BLACKSTONE MORTGAGE TRUST, INC. 10-Q

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us,” or “our” refer to Blackstone Mortgage Trust, Inc. and its subsidiaries unless the context specifically requires otherwise. The following discussion should be read in conjunction with the unaudited consolidated financial statements and notes thereto appearing elsewhere in this quarterly report on Form 10-Q. In addition to historical data, this discussion contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, which reflect our current views with respect to, among other things, our business, operations and financial performance. You can identify these forward-looking statements by the use of words such as “intend,” “goal,” “estimate,” “expect,” “project,” “projections,” “plans,” “seeks,” “anticipates,” “should,” “could,” “may,” “designed to,” “foreseeable future,” “believe,” “scheduled,” and similar expressions. Such forward-looking statements are subject to various risks, uncertainties and assumptions. Our actual results or outcomes may differ materially from those in this discussion as a result of various factors, including but not limited to those discussed in Item 1A. Risk Factors in our annual report on Form 10-K for the year ended December 31, 2020 and elsewhere in this quarterly report on Form 10-Q. Introduction Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate in North America, Europe, and Australia. Our investment objective is to preserve and protect shareholder capital while producing attractive risk-adjusted returns primarily through dividends generated from current income from our loan portfolio. We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of The Blackstone Group Inc., or Blackstone, and are a real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.” We are headquartered in New York City. 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. federal income tax purposes. We generally will not be subject to U.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries. Recent Developments As of March 31, 2021, the novel coronavirus, or COVID-19, pandemic is ongoing. During 2020, the COVID-19 pandemic created disruption in global supply chains, increased rates of unemployment and adversely impacted many industries, including industries related to the collateral underlying certain of our loans. In 2021, the global economy has, with certain setbacks, begun reopening and wider distribution of vaccines will likely encourage greater economic activity. Nonetheless, the recovery could remain uneven, particularly given uncertainty with respect to the distribution and acceptance of the vaccines and their effectiveness with respect to new variants of the virus. 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. Countries around the world continue to grapple with the economic impacts of the COVID-19 pandemic. Although a recovery is partially underway, it continues to be gradual, uneven and characterized by meaningful dispersion across sectors and regions, and could be hindered by persistent or resurgent infection rates. The most recent round of U.S. fiscal stimulus could provide meaningful support, along with continued accommodative monetary policy and wider distribution of vaccines. Issues with respect to the distribution and acceptance of vaccines or the spread of new variants of the virus could adversely impact the recovery. Overall, there remains significant uncertainty regarding the timing and duration of the economic recovery, which precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions. 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. 47 Table of Contents I. Key Financial Measures and Indicators As a real estate finance company, we believe the key financial measures and indicators for our business are earnings per share, dividends declared, Distributable Earnings, and book value per share. For the three months ended March 31, 2021 we recorded earnings per share of $0.54, declared a dividend of $0.62 per share, and reported $0.59 per share of Distributable Earnings. In addition, our book value as of March 31, 2021 was $26.35 per share, which is net of a $1.25 cumulative CECL reserve. As further described below, Distributable Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, which helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations. In addition, Distributable Earnings is a performance metric we consider when declaring our dividends. Earnings Per Share and Dividends Declared The following table sets forth the calculation of basic and diluted net income per share and dividends declared per share ($ in thousands, except per share data): Three Months Ended March 31, 2021 December 31, 2020 Net income (1) $ 79,902 $ 83,616 Weighted-average shares outstanding, basic and diluted 147,336,936 146,675,431 Net income per share, basic and diluted $ 0.54 $ 0.57 Dividends declared per share $ 0.62 $ 0.62 (1) Represents net income attributable to Blackstone Mortgage Trust. Distributable Earnings Distributable Earnings is a non-GAAP measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise recognized in current period GAAP net income (loss), and excluding (i) non-cash equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), and (iv) certain non-cash items. Distributable Earnings may also be adjusted from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as determined by our Manager, subject to approval by a majority of our independent directors. Distributable Earnings mirrors the terms of our management agreement between our Manager and us, or our Management Agreement, for purposes of calculating our incentive fee expense. During the three months ended March 31, 2021, we recorded a $1.3 million decrease 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 share. As a REIT, we generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments, and therefore we believe our dividends are one of the principal reasons stockholders may invest in our class A common stock. Refer to Note 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. 48 Table of Contents Distributable Earnings does not represent net income (loss) or cash generated from operating activities and should not be considered as an alternative to GAAP net income (loss), or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs. In addition, our methodology for calculating Distributable Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings may not be comparable to the Distributable Earnings reported by other companies. 49 Table of Contents The following table provides a reconciliation of Distributable Earnings to GAAP net income ($ in thousands, except per share data): Three Months Ended March 31, 2021 December 31, 2020 Net income (1) $ 79,902 $ 83,616 Decrease in current expected credit loss reserve (1,293 ) (5,813 ) Non-cash compensation expense 8,085 8,554 Realized hedging and foreign currency income, net (2) 172 582 Other items 130 921 Adjustments attributable to non-controlling interests, net (47 ) 74 Distributable Earnings $ 86,949 $ 87,934 Weighted-average shares outstanding, basic and diluted 147,336,936 146,675,431 Distributable Earnings per share, basic and diluted $ 0.59 $ 0.60 (1) Represents net income attributable to Blackstone Mortgage Trust. (2) Represents realized gains on the repatriation of unhedged foreign currency. These amounts are not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements. Book Value Per Share The following table calculates our book value per share ($ in thousands, except per share data): March 31, 2021 December 31, 2020 Stockholders’ equity $ 3,883,023 $ 3,886,067 Shares Class A common stock 147,031,082 146,780,031 Deferred stock units 318,128 306,691 Total outstanding 147,349,210 147,086,722 Book value per share $ 26.35 $ 26.42 50 Table of Contents II. Loan Portfolio During the quarter ended March 31, 2021, we originated or acquired $1.7 billion of loans. Loan fundings during the quarter totaled $1.5 billion, including $86.6 million of non-consolidated senior interests. Loan repayments and sales during the quarter totaled $798.8 million, including $684,000 of non-consolidated senior interests. We generated interest income of $187.5 million and incurred interest expense of $78.4 million during the quarter, which resulted in $109.2 million of net interest income during the three months ended March 31, 2021. Portfolio Overview The following table details our loan origination activity ($ in thousands): Three Months Ended Three Months Ended March 31, 2021 December 31, 2020 Loan originations (1) $ 1,735,129 $ 228,900 Loan fundings (2) $ 1,491,682 $ 478,464 Loan repayments and sales (3) (798,839 ) (561,740 ) Total net fundings (repayments) $ 692,843 $ (83,276 ) (1) Includes new loan originations and additional commitments made under existing loans. (2) Loan fundings during the three months ended March 31, 2021 and December 31, 2020 include $86.6 million and $71.3 million, respectively, of additional fundings under related non-consolidated senior interests. (3) Loan repayments during the three months ended March 31, 2021 and December 31, 2020 include $684,000 and $647,000, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests. 51 Table of Contents The following table details overall statistics for our investment portfolio as of March 31, 2021 ($ in thousands): Total Investment Exposure Balance Sheet Portfolio (1) Loan Exposure (1)(2) Other Investments (3) Total Investment Portfolio Number of investments 121 121 1 122 Principal balance $ 17,143,102 $ 18,033,021 $ 695,718 $ 