4 $ 950,278 $ 942,503 + 3.29 % January 2026

Collateral assets 4 $ 1,094,450 $ 1,081,035 + 4.73 % January 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 and 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):

December 31, 2022

Loan Participations Sold Count Principal

Book Value Wtd.

Yield/Cost (1)

Senior participation (3)

1 $ 224,744 $ 224,232 + 3.22 % March 2027

Total loan 1 $ 280,930 $ 278,843 + 4.86 % March 2027

(1) 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 and financing costs.

(2) The term is determined based on the maximum maturity of the loan, assuming all extension options are exercised by the borrower.

Our loan participation sold is inherently non-recourse and term-matched to the corresponding collateral loan.

(3) During the year ended December 31, 2022, we recorded $7.9 million of interest expense related to our loan participations sold.

Non-Consolidated Senior Interests

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

Our non-consolidated senior interests are inherently term-matched and non-recourse.

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

2 unchanged sentences

Yield/Cost (1)

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

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

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

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

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

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

Senior participation 8 $ 1,649,939 n/a + 2.65 % March 2026

Total loan 8 $ 2,042,929 n/a + 3.71 % March 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 and financing costs.

Corporate Financing

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B-3 Term Loan $ 415,168 + 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 $ 821,685 + 3.50 % + 4.11 % May 9, 2029

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

The B-1 Term Loan and B-3 Term Loan are indexed to one-month USD LIBOR and the B-4 Term Loan is indexed to one-month SOFR.

(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 $ 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.

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All-in Cost (1)

Conversion Rate (2)

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

Conversion Price (2)

March 2018 $ 220,000 4.75 % 5.33 % $36.23 March 15, 2023

March 2022 $ 300,000 5.50 % 5.94 % $36.27 March 15, 2027

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

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

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

(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 March 2018 and March 2022 convertible notes supplemental indentures have not been exceeded as of December 31, 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 December 31, 2021, 98% of our investments by total investment 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 December 31, 2021, the remaining 2% of our investments by total investment exposure earned a fixed rate of interest, but are financed with liabilities that pay interest at floating rates, which resulted in a negative correlation to rising interest rates to the extent of our financing.

In certain instances where we have financed fixed rate assets with floating rate liabilities, we have purchased interest rate caps to limit our exposure to increases in interest rates on such liabilities.

As of December 31, 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.

8 unchanged sentences

$ 3,496,432 $ 817,195 $ 749,233 $ 503,795

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

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

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

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

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

and three-month GBP LIBOR was 0.26%.

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

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

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

(3) As of December 31, 2022, $10.4 billion and $8.0 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively.

As of December 31, 2022, $8.3 billion and $6.6 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively.

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

As of December 31, 2022, one-month SOFR was 4.36% and one-month USD LIBOR was 4.39%.

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

(5) Represents the U.S.

Dollar equivalent as of December 31, 2022.

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

Our Results of Operations

1 unchanged sentence

The following table sets forth information regarding our consolidated results of operations for the years ended December 31, 2022, 2021 and 2020 ($ in thousands, except per share data):

December 31, 2021 vs 2020 Year Ended

December 31, 2020 vs 2019

Year Ended December 31, 2022 vs 2021 Year Ended December 31, 2021 vs 2020

2022 2021 $ 2021 2020 $

7 unchanged sentences

Total other expenses 162,485 131,635 30,850 131,635 123,787 7,848

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

(Increase) decrease in current expected credit loss reserve (211,505) 39,864 (251,369) 39,864 (167,653) 207,517

Income before income taxes 254,060 422,696 (168,636) 422,696 140,737 281,959

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

Income tax provision 3,003 423 2,580 423 323 100

Net income 251,057 422,273 (171,216) 422,273 140,414 281,859

2 unchanged sentences

$ 248,642 $ 419,193 $ (170,551) $ 419,193 $ 137,670 $ 281,523

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

Net income per share of common stock basic and diluted $ 1.46 $ 2.77 $ (1.31) $ 2.77 $ 0.97 $ 1.80

Weighted-average shares of common stock outstanding, basic and diluted 170,631,410 151,521,941 19,109,469 151,521,941 141,795,977 9,725,964

Dividends declared per share $ 2.48 $ 2.48 $ — $ 2.48 $ 2.48 $ —

1 unchanged sentence

Income from loans and other investments, net increased $113.6 million during the year ended December 31, 2022 compared to the year ended December 31, 2021.

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

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

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 $5.7 billion for the year ended December 31, 2022, as compared to the year ended December 31, 2021.

