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Item 7. Management’s Discussion and Analysis

2021-02-10 compared with 2020-02-11 · 491 added, 260 removed, 409 unchanged (65% of the section changed)

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

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

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

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

We conduct our operations as a REIT for U.S.

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We are organized as a holding company and conduct our business primarily through our various subsidiaries.

Recent Developments

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

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

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

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

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

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

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

Businesses also implemented similar precautionary measures.

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

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

Moreover, with the continued spread of COVID-19,

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

For this reason, among others, as COVID-19

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

The outbreak of COVID-19

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

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

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

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

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

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

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

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

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

2020 Highlights

Operating results:

Net income of $305.6 million, or $2.35 per share, and Core Earnings of $350.7 million, or $2.70 per share.

Increased our book value per share to $27.82, an increase of $0.62 during the year.

Loan originations and acquisitions:

Loan originations and acquisitions totaled $8.6 billion during 2019, with an average loan size for directly originated loans of $231.9 million.

Net income of $137.7 million, or $0.97 per share, and Distributable Earnings of $352.0 million, or $2.48 per share, with dividends declared of $356.2 million, or $2.48 per share.

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

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

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

Loan portfolio:

Loan originations of $1.6 billion.

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

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

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yield of L+3.56%.

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

Capital markets and financing activity:

Issued an aggregate 10.5 million shares of our class A common stock through a combination of an underwritten public offering and our at-the-market

program, generating aggregate net proceeds of $372.3 million.

Entered into a $750.0 million senior secured term loan facility that bears interest at a rate of L+2.25% per annum.

Portfolio financing:

Financing capacity of $20.1 billion as of December 31, 2019, which includes credit facilities with 12 credit providers, as well as various asset-specific financings, securitized debt obligations, and senior loan interests, providing stable, non-capital

markets-based mark-to-market

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

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

non-mark-to-market

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

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

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

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, Core Earnings, and book value per share.

For the three months ended December 31, 2019, we recorded earnings per share of $0.59, declared a dividend of $0.62 per share, and reported $0.68 per share of Core Earnings.

In addition, our book value per share as of December 31, 2019 was $27.82, an increase of $0.62 per share relative to December 31, 2018.

For the year ended December 31, 2019, we recorded earnings per share of $2.35, declared aggregate dividends of $2.48 per share, and reported $2.70 per share of Core Earnings.

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

We use Core Earnings to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan activity and operations.

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

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

reported $0.60 per share of Distributable Earnings.

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

which is net of a $1.26 cumulative CECL reserve.

For the year ended December 31, 2020, we recorded earnings per share of $0.97, declared aggregate dividends of $2.48 per share, and reported $2.48 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

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Represents net income attributable to Blackstone Mortgage Trust.

Core Earnings

Core Earnings is a non-GAAP

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

Distributable Earnings

Distributable Earnings is a non-GAAP

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

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

Core Earnings may also be adjusted from time to time to exclude one-time

Distributable Earnings may also be adjusted from time to time to exclude one-time

events pursuant to changes in GAAP and certain other non-cash

charges as determined by our Manager, subject to approval by a majority of our independent directors.

We believe that Core Earnings provides meaningful information to consider in addition to our net income and cash flow from operating activities determined in accordance with GAAP.

This adjusted measure 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.

Although, according to the management agreement between our Manager and us, or our Management Agreement, we calculate the incentive and base management fees due to our Manager using Core Earnings before our incentive fee expense, we report Core Earnings after incentive fee expense, as we believe this is a more meaningful presentation of the economic performance of our class A common stock.

Core Earnings does not represent net income or cash generated from operating activities and should not be considered as an alternative to GAAP net income, or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs.

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

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

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

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

We expect to only recognize such potential credit losses in Distributable Earnings if and when such amounts are deemed nonrecoverable upon a realization event.

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

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

The realized loss amount reflected in Distributable Earnings will equal the difference between the cash received, or expected to be received, and the book value of the asset, and is reflective of our economic experience as it relates to the ultimate realization of the loan.