18,728,739 Net book value $ 16,888,002 $ 16,888,002 $ 76,708 $ 16,964,710 Unfunded loan commitments (4) $ 3,457,326 $ 4,173,639 $ — $ 4,173,639 Weighted-average cash coupon (5) L + 3.23 % L + 3.28 % L + 2.75 % L + 3.27 % Weighted-average all-in yield (5) L + 3.56 % L + 3.62 % L + 3.10 % L + 3.60 % Weighted-average maximum maturity (years) (6) 3.1 3.1 4.2 3.1 Origination loan to value (LTV) (7) 65.4 % 65.4 % 42.6 % 64.5 % (1) Excludes investment exposure to the $79.2 million subordinate position we own in the $695.7 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. (2) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. Total loan exposure encompasses the entire loan we originated and financed, including $889.9 million of such non-consolidated senior interests that are not included in our balance sheet portfolio. (3) Includes investment exposure to the $695.7 million 2018 Single Asset Securitization. We do not consolidate the 2018 Single Asset Securitization on our consolidated financial statements, and instead reflect our $79.2 million subordinate position as a component of other assets on our consolidated balance sheet. Refer to Notes 4 and 16 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization. (4) Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date. (5) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, STIBOR, BBSY, and CDOR, as applicable to each investment. As of March 31, 2021, 98% of our investments by total investment exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $14.6 billion of such investments earned interest based on floors that are above the applicable index. The other 2% of our investments earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2021, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method. (6) Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As of March 31, 2021, 37% of our loans and other investments by total investment exposure were subject to yield maintenance or other prepayment restrictions and 63% were open to repayment by the borrower without penalty. (7) Based on LTV as of the dates loans and other investments were originated or acquired by us. 52 Table of Contents The following table details the floating benchmark rates for our investment portfolio as of March 31, 2021 ($/€/£/kr/A$/C$ in thousands): Investment Count Currency Total Investment Portfolio Floating Rate Index (1) Cash Coupon (2) All-in Yield (2) 95 $ $ 12,743,456 USD LIBOR L + 3.23% L + 3.55% 8 € € 2,624,520 EURIBOR E + 2.94% E + 3.24% 14 £ £ 1,619,531 GBP LIBOR L + 3.86% L + 4.26% 1 kr kr 3,142,955 STIBOR STIBOR + 3.20% S + 3.41% 2 A$ A$ 325,650 BBSY BBSY + 4.03% BBSY + 4.47% 2 C$ C$ 84,265 CDOR CDOR + 3.79% CDOR + 4.19% 122 $ 18,728,739 INDEX + 3.27% INDEX + 3.60% (1) We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S. dollar. We earn forward points on our forward contracts that reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR. These forward contracts effectively convert the foreign currency rate exposure for such investments to USD LIBOR. (2) The cash coupon and all-in yield of our fixed rate loans are reflected as a spread over USD LIBOR for purposes of the weighted-averages. 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. The charts below detail the geographic distribution and types of properties securing our investment portfolio, as of March 31, 2021: Refer to section VI of this Item 2 for details of our loan portfolio, on a loan-by-loan basis. Portfolio Management During the three months ended March 31, 2021, we collected 100.0% of the contractual interest payments that were due under our loans, with virtually no interest deferrals, including with respect to loans collateralized by hospitality assets, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors. We maintain a robust asset management relationship with our borrowers and 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. We are generally encouraged by our borrowers’ 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 53 Table of Contents LTV of 64.5% as of March 31, 2021 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments. Our Manager’s portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from its position as part of Blackstone’s real estate platform. Blackstone 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 gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic stress and uncertainty. As discussed in Note 2 to our consolidated financial statements, our Manager performs a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk. The weighted-average risk rating of our total loan exposure was 3.0 as of both March 31, 2021 and December 31, 2020. The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands): March 31, 2021 Risk Rating Number of Loans Net Book Value Total Loan Exposure (1)(2) 1 7 $ 679,670 $ 681,516 2 19 2,567,527 2,581,715 3 79 10,515,383 11,460,179 4 14 2,960,287 2,970,875 5 2 337,235 338,736 Loans receivable 121 $ 17,060,102 $ 18,033,021 CECL reserve (172,100 ) Loans receivable, net $ 16,888,002 (1) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 to our consolidated financial statements for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $889.9 million of such non-consolidated senior interests as of March 31, 2021. (2) Excludes investment exposure to the $695.7 million 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. Current Expected Credit Loss Reserve The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets. Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principal underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors. During the three months ended March 31, 2021, we recorded an aggregate $1.3 million decrease in the current expected credit loss reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total CECL reserve to $184.0 million as of March 31, 2021. This CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio. 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 pandemic. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. During 2020, we entered into loan modifications related to a multifamily asset in New York City, which are classified as troubled debt restructurings under GAAP. During the three months ended June 30, 2020, we recorded a $14.8 million CECL reserve on this loan, 54 Table of Contents which was unchanged as of March 31, 2021. This loan has an outstanding principal balance of $52.4 million, net of cost-recovery proceeds, as of March 31, 2021. The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of March 31, 2021. During 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 March 31, 2021. This loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, as of March 31, 2021. The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of March 31, 2021. As of July 1, 2020, the income accrual was suspended on the two loans detailed above, which had an aggregate outstanding principal balance of $338.7 million, as of March 31, 2021. No income was recorded on these loans during the three months ended March 31, 2021. Multifamily Joint Venture As of March 31, 2021, our Multifamily Joint Venture held $587.7 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture. Portfolio Financing Our portfolio financing consists of secured debt agreements, securitizations, and asset-specific financings. The following table details our portfolio financing ($ in thousands): Portfolio Financing Outstanding Principal Balance March 31, 2021 December 31, 2020 Secured debt agreements $ 8,142,728 $ 7,896,863 Securitizations (1) 3,508,303 3,596,980 Asset-specific financings (2) 1,328,352 1,201,495 Total portfolio financing $ 12,979,383 $ 12,695,338 (1) Includes our consolidated securitized debt obligations of $2.9 billion and our non-consolidated securitized debt obligations of $616.5 million, as of March 31, 2021. Includes our consolidated securitized debt obligations of $2.9 billion and our non-consolidated securitized debt obligations of $656.3 million, as of December 31, 2020. 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. (2) Includes our consolidated asset-specific debt agreements of $438.4 million and our non-consolidated senior interests of $889.9 million, as of March 31, 2021. Includes our consolidated asset-specific debt agreements of $399.7 million and our non-consolidated senior interests of $801.8 million, as of December 31, 2020. The non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. 55 Table of Contents Secured Debt Agreements The following table details our outstanding secured debt agreements ($ in thousands): Secured Debt Agreements Borrowings Outstanding March 31, 2021 December 31, 2020 Secured credit facilities $ 8,142,728 $ 7,896,863 Revolving credit agreement — — Total secured debt agreements $ 8,142,728 $ 7,896,863 Secured Credit Facilities The following table details our secured credit facilities ($ in thousands): March 31, 2021 Credit Facility Borrowings Collateral Lender Potential (1) Outstanding Available (1) Assets (2) Barclays $ 1,679,748 $ 1,523,419 $ 156,329 $ 2,156,809 Deutsche Bank 1,604,238 1,498,113 106,125 2,494,076 Wells Fargo 1,424,351 1,190,799 233,552 1,885,248 Citibank 981,763 815,675 166,088 1,277,834 Goldman Sachs 598,435 598,435 — 806,252 Bank of America 468,061 468,061 — 658,692 JP Morgan 453,589 409,236 44,353 610,048 Morgan Stanley 531,877 404,877 127,000 854,924 MetLife 284,900 284,900 — 356,125 Santander 259,590 259,590 — 324,488 Société Générale 240,338 240,338 — 309,894 US Bank - Multi. JV (3) 234,864 231,395 3,469 293,580 Goldman Sachs - Multi. JV (3) 217,890 217,890 — 294,101 Bank of America - Multi. JV (3) — — — — $ 8,979,644 $ 8,142,728 $ 836,916 $ 12,322,071 (1) Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility. (2) Represents the principal balance of the collateral assets. (3) These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture. Revolving Credit Agreement We have a $250.0 million full recourse secured revolving credit agreement with Barclays that is designed to finance first mortgage originations for up to nine months as a bridge to term financing or syndication. Advances under the agreement are subject to availability under a specified borrowing base and accrue interest at a per annum pricing rate equal to the sum of (i) an applicable base rate or Eurodollar rate and (ii) an applicable margin, in each case, dependent on the applicable type of loan collateral. The maturity date of the facility is April 4, 2023. As of March 31, 2021, we had no outstanding borrowings under the agreement. 