BLACKSTONE MORTGAGE TRUST, INC. References herein to "
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 endedDecember 31, 2021 and elsewhere in this quarterly report on Form 10-Q.
Introduction
Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate inNorth America ,Europe , andAustralia . Our portfolio is composed primarily of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators. These senior loans are capitalized by accessing a variety of financing options, including borrowing under our credit facilities, issuing CLOs or single-asset securitizations, and syndicating senior loan participations, depending on our view of the most prudent financing option available for each of our investments. We are not in the business of buying or trading securities, and the only securities we own are the retained interests from our securitization financing transactions, which we have not financed. We are externally managed byBXMT Advisors L.L.C. , or our Manager, a subsidiary of Blackstone Inc., orBlackstone , and are a real estate investment trust, or REIT, traded on theNew York Stock Exchange , or NYSE, under the symbol "BXMT." We benefit from the deep knowledge, experience and information advantages of our Manager, which is a part ofBlackstone's real estate platform.Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of theBlackstone 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 forU.S. federal income tax purposes. We generally will not be subject toU.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries. Recent Developments COVID-19 As the novel coronavirus, or COVID-19, pandemic has evolved from its emergence in early 2020, so has its global impact. Many countries have at times re-instituted, or strongly encouraged, varying levels of quarantines and restrictions on travel and in some cases have at times limited operations of certain businesses and taken other restrictive measures designed to help slow the spread of COVID-19 and its variants. Governments and businesses have also instituted vaccine mandates and testing requirements for employees. While vaccine availability and uptake has increased, the longer-term macro-economic effects on global supply chains, inflation, labor shortages and wage increases continue to impact many industries, including the collateral underlying certain of our loans. Moreover, with the potential for new strains of COVID-19 or outbreaks of other infectious diseases, governments and businesses may re-impose aggressive measures to help slow the spread of infectious diseases in the future. For this reason, among others, as the COVID-19 pandemic continues, the potential global impacts are uncertain and difficult to assess. 51 --------------------------------------------------------------------------------
Reference Rate Reform
LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, are the subject of recent national, international and regulatory guidance and proposals for reform. As ofDecember 31, 2021 , theICE Benchmark Association , or IBA, ceased publication of all non-USD LIBOR and the one-week and two-month USD LIBOR and, as and previously announced, intends to cease publication of remainingU.S. dollar LIBOR settings immediately afterJune 30, 2023 . Further, onMarch 15, 2022 , the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, was signed into law in theU.S. This legislation establishes a uniform benchmark replacement process for financial contracts maturing afterJune 30, 2023 that do not contain clearly defined or practicable fallback provisions. The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by theBoard of Governors of theFederal Reserve . TheU.S. Federal Reserve , in conjunction with the Alternative Reference Rates Committee, a steering committee composed of largeU.S. financial institutions, has identified the Secured Overnight Financing Rate, or SOFR, a new index calculated using short-term repurchase agreements backed byU.S. Treasury securities, as its preferred alternative rate for USD LIBOR. As ofJune 30, 2022 , one-month SOFR is utilized as the floating benchmark rate on 43 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, and certain borrowings under eight of our credit facilities. As ofJune 30, 2022 , the one-month SOFR was 1.69% and one-month USD LIBOR was 1.79%. Additionally, market participants have started to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from theU.K. regulators. As ofJune 30, 2022 , daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings. At this time, it is not possible to predict how markets will respond to SOFR, SONIA, or other alternative reference rates as the transition away from USD LIBOR and GBP LIBOR proceeds. Despite the LIBOR transition in other markets, benchmark rate methodologies inEurope ,Australia ,Canada ,Switzerland , andDenmark have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, SARON, and CIBOR may persist asInternational Organization of Securities Commissions , or IOSCO, compliant reference rates moving forward. However, multi-rate environments may persist in these markets as regulators and working groups have suggested market participants adopt alternative reference rates. Refer to "Part I. Item 1A. Risk Factors-Risks Related to Our Lending and Investment Activities-The recent and expected discontinuation of currently used financial reference rates and use of alternative replacement reference rates may adversely affect net interest income related to our loans and investments or otherwise adversely affect our results of operations, cash flows and the market value of our investments" of our Annual Report on Form 10-K filed with theSEC onFebruary 9, 2022 . Macroeconomic Environment TheU.S. Federal Reserve's recent actions to increase interest rates in order to control inflation have created further uncertainty for the economy and for our borrowers. Although our business model is such that rising interest rates will, all else being equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers. It is difficult to predict the full impact of recent changes and any future changes in interest rates or inflation.
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 endedJune 30, 2022 , we recorded basic earnings per share of$0.55 , declared a dividend of$0.62 per share, and reported$0.67 per share of Distributable Earnings. In addition, our book value as ofJune 30, 2022 was$27.17 per share, which is net of an$0.83 per share cumulative CECL reserve.
As further described below, Distributable Earnings is a measure that is not
prepared in accordance with accounting principles generally accepted in
52
--------------------------------------------------------------------------------Earnings Per Share and Dividends Declared
The following table sets forth the calculation of basic net income per share and dividends declared per share ($ in thousands, except per share data):
Three Months Ended
June 30, 2022 March 31, 2022
Basic Earnings:
Net income(1) $ 93,250 $ 99,687 Weighted-average shares outstanding, basic 170,665,601 169,254,059
Per share amount, basic $ 0.55 $ 0.59
Dividends declared per share $ 0.62 $ 0.62
(1)Represents net income attributable to Blackstone Mortgage Trust . Refer to
Note 13 to our consolidated financial statements for the calculation of diluted
net income per share.
Distributable Earnings
Distributable Earnings is a non-GAAP measure, which we define as GAAP net income
(loss), including realized gains and losses not otherwise recognized in current
period GAAP net income (loss), and excluding (i) non-cash equity compensation
expense, (ii) depreciation and amortization, (iii) unrealized gains (losses),
and (iv) certain non-cash items. Distributable Earnings may also be adjusted
from time to time to exclude one-time events pursuant to changes in GAAP and
certain other non-cash charges as determined by our Manager, subject to approval
by a majority of our independent directors. Distributable Earnings mirrors the
terms of our management agreement between our Manager and us, or our Management
Agreement, for purposes of calculating our incentive fee expense.
Our CECL reserve has been excluded from Distributable Earnings consistent with
other unrealized gains (losses) pursuant to our existing policy for reporting
Distributable Earnings. We expect to only recognize such potential credit losses
in Distributable Earnings if and when such amounts are deemed nonrecoverable
upon a realization event. This is generally at the time a loan is repaid, or in
the case of foreclosure, when the underlying asset is sold, but
non-recoverability may also be concluded if, in our determination, it is nearly
certain that all amounts due will not be collected. The realized loss amount
reflected in Distributable Earnings will equal the difference between the cash
received, or expected to be received, and the book value of the asset, and is
reflective of our economic experience as it relates to the ultimate realization
of the loan.
We believe that Distributable Earnings provides meaningful information to
consider in addition to our net income (loss) and cash flow from operating
activities determined in accordance with GAAP. We believe Distributable Earnings
is a useful financial metric for existing and potential future holders of our
class A common stock as historically, over time, Distributable Earnings has been
a strong indicator of our dividends per share. As a REIT, we generally must
distribute annually at least 90% of our net taxable income, subject to certain
adjustments, and therefore we believe our dividends are one of the principal
reasons stockholders may invest in our class A common stock. Refer to Note 15 to
our consolidated financial statements for further discussion of our distribution
requirements as a REIT. Further, Distributable Earnings helps us to evaluate our
performance excluding the effects of certain transactions and GAAP adjustments
that we believe are not necessarily indicative of our current loan portfolio and
operations, and is a performance metric we consider when declaring our
dividends.
Distributable Earnings does not represent net income (loss) or cash generated
from operating activities and should not be considered as an alternative to GAAP
net income (loss), or an indication of our GAAP cash flows from operations, a
measure of our liquidity, or an indication of funds available for our cash
needs. In addition, our methodology for calculating Distributable Earnings may
differ from the methodologies employed by other companies to calculate the same
or similar supplemental performance measures, and accordingly, our reported
Distributable Earnings may not be comparable to the Distributable Earnings
reported by other companies.
53
--------------------------------------------------------------------------------The following table provides a reconciliation of Distributable Earnings to GAAP net income ($ in thousands, except per share data):
Three months ended
June 30, 2022 March 31, 2022
Net income(1) $ 93,250 $ 99,687
Increase (decrease) in current expected credit loss 12,983 (2,537)
reserve
Non-cash compensation expense 8,418 8,650 Realized hedging and foreign currency loss, net(2) (829) (200) Other items (65) (30) Adjustments attributable to non-controlling interests, net (46) (4) Distributable Earnings$ 113,711 $ 105,566 Weighted-average shares outstanding, basic(3) 170,665,601 169,254,059 Distributable Earnings per share, basic$ 0.67 $ 0.62 (1)Represents net income attributable toBlackstone Mortgage Trust . (2)Represents realized gains (losses) on the repatriation of unhedged foreign currency. These amounts were not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements. (3)The weighted-average shares outstanding, basic, exclude shares issuable from a potential conversion of our Convertible Notes. Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs.