This was primarily offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $5.0 billion for the year ended December 31, 2022, as compared to the year ended December 31, 2021.

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

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

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

indices, which had a larger impact on interest expense than interest income as a result of certain of our loans earning interest based on floors that were above the applicable floating rate index during the period.

Other expenses

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

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

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

Other expenses increased by $30.9 million during the year ended December 31, 2022 compared to the year ended December 31, 2021 due to an increase of (i) $13.0 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii) $8.8 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2022 and 2021, (iii) $7.3 million of general operating expenses, and (iv) $1.7 million of non-cash restricted stock amortization related to shares issued under our long-term incentive plans.

Other expenses increased by $7.8 million during the year ended December 31, 2021 compared to the year ended December 31, 2020 due to an increase of (i) $6.8 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, and (ii) $3.8 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021 and 2020.

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

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

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

Changes in current expected credit loss reserve

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

During the year ended December 31, 2022, we recorded a $211.5 million increase in the CECL reserve, as compared to a $39.9 million decrease during the year ended December 31, 2021.

This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions, including inflationary pressures and market volatility.

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

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

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

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

Net income attributable to non-controlling interests

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

Dividends per share

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

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

Three Months Ended Change

December 31, 2022 September 30, 2022 $

Income from loans and other investments

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Total other expenses 48,322 38,843 9,479

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

Increase in current expected credit loss reserve (188,811) (12,248) (176,563)

Income before income taxes (46,051) 105,091 (151,142)

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$ (47,540) $ 103,246 $ (150,786)

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

Net income per share of common stock

Basic $ (0.28) $ 0.60 $ (0.88)

Diluted $ (0.28) $ 0.59 $ (0.87)

Weighted-average shares of common stock outstanding

Basic 171,604,533 170,971,874 632,659

Diluted 171,604,533 185,316,078 (13,711,545)

Dividends declared per share $ 0.62 $ 0.62 $ —

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Income from loans and other investments, net increased $34.9 million during the three months ended December 31, 2022 compared to the three months ended September 30, 2022.

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

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

The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, EURIBOR, and other floating rate indices for the three months ended December 31, 2022 and (ii) an increase in prepayment fee income.

Other expenses

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

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

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

Other expenses increased by $9.5 million during the three months ended December 31, 2022 compared to the three months ended September 30, 2022 primarily due to an increase of (i) $7.8 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, and (ii) $1.7 million of general operating expenses.

Changes in current expected credit loss reserve

During the three months ended December 31, 2022, we recorded a $188.8 million increase in the CECL reserve, as compared to a $12.2 million increase during the three months ended September 30, 2022.

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

Net income attributable to non-controlling interests

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

This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions, including inflationary pressures and market volatility.

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

Dividends per share

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Capitalization

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

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

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

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

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

As of December 31, 2022, our capitalization structure included $4.5 billion of common equity, $3.1 billion of corporate debt, and $19.0 billion of asset-level financings.

Our $3.1 billion of corporate debt includes $2.2 billion of term loan borrowings, $400.0 million of senior secured notes, and $520.0 million of convertible notes.

Our $19.0 billion of asset-level financings includes $13.5 billion of secured debt, $2.7 billion of securitizations, and $2.8 billion of asset-specific financings, all of which are structured to produce term, currency, and index matched funding with no margin call provisions based upon capital markets events.

As of December 31, 2022, we have $1.8 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business.

See Notes 5, 6, 7, 8, 9, and 10 to our co nsolidated financial statements for additional details regarding our secured debt, securitized debt obligations, asset-specific debt, Term Loans, Senior Secured Notes, and Convertible Notes, respectively.

See Notes 5, 6, 7, 8, 9, 10, and 11 to our co nsolidated financial statements for additional details regarding our secured debt, securitized debt obligations, asset-specific debt, loan participations sold, Term Loans, Senior Secured Notes, and Convertible Notes, respectively.

Debt-to-Equity Ratio and Total Leverage Ratio

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December 31, 2022 December 31, 2021

Debt-to-equity ratios

Debt-to-equity ratio (1)

Adjusted debt-to-equity ratio (2)

Total leverage ratios

Total leverage ratio (3)

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

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

Adjusted total leverage ratio (4)

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

(2) Represents, in each case at period end, (i) total outstanding secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, excluding our aggregate CECL reserve of $342.5 million and $131.0 million, as of December 31, 2022, and December 31, 2021, respectively.