56 Table of Contents Securitizations The following table details our outstanding securitizations ($ in thousands): Securitizations Outstanding March 31, 2021 December 31, 2020 Securitized debt obligations $ 2,891,785 $ 2,940,638 Non-consolidated securitized debt obligation (1) 616,518 656,342 Total securitizations $ 3,508,303 $ 3,596,980 (1) These non-consolidated securitized debt obligations represent the senior non-consolidated investment exposure to the 2018 Single Asset Securitization. We own the related subordinate position, which is classified as a held-to-maturity debt security on our balance sheet. Refer to 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): March 31, 2021 Securitized Debt Obligations Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Term (2) 2020 FL3 Collateralized Loan Obligation Collateral assets 23 $ 1,000,000 $ 1,000,000 L+3.08 % March 2024 Financing provided 1 808,750 801,672 L+2.10 % November 2037 2020 FL2 Collateralized Loan Obligation Collateral assets 27 1,500,000 1,500,000 L+3.15 % March 2024 Financing provided 1 1,243,125 1,234,189 L+1.43 % February 2038 2017 FL1 Collateralized Loan Obligation Collateral assets 14 617,481 617,481 L+3.54 % February 2023 Financing provided 1 434,981 434,451 L+1.89 % June 2035 2017 Single Asset Securitization Collateral assets (3) 1 619,711 619,494 L+3.57 % June 2023 Financing provided 1 404,929 404,929 L+1.63 % June 2033 Total Collateral assets 65 $ 3,737,192 $ 3,736,975 L+3.26 % Financing provided (4) 4 $ 2,891,785 $ 2,875,241 L+1.72 % (1) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees. All-in yield for the total portfolio assumes applicable floating benchmark rates for weighted-average calculation. (2) 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. (3) The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million. (4) During the three months ended March 31, 2021, we recorded $12.1 million of interest expense related to our securitized debt obligations. Refer to Notes 6 and 16 to our consolidated financial statements for additional details of our securitized debt obligations. 57 Table of Contents Non-Consolidated Securitized Debt Obligation In the third quarter of 2018, we contributed a senior loan to the 2018 Single Asset Securitization, and invested in the related subordinate position. We do not consolidate the 2018 Single Asset Securitization on our balance sheet. The non-consolidated securitized debt obligation provides structural leverage for our net investment which is reflected as a held-to-maturity debt security and is included in other assets on our consolidated balance sheets. The following table details our non-consolidated securitized debt obligations ($ in thousands): March 31, 2021 Non-Consolidated Securitized Debt Obligation Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Wtd. Avg. Term (2) Collateral assets 1 $ 695,718 n / a L+3.10 % June 2025 Financing provided 1 $ 616,518 n / a L+2.39 % June 2035 ____________ (1) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts. (2) Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of non-consolidated securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations. Asset-Specific Financings The following table details our outstanding asset-specific financings ($ in thousands): Asset-Specific Financings Outstanding Principal Balance March 31, 2021 December 31, 2020 Asset-specific debt agreements $ 438,433 $ 399,699 Non-consolidated senior interests (1) 889,919 801,796 Total asset-specific financings $ 1,328,352 $ 1,201,495 ____________ (1) These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. Asset-Specific Debt Agreements The following table details our asset-specific debt agreements ($ in thousands): March 31, 2021 Asset-Specific Debt Agreements Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Wtd. Avg. Term (2) Collateral assets 4 $ 566,170 $ 552,989 L+4.62 % Dec. 2023 Financing provided 4 $ 438,433 $ 430,448 L+3.43 % Dec. 2023 ____________ (1) These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs. (2) The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Each of our asset-specific financings is term-matched to the corresponding collateral loans. Non-Consolidated Senior Interests In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. 58 Table of Contents The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests ($ in thousands): March 31, 2021 Non-Consolidated Senior Interests Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Wtd. Avg. Term Total loan 5 $ 1,112,688 n / a 5.73 % Jul. 2024 Senior participation 5 $ 889,919 n / a 4.42 % Jul. 2024 ____________ (1) Our floating rate loans and related liabilities were indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, all-in yield/cost includes the amortization of deferred fees / financing costs. Corporate Financing The following table details our outstanding corporate financing ($ in thousands): Corporate Financing Outstanding Principal Balance March 31, 2021 December 31, 2020 Secured term loans $ 1,259,575 $ 1,062,766 Convertible notes 622,500 622,500 Total corporate financing $ 1,882,075 $ 1,685,266 Secured Term Loans As of March 31, 2021, the following senior secured term loan facilities, or Secured Term Loans, were outstanding ($ in thousands): Term Loans Face Value Interest Rate (1) All-in Cost (1)(2) Maturity 2019 Term Loan $ 937,012 L+2.25 % L+2.53 % April 23, 2026 2020 Term Loan $ 322,563 L+4.75 % L+5.60 % April 23, 2026 ____________ (1) The 2020 Term Loan borrowing is subject to a LIBOR floor of 1.00%. (2) 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. 59 Table of Contents Convertible Notes As of March 31, 2021, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands): Convertible Notes Issuance Face Value Interest Rate All-in Cost (1) Maturity May 2017 $ 402,500 4.38 % 4.85 % May 5, 2022 March 2018 $ 220,000 4.75 % 5.33 % March 15, 2023 ____________ (1) Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method. Refer to Notes 2 and 9 to our consolidated financial statements for additional discussion of our Convertible Notes. Floating Rate Portfolio Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income. As of March 31, 2021, 98% of our investments by total investment exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments. As of March 31, 2021, the remaining 2% of our investments by total investment exposure earned a fixed rate of interest, but are financed with liabilities that pay interest at floating rates, which resulted in a negative correlation to rising interest rates to the extent of our financing. In certain instances where we have financed fixed rate assets with floating rate liabilities, we have purchased interest rate caps to limit our exposure to increases in interest rates on such liabilities. Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities. The following table details our investment portfolio’s net exposure to interest rates by currency as of March 31, 2021 ($/€/£/kr/A$/C$ in thousands): USD EUR GBP SEK AUD CAD Floating rate loans (1)(2) $ 12,743,456 € 2,787,970 £ 1,238,167 kr 3,142,955 A$ 325,650 C$ 59,297 Floating rate debt (1)(3) (9,408,612 ) (2,023,664 ) (827,379 ) (2,514,364 ) (236,187 ) (63,334 ) Net floating rate exposure (4) $ 3,334,844 € 764,306 £ 410,788 kr 628,591 A$ 89,463 C$ (4,037 ) ____________ (1) Our floating rate investments and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. (2) Includes investment exposure 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. (3) Includes borrowings under secured debt agreements, securitizations, asset-specific financings, and secured term loans. (4) In addition, we have two interest rate caps of C$38.3 million ($30.5 million as of March 31, 2021) to limit our exposure to increases in interest rates. 