We believe that Distributable Earnings provides meaningful information to consider in addition to our net income (loss) and cash flow from operating activities determined in accordance with GAAP.

We believe Distributable Earnings is a useful financial metric for existing and potential future holders of our class A common stock as historically, over time, Distributable Earnings has been a strong indicator of our dividends per

As a REIT, we generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments, and therefore we believe our dividends are one of the principal reasons stockholders may invest in our class A common stock.

Refer to Note 13 to our consolidated financial statements for further discussion of our distribution requirements as a REIT.

Further, Distributable Earnings helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations, and is a performance metric we consider when declaring our dividends.

Distributable Earnings does not represent net income (loss) or cash generated from operating activities and should not be considered as an alternative to GAAP net income (loss), or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs.

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

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

Three Months Ended

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Net income (1)

(Decrease) increase in current expected credit loss reserve

compensation expense

GE purchase discount accretion adjustment (2)

Hedging and foreign currency income, net (3)

Core Earnings

Realized hedging and foreign currency income, net (2)

Adjustments attributable to non-controlling

interests, net

Distributable Earnings

Weighted-average shares outstanding, basic and diluted

Core Earnings per share, basic and diluted

Distributable Earnings per share, basic and diluted

Represents net income attributable to Blackstone Mortgage Trust.

Historically, we have deferred in Core Earnings the accretion of a purchase discount attributable to a certain pool of GE portfolio loans acquired in May 2015, until repayment in full of the remaining loans in the pool was substantially assured.

During the year ended December 31, 2018, it was determined that repayment of the remaining loans in the deferral pool was substantially assured.

As such, the $8.7 million of deferred purchase discount, which has been previously recognized in GAAP net income, was realized in Core Earnings during the year ended December 31, 2018.

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.

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

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

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

dollar terms.

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

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

Book Value Per Share

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During the year ended December 31, 2020, we originated or acquired $1.6 billion of loans.

Loan fundings during the year totaled $7.0 billion, with loan repayments of $4.8 billion.

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

senior interests.

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

senior interests.

We generated interest income of $779.6 million and incurred interest expense of $347.5 million during the year, which resulted in $432.2 million of net interest income during the year ended December 31, 2020.

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Loan fundings (2)

Loan repayments (3)

Total net fundings

Loan repayments and sales (3)

Total net (repayments) fundings

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

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senior interests.

Loan repayments during the year ended December 31, 2019 include $61.1 million of additional repayments of loan exposure under related non-consolidated

senior interests.

There were no repayments during the three months ended December 31, 2019 related to non-consolidated

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

senior interests.

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Weighted-average maximum maturity (years) (6)

Loan to value (LTV) (7)

Excludes investment exposure to the $89.0 million subordinate risk retention interest we own in the $930.0 million 2018 Single Asset Securitization.

Origination loan to value (LTV) (7)

Excludes investment exposure to the $79.2 million subordinate position we own in the $735.5 million 2018 Single Asset Securitization.

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

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Includes investment exposure to the $735.5 million 2018 Single Asset Securitization.

We do not consolidate the 2018 Single Asset Securitization on our consolidated financial statements, and instead reflect our $89.0 million subordinate risk retention investment as a component of other assets on our consolidated balance sheet.

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 16 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.

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The weighted-average cash coupon and all-in

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

As of December 31, 2019, 97% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $6.1 billion of such loans earned interest based on floors that are above the applicable index.

The other 3% 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, 2019, for purposes of the weighted-averages.

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

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

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, 2020, for purposes of the weighted-averages.

In addition to cash coupon, all-in

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

Excludes loans accounted for under the cost-recovery method.

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, 2019, 59% of our loans and other investments were subject to yield maintenance or other prepayment restrictions and 41% were open to repayment by the borrower without penalty.

As of December 31, 2020, 32% of our loans and other investments by total investment exposure were subject to yield maintenance or other prepayment restrictions and 68% were open to repayment by the borrower without penalty.