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

(4) Represents, in each case at period end, (i) total outstanding secured debt, securitizations, asset-specific financings, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, excluding our aggregate CECL reserve of $342.5 million and $131.0 million, as of December 31, 2022, and December 31, 2021, respectively.

Sources of Liquidity

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$ 1,835,403 $ 1,323,582

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

(1) Represents loan principal payments held by our third-party servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle, net of the related secured debt balance.

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

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

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

To facilitate such offerings, in July 2019, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires at the end of July 2022.

During the year ended December 31, 2022, we generated cash flow from operating activities of $396.8 million and received (i) $3.3 billion from loan principal collections and sales proceeds, (ii) $1.7 billion of net proceeds from secured debt borrowings, (iii) $807.8 million of net proceeds from secured term loan borrowings, (iv) $562.0 million of net proceeds from asset-specific debt, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $330.3 million of net cash settlements on our foreign currency forward contracts, (vii) $245.3 million from the sale of a senior loan participation, and (viii) $70.7 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 certain 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 further liquidity through public offerings of debt and equity securities.

To facilitate such offerings, in July 2022, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires in July 2025.

The amount of securities to be issued pursuant to this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of securities we may issue.

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(ii) preferred stock;

(iii) debt securities;

(iv) depositary shares representing preferred stock;

(iii) depositary shares representing preferred stock;

(iv) debt securities;

(v) warrants;

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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 9,989,790 shares of class A common stock were available for issuance as of December 31, 2021, and our at-the-market stock offering program, pursuant to which we may sell, from time to time, up to $353.8 million of additional shares of our class A common stock as of December 31, 2021.

We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,981,548 shares of class A common stock were available for issuance as of December 31, 2022, and our at the market stock offering program, pursuant to which we may sell, from time to time, up to $480.9 million of additional shares of our class A common stock as of December 31, 2022.

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

Liquidity Needs

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

In addition to our loan origination and funding activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $13.5 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes.

From time to time we may also repurchase our outstanding debt or shares of our class A common stock.

Such repurchases, if any, will depend on prevailing market conditions, our liquidity requirements, contractual restrictions, and other factors.

The amounts involved in any such purchase transactions, individually or in the aggregate, may be material.

As of December 31, 2022, we had unfunded commitments of $3.8 billion related to 121 loans receivable and $2.4 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.4 billion.

The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability will vary depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans.

The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability varies depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans.

Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets.

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Payment Timing

Years More Than

Unfunded loan commitments (2)

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$ 24,885,464 $ 2,129,168 $ 8,483,228 $ 11,801,072 $ 2,471,996

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

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

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

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

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

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

Therefore, the allocation of both principal and interest payments under such agreements is generally allocated based on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

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

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

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Refer to Note 11 to our consolidated financial statements for further details on our convertible notes.

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

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

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

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

(7) Total does not include $2.9 billion of consolidated securitized debt obligations, $1.5 billion of non-consolidated senior interests, and $300.1 million of non-consolidated securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

(7) Total does not include $2.7 billion of consolidated securitized debt obligations, $1.6 billion of non-consolidated senior interests, and $224.7 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.

We are also required to settle our foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty.

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Cash flows provided by (used in) financing activities 2,607,224 5,508,224 (110,769)

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

Net (decrease) increase in cash and cash equivalents $ (249,486) $ 263,246 $ 137,587

We experienced a net decrease in cash and cash equivalents of $249.5 million for the year ended December 31, 2022, compared to a net increase of $263.2 million for the year ended December 31, 2021.

During the year ended December 31, 2022, we (i) funded $6.8 billion of loans, (ii) repaid $402.5 million of convertible notes, and (iii) paid $421.4 million of dividends on our class A common stock.

During the year ended December 31, 2022, we received (i) $3.3 billion from loan principal collections and sales proceeds, (ii) $1.7 billion of net proceeds from secured debt borrowings, (iii) $807.8 million of net proceeds from secured term loan borrowings, (iv) $562.0 million of net proceeds from asset-specific debt, (v) $330.3 million of net cash settlements on our foreign currency forward contracts, (vi) $294.0 million of net proceeds from the issuance of convertible notes, (vii) $245.3 million from the sale of a senior loan participation, and (viii) $70.7 million of net proceeds from the issuance of shares of class A common stock.

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

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

During the year ended December 31, 2021, we received (i) $6.7 billion from loan principal collections and sales proceeds, (ii) $4.7 billion of net proceeds from secured debt borrowings, (iii) $638.0 million of net proceeds from the issuance of shares of class A common stock, (iv) $395.0 million of net proceeds from the issuance of senior secured notes, and (v) $298.5 million of net proceeds from secured term loan borrowings.

