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 Macroeconomic Environment This year has been characterized by steep declines and significant volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth and geopolitical uncertainty. Inflation across many key economies reached generational highs, prompting central banks to take monetary policy tightening actions that are likely to create headwinds to economic growth. The ongoing war betweenRussia andUkraine is also contributing to mounting inflationary pressure. Inflation continues to rise and has caused theFederal Reserve to continue raising interest rates, which has created further uncertainty for the economy and for our borrowers. Although our business model is such that rising interest rates will, all else being equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers. Additionally, rising rates and increasing costs may dampen consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans. While there is debate among economists as to whether such factors, coupled with economic contraction in theU.S. in 2022, indicate that theU.S. has 50 -------------------------------------------------------------------------------- entered, or in the near term will enter, a recession, it remains difficult to predict the full impact of recent changes and any future changes in interest rates or inflation. Reference Rate Reform LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, 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 ofSeptember 30, 2022 , one-month SOFR is utilized as the floating benchmark rate on 49 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under nine of our credit facilities, and our B-4 Term Loan. As ofSeptember 30, 2022 , the one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%. Additionally, market participants have transitioned from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from theU.K. regulators. As ofSeptember 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 .
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 endedSeptember 30, 2022 , we recorded basic earnings per share of$0.60 , declared a dividend of$0.62 per share, and reported$0.71 per share of Distributable Earnings. In addition, our book value as ofSeptember 30, 2022 was$27.20 per share, which is net of a$0.90 per share cumulative CECL reserve.
As further described below, Distributable Earnings is a measure that is not
prepared in accordance with accounting principles generally accepted in
51
--------------------------------------------------------------------------------Earnings Per Share and Dividends Declared
The following table sets forth the calculation of basic net income per share and dividends declared per share ($ in thousands, except per share data):
Three Months Ended
September 30, 2022 June 30, 2022
Net income(1) $ 103,246 $ 93,250
Weighted-average shares outstanding, basic 170,971,874 170,665,601
Per share amount, basic $ 0.60 $
0.55
Dividends declared per share $ 0.62 $ 0.62 (1)Represents net income attributable toBlackstone 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. 52 --------------------------------------------------------------------------------
The following table provides a reconciliation of Distributable Earnings to GAAP net income ($ in thousands, except per share data):
Three months ended
September 30, 2022 June 30, 2022
Net income(1) $ 103,246 $ 93,250
Increase in current expected credit loss reserve 12,248 12,983
Non-cash compensation expense 8,219 8,418
Realized hedging and foreign currency loss, net(2) (1,698) (829)
Adjustments attributable to non-controlling interests, (43) (46)
net
Other items (10) (65)
Distributable Earnings $ 121,962 $ 113,711
Weighted-average shares outstanding, basic(3) 170,971,874 170,665,601
Distributable Earnings per share, basic $ 0.71 $ 0.67
(1)Represents net income attributable to Blackstone 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):
September 30, 2022 June 30, 2022
Stockholders' equity $ 4,658,406 $ 4,637,591
Shares
Class A common stock 170,896,268 170,295,049
Deferred stock units 399,512 391,027
Total outstanding 171,295,780 170,686,076
Book value per share(1) $ 27.20 $ 27.17 (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 endedSeptember 30, 2022 , we originated or acquired$438.5 million of loans. Loan fundings during the quarter totaled$696.6 million and loan repayments and sales during the quarter totaled$443.0 million . We generated interest income of$358.6 million and incurred interest expense of$202.4 million during the quarter, which resulted in$156.2 million of net interest income during the three months endedSeptember 30, 2022 . 53 --------------------------------------------------------------------------------
Portfolio Overview
The following table details our loan origination activity ($ in thousands):
Three Months Ended Nine Months Ended
September 30, 2022 September 30, 2022
Loan originations(1) $ 438,454 $ 6,823,352
Loan fundings(2) $ 696,642 $ 6,465,261
Loan repayments and sales(3) (442,970) (3,086,011)
Total net fundings $ 253,672 $ 3,379,250
(1)Includes new loan originations and additional commitments made under existing
loans.