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

The following table details the floating benchmark rates for our investment portfolio as of December 31, 2019 ($/ €

/£/A$/C$ in thousands):

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

Total Investment

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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.

The charts below detail the geographic distribution and types of properties securing our investment portfolio, as of December 31, 2020:

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

Asset Management

We actively manage the investments in our loan portfolio and exercise the rights afforded to us as a lender, including collateral level budget approvals, lease approvals, loan covenant enforcement, escrow/reserve management, collateral release approvals, and other rights that we may negotiate.

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.

Portfolio Management

During the three months and year ended December 31, 2020, we collected 100.0% and 99.7%, respectively, of the contractual interest payments that were due under our loans, with virtually no interest deferrals, including with respect to loans collateralized by hospitality assets, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.

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

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

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

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

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

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

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

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

pandemic’s impacts on their properties.

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

Our investment portfolio’s low origination weighted-average LTV of 64.0% as of December 31, 2020 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption.

While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments.

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

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.

The weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of December 31, 2020 and December 31, 2019, respectively.

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

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

December 31, 2020

Net Book Value

Exposure (1)(2)

Loans receivable

Loans receivable, net

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

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Excludes investment exposure to the $735.5 million 2018 Single Asset Securitization.

Refer to Notes 4 and 16 to our consolidated financial statements for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

The weighted-average risk rating of our total loan exposure was 2.8 and 2.7 as of as of December 31, 2019 and December 31, 2018, respectively.

The increase was driven primarily by new loans originated during 2019, the majority of which were rated 3 at origination.

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

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.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

This loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, as of December 31, 2020.

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

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

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

Multifamily Joint Venture

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Portfolio Financing

Our portfolio financing arrangements include secured credit facilities, asset-specific financings, a revolving credit agreement, loan participations sold, non-consolidated

senior interests, and securitized debt obligations.

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

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

to market, non-recourse,

and term-matched to the financed assets.

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

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December 31, 2019

Secured credit facilities

Secured debt agreements

Securitizations (1)

Asset-specific financings (2)

Revolving credit agreement

Loan participations sold

Non-consolidated

senior interests (1)

Securitized debt obligations

Total portfolio financing

These non-consolidated

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

securitized debt obligations of $656.3 million.

The non-consolidated

securitized debt obligation represents the senior non-consolidated

investment exposure to the 2018 Single Asset Securitization.

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

debt security on our balance sheet.

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

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

senior interests of $801.8 million.

The non-consolidated

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

Secured Debt Agreements

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

Secured Debt Agreements

Borrowings Outstanding

December 31, 2020

December 31, 2019

Secured credit facilities

Revolving credit agreement

Total secured debt agreements

Secured Credit Facilities

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

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Deutsche Bank

Goldman Sachs

Bank of America

Morgan Stanley

Goldman Sachs

Société Générale

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

Asset-Specific Financings

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

Revolving Credit Agreement

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

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

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

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

Securitizations

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

Securitizations Outstanding

Securitized debt obligations

Non-consolidated

securitized debt obligation (1)

Total securitizations

These non-consolidated

securitized debt obligations represent the senior non-consolidated

investment exposure to the 2018 Single Asset Securitization.

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

debt security on our balance sheet.

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

Securitized Debt Obligations

We have financed certain pools of our loans through collateralized loan obligations, which include the 2020 FL3 CLO, 2020 FL2 CLO, and 2017 FL1 CLO, or collectively, the CLOs.