Book Value Per Share
The following table calculates our book value per share ($ in thousands, except per share data):
June 30, 2022 March 31, 2022
Stockholders' equity $ 4,637,591 $ 4,642,938
Shares
Class A common stock 170,295,049 170,283,071
Deferred stock units 391,027 370,635
Total outstanding 170,686,076 170,653,706
Book value per share(1) $ 27.17 $ 27.21
(1)The book value per share excludes shares issuable from a potential conversion of our Convertible Notes. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share.
II. Loan Portfolio
During the three months endedJune 30, 2022 , we originated or acquired$3.0 billion of loans. Loan fundings during the quarter totaled$2.8 billion and loan repayments and sales during the quarter totaled$1.4 billion . We generated interest income of$283.7 million and incurred interest expense of$136.6 million during the quarter, which resulted in$147.1 million of net interest income during the three months endedJune 30, 2022 . 54 --------------------------------------------------------------------------------
Portfolio Overview
The following table details our loan origination activity ($ in thousands):
Three Months
Ended June 30, Six Months Ended
2022 June 30, 2022
Loan originations(1) $ 2,977,374 $ 6,384,898
Loan fundings(2) $ 2,752,067 $ 5,768,619
Loan repayments and sales(3) (1,371,524) (2,643,041)
Total net fundings $ 1,380,543 $ 3,125,578
(1)Includes new loan originations and additional commitments made under existing
loans.
(2)Loan fundings during the three and six months ended June 30, 2022 , include
$101.1 million and $193.2 million , respectively, of additional fundings under
related non-consolidated senior interests.
(3)Loan repayments and sales during the three and six months ended June 30,
2022 , include $390.5 million and $731.7 million , respectively, of additional
repayments or reduction of loan exposure under related non-consolidated senior
interests and the loan held by our non-consolidated securitized debt obligation.
The following table details overall statistics for our loan portfolio as of
Balance Sheet Loan
Portfolio Exposure(1)
Number of investments 205 205
Principal balance $ 25,001,207 $ 26,509,461
Net book value $ 24,698,522 $ 24,698,522
Unfunded loan commitments(2) $ 4,623,298 $ 5,301,593
Weighted-average cash coupon(3) + 3.28 % + 3.29 %
Weighted-average all-in yield(3) + 3.64 % + 3.65 %
Weighted-average maximum maturity (years)(4) 3.5 3.5
Origination loan to value (LTV)(5) 64.2 % 63.9 % (1)In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. Total loan exposure encompasses the entire loan we originated and financed, including$1.5 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio. (2)Unfunded commitments will primarily be funded to finance our borrowers' construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date. (3)The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each investment. As ofJune 30, 2022 , substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes a loan accounted for under the cost-recovery method. (4)Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As ofJune 30, 2022 , 61% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 39% were open to repayment by the borrower without penalty. (5)Based on LTV as of the dates loans were originated or acquired by us. 55 --------------------------------------------------------------------------------
The following table details the index rate floors for our loans receivable
portfolio as of
Loans Receivable Principal Balance
Index Rate Floors USD Non-USD(1) Total
Fixed Rate $ 37,500 $ - $ 37,500
0.00% or no floor(2) 3,974,316 7,416,949 11,391,265
0.01% to 1.00% floor 10,184,375 700,123 10,884,498
1.01% to 1.50% floor 2,894,351 59,366 2,953,717
1.51% to 2.00% floor 977,195 - 977,195
2.01% or more floor 216,126 49,160 265,286
Total(3)(4) $ 18,283,863 $ 8,225,598 $ 26,509,461
(1)Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar,
Canadian Dollar, Swiss Franc, and Danish Krone currencies.
(2)Includes a $286.3 million loan accounted for under the cost-recovery method.
(3)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. Total loan exposure encompasses the entire loan we originated and
financed, including $1.5 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(4)As of June 30, 2022 , the weighted-average index rate floor of our loan
portfolio was 0.35%. Excluding 0.0% index rate floors and loans with no floor,
the weighted-average index rate floor was 0.61%. As of December 31, 2021 , the
weighted-average index rate floor of our loan portfolio was 0.42%. Excluding
0.0% index rate floors and loans with no floor, the weighted-average index rate
floor was 0.70%.
The following table details the floating benchmark rates for our loan portfolio
as of
Investment Total Loan
Count Currency Portfolio Floating Rate Index(1) Cash Coupon(2) All-in Yield(2)
167 $ $ 18,283,863 USD LIBOR / SOFR(3) + 3.15% + 3.49%
10 € £ 2,728,387 EURIBOR + 3.03% + 3.43%
20 £ £ 2,644,945 SONIA + 3.67% + 4.13%
8 Various $ 2,144,142 Other(4) + 4.23% + 4.53%
205 $ 26,509,461 Applicable Index + 3.29% + 3.65%
(1)We use foreign currency forward contracts to protect the value or fix the
amount of certain investments or cash flows in terms of the U.S. dollar. We earn
forward points on our forward contracts that reflect the interest rate
differentials between the applicable base rate for our foreign currency
investments and prevailing US interest rates. These forward contracts
effectively convert the foreign currency rate exposure for such investments to
USD-equivalent interest rates.
(2)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, and purchase
discounts, as well as the accrual of exit fees. Excludes one loan accounted for
under the cost-recovery method.
(3)As of June 30, 2022 , $14.2 billion and $4.0 billion of loans were indexed to
USD LIBOR and SOFR, respectively. As of June 30, 2022 , one-month USD LIBOR was
1.79% and SOFR was 1.69%.
(4)Includes floating rate loans indexed to STIBOR, BBSY, CDOR, SARON, and CIBOR
indices.
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The charts below detail the geographic distribution and types of properties
securing our loan portfolio, as of
[[Image Removed: bxmt-20220630_g2.jpg]]
Refer to section VI of this Item 7 for details of our loan portfolio, on a loan-by-loan basis.
Portfolio Management
During the three months endedJune 30, 2022 , we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors. We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility. We believe that we will benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors. Our loan portfolio's low weighted-average origination LTV of 63.9% as ofJune 30, 2022 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments. Our portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from our position as part ofBlackstone's real estate platform.Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of theBlackstone 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, we perform a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between "1" and "5," from less risk to greater risk. The weighted-average risk rating of our total loan exposure was 2.8 as of bothJune 30, 2022 andDecember 31, 2021 , respectively. 57 --------------------------------------------------------------------------------
The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands):
June 30, 2022
Risk Number Total Loan
Rating of Loans Net Book Value Exposure(1)
1 12 $ 836,222 $ 868,722
2 39 5,856,051 6,178,959
3 143 15,773,096 17,089,166
4 10 2,081,368 2,086,305
5 1 284,809 286,309
Loans receivable 205 $ 24,831,546 $ 26,509,461
CECL reserve (133,024)
Loans receivable, net $ 24,698,522
(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. See Note 2 to our consolidated financial statements for further
discussion. Total loan exposure encompasses the entire loan we originated and
financed, including $1.5 billion of such non-consolidated senior interests as of
June 30, 2022 .
Current Expected Credit Loss Reserve
The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets. Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principal underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.
During the three months ended
Previously, we entered into loan modifications related to a multifamily asset inNew York City , which were classified as troubled debt restructurings under GAAP. During the three months endedDecember 31, 2021 , the borrower committed significant additional capital to the property and engaged new management to oversee property operations, and we reduced the loan's outstanding principal balance to$37.5 million , which remains unchanged as ofJune 30, 2022 . As a result of the modification, during the three months endedDecember 31, 2021 , we charged-off$14.4 million of the$14.8 million asset-specific CECL reserve we recorded on this loan, and reversed the remaining$360,000 CECL reserve. We have no remaining asset-specific CECL reserve against this loan as ofJune 30, 2022 . The loan is paying interest income current and we resumed income accrual for this loan as ofDecember 31, 2021 . Previously, we entered into a loan modification related to a hospitality asset inNew York City , which is classified as a troubled debt restructuring under GAAP. As ofJune 30, 2022 , this loan has an outstanding principal balance of$286.3 million , net of cost-recovery proceeds, and a CECL reserve of$54.9 million , which was recorded based on our estimation of the fair value of the loan's underlying collateral as ofJune 30, 2022 . No income was recorded on this loan during the six months endedJune 30, 2022 . 58 --------------------------------------------------------------------------------
Multifamily Joint Venture
As ofJune 30, 2022 , our Multifamily Joint Venture held$802.2 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture. Portfolio Financing Our portfolio financing consists of secured debt, securitizations, and asset-specific financings. The following table details our portfolio financing ($ in thousands): Portfolio Financing Outstanding Principal Balance June 30, 2022 December 31, 2021 Secured debt$ 13,932,436 $ 12,299,580 Securitizations(1) 2,855,625 3,155,727 Asset-specific financings(2) 2,605,449 1,913,374 Total portfolio financing$ 19,393,510 $ 17,368,681 (1)Includes our consolidated securitized debt obligations of$2.9 billion as ofJune 30, 2022 . Includes our consolidated securitized debt obligations of$2.9 billion and non-consolidated securitized debt of$300.1 million as ofDecember 31, 2021 . The non-consolidated securitized debt obligation represents the senior non-consolidated investment exposure to the 2018 Single Asset Securitization. We owned the related subordinate position, which was classified as a held-to-maturity debt security on our balance sheet. During the six months endedJune 30, 2022 , the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization. (2)Includes our consolidated asset-specific debt of$870.7 million , our loan participations sold of$226.5 million , and our non-consolidated senior interests of$1.5 billion , as ofJune 30, 2022 . Includes our consolidated asset-specific debt of$400.7 million and our non-consolidated senior interests of$1.5 billion , as ofDecember 31, 2021 . The loan participations sold and non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.