(2)Loan fundings during the three and nine months ended September 30, 2022 ,
include $61.1 million and $254.4 million , respectively, of additional fundings
under related non-consolidated senior interests.
(3)Loan repayments and sales during the three and nine months ended
September 30, 2022 , include $10.0 million and $741.7 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 $ 24,576,601 $ 26,136,007
Net book value $ 24,278,702 $ 24,278,702
Unfunded loan commitments(2) $ 4,126,886 $ 4,923,241
Weighted-average cash coupon(3) + 3.30 % + 3.31 %
Weighted-average all-in yield(3) + 3.67 % + 3.68 %
Weighted-average maximum maturity (years)(4) 3.3 3.3
Origination loan to value (LTV)(5) 64.0 % 63.8 % (1)In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. Total loan exposure encompasses the entire loan we originated and financed, including$1.6 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio. (2)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 ofSeptember 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 ofSeptember 30, 2022 , 63% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 37% were open to repayment by the borrower without penalty. (5)Based on LTV as of the dates loans were originated or acquired by us. 54 --------------------------------------------------------------------------------
The following table details the index rate floors for our loan portfolio based
on total loan exposure as of
Total Loan Exposure(1)
Index Rate Floors USD Non-USD(2) Total
Fixed Rate $ 37,500 $ - $ 37,500
0.00% or no floor(3) 3,815,590 7,072,364 10,887,954
0.01% to 1.00% floor 10,134,223 661,899 10,796,122
1.01% to 1.50% floor 2,960,631 55,040 3,015,671
1.51% to 2.00% floor 984,182 - 984,182
2.01% or more floor 366,129 48,449 414,578
Total(4) $ 18,298,255 $ 7,837,752 $ 26,136,007
(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. Total loan exposure encompasses the entire loan we originated and
financed, including $1.6 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(2)Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar,
Canadian Dollar, Swiss Franc, and Danish Krone currencies.
(3)Includes a $286.3 million loan accounted for under the cost-recovery method.
(4)As of September 30, 2022 , the weighted-average index rate floor of our loan
portfolio was 0.37%. Excluding 0.0% index rate floors and loans with no floor,
the weighted-average index rate floor was 0.63%. 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
based on total loan exposure as of
Investment Total Loan
Count Currency Exposure(1) Floating Rate Index(2) Cash Coupon(3) All-in Yield(3)
163 $ $ 18,298,255 USD LIBOR / SOFR(4) + 3.17% + 3.53%
11 € € 2,724,758 EURIBOR + 3.02% + 3.40%
22 £ £ 2,828,801 SONIA + 3.73% + 4.24%
9 Various $ 2,007,173 Other(5) + 4.24% + 4.55%
205 $ 26,136,007 Applicable Index + 3.31% + 3.68%
(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. Total loan exposure encompasses the entire loan we originated and
financed, including $1.6 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(2)We use foreign currency forward contracts to protect the value or fix the
amount of certain investments or cash flows in terms of the U.S. 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.
(3)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, and purchase
discounts, as well as the accrual of exit fees. Excludes one loan accounted for
under the cost-recovery method.
(4)As of September 30, 2022 , $13.5 billion and $4.8 billion of loans were
indexed to USD LIBOR and SOFR, respectively. As of September 30, 2022 , one-month
USD LIBOR was 3.14% and SOFR was 3.04%.
(5)Includes floating rate loans indexed to STIBOR, BBSY, CDOR, SARON, and CIBOR
indices.