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

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

December 31, 2020

Securitized Debt Obligations

Yield/Cost (1)

2020 FL3 Collateralized Loan Obligation

Collateral assets

February 2024

Financing provided

November 2037

2020 FL2 Collateralized Loan Obligation

Collateral assets

Financing provided

February 2038

2017 FL1 Collateralized Loan Obligation

Collateral assets

Financing provided

2017 Single Asset Securitization

Collateral assets (3)

Financing provided

Collateral assets

Financing provided (4)

In addition to cash coupon, all-in

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

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

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

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

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

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

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

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

Non-Consolidated

Securitized Debt Obligation

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, 2020

Non-Consolidated

Securitized Debt Obligation

Yield/Cost (1)

Collateral assets

Financing provided

In addition to cash coupon, all-in

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

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

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

Asset-Specific Financings

Outstanding Principal Balance

December 31, 2020

December 31, 2019

Asset-specific debt agreements

Non-consolidated

senior interests (1)

Total asset-specific financings

These non-consolidated

Asset-Specific Debt Agreements

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

December 31, 2020

Asset-Specific Debt Agreements

Yield/Cost (1)

Guarantee (2)

Collateral assets

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

Revolving Credit Agreement

The maturity date of the facility is April 4, 2020.

As of December 31, 2019, we had no outstanding borrowings under the agreement.

Non-Consolidated

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

senior interests as of December 31, 2019 ($ in thousands):

senior interests ($ in thousands):

December 31, 2020

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

Securitized Debt Obligations

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

December 31, 2019

Securitized Debt Obligations

Collateralized Loan Obligation

Collateral assets

Financing provided

2017 Single Asset Securitization

Collateral assets (3)

Financing provided

Collateral assets

Financing provided (4)

In addition to cash coupon, all-in

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

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

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

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

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

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

During the year ended December 31, 2019, we recorded $47.2 million of interest expense related to our securitized debt obligations.

Refer to Notes 7 and 16 to our consolidated financial statements for additional details of our securitized debt obligations.

Corporate Financing

Secured Term Loan

In April 2019 we entered into a $500.0 million senior secured term loan facility, or the Secured Term Loan, with an interest rate of LIBOR plus 2.50%.

In November 2019 we increased the Secured Term Loan to $748.8 million and decreased the interest rate to LIBOR plus 2.25%.

As of December 31, 2019, the following Secured Term Loan was outstanding ($ in thousands):

Term Loan Issuance

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

Corporate Financing

Outstanding Principal Balance

December 31, 2020

December 31, 2019

Secured term loans

Convertible notes

Total corporate financing

Secured Term Loans

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

Interest Rate (1)

2019 Term Loan

April 23, 2026

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

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

2020 Term Loan

April 23, 2026

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

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

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

Convertible Notes

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Convertible Notes Issuance

Interest Rate

March 15, 2023

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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, 2019, 97% of our loans 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 loans.

As of December 31, 2019, the remaining 3% of our loans by total loan 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 swaps or caps to limit our exposure to increases in interest rates on such liabilities.

As of December 31, 2020, 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, 2020, 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.

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

The following table details our loan portfolio’s net exposure to interest rates by currency as of December 31, 2019 ($/ €

/£/A$/C$ in thousands):

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

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

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Net floating rate exposure (5)

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

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

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

Includes borrowings under secured debt agreements, non-consolidated

senior interests, securitized debt obligations, and secured term loans.

Balance includes two interest rate swaps totaling C$17.3 million ($13.3 million as of December 31, 2019) that are used to hedge a portion of our fixed rate debt.

In addition, we have one interest rate cap of C$21.4 million ($16.5 million as of December 31, 2019) to limit our exposure to increases in interest rates.

Includes investment exposure to the 2018 Single Asset Securitization.

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

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

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

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

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

Our Results of Operations

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Total other expenses

Increase in current expected credit loss reserve

Income before income taxes

Income tax (benefit) provision

Income tax provision (benefit)

Net income attributable to non-controlling

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

The increase was primarily due to (i) an increase in the weighted-average

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

This was offset by (i) the increase in the weighted-average

principal balance of our outstanding financing arrangements, which increased by $2.6 billion during the year ended December 31, 2019, compared to the year ended December 31, 2018, and (ii) a decrease in non-recurring

prepayment fee income.

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

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 corresponding period in 2019, (iii) a decrease in non-recurring

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

Income from loans and other investments, net increased $27.7 million during the year ended December 31, 2019 compared to the year ended December 31, 2018.