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

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

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

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

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

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

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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We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S.

federal income tax not to apply to our earnings that we distribute.

federal income tax not to apply to our earnings.

To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S.

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As of December 31, 2022 and 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.

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

Refer to Note 15 to our consolidated financial statements for additional discussion of our income taxes.

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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:

Our CECL reserve is adjusted to reflect our estimation of the current and future economic conditions that impact the performance of the commercial real estate assets securing our loans.

These estimations include unemployment rates, interest rates, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term.

These estimations include unemployment rates, interest rates, inflation, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term.

In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance.

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

We may also incorporate information from other sources, including information and opinions available to our Manager, to further inform these estimations.

This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of December 31, 2022.

• Impairment:

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Determining that a loan is impaired requires significant judgment from management and is based on several factors including (i) the underlying collateral performance, (ii) discussions with the borrower, (iii) borrower events of default, and (iv) other facts that impact the borrower’s ability to pay the contractual amounts due under the terms of the loan.

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

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

dependent loans.

The CECL reserve is assessed on an individual basis for these loans by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan.

These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed relevant by our Manager.

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

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

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

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

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

During the year ended December 31, 2022, we recorded an aggregate $211.5 million increase in the CECL reserve related to our loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $342.5 million as of December 31, 2022.

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

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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.

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SQFT / Unit / Key Origination

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

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

1 Senior Loan 8/14/2019 $ 1,171 $ 1,033 $ 1,029 +3.06 % +3.78 % 12/23/2024 Dublin - IE Mixed-Use $386 / sqft 74 % 2

2 Senior Loan 4/9/2018 1,487 905 899 +4.49 % +5.72 % 6/9/2025 New York Office $525 / sqft 48 % 2

3 Senior Loan 6/24/2022 901 901 893 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $410 / sqft 59 % 3

4 Senior Loan (4)

12/9/2021 770 710 408 +2.65 % +2.82 % 12/9/2026 New York Mixed-Use $219 / sqft 50 % 2

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

5 Senior Loan (4)

8/7/2019 746 668 135 +3.12 % +3.61 % 9/9/2025 Los Angeles Office $451 / sqft 59 % 3

6 Senior Loan 3/22/2018 655 655 654 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4

7 Senior Loan 3/30/2021 477 477 473 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $88 / sqft 76 % 2

8 Senior Loan (4)

12/17/2021 448 440 88 +3.95 % +4.35 % 1/9/2026 Diversified - US Other $13,716 / unit 61 % 2

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

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

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

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

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

12 Senior Loan (4)

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

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

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

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

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

9 Senior Loan 7/23/2021 500 401 396 +4.00 % +4.42 % 8/9/2027 New York Multi $538,046 / unit 58 % 3

10 Senior Loan 8/22/2018 363 363 363 +3.42 % +3.42 % 8/9/2023 Maui Hospitality $471,391 / key 61 % 1

11 Senior Loan (4)

11/22/2019 470 353 70 +3.70 % +4.15 % 12/9/2025 Los Angeles Office $622 / sqft 69 % 3