60 Table of Contents III. Our Results of Operations Operating Results In the first quarter of 2021, we elected to update the consolidated results of operations disclosure to compare the operating results for the current quarter to the immediately preceding sequential quarter. This comparison provides a more relevant and informative representation of the changes to our results of operations over time. The following table sets forth information regarding our consolidated results of operations ($ in thousands, except per share data): Three Months Ended Change March 31, 2021 December 31, 2020 $ Income from loans and other investments Interest and related income $ 187,524 $ 188,851 $ (1,327 ) Less: Interest and related expenses 78,372 79,401 (1,029 ) Income from loans and other investments, net 109,152 109,450 (298 ) Other expenses Management and incentive fees 19,207 19,158 49 General and administrative expenses 10,597 11,551 (954 ) Total other expenses 29,804 30,709 (905 ) Decrease in current expected credit loss reserve 1,293 5,813 (4,520 ) Income before income taxes 80,641 84,554 (3,913 ) Income tax provision 101 131 (30 ) Net income 80,540 84,423 (3,883 ) Net income attributable to non-controlling interests (638 ) (807 ) 169 Net income attributable to Blackstone Mortgage Trust, Inc. $ 79,902 $ 83,616 $ (3,714 ) Net income per share - basic and diluted $ 0.54 $ 0.57 $ (0.03 ) Dividends declared per share $ 0.62 $ 0.62 $ — Income from loans and other investments, net Income from loans and other investments, net decreased $298,000 during the three months ended March 31, 2021 as compared to the three months ended December 31, 2020. The decrease was primarily due to (i) two less days of net interest income accrued during the three months ended March 31, 2021, as compared to the three months ended December 31, 2020, and (ii) an increase in the weighted-average principal balance of our outstanding financing arrangements by $290.7 million during the three months ended March 31, 2021, as compared to the three months ended December 31, 2020. This was offset by an increase in the weighted-average principal balance of our loan portfolio by $296.3 million for the three months ended March 31, 2021, as compared to the three months ended December 31, 2020. Other expenses Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses decreased by $905,000 during the three months ended March 31, 2021 compared to the three months ended December 31, 2020 primarily due to (i) a decrease of $486,000 of general operating expenses and (ii) a decrease of $468,000 in non-cash restricted stock amortization. Changes in current expected credit loss reserve During the three months ended March 31, 2021, we recorded a $1.3 million decrease in the current expected credit loss reserve. During the three months ended December 31, 2020, we recorded a $5.8 million decrease in the current expected credit loss 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 pandemic. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. 61 Table of Contents Net income attributable to non-controlling interests During the three months ended March 31, 2021 and December 31, 2020, we recorded $638,000 and $807,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture. Dividends per share During the three months ended March 31, 2021, we declared a dividend of $0.62 per share, or $91.2 million in aggregate, which was paid on April 15, 2021 to common stockholders of record as of March 31, 2021. During the three months ended December 31, 2020, we declared a dividend of $0.62 per share, or $91.0 million in aggregate. The following table sets forth information regarding our consolidated results of operations for the three months ended March 31, 2021 and 2020 ($ in thousands, except per share data): Three Months Ended Change March 31, 2021 March 31, 2020 $ Income from loans and other investments Interest and related income $ 187,524 $ 204,875 $ (17,351 ) Less: Interest and related expenses 78,372 104,239 (25,867 ) Income from loans and other investments, net 109,152 100,636 8,516 Other expenses Management and incentive fees 19,207 19,277 (70 ) General and administrative expenses 10,597 11,791 (1,194 ) Total other expenses 29,804 31,068 (1,264 ) Decrease (increase) in current expected credit loss reserve 1,293 (122,702 ) 123,995 Income (loss) before income taxes 80,641 (53,134 ) 133,775 Income tax provision 101 149 (48 ) Net income (loss) 80,540 (53,283 ) 133,823 Net income attributable to non-controlling interests (638 ) (67 ) (571 ) Net income (loss) attributable to Blackstone Mortgage Trust, Inc. $ 79,902 $ (53,350 ) $ 133,252 Net income (loss) per share - basic and diluted $ 0.54 $ (0.39 ) $ 0.93 Dividends declared per share $ 0.62 $ 0.62 $ — Income from loans and other investments, net Income from loans and other investments, net increased $8.5 million during the three months ended March 31, 2021 as compared to the corresponding period in 2020. The increase was primarily due to (i) the impact of declining LIBOR and other floating rate indices, which had a larger impact on interest expense than interest income as a result of $14.0 billion of our loans earning interest based on floors that were above the applicable floating rate index as of March 31, 2021, and (ii) an increase in the weighted-average principal balance of our loan portfolio by $420.9 million for the three months ended March 31, 2021, as compared to the corresponding period in 2020. This was offset by (i) an increase in the weighted-average principal balance of our outstanding financing arrangements by $320.2 million during the three months ended March 31, 2021, as compared to the corresponding period in 2020 and (ii) a decline in interest income related to two loans that are accounted for under the cost-recovery method effective June 30, 2020. Other expenses Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses decreased by $1.2 million during the three months ended March 31, 2021 compared to the corresponding period in 2020 due to (i) a decrease of $1.2 million of incentive fees payable to our Manager, primarily as a result of proceeds received from the sale of shares of our class A common stock during 2020, (ii) a decrease of $601,000 of general operating expenses, and (iii) a decrease of $593,000 in non-cash restricted stock amortization. This was offset by 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. 62 Table of Contents Changes in current expected credit loss reserve During the three months ended March 31, 2021, we recorded a $1.3 million decrease in the current expected credit loss reserve. During the three months ended March 31, 2020, we recorded a $122.7 million increase in the current expected credit loss 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 pandemic. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. Net income attributable to non-controlling interests During the three months ended March 31, 2021 and 2020, we recorded $638,000 and $67,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture. Dividends per share During the three months ended March 31, 2021, we declared a dividend of $0.62 per share, or $91.2 million in aggregate, which was paid on April 15, 2021 to common stockholders of record as of March 31, 2021. During the three months ended March 31, 2020, we declared a dividend of $0.62 per share, or $83.9 million in aggregate. IV. Liquidity and Capital Resources Capitalization We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, borrowings under secured debt agreements, borrowings under secured term loans, and the issuance and sale of convertible notes. As of March 31, 2021, our capitalization structure included $1.9 billion of corporate debt and $13.0 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 $13.0 billion of asset-level financing includes $8.1 billion of secured debt agreements, $3.5 billion of securitizations, which are inherently non-recourse, non-mark to market, and term matched to the financed assets, and $1.3 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. 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 pandemic. 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. 63 Table of Contents Debt-to-Equity Ratio and Total Leverage Ratio The following table presents our debt-to-equity ratio and total leverage ratio: March 31, 2021 December 31, 2020 Debt-to-equity ratio (1) 2.6x 2.5x Total leverage ratio (2) 3.8x 3.6x ____________ (1) 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. (2) 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 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): March 31, 2021 December 31, 2020 Cash and cash equivalents $ 280,126 $ 289,970 Available borrowings under secured debt agreements 836,916 829,165 Loan principal payments held by servicer, net (1) 2,578 19,460 $ 1,119,620 $ 1,138,595 ____________ (1) Represents loan principal payments held by our third-party servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle, net of the related secured debt balance. Typically, loan repayments are our largest source of incremental liquidity. For the year ended December 31, 2020, loan repayments and sales generated $451.1 million of liquidity, net of any related financings. Similarly, during the three months ended March 31, 2021, loan repayments generated $125.6 million of liquidity. Loan repayments have slowed as a result of the COVID-19 pandemic, however, as of March 31, 2021, our portfolio does include $2.7 billion of loans with a final maturity date earlier than December 31, 2022. During the three months ended March 31, 2021, we generated cash flow from operating activities of $83.0 million. Additionally, during the three months ended March 31, 2021, we received $198.5 million of net proceeds from borrowings under a secured term loan. 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. The securities covered by this registration statement include: (i) class A common stock; (ii) preferred stock; (iii) debt securities; (iv) depositary shares representing preferred stock; (v) warrants; (vi) subscription rights; (vii) purchase contracts; and (viii) units consisting of one or more of such securities or any combination of these securities. The specifics of any future offerings, along with the use of proceeds of any securities offered, will be described in detail in a prospectus supplement, or other offering materials, at the time of any offering. We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,991,459 shares of class A common stock were available for issuance as of March 31, 2021, 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 March 31, 2021. Refer to Note 11 to our consolidated financial statements for additional details. 