The increase was primarily due to (i) an increase in the weighted-average principal balance of our loan portfolio by $2.5 billion during the year ended December 31, 2018, compared to the year ended December 31, 2017, (ii) an increase in non-recurring

prepayment fee income, and (iii) an increase in LIBOR and other floating rate indices during 2018.

This was offset by the increase in the weighted-average principal balance of our outstanding financing arrangements, which increased by $2.0 billion during the year ended December 31, 2018, compared to the year ended December 31, 2017.

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

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

prepayment fee income.

Other expenses

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

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

during 2018 and 2019, (ii) $2.5 million of additional non-cash

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.

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

This was offset by a decrease of $4.7 million of incentive fees payable to our Manager as a result of an increased hurdle following our 2019 class A common stock issuance.

Other expenses increased by $25.6 million during the year ended December 31, 2018 compared to the year ended December 31, 2017 due to (i) an increase of $11.7 million of incentive fees payable to our Manager as a result of an increase in Core Earnings, (ii) an increase of $8.3 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2017 and 2018, (iii) $4.1 million of additional non-cash

restricted stock amortization related to shares awarded under our long-term incentive plans, and (iv) an increase of $1.5 million of other general operating expenses.

This was offset by a decrease of $4.7 million of incentive fees payable to our Manager.

Changes in current expected credit loss reserve

We adopted ASU 2016-13,

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

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

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

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

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

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

Net income attributable to non-controlling

During the years ended December 31, 2019, 2018, and 2017, we recorded $1.8 million, $735,000, and $337,000, respectively, of net income attributable to non-controlling

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

interests related to our Multifamily Joint Venture.

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Total other expenses

Decrease in current expected credit loss reserve

Income before income taxes

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Income from loans and other investments, net

Income from loans and other investments, net increased $7.6 million during the three months ended December 31, 2019 compared to the corresponding period in 2018.

The increase was primarily due to (i) a $2.5 billion increase in the weighted-average principal balance of our loan portfolio for the three months ended December 31, 2019, compared to the corresponding period in 2018, and (ii) an increase in non-recurring

prepayment fee income.

This was offset by (i) a $2.2 billion increase in the weighted-average

principal balance of our outstanding financing arrangements during the three months ended December 31, 2019, compared to the corresponding period in 2018, and (ii) a decrease in LIBOR and other floating rate indices in 2019.

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

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

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

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

Other expenses

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

Other expenses increased by $1.8 million during the three months ended December 31, 2019 compared to the corresponding period in 2018 due to (i) an increase of $1.7 million of management fees payable to our Manager and (ii) an increase of $558,000 of general operating expenses.

This was offset by a $286,000 decrease in non-cash

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

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

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

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

Changes in current expected credit loss reserve

We adopted ASU 2016-13,

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

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

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

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

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

historical loss data to our portfolio.

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

Net income attributable to non-controlling

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Capitalization

We have capitalized our business to date through, among other things, the issuance and sale of shares of our class A common stock, borrowings under secured debt agreements, and the issuance of secured term loans and issuance and sale of convertible notes.

As of December 31, 2019, we had 135,003,662 shares of our class A common stock outstanding representing $3.8 billion of stockholders’ equity, $10.1 billion of borrowings under secured debt agreements, a $746.9 million Secured Term Loan, and $622.5 million of Convertible Notes outstanding.

As of December 31, 2019, our secured debt agreements consisted of secured credit facilities with an outstanding balance of $9.8 billion and $330.9 million of asset-specific financings.

We also finance our business through non-consolidated

senior interests.

As of December 31, 2019, we had $688.5 million of non-consolidated

senior interests outstanding.

In addition, as of December 31, 2019, our consolidated balance sheet included $1.2 billion of securitized debt obligations related to our collateralized loan obligation, or the CLO, and our single asset securitization vehicle, or the 2017 Single Asset Securitization.