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

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

12 Senior Loan 9/23/2019 375 346 344 +3.00 % +3.23 % 8/15/2024 Diversified - Spain Hospitality $122,667 / key 62 % 4

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

14 Senior Loan 10/25/2021 307 307 304 +4.30 % +4.62 % 10/25/2024 Diversified - AU Hospitality $151,102 / key 56 % 3

15 Senior Loan 2/27/2020 303 302 302 +2.70 % +3.04 % 3/9/2025 New York Multi $795,074 / unit 59 % 2

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

16 Senior Loan 5/6/2022 297 297 295 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $92 / sqft 53 % 2

17 Senior Loan 1/11/2019 290 290 289 +4.40 % +4.75 % 1/11/2026 Diversified - UK Other $286 / sqft 74 % 4

18 Senior Loan 9/29/2021 312 288 286 +2.70 % +2.91 % 10/9/2026 Washington, DC Office $375 / sqft 66 % 2

19 Senior Loan 11/30/2018 286 286 285 +2.35 % +2.35 % 8/9/2025 New York Hospitality $306,870 / key 73 % 5

20 Senior Loan 12/11/2018 310 284 285 +2.55 % +3.24 % 12/9/2023 Chicago Office $239 / sqft 78 % 4

21 Senior Loan 3/25/2022 281 281 279 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $123,867 / key 65 % 3

22 Senior Loan 10/23/2018 290 281 280 +2.86 % +3.01 % 11/9/2024 Atlanta Mixed-Use $261 / sqft 64 % 2

23 Senior Loan 9/30/2021 280 273 271 +2.50 % +2.77 % 9/30/2026 Dallas Multi $143,960 / unit 74 % 3

24 Senior Loan 4/26/2021 264 264 262 +2.56 % +2.75 % 5/9/2026 Diversified - US Multi $156,393 / unit 75 % 3

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

25 Senior Loan 11/30/2018 262 260 259 +2.80 % +3.04 % 12/9/2024 San Francisco Hospitality $379,015 / key 73 % 4

26 Senior Loan 7/15/2021 301 256 253 +4.25 % +4.68 % 7/16/2026 Diversified - EUR Hospitality $195,728 / key 53 % 3

27 Senior Loan 9/14/2021 259 255 254 +2.50 % +2.76 % 9/14/2026 Dallas Multi $206,310 / unit 72 % 3

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

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

27 Senior Loan (4)

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

28 Senior Loan 9/16/2021 247 235 234 +3.80 % +4.51 % 4/9/2024 San Francisco Office $285 / sqft 53 % 3

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

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

29 Senior Loan 6/8/2022 272 234 232 +3.65 % +4.01 % 6/9/2027 New York Office $1,312 / sqft 75 % 3

30 Senior Loan 2/23/2022 245 230 228 +2.60 % +2.84 % 3/9/2027 Reno Multi $213,047 / unit 74 % 3

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

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

32 Senior Loan 7/16/2021 221 205 203 +3.25 % +3.81 % 2/15/2027 London - UK Multi $228,087 / unit 69 % 3

33 Senior Loan 10/1/2019 248 204 203 +3.75 % +4.28 % 10/9/2025 Atlanta Office $380 / sqft 68 % 1

34 Senior Loan 8/31/2017 203 203 203 +2.50 % +2.50 % 9/9/2023 Orange County Office $238 / sqft 64 % 5

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

35 Senior Loan 6/28/2019 198 198 197 +3.82 % +4.49 % 6/26/2024 London - UK Office $647 / sqft 71 % 3

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

36 Senior Loan 6/27/2019 205 197 197 +2.80 % +2.80 % 8/15/2026 Berlin - DEU Office $423 / sqft 62 % 3

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

38 Senior Loan 12/22/2016 202 194 195 +2.00 % +2.00 % 12/9/2023 New York Office $286 / sqft 64 % 5

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

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

39 Senior Loan 9/30/2021 237 188 186 +4.00 % +4.49 % 9/30/2026 Diversified - Spain Hospitality $132,783 / key 60 % 3

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

41 Senior Loan 9/30/2021 256 179 177 +3.00 % +3.35 % 10/9/2028 Chicago Office $197 / sqft 74 % 3

42 Senior Loan 9/25/2019 178 178 177 +4.47 % +4.99 % 9/26/2024 London - UK Office $811 / sqft 72 % 3

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

43 Senior Loan 2/15/2022 191 177 176 +2.90 % +3.14 % 3/9/2027 Denver Office $353 / sqft 61 % 3

44 Senior Loan 11/23/2018 177 177 176 +2.68 % +2.92 % 2/15/2024 Diversified - UK Office $1,092 / sqft 50 % 3

45 Senior Loan 12/21/2021 182 175 174 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $359 / sqft 67 % 3

46 Senior Loan 7/23/2021 244 168 167 +5.00 % +5.41 % 8/9/2027 New York Office $545 / sqft 53 % 3

47 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,601 / unit 48 % 1

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

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

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

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

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

48 Senior Loan 3/9/2022 163 163 162 +2.95 % +3.17 % 8/15/2027 Various Retail $140 / sqft 55 % 2