55--------------------------------------------------------------------------------
The charts below detail the geographic distribution and types of properties
securing our loan portfolio, as of
[[Image Removed: bxmt-20220930_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 endedSeptember 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 63.8% as ofSeptember 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 bothSeptember 30, 2022 andDecember 31, 2021 , respectively. 56 --------------------------------------------------------------------------------
The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands):
September 30, 2022
Number Total Loan
Risk Rating of Loans Net Book Value Exposure(1)
1 12 $ 1,059,274 $ 1,081,961
2 42 6,323,262 7,008,246
3 137 14,070,849 15,072,206
4 13 2,684,939 2,687,284
5 1 284,809 286,309
Loans receivable 205 $ 24,423,133
CECL reserve (144,431)
Loans receivable, net $ 24,278,702
(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 $1.6 billion of such non-consolidated senior interests as of
September 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 principle underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors. During the three months endedSeptember 30, 2022 , we recorded an aggregate$12.2 million increase in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to$153.7 million as ofSeptember 30, 2022 . See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. Previously, we entered into loan modifications related to a multifamily asset 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 ofSeptember 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 ofSeptember 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 ofSeptember 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 ofSeptember 30, 2022 . No income was recorded on this loan during the nine months endedSeptember 30, 2022 . 57 --------------------------------------------------------------------------------
Multifamily Joint Venture
As ofSeptember 30, 2022 , our Multifamily Joint Venture held$802.9 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture. Portfolio Financing Our portfolio financing consists of secured debt, securitizations, and asset-specific financings. The following table details our portfolio financing ($ in thousands): Portfolio Financing Outstanding Principal Balance September 30, 2022 December 31, 2021 Secured debt$ 13,213,212 $ 12,299,580 Securitizations(1) 2,855,625 3,155,727 Asset-specific financings(2) 2,726,929 1,913,374 Total portfolio financing$ 18,795,766 $ 17,368,681 (1)Includes our consolidated securitized debt obligations of$2.9 billion as ofSeptember 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 nine months endedSeptember 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 asset-specific debt of$959.8 million , our loan participations sold of$207.8 million , and our non-consolidated senior interests of$1.6 billion , as ofSeptember 30, 2022 . Includes our asset-specific debt of$400.7 million and our non-consolidated senior interests of$1.5 billion , as ofDecember 31, 2021 . The loan participations sold and non-consolidated senior interests are non-debt financings that provide structural leverage for our whole loan investments. Secured Debt
The following table details our outstanding secured debt ($ in thousands):
Secured Debt
Borrowings Outstanding
September 30, 2022 December 31, 2021
Secured credit facilities $ 13,213,212 $ 12,299,580
Acquisition facility - -
Total secured debt $ 13,213,212 $ 12,299,580
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Secured Credit Facilities
The following table details our secured credit facilities by spread over the
applicable base rates as of
Nine Months Ended
September 30, 2022 September 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)(3) Margin(6)
+ 1.50% or less $ 1,194,022 $ 7,635,918 +1.52 % $ 10,764,384 +3.20 % +1.68 %
+ 1.51% to + 1.75% 359,518 2,403,030 +1.88 % 3,734,985 +3.59 % +1.71 %
+ 1.76% to + 2.00% 467,917 1,319,127 +2.17 % 1,904,840 +4.18 % +2.01 %
+ 2.01% or more 1,036,182 1,855,137 +2.66 % 2,558,091 +4.92 % +2.26 %
Total $ 3,057,639 $ 13,213,212 +1.81 % $ 18,962,300 +3.61 % +1.80 %
(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 September 30, 2022 for new financings
during the nine months ended September 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. 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.
(4)Represents the weighted-average all-in cost as of September 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)Represents the difference between the weighted-average all-in yield and
weighted-average all-in cost.
Acquisition Facility
We have a$250.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval. The maturity date of the facility isApril 4, 2023 . As ofSeptember 30, 2022 , we had no assets pledged to our acquisition facility.
Securitizations
The following table details our outstanding securitizations ($ in thousands):
Securitizations Outstanding
September 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 nine months
ended September 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.
59
--------------------------------------------------------------------------------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):
September 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 31 $ 1,000,000 $ 1,000,000 + 3.51 % May 2025
Financing provided 1 803,750 799,063 + 1.57 % May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets 16 1,000,000 1,000,000 + 3.21 % October 2024
Financing provided 1 808,750 806,068 + 2.03 % November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets 18 1,500,000 1,500,000 + 3.39 % September 2024
Financing provided 1 1,243,125 1,238,901 + 1.39 % February 2038
Total
Collateral assets 65 $ 3,500,000 $ 3,500,000 + 3.37 %
Financing provided(4) 3 $ 2,855,625 $ 2,844,032 + 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 September 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
September 30, 2022 , the one-month SOFR was 3.04% and one-month USD LIBOR was
3.14%.