See Notes 5, 7, 8, and 9 to our consolidated financial statements for additional details regarding our secured debt agreements, securitized debt obligations, Secured Term Loan, and Convertible Notes, respectively.

We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, borrowings under secured debt agreements, borrowings under secured term loans, and the issuance and sale of convertible notes.

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

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

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

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

Margin call provisions under our credit facilities do not permit valuation adjustments based on capital markets events, and are limited to collateral-specific credit marks generally determined on a commercially reasonable basis.

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

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

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

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

Our Manager’s robust, in-house

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

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

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

Debt-to-Equity

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Total leverage ratio (2)

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

Represents (i) total outstanding secured debt agreements, secured term loans, convertible notes, loan participations sold, non-consolidated

senior interests, and securitized debt obligations, less cash, to (ii) total equity, in each case at period end.

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

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

Sources of Liquidity

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

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

December 31, 2020

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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.

In addition to our current sources of liquidity, 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 Securities and Exchange Commission, or the SEC, that is effective for a term of three years and expires at the end of July 2022.

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

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

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

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

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

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

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

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

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

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

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

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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 9,994,024 shares of class A common stock were available for issuance as of December 31, 2019, and our at-the-

market stock offering program, pursuant to which we may sell, from time to time, up to $363.8 million of additional shares of our class A common stock as of December 31, 2019.

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

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

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

Our existing loan portfolio also provides us with liquidity as loans are repaid or sold, in whole or in part, and the proceeds from such repayments become available for us to reinvest.

Liquidity Needs

In addition to our ongoing loan origination activity, our primary liquidity needs include interest and principal payments under our $10.1 billion of outstanding borrowings under secured debt agreements, our Secured Term

Loan, our Convertible Notes, our unfunded loan commitments, dividend distributions to our stockholders, and operating expenses.

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

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

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

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

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

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

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

As a result of the COVID-19

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

Contractual Obligations and Commitments

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Principal repayments under secured debt agreements (2)

Principal repayments under asset-specific debt agreements (2)

Principal repayments of secured term loans (3)

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Interest payments (2)(5)

The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the loan maturity date.

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

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

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

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

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

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

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

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

Refer to Note 9 to our consolidated financial statements for further details on our convertible notes.

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

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

Future interest payment obligations are estimated assuming the interest rates in effect as of December 31, 2020 will remain constant into the future.

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

Total does not include $688.5 million of non-consolidated

senior interests and $1.2 billion of securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

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

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

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

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

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

The table above does not include these amounts as they are not fixed and determinable.

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As a REIT, we generally must distribute substantially all of our net taxable income to stockholders in the form of dividends to comply with the REIT provisions of the Internal Revenue Code.

Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Core Earnings as described above.

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

Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Distributable Earnings as described above.

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

For the years ended December 31,

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Cash flows used in investing activities

Cash flows provided by financing activities

Net increase (decrease) in cash, cash equivalents, and restricted cash

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

During 2019, we (i) received $4.9 billion of proceeds from loan principal collections, (ii) received $1.0 billion of net borrowings under our secured debt agreements, (iii) received $748.4 million of net proceeds from borrowings under our Secured Term Loan, and (iv) received $372.3 million of net proceeds from the issuance of shares of class A common stock.

Cash flows (used in) provided by financing activities

Net increase (decrease) in cash and cash equivalents

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

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

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

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

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

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

We experienced a net decrease in cash, cash equivalents, and restricted cash of $3.9 million for the year ended December 31, 2018, compared to a net increase of $21.5 million for the year ended December 31, 2017.

During 2018, we (i) borrowed a net $3.8 billion under our secured debt agreements, (ii) collected $3.1 billion of proceeds from loan principal repayments, (iii) received $476.4 million of net proceeds from the issuance of class A common stock, (iv) received $416.1 million in net proceeds from the 2018 Single Asset Securitization, and (v) received $214.8 million of net proceeds from the issuance of convertible notes.