49 Senior Loan 1/27/2022 178 163 162 +3.10 % +3.44 % 2/9/2027 Dallas Multi $106,318 / unit 71 % 3

50 Senior Loan 7/29/2022 266 162 158 +4.60 % +5.78 % 7/27/2027 London - UK Industrial $228 / sqft 52 % 3

51 Senior Loan 5/27/2021 205 160 159 +2.70 % +2.99 % 6/9/2026 Atlanta Office $134 / sqft 66 % 3

52 Senior Loan 10/7/2021 165 160 159 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $326 / sqft 68 % 3

53 Senior Loan 5/13/2021 199 156 155 +3.55 % +3.99 % 6/9/2026 Boston Office $793 / sqft 64 % 3

54 Senior Loan 3/7/2022 156 156 155 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 3

55 Senior Loan 8/24/2021 179 156 155 +3.10 % +3.41 % 9/9/2026 San Jose Office $371 / sqft 65 % 3

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

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

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

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

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

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

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

57 Senior Loan 9/4/2018 163 150 149 +4.25 % +4.50 % 9/9/2024 Las Vegas Hospitality $181,054 / key 70 % 3

58 Senior Loan 1/7/2022 155 146 145 +3.70 % +3.97 % 1/9/2027 Fort Lauderdale Office $377 / sqft 55 % 1

59 Senior Loan 1/17/2020 203 146 145 +2.75 % +3.16 % 2/9/2025 New York Mixed-Use $120 / sqft 43 % 3

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

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

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

60 Senior Loan 11/18/2021 137 137 136 +3.25 % +3.51 % 11/18/2026 London - UK Other $174 / sqft 65 % 2

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

61 Senior Loan 12/20/2019 $ 136 $ 136 $ 135 +3.22 % +3.44 % 12/18/2026 London - UK Office $688 / sqft 75 % 3

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

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

62 Senior Loan 2/25/2022 135 135 134 +4.05 % +4.43 % 2/25/2027 Copenhagen - DK Industrial $91 / sqft 69 % 2

63 Senior Loan 3/10/2020 140 132 132 +3.10 % +3.10 % 10/11/2024 New York Mixed-Use $806 / sqft 53 % 3

64 Senior Loan 6/30/2022 129 129 129 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $251,353 / key 60 % 3

65 Senior Loan 9/14/2021 132 128 128 +2.70 % +2.95 % 10/9/2026 San Bernardino Multi $258,709 / unit 75 % 3

66 Senior Loan 6/28/2022 675 127 121 +4.60 % +5.04 % 7/9/2029 Austin Mixed-Use $106 / sqft 53 % 3

67 Senior Loan 3/28/2022 150 126 125 +3.05 % +3.35 % 4/9/2027 Miami Office $341 / sqft 69 % 3

68 Senior Loan 4/3/2018 126 125 125 +2.86 % +3.03 % 4/9/2024 Dallas Retail $761 / sqft 64 % 3

69 Senior Loan 4/6/2021 123 121 120 +3.20 % +3.52 % 4/9/2026 Los Angeles Office $510 / sqft 65 % 3

70 Senior Loan 6/1/2021 120 120 120 +2.96 % +3.17 % 6/9/2026 Miami Multi $298,507 / unit 61 % 2

71 Senior Loan 4/29/2022 118 118 117 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,240,799 / key 66 % 2

72 Senior Loan 3/29/2021 123 118 117 +4.02 % +4.61 % 3/29/2026 Diversified - UK Multi $51,680 / unit 61 % 3

73 Senior Loan 5/20/2021 150 118 117 +3.76 % +4.19 % 6/9/2026 San Jose Office $302 / sqft 65 % 3

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

75 Senior Loan 7/15/2019 138 117 116 +3.01 % +3.43 % 8/9/2024 Houston Office $211 / sqft 58 % 3

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

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

76 Senior Loan 8/27/2021 122 115 114 +3.00 % +3.29 % 9/9/2026 San Diego Retail $434 / sqft 58 % 3

77 Senior Loan 10/21/2021 114 114 114 +3.01 % +3.26 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 1

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

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

78 Senior Loan 2/20/2019 163 111 111 +4.07 % +6.12 % 2/19/2024 London - UK Office $545 / sqft 61 % 3

79 Senior Loan 12/21/2021 120 111 110 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $380 / sqft 68 % 3

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

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

80 Senior Loan 3/17/2022 262 110 108 +3.87 % +4.63 % 6/30/2025 London - UK Office $494 / sqft 62 % 3

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

81 Senior Loan 3/13/2018 123 108 108 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $167,020 / key 50 % 3

82 Senior Loan 11/8/2022 107 107 106 +3.88 % +4.53 % 11/8/2027 London - UK Multi $166,047 / unit 60 % 3

83 Senior Loan 11/27/2019 109 107 106 +2.86 % +3.20 % 12/9/2024 Minneapolis Office $107 / sqft 64 % 3

84 Senior Loan 2/15/2022 106 104 104 +2.85 % +3.19 % 3/9/2027 Tampa Multi $239,117 / unit 73 % 3

85 Senior Loan (4)

11/10/2021 362 104 20 +4.00 % +4.68 % 12/9/2026 San Francisco Office $198 / sqft 66 % 3