64 Table of Contents Liquidity Needs In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $8.1 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 $3.5 billion as of March 31, 2021. We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of 73.1% for such financed loans, resulting in identified financing for $2.4 billion of our aggregate unfunded loan commitments as of March 31, 2021. Some of our lenders, including substantially all of our financing of construction loans, are contractually obligated to fund their ratable portion of these loan commitments over time, while other lenders have some degree of discretion over future loan funding obligations. We expect to fund our loan commitments over the tenor of these loans, which have a weighted-average future funding period of 3.2 years. Our future loan fundings comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and will vary depending on the progress of capital projects, leasing, and cash flows at the assets underlying our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. 65 Table of Contents Contractual Obligations and Commitments Our contractual obligations and commitments as of March 31, 2021 were as follows ($ in thousands): Payment Timing Total Less Than 1 to 3 3 to 5 More Than Obligation 1 Year (1) Years Years 5 Years Unfunded loan commitments (2) $ 3,457,326 $ 207,277 $ 721,560 $ 2,316,071 $ 212,418 Principal repayments under secured debt agreements (3) 8,142,728 487,802 2,909,143 4,052,182 693,601 Principal repayments under asset-specific debt agreements (3) 438,433 — 316,437 121,996 — Principal repayments of secured term loans (4) 1,259,575 12,763 25,526 25,526 1,195,760 Principal repayments of convertible notes (5) 622,500 — 622,500 — — Interest payments (3)(6) 752,541 244,102 336,574 167,874 3,991 Total (7) $ 14,673,103 $ 951,944 $ 4,931,740 $ 6,683,649 $ 2,105,770 ____________ (1) Represents our known, estimated short-term cash requirements related to our contractual obligations and commitments. Refer to the sources of liquidity section above for our sources of funds to satisfy our short-term cash requirements. (2) The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the final loan maturity date, however we may be obligated to fund these commitments earlier than such date . (3) 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. (4) 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. (5) 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. (6) Represents interest payments on our secured debt agreements, asset-specific debt agreements, convertible notes, and Secured Term Loans. Future interest payment obligations are estimated assuming the interest rates in effect as of March 31, 2021 will remain constant into the future. This is only an estimate as actual amounts borrowed and interest rates will vary over time. (7) Total does not include $2.9 billion of consolidated securitized debt obligations, $616.5 million of non-consolidated securitized debt obligations, and $889.9 million of non-consolidated senior interests, as the satisfaction of these liabilities will not require cash outlays from us. We are also required to settle our foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 10 to our consolidated financial statements for details regarding our derivative contracts. We are required to pay our Manager a base management fee, an incentive fee, and reimbursements for certain expenses pursuant to our Management Agreement. The table above does not include the amounts payable to our Manager under our Management Agreement as they are not fixed and determinable. Refer to Note 12 to our consolidated financial statements for additional terms and details of the fees payable under our Management Agreement. As a REIT, we generally must distribute substantially all of our net taxable income to stockholders in the form of dividends to comply with the REIT provisions of the Internal Revenue Code. Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Distributable Earnings as described above. 66 Table of Contents Cash Flows The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands): Three Months Ended March 31, 2021 2020 Cash flows provided by operating activities $ 83,048 $ 68,617 Cash flows used in investing activities (523,591 ) (249,266 ) Cash flows provided by financing activities 431,693 389,077 Net (decrease) increase in cash and cash equivalents $ (8,850 ) $ 208,428 We experienced a net decrease in cash and cash equivalents of $8.9 million for the three months ended March 31, 2021, compared to a net increase of $208.4 million for the three months ended March 31, 2020. During the three months ended March 31, 2021, we funded $1.4 billion of new loans, and we received (i) $862.2 million from loan principal collections, (ii) a net $344.5 million under our secured debt agreements, and (iii) $198.5 million of net proceeds from secured term loan borrowings. Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Notes 5 and 8 to our consolidated financial statements for further discussion of our secured debt agreements and secured term loans. V. Other Items Income Taxes We have elected to be taxed as a REIT under the Internal Revenue Code for U.S. federal income tax purposes. We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S. federal income tax not to apply to our earnings that we distribute. To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S. federal income tax on our undistributed taxable income. In addition, we will be subject to a 4% nondeductible excise tax if the actual amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal tax laws. Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to the nature of our assets and the sources of our income. Even if we qualify as a REIT, we may be subject to certain U.S. federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of March 31, 2021 and December 31, 2020, we were in compliance with all REIT requirements. Refer to Note 13 to our consolidated financial statements for additional discussion of our income taxes. Critical Accounting Policies Our discussion and analysis of our financial condition and results of operations is based upon our consolidated financial statements, which have been prepared in accordance with GAAP. There have been no material changes to our Critical Accounting Policies described in our annual report on Form 10-K filed with the SEC on February 10, 2021. Refer to Note 2 to our consolidated financial statements for the description of our significant accounting policies. Critical Accounting Estimates The preparation of these financial statements requires our Manager to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenue and expenses, and related disclosure of contingent assets and liabilities. Actual results could differ from these estimates. 67 Table of Contents Current Expected Credit Losses The current expected credit loss, or CECL, reserve required under Accounting Standard Update, or ASU, 2016-13 “Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic 326),” or ASU 2016-13, reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets. We estimate our CECL reserve primarily using the Weighted Average Remaining Maturity, or WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board Staff Q&A Topic 326, No. 1. Estimating the CECL reserve requires judgment, including the following assumptions: • Historical loan loss reference data : To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance, 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 February 28, 2021. Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and origination loan-to-value, or LTV. We believe this CMBS data, which includes month-over-month loan and property performance, is the most relevant, available, and comparable dataset to our portfolio. • Expected timing and amount of future loan fundings and repayments: Expected credit losses are estimated over the contractual term of each loan, adjusted for expected prepayments. As part of our quarterly review of our loan portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for purposes of computing our CECL reserve. Additionally, the expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. The CECL reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future funding obligations over the estimated life of the loan. The considerations in estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loan receivables. • Current credit quality of our portfolio: Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve. Our Manager performs a quarterly risk review of our portfolio of loans, and assigns each loan a risk rating based on a variety of factors, including, without limitation, LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship. • Expectations of performance and market conditions: Our CECL reserve is adjusted to reflect our estimation of the current and future economic conditions that impact the performance of the commercial real estate assets securing our loans. These estimations include unemployment rates, interest rates, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term. In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance. These estimations require significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of March 31, 2021. • Impairment: impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan. 