We used the proceeds from these activities to (i) fund $7.9 billion of new loans during 2018 and (ii) settle our November 2013 issuance of convertible notes for $219.2 million.

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

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

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

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

federal income tax purposes.

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

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

excluding any net capital gain, in order for U.S.

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

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federal income and excise taxes and state and local taxes on our income and assets.

If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state and local income tax on our taxable income at regular corporate rates and we

would not be able to qualify as a REIT for the subsequent four full taxable years.

As of December 31, 2020 and 2019, we were in compliance with all REIT requirements.

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The following is a summary of our significant accounting policies that we believe are the most affected by our Manager’s judgments, estimates, and assumptions:

Loans Receivable and Provision for Loan Losses

We originate and purchase commercial real estate debt and related instruments generally to be held as long-term investments at amortized cost.

We are required to periodically evaluate each of these loans for possible impairment.

Impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan.

If a loan is determined to be impaired, we write down the loan through a charge to the provision for loan losses.

Impairment of these loans, which are collateral dependent, is measured 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, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed necessary by our Manager.

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

Our Manager performs a quarterly review of our portfolio of loans.

In conjunction with this review, our Manager assesses the risk factors of each loan, and assigns it a risk rating based on a variety of factors, including, without limitation, loan-to-value

ratio, or LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship.

Based on a 5-point

scale, our loans are rated “1” through “5,” from less risk to greater risk relative to our loan portfolio in the aggregate, which ratings are defined as follows:

Very Low Risk

High Risk/Potential for Loss:

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

Impaired/Loss Likely:

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

Current Expected Credit Losses

In June 2016, the Financial Accounting Standards Board, or FASB, issued ASU 2016-13

“Financial Instruments—Credit Losses—Measurement of Credit Losses on Financial Instruments (Topic 326),” or

significantly changes how entities will measure credit losses for most financial assets and certain other instruments that are not measured at fair value through net income.

will replace the incurred loss model under existing guidance with a current expected credit loss, or CECL, model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale

debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model.

It also simplifies the accounting model for purchased credit-impaired debt securities and loans.

is effective for fiscal years beginning after December 15, 2019 and is to be adopted through a cumulative-effect adjustment to retained earnings as of January 1, 2020.

The CECL reserve required under ASU 2016-13

is a valuation account that is deducted from the related loans’ and debt securities’ amortized cost basis on our consolidated balance sheets, and which will reduce our total stockholders’ equity.

The initial CECL reserve recorded on January 1, 2020 will be reflected as a direct charge to retained earnings;

however future changes to the CECL reserve will be recognized through net income on our consolidated statements of operations.

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

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

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

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

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

While ASU 2016-13

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

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

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

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

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

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

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

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

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

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

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

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

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through December 31, 2019.

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

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

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

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through November 30, 2020.

Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and origination loan-to-value,

We believe this CMBS data, which includes month-over-month loan and property performance, is the most relevant, available, and comparable dataset to our portfolio.

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

The CECL reserve related to future loan fundings is recorded as a component of Other Liabilities on our consolidated balance sheets, and not as an offset to the related loan balance.

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

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

Upon adoption of ASU 2016-13

on January 1, 2020, we expect to record an initial CECL reserve, including future loan funding commitments, of approximately $17.6 million, or $0.13 per share, reflecting an aggregate CECL reserve of 0.11% of our aggregate outstanding principal balance of $16.4 billion as of December 31, 2019.

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

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

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

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

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

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

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

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

Impaired Loans

impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan.

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

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

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

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

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

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

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

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

We adopted ASU 2016-13

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

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

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

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

CECL reserve on loans

CECL reserve on held-to-maturity

debt securities

CECL reserve on unfunded loan commitments

Total impact of ASU 2016-13

adoption on retained earnings

Contractual Term and Unfunded Loan Commitments

Expected credit losses are estimated over the contractual term of each loan, adjusted for expected prepayments.

As part of our quarterly review of our loan portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for purposes of computing our CECL reserve.