86 Senior Loan 12/29/2021 110 102 101 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $174,662 / unit 64 % 3

87 Senior Loan 3/29/2022 103 101 100 +2.70 % +2.96 % 4/9/2027 Miami Multi $280,418 / unit 75 % 3

88 Senior Loan 7/1/2021 104 99 99 +3.10 % +3.35 % 7/9/2026 Diversified - US Retail $281 / sqft 61 % 2

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

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

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

89 Senior Loan 10/1/2021 101 99 99 +2.86 % +3.13 % 10/1/2026 Phoenix Multi $229,212 / unit 77 % 3

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

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

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

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

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

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

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

90 Senior Loan 6/18/2021 99 99 98 +2.60 % +2.83 % 7/9/2026 New York Industrial $51 / sqft 55 % 1

Loan Type (1)

1 unchanged sentence

SQFT / Unit / Key Origination

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

91 Senior Loan 12/15/2021 $ 146 $ 98 $ 96 +3.44 % +4.52 % 12/9/2026 Dublin - IE Multi $245,972 / unit 79 % 3

92 Senior Loan 12/10/2021 135 98 97 +3.00 % +3.35 % 1/9/2027 Miami Office $327 / sqft 49 % 3

93 Senior Loan 3/28/2019 97 97 97 +3.25 % +3.25 % 1/9/2024 New York Hospitality $249,463 / key 63 % 4

94 Senior Loan 10/28/2021 96 96 95 +3.00 % +3.35 % 11/9/2026 Philadelphia Multi $353,704 / unit 79 % 3

95 Senior Loan 3/25/2020 114 95 95 +2.40 % +2.78 % 3/31/2025 Diversified - NL Multi $116,103 / unit 65 % 2

96 Senior Loan 6/14/2021 100 93 93 +3.70 % +4.04 % 7/9/2024 Miami Office $196 / sqft 65 % 3

97 Senior Loan 10/27/2021 93 93 92 +2.61 % +2.81 % 11/9/2026 Orlando Multi $155,612 / unit 75 % 3

98 Senior Loan 3/3/2022 92 92 91 +3.45 % +3.76 % 3/9/2027 Boston Hospitality $418,182 / key 64 % 3

99 Senior Loan 12/21/2018 98 91 91 +2.60 % +2.85 % 1/9/2024 Chicago Office $176 / sqft 72 % 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 10/16/2018 99 90 90 +3.36 % +3.64 % 11/9/2024 San Francisco Hospitality $196,325 / key 72 % 4

102 Senior Loan 12/15/2021 91 89 88 +2.85 % +3.10 % 1/9/2027 Charlotte Multi $253,585 / unit 76 % 3

103 Senior Loan 12/10/2018 87 87 87 +4.57 % +5.28 % 12/3/2024 London - UK Office $416 / sqft 72 % 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

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

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

105 Senior Loan 3/31/2017 89 84 84 +4.30 % +4.54 % 4/9/2023 New York Office $403 / sqft 64 % 4

106 Senior Loan 4/1/2021 102 83 83 +3.30 % +3.74 % 4/9/2026 San Jose Office $558 / sqft 67 % 3

107 Senior Loan 7/30/2021 87 83 83 +2.50 % +2.84 % 8/9/2026 Los Angeles Multi $164,314 / unit 70 % 3

108 Senior Loan 7/29/2021 82 82 81 +2.65 % +3.02 % 6/9/2026 Charlotte Multi $222,630 / unit 78 % 3

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

109 Senior Loan 3/9/2022 92 80 80 +2.90 % +3.43 % 3/9/2025 Boston Office $211 / sqft 68 % 3

110 Senior Loan 6/14/2022 106 80 79 +2.95 % +3.30 % 7/9/2027 San Francisco Mixed-Use $166 / sqft 76 % 3

111 Senior Loan 12/15/2021 89 80 79 +5.25 % +6.19 % 12/15/2026 Melbourne - AU Multi $58,341 / unit 38 % 3

112 Senior Loan 6/27/2019 88 79 79 +2.75 % +3.04 % 7/9/2024 West Palm Beach Office $274 / sqft 70 % 2

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

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

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

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

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

113 Senior Loan 1/30/2020 104 79 79 +2.96 % +3.41 % 2/9/2026 Honolulu Hospitality $254,250 / key 63 % 3

114 Senior Loan 8/27/2021 79 77 77 +3.85 % +4.43 % 9/9/2026 Diversified - US Hospitality $114,079 / key 67 % 3

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

116 Senior Loan 12/23/2021 312 73 69 +4.25 % +5.37 % 6/24/2028 London - UK Multi $81,145 / unit 59 % 3

117 Senior Loan (4)

12/30/2021 228 73 14 +4.35 % +5.29 % 1/9/2028 Los Angeles Multi $209,770 / unit 50 % 3