(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 nine months ended September 30, 2022 , we recorded
$26.1 million and $52.6 million , respectively, of interest expense related to
our securitized debt obligations.
Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations.
Asset-Specific Financings
The following table details our outstanding asset-specific financings ($ in
thousands):
Asset-Specific Financings
Outstanding Principal Balance
September 30, 2022 December 31, 2021
Asset-specific debt $ 959,762 $ 400,699
Loan participations sold(1) 207,762 -
Non-consolidated senior interests(1) 1,559,405 1,512,675
Total asset-specific financings$ 2,726,929 $ 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. 60 --------------------------------------------------------------------------------
Asset-Specific Debt
The following table details our asset-specific debt ($ in thousands):
September 30, 2022
Principal Wtd. Avg. Wtd. Avg.
Asset-Specific Debt Count Balance Book Value Yield/Cost(1) Term(2)
Collateral assets 4 $ 1,125,108 $ 1,108,063 + 4.56 % March 2026
Financing provided 4 $ 959,762 $ 949,891 + 3.09 % 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 and financing costs.
(2)The weighted-average term is determined based on the maximum maturity of the
corresponding loans, assuming all extension options are exercised by the
borrower. 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):
September 30, 2022
Principal Wtd. Avg.
Loan Participations Sold Count Balance Book Value Yield/Cost(1) Term(2)
Total loan 1 $ 259,703 $ 257,556 + 4.86 % March 2027
Senior participation 1 $ 207,762 $ 207,225 + 3.20 % March 2027
(1)This non-debt participation sold structure is inherently matched in terms of
currency and interest rate. In addition to cash coupon, yield/cost includes the
amortization of deferred fees and financing costs.
(2)The term is determined based on the 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):
September 30, 2022
Principal Book Wtd. Avg. Wtd. Avg.
Non-Consolidated Senior Interests Count Balance Value Yield/Cost(1) Term
Total loan 8 $ 1,929,848 n/a + 3.66 % February 2026
Senior participation 8 $ 1,559,405 n/a + 2.63 % 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 and financing
costs.
61
--------------------------------------------------------------------------------Corporate Financing
The following table details our outstanding corporate financing ($ in
thousands):
Corporate Financing
Outstanding Principal Balance
September 30, 2022 December 31, 2021
Term loans $ 1,837,717 $ 1,349,271
Senior secured notes 400,000 400,000
Convertible notes 520,000 622,500
Total corporate financing $ 2,757,717 $ 2,371,771 Term Loans
As of
Term Loans Face Value Interest Rate(1) All-in Cost(1)(2) Maturity
B-1 Term Loan $ 922,743 + 2.25 % +
2.53 %
B-3 Term Loan $ 416,224 + 2.75 % +
3.42 %
B-4 Term Loan $ 498,750 + 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%. The B-1 Term Loan and B-3 Term Loan are indexed to one-month USD LIBOR
and the B-4 Term Loan is indexed to one-month SOFR.
(2)Includes issue discount and transaction expenses that are amortized through
interest expense over the life of the Term Loans.
Refer to Note 2 and Note 9 to our consolidated financial statements for additional discussion of our Term Loans.