Secured Debt
The following table details our outstanding secured debt ($ in thousands):
Secured Debt
Borrowings Outstanding
June 30, 2022 December 31, 2021
Secured credit facilities $ 13,932,436 $ 12,299,580
Acquisition facility - -
Total secured debt $ 13,932,436 $ 12,299,580
59--------------------------------------------------------------------------------
Secured Credit Facilities
The following table details our secured credit facilities by spread over the
applicable base rates as of
Six Months Ended
June 30, 2022 June 30, 2022
Total Wtd. Avg. Wtd. Avg. Net Interest
Spread(1) New Financings(2) Borrowings All-in Cost(1)(3)(4) Collateral(5) All-in Yield(1)(6) Margin(7)
+ 1.50% or less $ 1,329,670 $ 8,110,825 +1.52 % $ 10,957,198 +3.19 % +1.67 %
+ 1.51% to + 1.75% 322,306 2,630,077 +1.88 % 3,986,106 +3.58 % +1.70 %
+ 1.76% to + 2.00% 480,738 1,404,894 +2.16 % 2,077,065 +4.15 % +1.99 %
+ 2.01% or more 927,553 1,786,640 +2.57 % 2,465,184 +4.84 % +2.27 %
Total $ 3,060,267 $ 13,932,436 +1.79 % $ 19,485,553 +3.58 % +1.79 %
(1)The spread, all-in cost, and all-in yield are expressed over the relevant
floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and
other indices as applicable.
(2)Represents borrowings outstanding as of June 30, 2022 for new financings
during the six months ended June 30, 2022 , based on the date collateral was
initially pledged to each credit facility.
(3)In addition to spread, the cost includes the associated deferred fees and
expenses related to the respective borrowings.
(4)Represents the weighted-average all-in cost as of June 30, 2022 and is not
necessarily indicative of the spread applicable to recent or future borrowings.
(5)Represents the principal balance of the collateral assets.
(6)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, and purchase
discounts, as well as the accrual of exit fees.
(7)Represents the difference between the weighted-average all-in yield and
weighted-average all-in cost.
Acquisition Facility
We have a$250.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval. The maturity date of the facility isApril 4, 2023 . As ofJune 30, 2022 , we had no assets pledged to our acquisition facility.
Securitizations
The following table details our outstanding securitizations ($ in thousands):
Securitizations Outstanding
June 30, 2022 December 31, 2021
Securitized debt obligations $ 2,855,625 2,855,625
Non-consolidated securitized debt obligation(1) - 300,102
Total securitizations $ 2,855,625 $ 3,155,727
(1)These non-consolidated securitized debt obligations represent the senior
non-consolidated investment exposure to the 2018 Single Asset Securitization. We
owned the related subordinate position, which was classified as a
held-to-maturity debt security on our balance sheet. During the six months ended
June 30, 2022 , the 2018 Single Asset Securitization was liquidated upon full
repayment of its collateral and all senior securities outstanding. Refer to Note
4 and Note 18 to our consolidated financial statements for details of the 2018
Single Asset Securitization.
60
--------------------------------------------------------------------------------Securitized Debt Obligations
We have financed certain pools of our loans through collateralized loan obligations, which include the 2021 FL4 CLO, 2020 FL3 CLO, and 2020 FL2 CLO, or collectively, the CLOs. The following table details our securitized debt obligations ($ in thousands):
June 30, 2022
Principal Book Wtd. Avg.
Securitized Debt Obligations Count Balance Value Yield/Cost(1)(2) Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets 32 $ 1,000,000 $ 1,000,000 + 3.51 % April 2025
Financing provided 1 803,750 798,466 + 1.57 % May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets 16 1,000,000 1,000,000 + 3.21 % October 2024
Financing provided 1 808,750 805,362 + 2.03 % November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets 18 1,500,000 1,500,000 + 3.31 % September 2024
Financing provided 1 1,243,125 1,238,073 + 1.39 % February 2038
Total
Collateral assets 66 $ 3,500,000 $ 3,500,000 + 3.34 %
Financing provided(4) 3 $ 2,855,625 $ 2,841,901 + 1.62 %
(1)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, purchase
discounts, and accrual of exit fees.
(2)The weighted-average all-in yield and cost are expressed as a spread over the
relevant floating benchmark rates, which include USD LIBOR and SOFR, as
applicable to each securitized debt obligation. As of June 30, 2022 , the
floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2
CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%. As of June 30,
2022 , the one-month SOFR was 1.69% and one-month USD LIBOR was 1.79%.
(3)Loan term represents weighted-average final maturity, assuming all extension
options are exercised by the borrower. Repayments of securitized debt
obligations are tied to timing of the related collateral loan asset repayments.
The term of these obligations represents the rated final distribution date of
the securitizations.
(4)During the three and six months ended June 30, 2022 , we recorded
$15.5 million and $26.5 million , respectively, of interest expense related to
our securitized debt obligations.
Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations.
Asset-Specific Financings
The following table details our outstanding asset-specific financings ($ in
thousands):
Asset-Specific Financings
Outstanding Principal Balance
June 30, 2022 December 31, 2021
Asset-specific debt $ 870,684 $ 400,699
Loan participations sold(1) 226,511 -
Non-consolidated senior interests(1) 1,508,254 1,512,675
Total asset-specific financings$ 2,605,449 $ 1,913,374 (1)These loan participations sold and non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. 61 --------------------------------------------------------------------------------
Asset-Specific Debt
The following table details our asset-specific debt ($ in thousands):
June 30, 2022
Principal Wtd. Avg. Wtd. Avg.
Asset-Specific Debt Count Balance Book Value Yield/Cost(1) Term(2)
Collateral assets 4 $ 1,022,146 $ 1,003,394 + 4.30 % March 2026
Financing provided 4 $ 870,684 $ 860,007 + 3.02 % March 2026
(1)These floating rate loans and related liabilities are currency and indexed
matched to the applicable benchmark rate relevant in each arrangement. In
addition to cash coupon, yield/cost includes the amortization of deferred
origination fees / financing costs.
(2)The weighted-average term is determined based on the maximum maturity of the
corresponding loans, assuming all extension options are exercised by the
borrower. Our asset-specific debt is term-matched in each case to the
corresponding collateral loans.
Loan Participations Sold
The following table details our loan participations sold ($ in thousands):
June 30, 2022
Principal Wtd. Avg.
Loan Participations Sold Count Balance Book Value Yield/Cost(1) Term(2)
Total loan 1 $ 283,139 $ 280,560 + 4.86 % March 2027
Senior participation 1 $ 226,511 $ 225,884 + 3.22 % March 2027
(1)This non-debt participation sold structure is inherently matched in terms of
currency and interest rate. In addition to cash coupon, yield/cost includes the
amortization of deferred fees / financing costs.
(2)The term is determined based on the on maximum maturity of the loan, assuming
all extension options are exercised by the borrower.
Non-Consolidated Senior Interests
In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.
The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests ($ in thousands):
June 30, 2022
Principal Book Wtd. Avg. Wtd. Avg.
Non-Consolidated Senior Interests Count Balance Value Yield/Cost(1) Term
Total loan 7 1,866,308 n/a + 3.67 % February 2026
Senior participation 7 1,508,254 n/a + 2.64 % February 2026
(1)The weighted-average spread and all-in yield are expressed as a spread over
the relevant floating benchmark rates, which includes USD LIBOR and SOFR, as
applicable to each investment. This non-debt participation sold structure is
inherently matched in terms of currency and interest rate. In addition to cash
coupon, yield/cost includes the amortization of deferred fees / financing costs.