118 Senior Loan 12/21/2021 74 72 71 +2.70 % +3.06 % 1/9/2027 Tampa Multi $210,663 / unit 77 % 2

119 Senior Loan 10/28/2021 69 69 69 +2.66 % +2.86 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3

120 Senior Loan 1/26/2022 338 69 66 +4.10 % +4.56 % 2/9/2027 Seattle Office $145 / sqft 56 % 3

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

121 Senior Loan 8/17/2022 $ 76 $ 68 $ 67 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $107 / sqft 72 % 3

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

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

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

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

124 Senior Loan 3/31/2022 70 64 63 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $139,394 / unit 71 % 3

125 Senior Loan 8/14/2019 70 62 62 +2.56 % +2.78 % 9/9/2024 Los Angeles Office $606 / sqft 57 % 3

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

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

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

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

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

127 Senior Loan 7/30/2021 62 62 62 +2.86 % +3.06 % 8/9/2026 Salt Lake City Multi $224,185 / unit 73 % 3

128 Senior Loan 12/23/2021 61 61 61 +2.18 % +2.99 % 9/1/2023 New York Office $240 / sqft 71 % 3

129 Senior Loan 6/30/2021 65 59 59 +2.90 % +3.19 % 7/9/2026 Nashville Office $244 / sqft 71 % 3

130 Senior Loan 4/15/2021 66 59 59 +3.00 % +3.30 % 5/9/2026 Austin Office $286 / sqft 73 % 3

131 Senior Loan 12/17/2021 66 58 58 +4.35 % +4.83 % 1/9/2026 Diversified - US Other $4,404 / unit 37 % 1

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

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

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

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

135 Senior Loan 8/22/2019 57 57 56 +2.66 % +3.01 % 9/9/2024 Los Angeles Office $317 / sqft 63 % 3

Loan Type (1)

Location Property Type Loan Per

SQFT / Unit / Key Origination

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

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

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

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

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

136 Senior Loan 12/10/2020 61 56 56 +3.25 % +3.54 % 1/9/2026 Fort Lauderdale Office $193 / sqft 68 % 3

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

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

138 Senior Loan 6/28/2021 54 54 53 +3.60 % +4.86 % 2/15/2023 Diversified - Spain Hospitality $122,727 / key 56 % 3

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

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

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

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

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

140 Senior Loan 7/30/2021 59 53 52 +2.86 % +3.07 % 8/9/2026 Tampa Multi $129,859 / unit 71 % 2

141 Senior Loan 1/21/2022 68 52 52 +3.70 % +4.11 % 2/9/2027 Denver Office $308 / sqft 65 % 3

142 Senior Loan 8/16/2022 64 52 51 +4.75 % +5.35 % 8/16/2027 London - UK Hospitality $382,807 / key 64 % 3

143 Senior Loan 11/11/2021 54 51 51 +4.07 % +4.86 % 8/12/2026 London - UK Hospitality $183,403 / key 40 % 3

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

145 Senior Loan 8/5/2021 57 51 51 +2.90 % +3.04 % 8/9/2026 Denver Office $193 / sqft 70 % 3

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

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

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

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

147 Senior Loan 2/20/2019 49 49 49 +3.50 % +3.72 % 3/9/2024 Calgary - CAN Office $136 / sqft 52 % 2

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

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

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

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

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

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

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

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

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

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

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

149 Senior Loan 11/30/2016 57 49 48 +3.18 % +3.40 % 12/9/2023 Chicago Retail $946 / sqft 54 % 4

150 Senior Loan 7/20/2021 48 48 47 +2.75 % +3.09 % 8/9/2026 Los Angeles Multi $366,412 / unit 60 % 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 December 31, 2021, seven loans in our portfolio have been financed with an aggregate $1.5 billion of non-consolidated senior interest, which are included in the table above.

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

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

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

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

As of December 31, 2022, eight loans in our portfolio have been financed with an aggregate $1.6 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 December 31, 2022, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR and SOFR.

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

Excludes a loan accounted for under the cost-recovery method.

Excludes loans accounted for under the cost-recovery method.

(6) Maximum maturity assumes all extension options are exercised, however our loans may be repaid prior to such date.

(7) Loan is accounted for under the cost-recovery method.

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

What changed 10-K

Item 7. Management’s Discussion and Analysis