Senior Secured Notes
As ofSeptember 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 ofSeptember 30, 2022 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands): Convertible Notes Issuance Face Value Interest Rate All-in Cost(1) Conversion Price(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 theMarch 2018 andMarch 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 respectiveMarch 2018 andMarch 2022 convertible notes supplemental indentures have not been exceeded as ofSeptember 30, 2022 . 62 --------------------------------------------------------------------------------
Refer to Note 2 and Note 11 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 ofSeptember 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) $ 18,260,755 £
2,828,801 € 2,724,758
(14,682,870) (2,158,295) (2,047,629) (1,532,713)
Net floating rate exposure $ 3,577,885 £
670,506 € 677,129
$ 3,577,885 $ 748,956 $ 663,722 $ 474,460 (1)Our floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement. (2)As ofSeptember 30, 2022 ,$13.5 billion and$4.8 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively. As ofSeptember 30, 2022 ,$8.5 billion and$6.2 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively. As ofSeptember 30, 2022 , one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%. (3)Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans. (4)Represents theU.S. Dollar equivalent as ofSeptember 30, 2022 . (5)Includes Australian Dollar, Canadian Dollar,Danish Krone , Swedish Krona, and Swiss Franc currencies. 63
--------------------------------------------------------------------------------
III. Our Results of Operations
Operating Results
The following table sets forth information regarding our consolidated results of operations for the three months endedSeptember 30, 2022 andJune 30, 2022 ($ in thousands, except per share data): Three Months Ended Change September 30, 2022 June 30, 2022 $ Income from loans and other investments Interest and related income$ 358,557 $ 283,687 $ 74,870 Less: Interest and related expenses 202,375 136,619 65,756 Income from loans and other investments, net 156,182 147,068 9,114 Other expenses Management and incentive fees 25,911 27,065 (1,154) General and administrative expenses 12,932 12,409 523 Total other expenses 38,843 39,474 (631) Increase in current expected credit loss reserve (12,248) (12,983) 735 Income before income taxes 105,091 94,611 10,480 Income tax provision 1,172 746 426 Net income 103,919 93,865 10,054 Net income attributable to non-controlling interests (673) (615) (58)
Net income attributable to
$ 93,250 $ 9,996 Net income per share of common stock Basic$ 0.60 $ 0.55$ 0.05 Diluted$ 0.59
$ 0.54
170,971,874 170,665,601 306,273
Diluted 185,316,078 185,009,805 306,273
Dividends declared per share $ 0.62 $ 0.62 $ -
Income from loans and other investments, net
Income from loans and other investments, net increased$9.1 million during the three months endedSeptember 30, 2022 compared to the three months endedJune 30, 2022 . The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices and (ii) an increase in the weighted-average principal balance of our loan portfolio by$764.1 million for the three months endedSeptember 30, 2022 , as compared to the three months endedJune 30, 2022 . This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by$681.8 million for the three months endedSeptember 30, 2022 , as compared to the three months endedJune 30, 2022 . Other expenses Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses decreased by$631,000 during the three months endedSeptember 30, 2022 compared to the three months endedJune 30, 2022 due to a decrease of (i)$1.2 million of incentive fees payable to our Manager and (ii) non-cash restricted stock amortization of$199,000 related to shares awarded under our long-term incentive plans. This was offset by an increase of (i)$723,000 of general operating expenses, and (iii)$70,000 of management fees payable to our Manager. 64 --------------------------------------------------------------------------------
Changes in current expected credit loss reserve
During the three months endedSeptember 30, 2022 , we recorded a$12.2 million increase in the CECL reserve, as compared to a$13.0 million increase during the three months endedJune 30, 2022 . See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.