62
--------------------------------------------------------------------------------Corporate Financing
The following table details our outstanding corporate financing ($ in
thousands):
Corporate Financing
Outstanding Principal Balance
June 30, 2022 December 31, 2021
Term loans $ 1,842,401 $ 1,349,271
Senior secured notes 400,000 400,000
Convertible notes 520,000 622,500
Total corporate financing $ 2,762,401 $ 2,371,771 Term Loans
As of
Term Loans Face Value Interest Rate(1) All-in Cost(1)(2) Maturity
B-1 Term Loan $ 925,121 + 2.25 % +
2.53 %
B-3 Term Loan $ 417,280 + 2.75 % +
3.42 %
B-4 Term Loan $ 500,000 + 3.50 % + 3.98 % May 9, 2029
(1)The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of
0.50%.
(2)Includes issue discount and transaction expenses that are amortized through
interest expense over the life of the Term Loans.
Refer to Note 2 and Note 9 to our consolidated financial statements for additional discussion of our Term Loans.
Senior Secured Notes
As ofJune 30, 2022 , the following Senior Secured Notes, were outstanding ($ in thousands): Senior Secured Notes Face Value Interest Rate All-in Cost(1) Maturity Senior Secured Notes$ 400,000 3.75 % 4.04 % January 15, 2027
(1)Includes transaction expenses that are amortized through interest expense over the life of the Senior Secured Notes.
Refer to Note 2 and Note 10 to our consolidated financial statements for additional discussion of our Senior Secured Notes.
Convertible Notes
As of
Face Value Interest Rate All-in Cost(1) Conversion Rate(2) Maturity
March 2018 $ 220,000 4.75 % 5.33 % $36.23 March 15, 2023
March 2022 $ 300,000 5.50 % 5.94 % $36.27 March 15, 2027
(1)Includes issuance costs that are amortized through interest expense over the
life of the Convertible Notes using the effective interest method.
(2)Represents the price of class A common stock per share based on a conversion
rate of 27.6052 and 27.5702, respectively, for the March 2018 and March 2022
convertible notes. The conversion rate represents the number of shares of class
A common stock issuable per $1,000 principal amount of Convertible Notes. The
cumulative dividend threshold as defined in the respective March 2018 and March
2022 convertible notes supplemental indentures have not been exceeded as of
June 30, 2022 .
Refer to Note 2 and Note 11 to our consolidated financial statements for additional discussion of our Convertible Notes.
63
--------------------------------------------------------------------------------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 ofJune 30, 2022 , substantially all of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments. Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities.
The following table details our investment portfolio's net exposure to interest
rates by currency as of
USD GBP EUR All Other(5)
Floating rate loans(1)(2) $ 18,246,363 £
2,644,945 € 2,728,387
(15,007,850) (1,990,577) (2,051,416) (1,653,232)
Net floating rate exposure $ 3,238,513 £
654,368 € 676,971
$ 3,238,513 $ 796,889 $ 709,737 $ 490,910 (1)Our floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement. (2)As ofJune 30, 2022 ,$14.2 billion and$4.0 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively. As ofJune 30, 2022 ,$9.4 billion and$5.6 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively. As ofJune 30, 2022 , one-month SOFR was 1.69% and one-month USD LIBOR was 1.79%. (3)Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans. (4)Represents theU.S. Dollar equivalent as ofJune 30, 2022 . (5)Includes Australian Dollar, Canadian Dollar,Danish Krone , Swedish Krona, and Swiss Franc currencies. 64
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III. Our Results of Operations
Operating Results
The following table sets forth information regarding our consolidated results of operations for the three months endedJune 30, 2022 andMarch 31, 2022 ($ in thousands, except per share data): Three Months Ended Change June 30, 2022 March 31, 2022 $ Income from loans and other investments Interest and related income$ 283,687 $ 234,432 $ 49,255 Less: Interest and related expenses 136,619 100,714 35,905 Income from loans and other investments, net 147,068 133,718 13,350 Other expenses Management and incentive fees 27,065 23,486 3,579 General and administrative expenses 12,409 12,360 49 Total other expenses 39,474 35,846 3,628
(Increase) decrease in current expected credit loss reserve (12,983)
2,537 (15,520)
Income before income taxes 94,611 100,409 (5,798)
Income tax provision 746 146 600
Net income 93,865 100,263 (6,398)
Net income attributable to non-controlling interests (615) (576) (39)
Net income attributable to
$ 99,687 $ (6,437) Net income per share of common stock Basic $ 0.55 $ 0.59$ (0.04) Diluted $ 0.54
$ 0.58
170,665,601 169,254,059 1,411,542
Diluted 185,009,805 175,602,905 9,406,900
Dividends declared per share $ 0.62 $ 0.62 $ -
Income from loans and other investments, net
Income from loans and other investments, net increased$13.4 million during the three months endedJune 30, 2022 compared to the three months endedMarch 31, 2022 . The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices, (ii) an increase in the weighted-average principal balance of our loan portfolio by$1.5 billion for the three months endedJune 30, 2022 , as compared to the three months endedMarch 31, 2022 , and (iii) an increase in prepayment fee income. This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by$1.4 billion for the three months endedJune 30, 2022 , as compared to the three months endedMarch 31, 2022 .
Other expenses
Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by$3.6 million during the three months endedJune 30, 2022 compared to the three months endedMarch 31, 2022 due to an increase of (i)$3.4 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii)$280,000 of other general operating expenses, and (iii)$152,000 of management fees payable to our Manager. This was offset by a decrease of non-cash restricted stock amortization of$231,000 related to shares awarded under our long-term incentive plans. 65
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Changes in current expected credit loss reserve
During the three months ended
Net income attributable to non-controlling interests
During the three months ended
Dividends per share
During the three months ended
The following table sets forth information regarding our consolidated results of
operations for the six months ended
Six Months Ended Change
June 30, 2022 June 30, 2021 $
Income from loans and other investments
Interest and related income $ 518,119 $ 383,827 $ 134,292
Less: Interest and related expenses 237,333 160,723 76,610
Income from loans and other investments, net 280,786 223,104 57,682
Other expenses
Management and incentive fees 50,551 40,752 9,799
General and administrative expenses 24,769 21,267 3,502
Total other expenses 75,320 62,019 13,301
(Increase) decrease in current expected credit loss reserve (10,446)
52,199 (62,645)
Income before income taxes 195,020 213,284 (18,264)
Income tax provision 892 276 616
Net income 194,128 213,008 (18,880)
Net income attributable to non-controlling interests (1,191) (1,511) 320
Net income attributable to
$ 211,497 $ (18,560) Net income per share of common stock Basic $ 1.14 $ 1.44$ (0.30) Diluted $ 1.12
$ 1.44
169,963,730 147,339,895 22,623,835
Diluted 180,332,341 147,339,895 32,992,446
Dividends declared per share $ 1.24 $ 1.24 $ -
Income from loans and other investments, net
Income from loans and other investments, net increased$57.7 million during the six months endedJune 30, 2022 compared to the six months endedJune 30, 2021 . The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices during 2022 and (ii) an increase in the weighted-average principal balance of our loan portfolio by$6.4 billion for the six months endedJune 30, 2022 , as compared to the six months endedJune 30, 2021 . This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by$5.6 billion for the six months endedJune 30, 2022 , as compared to the six months endedJune 30, 2021 . 66 --------------------------------------------------------------------------------
Other expenses
Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by$13.3 million during the six months endedJune 30, 2022 compared to the six months endedJune 30, 2021 due to an increase of (i)$5.1 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021, (ii)$4.7 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (iii)$2.5 million of other general operating expenses, and (iv)$961,000 of non-cash restricted stock amortization related to shares issued under our long-term incentive plans.
Changes in current expected credit loss reserve
During the six months ended
Net income attributable to non-controlling interests
During the six months ended
Dividends per share
During the six months endedJune 30, 2022 , we declared aggregate dividends of$1.24 per share, or$211.2 million . During the six months endedJune 30, 2021 , we declared aggregate dividends of$1.24 per share, or$182.3 million .
IV. Liquidity and Capital Resources
Capitalization
We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, corporate debt, and asset-level financing. As ofJune 30, 2022 , our capitalization structure included$4.6 billion of common equity,$2.8 billion of corporate debt, and$19.4 billion of asset-level financing. Our$2.8 billion of corporate debt includes$1.8 billion of term loan borrowings,$400.0 million of senior secured notes, and$520.0 million of convertible notes. Our$19.4 billion of asset-level financing includes$13.9 billion of secured debt,$2.9 billion of securitizations, and$2.6 billion of asset-specific financings all of which are structured to produce term, currency and index matched funding with no margin call provisions based upon capital markets events.
As of
See Notes 5, 6, 7, 8, 9, 10, and 11 to our consolidated financial statements for additional details regarding our secured debt, securitized debt obligations, asset-specific debt, loan participations sold, Term Loans, Senior Secured Notes, and Convertible Notes, respectively.
Debt-to-Equity Ratio and Total Leverage Ratio
The following table presents our debt-to-equity ratio and total leverage ratio:
June 30, 2022 December 31, 2021
Debt-to-equity ratio(1) 3.7x 3.2x
Total leverage ratio(2) 4.7x 4.2x
(1)Represents (i) total outstanding secured debt, asset-specific debt, term
loans, senior secured notes, and convertible notes, less cash, to (ii) total
equity, in each case at period end.