Additionally, the expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments.

The CECL reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future funding obligations over the estimated life of the loan.

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

Credit Quality Indicator

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

Our Manager performs a quarterly risk review of our portfolio of loans, and assigns each loan a risk rating based on a variety of factors, including, without limitation, LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship.

Based on a 5-point

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

Very Low Risk

High Risk/Potential for Loss:

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

Impaired/Loss Likely:

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

Estimation of Economic Conditions

In addition to the WARM method computations and probability-weighted models described above, our CECL reserve is also adjusted to reflect our estimation of the current and future economic conditions that impact the performance of the commercial real estate assets securing our loans.

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

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

These estimations require significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of December 31, 2020.

Revenue Recognition

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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 is then recorded on the basis of cash received until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed.

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

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

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Loan Type (1)

Property Type

SQFT / Unit / Key

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Washington DC

$467,454 / key

Senior loan (4)

Diversified-EUR

$444,674 / key

Diversified-UK

Senior loan (4)

$306,870 / key

San Francisco

Diversified-Spain

$138,195 / key

San Francisco

Diversified-Spain

$365,544 / key

Washington DC

San Francisco

Washington DC

Diversified-IT

Loan Type (1)

Property Type

SQFT / Unit / Key

Diversified-UK

$1,212 / sqft

$313,015 / key

Orange County

Loan Type (1)

SQFT / Unit / Key

Diversified-IT

Senior loan (3)

$309,308 / key

Senior loan (4)

Fort Lauderdale

$1,041 / sqft

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Washington DC

Senior loan (3)

Diversified-AU

$532,000 / key

Diversified-US

Loan Type (1)

Property Type

SQFT / Unit / Key

Diversified-UK

Washington DC

Diversified-NL

$129,761 / unit

Senior loan (4)

San Francisco

$547,745 / unit

San Francisco

$228,299 / key

$160,580 / key

San Francisco

$248,380 / key

$331,037 / unit

Fort Lauderdale

Senior loan (4)

Diversified-CA

$317,164 / unit

$785,340 / key

West Palm Beach

Loan Type (1)

Property Type

SQFT / Unit / Key

$69,038 / unit

Washington DC

Diversified-US

$214,341 / key

San Francisco

Orange County

Diversified-CA

$184,768 / unit

$890,052 / key

San Francisco

$307,319 / unit

West Palm Beach

Diversified-US

$99,598 / unit

Senior loan (3)

San Francisco

Fort Lauderdale

$238,158 / unit

$192,926 / key

$1,167 / sqft

$223,254 / unit

$588,633 / unit

$1,014 / sqft

$92,529 / unit

Southern California

$137,304 / unit

$617,619 / unit

Diversified-FR

$203,880 / unit

Loan Type (1)

Property Type

SQFT / Unit / Key

$444,934 / unit

Southern California

$163,786 / unit

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$158,929 / unit

Diversified-FR

$161,351 / unit

$177,171 / unit

$117,500 / unit

Virginia Beach

$160,839 / unit

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$198,020 / unit

Daytona Beach

$74,627 / unit

$68,613 / unit

$131,095 / unit

Diversified-CAN

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$47,837 / unit

Loan Type (1)

SQFT / Unit / Key

$130,180 / unit

$62,223 / unit

$58,496 / unit

Washington DC

$61,053 / unit

$112,222 / unit

$156,250 / unit

$87,218 / unit

Orange County

Loans receivable, net

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

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

As of December 31, 2019, four loans in our portfolio have been financed with an aggregate $688.5 million of non-consolidated

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

senior interest, which are included in the table above.

Portfolio excludes our $89.0 million subordinate risk retention interest in the $930.0 million 2018 Single Asset Securitization.

Portfolio excludes our $79.2 million subordinate position in the $735.5 million 2018 Single Asset Securitization.

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

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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.

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

Loans are accounted for under the cost-recovery method.

Loan consists of one or more floating and fixed rate tranches.

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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