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 68 Table of Contents deemed relevant by our Manager. Actual losses, if any, could ultimately differ from these estimates. We only expect to realize the impairment losses if and when such amounts are deemed nonrecoverable upon a realization event. This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected. These assumptions vary from quarter to quarter as our loan portfolio changes and market and economic conditions evolve. The sensitivity of each assumption and its impact on the CECL reserve may change over time and from period to period. During the three months ended March 31, 2021, we recorded an aggregate $1.3 million decrease in the current expected credit loss reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total CECL reserve to $184.0 million as of March 31, 2021. This CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio. Further, this reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the COVID-19 pandemic. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. 69 Table of Contents VI. Loan Portfolio Details The following table provides details of our loan portfolio, on a loan-by-loan basis, as of March 31, 2021 ($ in millions): Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 1 Senior loan 8/14/2019 $ 1,265.4 $ 1,265.4 $ 1,259.1 L + 2.50% L + 2.84% 12/23/2024 Dublin - IE Office $460 / sqft 74% 3 2 Senior loan 3/22/2018 922.2 922.2 920.1 L + 3.25% L + 3.42% 3/15/2023 Diversified - Spain Mixed-Use n / a 71% 4 3 Senior loan 11/25/2019 724.2 655.3 656.3 L + 2.30% L + 2.59% 12/9/2024 New York Office $939 / sqft 65% 3 4 Senior loan 5/11/2017 646.8 619.7 619.5 L + 3.40% L + 3.57% 6/10/2023 Washington DC Office $304 / sqft 62% 3 5 Senior loan 8/22/2018 362.5 362.5 362.0 L + 3.15% L + 3.49% 8/9/2023 Maui Hospitality $471,391 / key 61% 4 6 Senior loan 3/30/2021 572.4 360.0 356.4 L + 3.20% L + 3.41% 5/15/2026 Diversified - SE Industrial $66 / sqft 76% 3 7 Senior loan 10/23/2018 352.4 348.7 348.7 L + 3.40% L + 3.53% 1/24/2022 New York Mixed-Use $591 / sqft 65% 3 8 Senior loan 4/11/2018 355.0 344.5 344.4 L + 2.85% L + 3.10% 5/1/2023 New York Office $437 / sqft 71% 2 9 Senior loan (4) 8/7/2019 745.8 340.7 66.5 L + 3.12% L + 3.55% 9/9/2025 Los Angeles Office $230 / sqft 59% 3 10 Senior loan (4) 8/6/2015 333.9 333.9 60.5 5.74% 5.85% 10/29/2022 Diversified - EUR Other n / a 71% 3 11 Senior loan 1/11/2019 330.9 330.9 328.0 L + 4.35% L + 4.70% 1/11/2026 Diversified - UK Other $327 / sqft 74% 4 12 Senior loan 3/16/2021 490.8 307.3 303.0 L + 3.85% L + 4.15% 4/9/2026 Boston Life Sciences $759 / sqft 66% 3 13 Senior loan 2/27/2020 300.0 288.1 286.2 L + 2.70% L + 3.03% 3/9/2025 New York Mixed-Use $904 / sqft 59% 3 14 Senior loan 11/30/2018 286.3 286.3 284.8 n/m (7) n/m (7) 8/9/2025 New York Hospitality $306,870 / key 73% 5 15 Senior loan 9/30/2019 305.5 279.8 280.1 L + 3.66% L + 3.75% 9/9/2024 Chicago Office $243 / sqft 58% 2 16 Senior loan 10/23/2018 290.4 261.7 260.7 L + 2.80% L + 3.04% 11/9/2024 Atlanta Office $244 / sqft 64% 2 17 Senior loan 12/11/2018 310.0 259.9 259.0 L + 2.55% L + 2.96% 12/9/2023 Chicago Office $219 / sqft 78% 3 18 Senior loan 9/23/2019 293.3 249.7 247.6 L + 3.00% L + 3.22% 11/15/2024 Diversified - Spain Hospitality $133,315 / key 62% 4 19 Senior loan 11/30/2018 263.9 248.9 247.9 L + 2.80% L + 3.34% 12/9/2024 San Francisco Hospitality $365,544 / key 73% 4 20 Senior loan 7/20/2017 249.9 222.1 222.1 L + 4.80% L + 5.05% 8/9/2022 San Francisco Office $369 / sqft 58% 2 21 Senior loan 12/12/2019 260.5 213.2 212.7 L + 2.40% L + 2.69% 12/9/2024 New York Office $101 / sqft 42% 1 22 Senior loan 6/23/2015 208.3 208.3 208.3 L + 3.65% L + 3.91% 5/8/2022 Washington DC Office $233 / sqft 72% 2 23 Senior loan 11/5/2019 216.9 203.7 202.5 L + 3.85% L + 4.45% 2/21/2025 Diversified - IT Office $403 / sqft 66% 3 24 Senior loan 9/25/2019 202.8 202.8 202.1 L + 4.35% L + 4.93% 9/26/2023 London - UK Office $925 / sqft 72% 3 25 Senior loan 11/23/2018 205.0 201.5 200.2 L + 2.62% L + 2.87% 2/15/2024 Diversified - UK Office $1,222 / sqft 50% 3 continued… 70 Table of Contents Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 26 Senior loan 8/31/2017 203.0 200.5 200.2 L + 2.50 % L + 2.85 % 9/9/2023 Orange County Office $234 / sqft 64 % 3 27 Senior loan 6/27/2019 224.9 199.6 198.6 L + 2.80 % L + 3.16 % 8/15/2026 Berlin - DEU Office $428 / sqft 62 % 3 28 Senior loan 12/22/2016 204.5 191.9 191.5 L + 2.90 % L + 3.13 % 12/9/2022 New York Office $270 / sqft 64 % 3 29 Senior loan (4) 11/22/2019 470.0 190.4 37.2 L + 3.70 % L + 4.14 % 12/9/2025 Los Angeles Office $191 / sqft 69 % 3 30 Senior loan 6/4/2018 187.8 187.8 187.6 L + 3.50 % L + 3.86 % 6/9/2024 New York Hospitality $309,308 / key 52 % 4 31 Senior loan 4/9/2018 1,486.5 185.0 173.4 L + 8.50 % L + 10.64 % 6/9/2025 New York Office $525 / sqft 48 % 2 32 Senior loan 2/18/2021 184.0 184.0 182.2 L + 3.20 % L + 3.54 % 3/9/2026 Durham Multi $314 / sqft 72 % 3 33 Senior loan 9/14/2018 182.1 182.1 181.1 L + 3.50 % L + 4.04 % 9/14/2023 Canberra - AU Mixed-Use $473 / sqft 68 % 3 34 Senior loan 4/3/2018 178.6 177.5 177.4 L + 2.75 % L + 3.06 % 4/9/2024 Dallas Mixed-Use $502 / sqft 64 % 3 35 Senior loan 9/26/2019 175.0 175.0 174.8 L + 3.10 % L + 3.54 % 1/9/2023 New York Office $256 / sqft 65 % 3 36 Senior loan 11/16/2018 211.9 173.0 172.0 L + 4.10 % L + 4.73 % 12/9/2023 Fort Lauderdale Mixed-Use $486 / sqft 59 % 3 37 Senior loan 10/1/2019 354.1 170.6 167.3 L + 3.75 % L + 4.24 % 10/9/2025 Atlanta Mixed-Use $365 / sqft 70 % 3 38 Senior loan 12/21/2017 197.5 167.4 167.1 L + 2.65 % L + 2.87 % 1/9/2023 Atlanta Office $125 / sqft 51 % 2 39 Senior loan 12/6/2019 158.5 158.5 157.7 L + 2.80 % L + 3.51 % 12/5/2024 London - UK Office $1,050 / sqft 75 % 3 40 Senior loan 9/4/2018 172.7 156.9 156.7 L + 3.00 % L + 3.39 % 9/9/2023 Las Vegas Hospitality $190,003 / key 70 % 4 41 Senior loan 8/23/2017 165.0 156.0 155.8 L + 3.25 % L + 3.48 % 10/9/2022 Los Angeles Office $317 / sqft 74 % 2 42 Senior loan 12/20/2019 154.9 154.9 153.7 L + 3.10 % L + 3.32 % 12/18/2026 London - UK Office $770 / sqft 75 % 3 43 Senior loan 4/25/2019 210.0 154.5 153.9 L + 3.50 % L + 3.76 % 9/1/2025 Los Angeles Office $694 / sqft 73 % 1 44 Senior loan 9/5/2019 198.4 153.2 151.9 L + 2.75 % L + 3.24 % 9/9/2024 New York Life Sciences $955 / sqft 62 % 3 45 Senior loan (4) 3/23/2020 348.6 140.9 27.1 L + 3.75 % L + 4.41 % 1/9/2025 Nashville Mixed-Use $298 / sqft 78 % 3 46 Senior loan 6/1/2018 139.2 138.5 137.9 L + 3.40 % L + 3.74 % 5/28/2023 London - UK Office $939 / sqft 70 % 1 47 Senior loan 6/28/2019 225.6 136.7 134.4 L + 3.70 % L + 4.96 % 6/27/2024 London - UK Office $446 / sqft 71 % 3 48 Senior loan 5/11/2017 135.9 135.9 135.8 L + 3.40 % L + 3.64 % 6/10/2023 Washington DC Office $312 / sqft 38 % 2 49 Senior loan 1/17/2020 203.0 134.8 133.8 L + 2.75 % L + 3.07 % 2/9/2025 New York Mixed-Use $111 / sqft 43 % 3 50 Senior loan 11/14/2017 133.0 133.0 133.0 L + 2.75 % L + 3.00 % 6/9/2023 Los Angeles Hospitality $532,000 / key 56 % 3 continued… 71 Table of Contents Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 51 Senior loan 12/14/2018 135.6 127.5 127.5 L + 2.90 % L + 3.25 % 1/9/2024 Diversified - US Industrial $51 / sqft 57 % 3 52 Senior loan 4/30/2018 176.6 125.1 124.3 L + 3.25 % L + 3.51 % 4/30/2023 London - UK Office $563 / sqft 60 % 3 53 Senior loan 11/27/2019 146.3 123.8 122.9 L + 2.75 % L + 3.13 % 12/9/2024 Minneapolis Office $124 / sqft 64 % 3 54 Senior loan 11/30/2018 151.1 117.5 116.9 L + 2.55 % L + 2.81 % 12/9/2024 Washington DC Office $330 / sqft 60 % 3 55 Senior loan 6/28/2019 125.0 117.2 116.9 L + 2.75 % L + 2.91 % 2/1/2024 Los Angeles Office $591 / sqft 48 % 3 56 Senior loan 3/10/2020 140.0 117.1 116.9 L + 2.50 % L + 2.67 % 1/9/2025 New York Mixed-Use $76 / sqft 53 % 3 57 Senior loan 7/15/2019 144.6 115.3 114.6 L + 2.90 % L + 3.25 % 8/9/2024 Houston Office $209 / sqft 58 % 3 58 Senior loan 10/17/2016 114.2 114.2 114.2 L + 3.95 % L + 3.96 % 10/21/2021 Diversified - UK Self-Storage $157 / sqft 73 % 2 59 Senior loan 12/21/2018 123.1 111.2 110.9 L + 2.60 % L + 2.99 % 1/9/2024 Chicago Office $217 / key 72 % 3 60 Senior loan 3/29/2021 140.7 109.5 107.8 L + 3.90 % L + 4.55 % 3/29/2026 Diversified - UK Multi $48,023 / unit 61 % 3 61 Senior loan (4) 9/22/2017 111.7 106.8 26.7 L + 5.25 % L + 5.48 % 10/9/2022 San Francisco Multi $547,745 / unit 46 % 3 62 Senior loan 10/16/2018 113.7 104.8 104.6 L + 3.25 % L + 3.57 % 11/9/2023 San Francisco Hospitality $228,299 / key 72 % 4 63 Senior loan 3/13/2018 123.0 103.6 103.3 L + 3.00 % L + 3.27 % 4/9/2025 Honolulu Hospitality $160,580 / key 50 % 3 64 Senior loan 3/25/2020 125.0 102.0 101.2 L + 2.40 % L + 2.78 % 3/31/2025 Diversified - NL Multi $124,599 / unit 65 % 2 65 Senior loan 12/10/2018 122.4 99.0 98.1 L + 2.95 % L + 3.34 % 12/3/2024 London - UK Office $473 / sqft 72 % 3 66 Senior loan 12/23/2019 109.7 96.8 96.2 L + 2.70 % L + 3.03 % 1/9/2025 Miami Multi $334,944 / unit 68 % 3 67 Senior loan 4/12/2018 103.1 96.7 96.7 L + 2.75 % L + 3.06 % 5/9/2023 San Francisco Office $252 / sqft 72 % 3 68 Senior loan 3/28/2019 98.4 96.5 96.4 L + 3.25 % L + 3.40 % 1/9/2024 New York Hospitality $249,317 / key 63 % 4 69 Senior loan 5/16/2014 92.0 92.0 91.9 L + 3.85 % L + 4.04 % 7/9/2022 Miami Office $198 / sqft 67 % 3 70 Senior loan 8/18/2017 91.2 91.2 91.1 L + 4.10 % L + 4.41 % 8/18/2022 Brussels - BE Office $142 / sqft 59 % 1 71 Senior loan 3/31/2017 96.9 90.0 90.4 L + 4.00 % L + 4.54 % 4/9/2022 New York