(2)Represents (i) total outstanding secured debt, securitizations,
asset-specific financings, term loans, senior secured notes, and convertible
notes, less cash, to (ii) total equity, in each case at period end.
67
--------------------------------------------------------------------------------Sources of Liquidity
Our primary sources of liquidity include cash and cash equivalents, available
borrowings under our secured debt facilities, and net receivables from servicers
related to loan repayments, which are set forth in the following table ($ in
thousands):
December 31,
June 30, 2022 2021
Cash and cash equivalents $ 283,580 $ 551,154
Available borrowings under secured debt 1,034,824 754,900
Loan principal payments held by servicer, net(1) 189,909 17,528
$ 1,508,313 $ 1,323,582
(1)Represents loan principal payments held by our third-party servicer as of the
balance sheet date which were remitted to us during the subsequent remittance
cycle, net of the related secured debt balance.
During the six months ended June 30, 2022 , we generated cash flow from operating
activities of $183.6 million and received (i) $2.1 billion of net proceeds from
secured debt borrowings, (ii) $2.0 billion from loan principal collections and
sales proceeds, (iii) $551.9 million of proceeds from asset-specific debt, (iv)
$492.5 million of net proceeds from secured term loan borrowings, (v) $294.0
million of net proceeds from the issuance of convertible notes, (vi)
$245.3 million from the sale of a senior loan participation, and (vii) $52.2
million of net proceeds from the issuance of shares of class A common stock.
Furthermore, we are able to generate incremental liquidity through the
replenishment provisions of our CLOs, which allow us to replace a repaid loan in
the CLO by increasing the principal amount of existing CLO collateral assets to
maintain the aggregate amount of collateral assets in the CLO, and the related
financing outstanding.
We have access to liquidity through public offerings of debt and equity
securities. 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 9,986,370 shares of class A common stock were
available for issuance as of June 30, 2022 , and our at-the-market stock offering
program, pursuant to which we may sell, from time to time, up to $300.9 million
of additional shares of our class A common stock as of June 30, 2022 . Refer to
Note 13 to our consolidated financial statements for additional details.
Liquidity Needs
In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our$13.9 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes. As ofJune 30, 2022 , we had unfunded commitments of$4.6 billion related to 125 loans receivable and$2.7 billion of committed or identified financing for those commitments resulting in net unfunded commitments of$1.9 billion . The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability varies depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. We expect to fund our loan commitments over the remaining term of the related loans, which have a weighted-average future funding period of 3.9 years. 68
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Contractual Obligations and Commitments
Our contractual obligations and commitments as of
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) $ 4,623,298 $ 181,763
13,932,436 351,670 4,026,092 8,365,385 1,189,289
debt(3)
Principal repayments under asset-specific 870,684 - 439,800 363,586 67,298
debt(3)
Principal repayments of term loans(4) 1,842,401 18,738 37,477 1,311,186 475,000 Principal repayments of senior secured 400,000 - - 400,000 -
notes
Principal repayments of convertible 520,000 220,000 - 300,000 - notes(5) Interest payments(3)(6) 2,114,794 585,381 952,744 506,129 70,540 Total(7)$ 24,303,613 $ 1,357,552 $ 7,005,401 $ 12,818,240 $ 3,122,420 (1)Represents known and estimated short-term cash requirements related to our contractual obligations and commitments. Refer to the sources of liquidity section above for our sources of funds to satisfy our short-term cash requirements. (2)The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the final loan maturity date, however we may be obligated to fund these commitments earlier than such date. (3)The allocation of repayments under our secured debt and asset-specific debt for both principal and interest payments is based on the earlier of (i) the maturity date of each agreement, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower. (4)The Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the initial principal balance due in quarterly installments. Refer to Note 9 for further details on our term loans. (5)Reflects the outstanding principal balance of convertible notes, excluding any potential conversion premium. Refer to Note 11 to our consolidated financial statements for further details on our convertible notes. (6)Represents interest payments on our secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes. Future interest payment obligations are estimated assuming the interest rates in effect as ofJune 30, 2022 will remain constant into the future. This is only an estimate as actual amounts borrowed and interest rates will vary over time. (7)Total does not include$2.9 billion of consolidated securitized debt obligations,$1.5 billion of non-consolidated senior interests, and$226.5 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.
We are also required to settle our foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 12 to our consolidated financial statements for details regarding our derivative contracts.
We are required to pay our Manager a base management fee, an incentive fee, and
reimbursements for certain expenses pursuant to our Management Agreement. The
table above does not include the amounts payable to our Manager under our
Management Agreement as they are not fixed and determinable. Refer to Note 14 to
our consolidated financial statements for additional terms and details of the
fees payable under our Management Agreement.
As a REIT, we generally must distribute substantially all of our net taxable
income to stockholders in the form of dividends to comply with the REIT
provisions of the Internal Revenue Code. Our taxable income does not necessarily
equal our net income as calculated in accordance with GAAP, or our Distributable
Earnings as described above.
69
--------------------------------------------------------------------------------Cash Flows
The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands):
Six Months Ended
2022 2021
Cash flows provided by operating activities $ 183,596 $ 165,373
Cash flows used in investing activities (3,404,456) (924,972)
Cash flows provided by financing activities 2,964,231 806,118
Net (decrease) increase in cash and cash equivalents $ (256,629) $ 46,519
We experienced a net decrease in cash and cash equivalents of $256.6 million for
the six months ended June 30, 2022 , compared to a net increase of $46.5 million
for the six months ended June 30, 2021 . During the six months ended June 30,
2022 , we (i) funded $5.6 billion of loans, (ii) repaid $402.5 million of
convertible notes, and (iii) paid $209.8 million of dividends on our class A
common stock. During the six months ended June 30, 2022 , we received (i) $2.1
billion of net proceeds from secured debt borrowings, (ii) $2.0 billion from
loan principal collections and sales proceeds, (iii) $551.9 million of proceeds
from asset-specific debt, (iv) $492.5 million of net proceeds from secured term
loan borrowings, (v) $294.0 million of net proceeds from the issuance of
convertible notes, (vi) $245.3 million from the sale of a senior loan
participation, and (vii) $52.2 million of net proceeds from the issuance of
shares of class A common stock.
Refer to Note 3 to our consolidated financial statements for further discussion
of our loan activity. Refer to Notes 5, 7, 8, 9, 11, and 13 to our consolidated
financial statements for additional discussion of our secured debt,
asset-specific debt, loan participations sold, term loans, convertible notes,
and equity, respectively.
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 June 30, 2022 and December 31,
2021 , we were in compliance with all REIT requirements.
Furthermore, our taxable REIT subsidiaries, or TRSs, are subject to federal,
state, and local income tax on their net taxable income. Refer to Note 15 to our
consolidated financial statements for additional discussion of our income taxes.
Critical Accounting Policies
Our discussion and analysis of our financial condition and results of operations is based upon our consolidated financial statements, which have been prepared in accordance with GAAP. There have been no material changes to our Critical Accounting Policies described in our annual report on Form 10-K filed with theSEC onFebruary 9, 2022 . 70
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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 theFinancial Accounting Standards Board Staff Q&A Topic 326, No. 1. Estimating the CECL reserve requires judgment, including the following assumptions: •Historical loan loss reference data: To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance with market loan loss data licensed fromTrepp LLC . This database includes commercial mortgage-backed securities, or CMBS, issued sinceJanuary 1, 1999 throughMay 31, 2022 . Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and origination loan-to-value, or LTV. 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. We perform a quarterly risk review of our portfolio of loans, and assigns each loan a risk rating based on a variety of factors, including, without limitation, LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship. •Expectations of performance and market conditions: Our CECL reserve is adjusted to reflect our estimation of the current and future economic conditions that impact the performance of the commercial real estate assets securing our loans. These estimations include unemployment rates, interest rates, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term. In addition to the CMBS data we have licensed fromTrepp 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 ofJune 30, 2022 . •Impairment: impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan. Determining that a loan is impaired requires significant judgment from management and is based on several factors including (i) the underlying collateral performance, (ii) discussions with the borrower, (iii) borrower events of default, and (iv) other facts that impact the borrower's ability to pay the contractual amounts due under the terms of the loan. If a loan is determined to be impaired, we record the impairment as a component of our CECL reserve by applying the practical expedient for collateral dependent loans. The CECL reserve is assessed on an individual basis for these loans by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed relevant by us. Actual losses, if any, could ultimately differ materially from these estimates. We only expect to realize the impairment losses if and when such amounts are deemed nonrecoverable upon a realization event. This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected. These assumptions vary from quarter to quarter as our loan portfolio changes and market and economic conditions evolve. The sensitivity of each assumption and its impact on the CECL reserve may change over time and from period to period. During the six months endedJune 30, 2022 , we recorded an aggregate$13.0 million increase in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to$141.5 million as ofJune 30, 2022 . See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. 71 --------------------------------------------------------------------------------
Revenue Recognition
Interest income from our loans receivable portfolio and debt securities is
recognized over the life of each investment using the effective interest method
and is recorded on the accrual basis. Recognition of fees, premiums, and
discounts associated with these investments is deferred and recorded over the
term of the loan or debt security as an adjustment to yield. Income accrual is
generally suspended for loans at the earlier of the date at which payments
become 90 days past due or when, in our opinion, recovery of income and
principal becomes doubtful. Interest received is then recorded as a reduction in
the outstanding principal balance until accrual is resumed when the loan becomes
contractually current and performance is demonstrated to be resumed. In
addition, for loans we originate, the related origination expenses are deferred
and recognized as a component of interest income, however expenses related to
loans we acquire are included in general and administrative expenses as
incurred.
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VI. Loan Portfolio Details
The following table provides details of our loan portfolio, on a loan-by-loan
basis, as of June 30, 2022 ($ in millions):
Origination Total Principal Net Book Cash All-in Maximum Loan Per Origination Risk
Loan Type(1) Date(2) Loan(3)(4) Balance(4) Value Coupon(5) Yield(5) Maturity(6) Location Property Type SQFT / Unit / Key LTV(2) Rating
1 Senior Loan 8/14/2019 $ 1,141 $ 1,040 $ 1,036 +2.59 % +3.22 % 12/23/2024 Dublin - IE Office $381 / sqft 74 % 2
2 Senior Loan 6/24/2022 913 913 904 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $416 / sqft 59 % 3
3 Senior Loan 4/9/2018 1,487 702 692 +4.81 % +5.68 % 6/9/2025 New York Office $525 / sqft 48 % 2
4 Senior Loan(4) 12/9/2021 770 685 393 +2.65 % +2.82 % 12/9/2026 New York Mixed-Use $226 / sqft 50 % 2
5 Senior Loan 3/22/2018 683 683 682 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4
6 Senior Loan(4) 8/7/2019 746 593 119 +3.12 % +3.60 % 9/9/2025 Los Angeles Office $401 / sqft 59 % 3
7 Senior Loan 3/30/2021 486 486 482 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $90 / sqft 76 % 2
8 Senior Loan(4) 12/17/2021 448 440 88 +3.95 % +4.35 % 1/9/2026 Diversified - US Other $13,716 / unit 61 % 3
9 Senior Loan 8/22/2018 363 363 363 +3.15 % +3.28 % 8/9/2023 Maui Hospitality $471,391 / key 61 % 2
10 Senior Loan 7/23/2021 500 348 343 +4.00 % +4.44 % 8/9/2027 New York Multi $467,033 / unit 58 % 3
11 Senior Loan 4/11/2018 355 345 344 +2.85 % +3.10 % 5/1/2023 New York Office $437 / sqft 71 % 3
12 Senior Loan(4) 11/22/2019 470 328 65 +3.70 % +4.17 % 12/9/2025 Los Angeles Office $328 / sqft 69 % 3
13 Senior Loan 9/23/2019 367 328 326 +3.00 % +3.22 % 11/15/2024 Diversified - Spain Hospitality $179,097 / key 62 % 4
14 Senior Loan 10/25/2021 311 311 308 +4.30 % +4.62 % 10/25/2024 Diversified - AU Hospitality $153,098 / key 56 % 3
15 Senior Loan 5/6/2022 305 305 302 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $95 / sqft 53 % 3
16 Senior Loan 2/27/2020 303 302 301 +2.70 % +3.04 % 3/9/2025 New York Multi $948 / sqft 59 % 2
17 Senior Loan 1/11/2019 292 292 291 +4.35 % +4.70 % 1/11/2026 Diversified - UK Other $289 / sqft 74 % 4
18 Senior Loan 11/30/2018 286 286 285 n/m(7) % n/m(7) % 8/9/2025 New York Hospitality $306,870 / key 73 % 5
19 Senior Loan 3/25/2022 283 283 281 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $129,257 / key 65 % 3
20 Senior Loan 12/11/2018 310 279 279 +2.55 % +2.77 % 12/9/2023 Chicago Office $235 / sqft 78 % 3
21 Senior Loan 10/23/2018 290 278 278 +2.80 % +3.04 % 11/9/2024 Atlanta Office $259 / sqft 64 % 2
22 Senior Loan 9/29/2021 312 272 270 +2.70 % +2.92 % 10/9/2026 Washington, DC Office $355 / sqft 66 % 2
23 Senior Loan 9/30/2021 280 267 266 +2.50 % +2.77 % 9/30/2026 Dallas Multi $141,128 / unit 74 % 3
24 Senior Loan 4/26/2021 264 264 262 +2.45 % +2.63 % 5/9/2026 Diversified - US Multi $156,393 / unit 75 % 3
25 Senior Loan 11/30/2018 262 257 256 +2.80 % +3.03 % 12/9/2024 San Francisco Hospitality $373,895 / key 73 % 4
26 Senior Loan 9/14/2021 259 253 252 +2.50 % +2.76 % 9/14/2026 Dallas Multi $204,908 / unit 72 % 3
27 Senior Loan 7/15/2021 299 247 244 +4.25 % +4.73 % 7/15/2026 Diversified - EUR Hospitality $189,099 / key 53 % 3
28 Senior Loan 4/29/2022 228 228 226 +3.45 % +3.68 % 3/3/2027 Diversified - UK Hospitality n / a 41 % 3
29 Senior Loan 2/23/2022 245 227 225 +2.60 % +2.84 % 3/9/2027 Reno Multi $210,655 / unit 74 % 3
30 Senior Loan 9/16/2021 247 220 219 +3.80 % +4.49 % 4/9/2024 San Francisco Office $277 / sqft 53 % 3
continued…
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Origination Total Principal Net Book Cash All-in Maximum Loan Per Origination Risk
Loan Type(1) Date(2) Loan(3)(4) Balance(4) Value Coupon(5) Yield(5) Maturity(6) Location Property Type SQFT / Unit / Key LTV(2) Rating
31 Senior Loan 6/8/2022 $ 272 $ 217 $ 214 +3.35 % +3.70 % 6/9/2027 New York Office $1,223 / sqft 75 % 3
32 Senior Loan 4/23/2021 219 209 209 +3.65 % +3.77 % 5/9/2024 Washington, DC Office $234 / sqft 57 % 3
33 Senior Loan 7/16/2021 222 207 205 +3.25 % +3.81 % 2/15/2027 London - UK Multi $234,410 / unit 69 % 3
34 Senior Loan 8/31/2017 203 202 202 +2.50 % +2.85 % 9/9/2023 Orange County Office $236 / sqft 64 % 3
35 Senior Loan 6/28/2019 199 199 198 +3.70 % +4.37 % 6/27/2024 London - UK Office $652 / sqft 71 % 3
36 Senior Loan 9/30/2021 195 195 194 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3
37 Senior Loan 10/1/2019 248 193 191 +3.75 % +4.25 % 10/9/2025 Atlanta Office $369 / sqft 68 % 1
38 Senior Loan 12/22/2016 202 190 190 +3.90 % +4.65 % 12/9/2023 New York Office $267 / sqft 64 % 3
39 Senior Loan 6/27/2019 201 188 188 +2.80 % +3.16 % 8/15/2026 Berlin - DEU Office $197 / sqft 62 % 3
40 Senior Loan 9/30/2021 232 184 182 +4.00 % +4.49 % 9/30/2026 Diversified - Spain Hospitality $165,853 / key 60 % 3
41 Senior Loan 6/4/2018 183 183 182 +3.50 % +3.76 % 6/9/2024 New York Hospitality $301,071 / key 52 % 4
42 Senior Loan 9/25/2019 179 179 179 +4.35 % +4.93 % 9/26/2023 London - UK Office $817 / sqft 72 % 3
43 Senior Loan 11/23/2018 178 178 178 +2.62 % +2.87 % 2/15/2024 Diversified - UK Office $530 / sqft 50 % 3
44 Senior Loan 2/15/2022 191 177 175 +2.90 % +3.14 % 3/9/2027 Denver Office $353 / sqft 61 % 3
45 Senior Loan 12/21/2021 183 176 175 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $362 / sqft 67 % 3
46 Senior Loan 9/30/2021 256 172 170 +3.00 % +3.35 % 10/9/2028 Chicago Office $190 / sqft 74 % 3
47 Senior Loan 9/26/2019 165 165 165 +3.10 % +3.34 % 7/9/2023 New York Office $241 / sqft 65 % 3
48 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,680 / unit 48 % 2
49 Senior Loan 3/9/2022 164 164 163 +2.95 % +3.17 % 8/15/2027 Various Retail $141 / sqft 55 % 2
50 Senior Loan 9/4/2018 173 159 159 +3.00 % +3.39 % 9/9/2023 Las Vegas Hospitality $192,600 / key 70 % 3
51 Senior Loan 10/7/2021 165 159 158 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $324 / sqft 68 % 3
52 Senior Loan 3/7/2022 156 156 155 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 3
53 Senior Loan 5/27/2021 205 155 154 +2.70 % +2.99 % 6/9/2026 Atlanta Office $131 / sqft 66 % 3
54 Senior Loan 8/24/2021 179 154 152 +3.10 % +3.41 % 9/9/2026 San Jose Office $366 / sqft 65 % 3