Office $441 / sqft 64 % 3 72 Senior loan 2/18/2015 87.7 87.7 87.6 L + 5.00 % L + 5.69 % 8/9/2021 Diversified - CA Office $181 / sqft 71 % 3 73 Senior loan 11/22/2019 85.0 85.0 84.9 L + 2.99 % L + 3.27 % 12/1/2024 San Jose Multi $317,164 / unit 62 % 3 74 Senior loan 2/1/2021 82.5 82.5 82.3 L + 4.05 % L + 4.18 % 8/1/2022 Washington DC Multi $214,844 / unit 67 % 3 75 Senior loan 2/20/2019 139.9 80.9 79.7 L + 3.25 % L + 3.89 % 2/19/2024 London - UK Office $397 / sqft 61 % 3 continued… 72 Table of Contents Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 76 Senior loan 6/29/2016 83.4 80.4 80.4 L + 2.80 % L + 3.04 % 7/9/2021 Miami Office $310 / sqft 64 % 2 77 Senior loan 6/18/2019 75.0 75.0 74.6 L + 2.75 % L + 3.15 % 7/9/2024 Napa Valley Hospitality $785,340 / key 74 % 4 78 Senior loan 6/27/2019 84.0 74.7 74.5 L + 2.50 % L + 2.77 % 7/9/2024 West Palm Beach Office $256 / sqft 70 % 3 79 Senior loan 7/26/2018 84.1 73.3 73.3 L + 2.75 % L + 2.85 % 1/29/2024 Columbus Multi $69,038 / unit 69 % 2 80 Senior loan 3/21/2018 74.3 69.4 69.3 L + 3.10 % L + 3.33 % 3/21/2024 Jacksonville Office $91 / sqft 72 % 2 81 Senior loan 1/30/2020 104.4 66.7 66.0 L + 2.85 % L + 3.22 % 2/9/2026 Honolulu Hospitality $214,341 / key 63 % 4 82 Senior loan 10/5/2018 65.3 65.3 65.2 L + 5.50 % L + 5.65 % 10/5/2021 Sydney - AU Office $694 / sqft 78 % 3 83 Senior loan 8/22/2019 74.3 65.0 64.6 L + 2.55 % L + 2.93 % 9/9/2024 Los Angeles Office $389 / sqft 63 % 3 84 Senior loan 6/29/2017 63.4 63.4 63.3 L + 3.40 % L + 3.65 % 7/9/2023 New York Multi $184,768 / unit 69 % 4 85 Senior loan 10/31/2018 62.7 62.7 62.7 L + 5.00 % L + 5.00 % 11/9/2023 New York Multi $325,807 / unit 61 % 2 86 Senior loan 3/31/2021 62.0 62.0 61.9 L + 3.73 % L + 3.86 % 4/1/2024 Boston Multi $316,327 / unit 75 % 3 87 Senior loan 6/26/2019 71.4 55.6 55.1 L + 3.35 % L + 3.66 % 6/20/2024 London - UK Office $628 / sqft 61 % 3 88 Senior loan 8/14/2019 70.3 55.4 55.0 L + 2.45 % L + 2.87 % 9/9/2024 Los Angeles Office $634 / sqft 57 % 3 89 Senior loan 12/10/2020 61.2 54.3 53.9 L + 3.25 % L + 3.54 % 1/9/2026 Fort Lauderdale Office $187 / sqft 68 % 3 90 Senior loan 8/16/2019 54.3 54.3 54.3 L + 2.75 % L + 2.95 % 9/1/2022 Sarasota Multi $238,158 / unit 76 % 2 91 Senior loan 11/23/2016 53.6 53.6 53.5 L + 3.50 % L + 4.45 % 12/9/2022 New York Multi $223,254 / unit 65 % 4 92 Senior loan 3/11/2014 52.4 52.4 52.4 n/m (7) n/m (7) 7/9/2021 New York Multi $589,065 / unit 65 % 5 93 Senior loan 11/30/2016 60.5 52.0 51.9 L + 3.10 % L + 3.22 % 12/9/2023 Chicago Retail $1,014 / sqft 54 % 4 94 Senior loan 2/17/2021 53.0 50.0 49.6 L + 3.55 % L + 3.75 % 3/9/2026 Miami Multi $285,714 / unit 64 % 3 95 Senior loan 6/12/2019 55.0 48.3 48.3 L + 3.25 % L + 3.37 % 7/1/2022 Grand Rapids Multi $92,529 / unit 69 % 3 96 Senior loan 2/20/2019 53.3 45.6 45.4 L + 3.50 % L + 3.92 % 3/9/2024 Calgary - CAN Office $126 / sqft 52 % 3 97 Senior loan 11/3/2017 45.0 44.2 44.1 L + 3.00 % L + 3.26 % 11/1/2022 Los Angeles Office $206 / sqft 50 % 1 98 Senior loan 2/21/2020 43.8 43.8 43.7 L + 2.95 % L + 3.27 % 3/1/2025 Atlanta Multi $137,304 / unit 68 % 3 99 Senior loan 6/26/2015 41.0 41.0 40.9 L + 5.00 % L + 5.70 % 8/9/2021 San Diego Office $187 / sqft 73 % 3 100 Senior loan 12/27/2016 36.0 36.0 35.9 L + 3.10 % L + 3.26 % 7/9/2023 New York Multi $617,619 / unit 64 % 3 continued… 73 Table of Contents Loan Type (1) Origination Date (2) Total Loan (3)(4) Principal Balance (4) Net Book Value Cash Coupon (5) All-in Yield (5) Maximum Maturity (6) Location Property Type Loan Per SQFT / Unit / Key Origination LTV (2) Risk Rating 101 Senior loan 2/26/2021 37.0 35.8 35.5 L + 3.50 % L + 3.85 % 3/9/2026 Austin Multi $194,757 / unit 64 % 3 102 Senior loan 12/13/2019 37.5 34.9 34.4 L + 3.55 % L + 4.49 % 6/12/2024 Diversified - FR Industrial $25 / sqft 55 % 3 103 Senior loan 11/19/2020 34.7 34.7 34.4 L + 3.50 % L + 3.85 % 12/9/2025 Scottsdale Multi $204,098 / unit 59 % 3 104 Senior loan 10/31/2019 33.9 33.4 33.3 L + 3.25 % L + 3.34 % 11/1/2024 Raleigh Multi $164,372 / unit 52 % 3 105 Senior loan 2/3/2021 110.5 31.8 30.8 L + 3.20 % L + 3.58 % 2/9/2026 Austin Office $132 / sqft 58 % 3 106 Senior loan 10/31/2019 31.5 31.5 31.5 L + 3.25 % L + 3.33 % 11/1/2024 Atlanta Multi $165,789 / unit 60 % 3 107 Senior loan 10/31/2019 30.2 30.2 30.2 L + 3.25 % L + 3.33 % 11/1/2024 Austin Multi $159,788 / unit 52 % 3 108 Senior loan 10/31/2018 28.7 28.7 28.8 L + 5.00 % L + 4.97 % 11/9/2023 New York Condo $545,891 / unit 64 % 2 109 Senior loan 11/19/2020 37.8 28.3 28.0 L + 3.50 % L + 3.90 % 12/9/2025 Chicago Multi $161,685 / unit 53 % 3 110 Senior loan 11/19/2020 28.2 28.1 27.8 L + 3.50 % L + 3.85 % 12/9/2025 Charlotte Multi $177,535 / unit 61 % 3 111 Senior loan 11/19/2020 33.7 27.7 27.4 L + 3.50 % L + 3.88 % 12/9/2025 Virginia Beach Multi $160,839 / unit 61 % 3 112 Senior loan 10/31/2019 27.2 27.2 27.2 L + 3.25 % L + 3.32 % 11/1/2024 Austin Multi $135,323 / unit 53 % 3 113 Senior loan 6/26/2019 25.5 25.5 25.5 L + 3.25 % L + 3.60 % 6/1/2021 Lake Charles Multi $95,149 / unit 73 % 1 114 Senior loan 12/23/2019 26.2 21.5 21.3 L + 2.85 % L + 3.21 % 1/9/2025 Miami Office $361 / sqft 68 % 3 115 Senior loan 3/8/2017 21.5 21.5 21.5 4.79 % (8) 5.12 % (8) 12/23/2021 Montreal - CAN Office $59 / sqft 45 % 2 116 Senior loan 12/15/2017 20.1 20.1 20.0 L + 4.88 % L + 5.24 % 12/9/2021 Diversified - US Hospitality $303,882 / key 50 % 3 117 Senior loan 4/26/2019 20.0 20.0 20.0 L + 2.93 % L + 3.38 % 5/1/2024 Nashville Multi $198,020 / unit 73 % 3 118 Senior loan 4/30/2019 15.5 15.1 15.0 L + 3.00 % L + 3.27 % 5/1/2024 Houston Multi $48,747 / unit 78 % 3 119 Senior loan 6/21/2019 14.8 14.5 14.4 L + 3.30 % L + 3.41 % 7/1/2022 Portland Multi $130,180 / unit 66 % 1 120 Senior loan 2/28/2019 15.3 14.5 14.5 L + 3.00 % L + 3.29 % 3/1/2024 San Antonio Multi $63,046 / unit 75 % 3 121 Senior loan 5/22/2014 14.0 14.0 14.0 L + 2.90 % L + 3.15 % 6/15/2021 Orange County Office $25 / sqft 74 % 2 CECL reserve (172.1 ) Loans receivable, net $ 22,206.7 $ 18,033.0 $ 16,888.0 L + 3.28 % L + 3.62 % 3.1 yrs 65 % 3.0 (1) Senior loans include senior mortgages and similar credit quality loans, including related contiguous subordinate loans and pari passu participations in senior mortgage loans. (2) Date loan was originated or acquired by us, and the LTV as of such date. Origination dates are subsequently updated to reflect material loan modifications. (3) Total loan amount reflects outstanding principal balance as well as any related unfunded loan commitment. (4) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. As of March 31, 2021, five loans in our portfolio have been financed with an aggregate $889.9 million of non-consolidated senior interest, which are included in the table above. Portfolio excludes our $79.2 million subordinate position in the $695.7 million 2018 Single Asset Securitization. Refer to Notes 4 and 16 to our consolidated financial statements for details of the 2018 Single Asset Securitization. (5) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, STIBOR, BBSY, and CDOR, as applicable to each loan. As of March 31, 2021, 98% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $14.6 billion of such loans earned interest based on floors that are above the applicable index. The other 2% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2021, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method. (6) Maximum maturity assumes all extension options are exercised, however our loans may be repaid prior to such date. (7) Loans are accounted for under the cost-recovery method. (8) Loan consists of one or more floating and fixed rate tranches. Coupon and all-in yield assume applicable floating benchmark rates for weighted-average calculation. 74 Table of Contents ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK Interest Rate Risk Investment Portfolio Net Interest Income Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income. As of March 31, 2021, 98% of our investments by total investment exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate loans. As of March 31, 2021, the remaining 2% of our investments by total investment exposure earned a fixed rate of interest, but are financed with liabilities that pay interest at floating rates, which resulted in a negative correlation to rising interest rates to the extent of our financing. In certain instances where we have financed fixed rate assets with floating rate liabilities, we have purchased interest rate caps to limit our exposure to increases in interest rates on such liabilities. LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, the Stockholm Interbank Offered Rate, the Canadian Dollar Offered Rate and the Australian Bank Bill Swap Reference Rate, or collectively, IBORs, are the subject of recent national, international and regulatory guidance and proposals for reform. On November 30, 2020, the Financial Conduct Authority of the U.K., or FCA, which has statutory powers to require panel banks to contribute to LIBOR where necessary, announced that subject to confirmation following its consultation with the administrator of LIBOR, it would cease publication of the one-week and two-month USD LIBOR immediately after December 31, 2021 and cease publication of the remaining tenors immediately after June 30, 2023. Additionally, the Federal Reserve Board has advised banks to stop entering into new USD LIBOR based contracts. The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee comprised of large U.S. financial institutions, has identified the Secured Overnight Financing Rate, or SOFR, a new index calculated by short-term repurchase agreements, backed by Treasury securities, as its preferred alternative rate for LIBOR. At this time, it is not possible to predict how markets will respond to SOFR or other alternative reference rates as the transition away from the IBOR benchmarks is anticipated in coming years. Refer to “Part I. Item 1A. Risk Factors—Risks Related to Our Lending and Investment Activities—The expected discontinuation of currently used financial reference rates and use of alternative replacement reference rates may adversely affect net interest income related to our loans and investments or otherwise adversely affect our results of operations, cash flows and the market value of our investments.” of our Annual Report on Form 10-K filed with the SEC on February 10, 2021. 