55 Senior Loan 7/23/2021 244 153 151 +5.00 % +5.39 % 8/9/2027 New York Office $494 / sqft 53 % 3
56 Senior Loan 1/27/2022 178 151 149 +3.10 % +3.44 % 2/9/2027 Dallas Multi $98,430 / unit 71 % 3
57 Senior Loan 8/31/2021 150 150 149 +3.15 % +3.42 % 9/9/2026 Diversified - US Retail $299 / sqft 65 % 2
58 Senior Loan 1/17/2020 203 142 142 +2.75 % +3.07 % 2/9/2025 New York Mixed-Use $118 / sqft 43 % 3
59 Senior Loan 11/18/2021 138 138 137 +3.25 % +3.51 % 10/21/2026 London - UK Other $188 / sqft 65 % 2
60 Senior Loan 12/20/2019 137 137 136 +3.10 % +3.32 % 12/18/2026 London - UK Office $693 / sqft 75 % 2
continued…
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Origination Total Principal Net Book Cash All-in Maximum Loan Per Origination Risk
Loan Type(1) Date(2) Loan(3)(4) Balance(4) Value Coupon(5) Yield(5) Maturity(6) Location Property Type SQFT / Unit / Key LTV(2) Rating
61 Senior Loan 11/5/2019 $ 146 $ 136 $ 136 +3.85 % +3.90 % 2/21/2025 Diversified - IT Office $3,639 / sqft 66 % 3
62 Senior Loan 5/13/2021 199 133 131 +3.55 % +3.94 % 6/9/2026 Boston Office $672 / sqft 64 % 3
63 Senior Loan 6/30/2022 131 131 131 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $493 / sqft 60 % 3
64 Senior Loan 3/10/2020 140 131 131 +2.50 % +2.50 % 10/11/2024 New York Mixed-Use $800 / sqft 53 % 2
65 Senior Loan 9/14/2021 132 127 127 +2.70 % +2.95 % 10/9/2026 San Bernardino Multi $256,774 / unit 75 % 3
66 Senior Loan 11/27/2019 146 127 126 +2.75 % +3.13 % 12/9/2024 Minneapolis Office $127 / sqft 64 % 3
67 Senior Loan 4/3/2018 126 125 125 +2.75 % +2.92 % 4/9/2024 Dallas Retail $761 / sqft 64 % 3
68 Senior Loan 3/28/2022 150 123 122 +3.05 % +3.35 % 4/9/2027 Miami Office $338 / sqft 69 % 3
69 Senior Loan 6/1/2021 120 120 120 +2.85 % +3.05 % 6/9/2026 Miami Multi $297,767 / unit 61 % 2
70 Senior Loan 4/6/2021 123 119 118 +3.20 % +3.52 % 4/9/2026 Los Angeles Office $501 / sqft 65 % 3
71 Senior Loan 4/29/2022 118 118 117 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,235,602 / key 66 % 3
72 Senior Loan 2/25/2022 118 118 117 +4.00 % +4.31 % 2/25/2027 Copenhagen - DK Industrial $83 / sqft 69 % 3
73 Senior Loan 6/28/2019 125 117 117 +2.75 % +2.91 % 2/1/2024 Los Angeles Office $591 / sqft 48 % 3
74 Senior Loan 7/15/2019 145 117 116 +2.90 % +3.25 % 8/9/2024 Houston Office $211 / sqft 58 % 3
75 Senior Loan 1/7/2022 155 116 115 +3.70 % +3.70 % 1/9/2027 Fort Lauderdale Office $299 / sqft 55 % 1
76 Senior Loan 3/29/2021 124 116 115 +3.90 % +4.49 % 3/29/2026 Diversified - UK Multi $50,660 / unit 61 % 3
77 Senior Loan 8/27/2021 122 115 114 +3.00 % +3.29 % 9/9/2026 San Diego Retail $434 / sqft 58 % 3
78 Senior Loan 10/21/2021 114 114 114 +2.90 % +3.15 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 1
79 Senior Loan 5/20/2021 148 112 111 +3.60 % +4.00 % 6/9/2026 San Jose Office $287 / sqft 65 % 3
80 Senior Loan 3/17/2022 264 111 109 +3.75 % +4.51 % 6/30/2025 London - UK Office $497 / sqft 62 % 3
81 Senior Loan 12/21/2021 120 110 109 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $384 / sqft 68 % 3
82 Senior Loan 3/13/2018 123 105 105 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $162,657 / key 50 % 3
83 Senior Loan 2/15/2022 106 104 103 +2.85 % +3.19 % 3/9/2027 Tampa Multi $237,844 / unit 73 % 3
84 Senior Loan 2/20/2019 164 101 100 +3.95 % +5.69 % 2/19/2024 London - UK Office $495 / sqft 61 % 3
85 Senior Loan 12/29/2021 110 100 99 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $260 / sqft 64 % 3
86 Senior Loan 12/21/2018 108 100 100 +2.60 % +2.85 % 1/9/2024 Chicago Office $195 / sqft 72 % 3
87 Senior Loan 7/1/2021 104 99 99 +3.10 % +3.35 % 7/9/2026 Diversified - US Retail $281 / sqft 61 % 3
88 Senior Loan 6/18/2021 99 99 98 +2.60 % +2.83 % 7/9/2026 New York Industrial $52 / sqft 55 % 1
89 Senior Loan 10/1/2021 101 98 98 +2.75 % +3.02 % 10/1/2026 Phoenix Multi $227,497 / unit 77 % 3
90 Senior Loan 3/29/2022 103 98 97 +2.70 % +2.96 % 4/9/2027 Miami Multi $272,423 / unit 75 % 3
continued…
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Origination Total Principal Net Book Cash All-in Maximum Loan Per Origination Risk
Loan Type(1) Date(2) Loan(3)(4) Balance(4) Value Coupon(5) Yield(5) Maturity(6) Location Property Type SQFT / Unit / Key LTV(2) Rating
91 Senior Loan 10/16/2018 $ 106 $ 97 $ 97 +3.25 % +3.52 % 11/9/2023 San Francisco Hospitality$211,959 / key 72 % 4 92 Senior Loan3/28/2019 97 97 97 +3.25 % +3.25 %1/9/2024 New York Hospitality$249,463 / key 63 % 4 93 Senior Loan2/3/2021 111 96 95 +3.20 % +3.57 %2/9/2026 Austin Office$396 / sqft 56 % 1 94 Senior Loan10/28/2021 96 96 95 +2.90 % +3.25 %11/9/2026 Philadelphia Multi$353,704 / unit 79 % 3 95 Senior Loan3/25/2020 112 93 93 +2.40 % +2.78 %3/31/2025 Diversified -NL Multi$113,706 / unit 65 % 2 96 Senior Loan10/27/2021 93 93 92 +2.50 % +2.69 %11/9/2026 Orlando Multi$155,612 / unit 75 % 3 97 Senior Loan6/14/2021 100 92 92 +3.70 % +4.04 %7/9/2024 Miami Office$195 / sqft 65 % 3 98 Senior Loan3/3/2022 92 92 91 +3.45 % +3.76 %3/9/2027 Boston Hospitality$418,182 / key 64 % 3 99 Senior Loan12/10/2021 135 91 90 +3.00 % +3.37 %1/9/2027 Miami Office$303 / sqft 49 % 3 100 Senior Loan12/22/2021 91 91 90 +3.18 % +3.44 %1/9/2027 Las Vegas Multi$205,682 / unit 65 % 3 101 Senior Loan3/31/2017 96 90 91 +4.30 % +4.54 %4/9/2023 New York Office$444 / sqft 64 % 3 102 Senior Loan12/10/2018 108 88 87 +3.45 % +3.95 %12/3/2024 London -UK Office$419 / sqft 72 % 3 103 Senior Loan12/15/2021 91 88 87 +2.85 % +3.10 %1/9/2027 Charlotte Multi$250,224 / unit 76 % 3 104 Senior Loan6/25/2021 85 85 85 +2.75 % +3.10 %7/1/2026 St. Louis Multi$80,339 / unit 70 % 3 105 Senior Loan6/28/2022 675 84 77 +4.60 % +5.01 %7/9/2029 Austin Mixed-Use$70 / sqft 53 % 3 106 Senior Loan7/30/2021 87 82 81 +2.50 % +2.84 %8/9/2026 Los Angeles Multi$161,927 / unit 70 % 3 107 Senior Loan3/9/2022 92 80 79 +2.90 % +3.43 %3/9/2025 Boston Office$209 / sqft 68 % 3 108 Senior Loan6/14/2022 106 79 79 +2.95 % +3.30 %7/9/2027 San Francisco Industrial$166 / sqft 76 % 3 109 Senior Loan6/27/2019 84 78 78 +2.50 % +2.66 %7/9/2024 West Palm Beach Office$269 / sqft 70 % 2 110 Senior Loan7/29/2021 82 78 78 +2.65 % +3.02 %6/9/2026 Charlotte Multi$213,979 / unit 78 % 3 111 Senior Loan4/1/2021 102 78 77 +3.30 % +3.71 %4/9/2026 San Jose Office$518 / sqft 67 % 3 112 Senior Loan11/23/2021 92 77 76 +2.75 % +3.08 %12/9/2026 Los Angeles Industrial$219 / sqft 66 % 3 113 Senior Loan8/27/2021 79 76 76 +3.85 % +4.43 %9/9/2026 Diversified - US Hospitality$113,285 / key 67 % 3 114 Senior Loan(4)12/30/2021 228 73 14 +4.35 % +5.17 %1/9/2028 Los Angeles Multi$132,635 / unit 50 % 3 115 Senior Loan7/23/2021 73 72 72 +3.00 % +3.02 %7/9/2024 New York Multi$404 / sqft 62 % 1 116 Senior Loan12/15/2021 143 69 68 +3.42 % +4.53 %12/15/2026 Dublin - IE Multi$174,020 / unit 79 % 3 117 Senior Loan10/28/2021 69 69 69 +2.55 % +2.74 %11/9/2026 Tacoma Multi$209,864 / unit 70 % 3 118 Senior Loan1/26/2022 338 69 66 +4.10 % +4.56 %2/9/2027 Seattle Office$145 / sqft 56 % 3 119 Senior Loan1/30/2020 104 69 69 +2.85 % +3.22 %2/9/2026 Honolulu Hospitality$222,308 / key 63 % 3 120 Senior Loan9/22/2021 67 67 67 +3.00 % +3.16 %4/1/2024 Jacksonville Multi$181,081 / unit 62 % 2 continued… 76
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Origination Total Principal Net Book Cash All-in Maximum Loan Per Origination Risk
Loan Type(1) Date(2) Loan(3)(4) Balance(4) Value Coupon(5) Yield(5) Maturity(6) Location Property Type SQFT / Unit / Key LTV(2) Rating
121 Senior Loan 12/21/2021 $ 74 $ 67 $ 66 +2.70 % +3.06 % 1/9/2027 Tampa Multi $195,588 / unit 77 % 3
122 Senior Loan 3/24/2022 65 65 65 +3.50 % +3.59 % 4/1/2027 Fairfield Multi $406,250 / unit 70 % 3
123 Senior Loan 12/10/2021 68 65 64 +2.85 % +3.19 % 1/9/2027 Austin Multi $260,000 / unit 73 % 2
124 Senior Loan 8/22/2019 74 65 65 +2.55 % +2.93 % 9/9/2024 Los Angeles Office $389 / sqft 63 % 3
125 Senior Loan 3/31/2022 70 63 62 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $137,212 / unit 71 % 3
126 Senior Loan 3/31/2021 62 62 62 +3.73 % +3.86 % 4/1/2024 Boston Multi $316,327 / unit 75 % 2
127 Senior Loan 7/30/2021 62 62 62 +2.75 % +2.94 % 8/9/2026 Salt Lake City Multi $224,185 / unit 73 % 3
128 Senior Loan 12/23/2021 62 62 61 +2.18 % +2.99 % 9/1/2023 New York Office $144 / sqft 71 % 3
129 Senior Loan 6/29/2017 61 61 61 +3.40 % +4.16 % 7/9/2022 New York Multi $177,479 / unit 69 % 4
130 Senior Loan 10/5/2018 59 59 59 +5.50 % +5.92 % 12/20/2022 Sydney - AU Office $630 / sqft 78 % 3
131 Senior Loan 8/14/2019 70 59 59 +2.45 % +2.90 % 9/9/2024 Los Angeles Office $677 / sqft 57 % 3
132 Senior Loan 9/29/2021 62 58 58 +2.85 % +3.02 % 10/1/2025 Houston Multi $52,968 / unit 61 % 3
133 Senior Loan 12/17/2021 58 58 58 +2.65 % +2.85 % 1/9/2027 Phoenix Multi $209,601 / unit 69 % 3
134 Senior Loan 7/16/2021 58 58 58 +2.75 % +3.03 % 8/1/2025 Orlando Multi $195,750 / unit 74 % 2
135 Senior Loan 6/30/2021 65 58 57 +2.90 % +3.19 % 7/9/2026 Nashville Office $238 / sqft 71 % 3
136 Senior Loan 4/15/2021 66 57 57 +3.00 % +3.30 % 5/9/2026 Austin Office $279 / sqft 73 % 3
137 Senior Loan(4) 11/10/2021 362 56 11 +4.00 % +4.59 % 12/9/2026 San Francisco Office $106 / sqft 66 % 3
138 Senior Loan 12/10/2020 61 55 55 +3.25 % +3.54 % 1/9/2026 Fort Lauderdale Office $191 / sqft 68 % 3
139 Senior Loan 12/22/2021 55 55 54 +2.82 % +2.96 % 1/1/2027 Los Angeles Multi $272,500 / unit 68 % 3
140 Senior Loan 12/23/2021 314 53 48 +4.25 % +5.42 % 6/23/2028 London - UK Multi $58,144 / unit 59 % 3
141 Senior Loan 12/14/2018 60 53 53 +2.90 % +3.14 % 1/9/2024 Diversified - US Industrial $39 / sqft 57 % 2
142 Senior Loan 6/28/2021 52 52 52 +3.60 % +4.86 % 2/15/2023 Diversified - Spain Hospitality $132,520 / key 56 % 3
143 Senior Loan 11/30/2016 61 52 52 +3.10 % +3.22 % 12/9/2023 Chicago Retail $1,014 / sqft 54 % 4
144 Senior Loan 11/11/2021 55 52 52 +3.95 % +4.74 % 8/6/2026 London - UK Hospitality $184,845 / key 40 % 3
145 Senior Loan 7/30/2021 59 51 51 +2.75 % +2.96 % 8/9/2026 Tampa Multi $128,174 / unit 71 % 3
146 Senior Loan 12/9/2021 51 51 51 +2.75 % +2.89 % 1/1/2027 Portland Multi $241,825 / unit 65 % 3
147 Senior Loan 2/17/2021 53 51 51 +3.55 % +3.75 % 3/9/2026 Miami Multi $290,985 / unit 64 % 2
148 Senior Loan 12/15/2021 90 50 49 +5.25 % +6.17 % 12/15/2026 Melbourne - AU Multi $36,167 / unit 38 % 3
149 Senior Loan 8/5/2021 57 49 49 +2.90 % +3.04 % 8/9/2026 Denver Office $187 / sqft 70 % 3
150 Senior Loan 9/23/2021 49 49 49 +2.75 % +2.86 % 10/1/2026 Portland Multi $232,938 / unit 65 % 3
continued…
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Origination Total Principal Net Book Cash All-in Maximum Loan Per Origination Risk
Loan Type(1) Date(2) Loan(3)(4) Balance(4) Value Coupon(5) Yield(5) Maturity(6) Location Property Type SQFT / Unit / Key LTV(2) Rating
151 - Senior Loan(4) Various 2,292 1,859 1,817 +3.04 % +3.48 % 3.3 yrs Various Various Various 61 % 2.5
205
CECL reserve (133)
Loans receivable, net $ 31,811 $ 26,509 $ 24,699 + 3.29 % + 3.65 % 3.5 yrs 64 % 2.8
(1)Senior loans include senior mortgages and similar credit quality loans,
including related contiguous subordinate loans and pari passu participations in
senior mortgage loans.
(2)Date loan was originated or acquired by us, and the LTV as of such date.
Origination dates are subsequently updated to reflect material loan
modifications.
(3)Total loan amount reflects outstanding principal balance as well as any
related unfunded loan commitment.
(4)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. As of June 30, 2022 , seven loans in our portfolio have been financed
with an aggregate $1.5 billion of non-consolidated senior interest, which are
included in the table above.
(5)The weighted-average cash coupon and all-in yield are expressed as a spread
over the relevant floating benchmark rates, which include USD LIBOR, SOFR,
SONIA, EURIBOR, and other indices as applicable to each loan. As of June 30,
2022 , substantially all of our loans by total loan exposure earned a floating
rate of interest, primarily indexed to USD LIBOR. In addition to cash coupon,
all-in yield includes the amortization of deferred origination and extension
fees, loan origination costs, and purchase discounts, as well as the accrual of
exit fees. Excludes one loan accounted for under the cost-recovery method.
(6)Maximum maturity assumes all extension options are exercised, however our
loans may be repaid prior to such date.
(7)Loan is accounted for under the cost-recovery method.
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