75 Table of Contents The following table projects the impact on our interest income and expense, net of incentive fees, for the twelve-month period following March 31, 2021, assuming an immediate increase or decrease of both 25 and 50 basis points in the applicable interest rate benchmark by currency ($ in thousands): Interest Rate Sensitivity as of March 31, 2021 Assets (Liabilities) Sensitive to Changes in Interest Rates (1)(2)(3) Increase in Rates Decrease in Rates (4) Currency 25 Basis Points 50 Basis Points 25 Basis Points 50 Basis Points USD $ 12,743,456 Income $ 8,943 $ 18,902 $ (3,304 ) $ (3,304 ) (9,408,612 ) Expense (15,749 ) (31,757 ) 7,001 7,001 $ 3,334,844 Net interest $ (6,806 ) $ (12,855 ) $ 3,697 $ 3,697 EUR (5) $ 3,270,289 Income $ — $ — $ — $ — (2,373,757 ) Expense — — — — $ 896,532 Net interest $ — $ — $ — $ — GBP $ 1,706,566 Income $ 1,792 $ 4,002 $ (497 ) $ (497 ) (1,140,377 ) Expense (2,281 ) (4,562 ) 802 802 $ 566,189 Net interest $ (489 ) $ (560 ) $ 305 $ 305 SEK $ 360,014 Income $ 688 $ 1,408 $ — $ — (288,011 ) Expense (551 ) (1,127 ) — — $ 72,003 Net interest $ 137 $ 281 $ — $ — AUD $ 247,429 Income $ — $ — $ — $ — (179,455 ) Expense (359 ) (718 ) 114 114 $ 67,974 Net interest $ (359 ) $ (718 ) $ 114 $ 114 CAD $ 47,203 Income $ 3 $ 6 $ (3 ) $ (5 ) (50,417 ) Expense (101 ) (202 ) 101 166 $ (3,214 ) Net interest $ (98 ) $ (196 ) $ 98 $ 161 Total net interest $ (7,752 ) $ (14,329 ) $ 4,214 $ 4,277 (1) 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. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. Increases (decreases) in interest income and expense are presented net of incentive fees. In addition, $14.6 billion of our loans earned interest based on floors that are above the applicable index as of March 31, 2021. Refer to Note 12 to our consolidated financial statements for additional details of our incentive fee calculation. (2) 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. (3) Includes amounts outstanding under secured debt agreements, securitizations, asset-specific financings, and secured term loans. (4) Decrease in rates assumes the applicable benchmark rate for each currency does not decrease below 0%. (5) Assets balance includes a loan denominated in British Pound Sterling, with an outstanding principal balance of £146.2 million as of March 31, 2021, 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. Investment Portfolio Value As of March 31, 2021, 2% of our investments by total investment exposure earned a fixed rate of interest and as such, the values of such investments are sensitive to changes in interest rates. We generally hold all of our investments to maturity and so do not expect to realize gains or losses on our fixed rate investment portfolio as a result of movements in market interest rates. 76 Table of Contents Risk of Non-Performance In addition to the risks related to fluctuations in cash flows and asset values associated with movements in interest rates, there is also the risk of non-performance on floating rate assets. In the case of a significant increase in interest rates, the additional debt service payments due from our borrowers may strain the operating cash flows of the collateral real estate assets and, potentially, contribute to non-performance or, in severe cases, default. This risk is partially mitigated by various facts we consider during our underwriting process, which in certain cases include a requirement for our borrower to purchase an interest rate cap contract. Credit Risks Our loans and investments are also subject to credit risk. The performance and value of our loans and investments depend upon the sponsors’ ability to operate the properties that serve as our collateral so that they produce cash flows adequate to pay interest and principal due to us. To monitor this risk, our Manager’s asset management team reviews our investment portfolios and in certain instances is in regular contact with our borrowers, monitoring performance of the collateral and enforcing our rights as necessary. In addition, we are exposed to the risks generally associated with the commercial real estate market, including variances in occupancy rates, capitalization rates, absorption rates, and other macroeconomic factors beyond our control. We seek to manage these risks through our underwriting and asset management processes. The COVID-19 pandemic has significantly impacted the commercial real estate markets, causing reduced occupancy, requests from tenants for rent deferral or abatement, and delays in construction and development projects currently planned or underway. These negative conditions have persisted, and in the future may continue to persist and impair our borrowers’ ability to pay principal and interest due to us under our loan agreements. 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. We are generally encouraged by our borrowers’ 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 64.5% as of March 31, 2021, reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments. Our Manager’s portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from its position as part of Blackstone’s real estate platform. Blackstone 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 our asset portfolio and work with our borrowers throughout periods of economic stress and uncertainty. Capital Market Risks We are exposed to risks related to the equity capital markets, and our related ability to raise capital through the issuance of our class A common stock or other equity instruments. We are also exposed to risks related to the debt capital markets, and our related ability to finance our business through borrowings under credit facilities or other debt instruments. As a REIT, we are required to distribute a significant portion of our taxable income annually, which constrains our ability to accumulate operating cash flow and therefore requires us to utilize debt or equity capital to finance our business. We seek to mitigate these risks by monitoring the debt and equity capital markets to inform our decisions on the amount, timing, and terms of capital we raise. 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. 77 Table of Contents Counterparty Risk The nature of our business requires us to hold our cash and cash equivalents and obtain financing from various financial institutions. This exposes us to the risk that these financial institutions may not fulfill their obligations to us under these various contractual arrangements. We mitigate this exposure by depositing our cash and cash equivalents and entering into financing agreements with high credit-quality institutions. The nature of our loans and investments also exposes us to the risk that our counterparties do not make required interest and principal payments on scheduled due dates. We seek to manage this risk through a comprehensive credit analysis prior to making an investment and active monitoring of the asset portfolios that serve as our collateral. Currency Risk Our loans and investments that are denominated in a foreign currency are also subject to risks related to fluctuations in currency rates. We generally mitigate this exposure by matching the currency of our foreign currency assets to the currency of the borrowings that finance those assets. As a result, we substantially reduce our exposure to changes in portfolio value related to changes in foreign currency rates. The following table outlines our assets and liabilities that are denominated in a foreign currency (€/£/A$/C$/kr in thousands): March 31, 2021 Foreign currency assets (1)(2)(3) € 2,799,122 £ 1,494,599 A$ 342,356 C$ 85,978 kr 3,138,475 Foreign currency liabilities (1) (2,023,318 ) (1,028,244 ) (245,206 ) (63,358 ) (2,509,628 ) Foreign currency contracts - notional (759,102 ) (460,262 ) (92,800 ) (20,800 ) (628,600 ) Net exposure to exchange rate fluctuations € 16,702 £ 6,093 A$ 4,350 C$ 1,820 kr 247 ____________ (1) Balances include non-consolidated senior interests of £198.3 million. (2) Euro balance includes a loan denominated in British Pound Sterling, with an outstanding principal balance of £146.2 million as of March 31, 2021, 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. (3) British Pound Sterling balance includes a loan tranche denominated in Euro, with an outstanding principal balance of €8.3 million as of March 31, 2021, that is hedged to British Pound Sterling exposure through a foreign currency forward contract. Refer to Note 10 to our consolidated financial statements for additional discussion of our foreign currency derivatives. Substantially all of our net asset exposure to the Euro, the British Pound Sterling, the Australian Dollar, the Canadian Dollar, and the Swedish Krona has been hedged with foreign currency forward contracts.