Net income attributable to non-controlling interests
During the three months ended
Dividends per share
During the three months endedSeptember 30, 2022 , we declared aggregate dividends of$0.62 per share, or$106.0 million . During the three months endedJune 30, 2022 , we declared aggregate dividends of$0.62 per share, or$105.6 million . The following table sets forth information regarding our consolidated results of operations for the nine months endedSeptember 30, 2022 andSeptember 30, 2021 ($ in thousands, except per share data): Nine Months Ended Change September 30, September 30, 2022 2021 $ Income from loans and other investments Interest and related income$ 876,676 $ 583,941 $ 292,735 Less: Interest and related expenses 439,708 243,413 196,295 Income from loans and other investments, net 436,968 340,528 96,440 Other expenses Management and incentive fees 76,462 60,094 16,368 General and administrative expenses 37,701 32,108 5,593 Total other expenses 114,163 92,202 21,961 (Increase) decrease in current expected credit loss (22,694) 49,432 (72,126) reserve Income before income taxes 300,111 297,758 2,353 Income tax provision 2,064 346 1,718 Net income 298,047 297,412 635 Net income attributable to non-controlling interests (1,864) (2,158) 294
Net income attributable to
$ 295,254 $ 929 Inc. Net income per share of common stock Basic$ 1.74 $ 2.00 $ (0.26) Diluted$ 1.71 $ 2.00 $ (0.29) Weighted-average shares of common stock outstanding Basic 170,303,470 147,971,737 22,331,733 Diluted 182,011,842 147,971,737 34,040,105 Dividends declared per share$ 1.86 $ 1.86 $ -
Income from loans and other investments, net
Income from loans and other investments, net increased$96.4 million during the nine months endedSeptember 30, 2022 compared to the nine months endedSeptember 30, 2021 . The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, and other floating rate indices during 2022, (ii) an increase in the weighted-average principal balance of our loan portfolio by$6.4 billion for the nine months endedSeptember 30, 2022 , as compared to the nine months endedSeptember 30, 2021 , 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$5.7 billion for the nine months endedSeptember 30, 2022 , as compared to the nine months endedSeptember 30, 2021 . 65 --------------------------------------------------------------------------------
Other expenses
Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by$22.0 million during the nine months endedSeptember 30, 2022 compared to the nine months endedSeptember 30, 2021 due to an increase of (i)$8.7 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii)$7.7 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, (iii)$4.5 million of general operating expenses, and (iv)$1.0 million 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 nine months endedSeptember 30, 2022 , we recorded a$22.7 million increase in the CECL reserve, as compared to a$49.4 million decrease during the nine months endedSeptember 30, 2021 . See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.
Net income attributable to non-controlling interests
During the nine months ended
Dividends per share
During the nine months ended
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 financings. As ofSeptember 30, 2022 , our capitalization structure included$4.7 billion of common equity,$2.8 billion of corporate debt, and$18.8 billion of asset-level financings. 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$18.8 billion of asset-level financings includes$13.2 billion of secured debt,$2.9 billion of securitizations, and$2.7 billion of asset-specific financings all of which are structured to produce term, currency, and index matched funding with no margin call provisions based upon capital markets events.
As of
See Notes 5, 6, 7, 8, 9, 10, and 11 to our consolidated financial statements for additional details regarding our secured debt, securitized debt obligations, asset-specific debt, loan participations sold, Term Loans, Senior Secured Notes, and Convertible Notes, respectively.
Debt-to-Equity Ratio and Total Leverage Ratio
The following table presents our debt-to-equity ratio and total leverage ratio:
September 30, 2022 December 31, 2021
Debt-to-equity ratio(1) 3.6x 3.2x
Total leverage ratio(2) 4.6x 4.2x
(1)Represents (i) total outstanding secured debt, asset-specific debt, term
loans, senior secured notes, and convertible notes, less cash, to (ii) total
equity, in each case at period end.
(2)Represents (i) total outstanding secured debt, securitizations,
asset-specific financings, term loans, senior secured notes, and convertible
notes, less cash, to (ii) total equity, in each case at period end.
66
--------------------------------------------------------------------------------Sources of Liquidity
Our primary sources of liquidity include cash and cash equivalents, available
borrowings under our secured debt facilities, and net receivables from servicers
related to loan repayments, which are set forth in the following table ($ in
thousands):
September 30, December 31,
2022 2021
Cash and cash equivalents $ 271,899 $ 551,154
Available borrowings under secured debt 1,398,058 754,900
Loan principal payments held by servicer, net(1) 1,902 17,528
$ 1,671,859 $ 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 nine months ended September 30, 2022 , we generated cash flow from
operating activities of $266.6 million and received (i) $2.7 billion from loan
principal collections and sales proceeds, (ii) $1.8 billion of net proceeds from
secured debt borrowings, (iii) $575.9 million of net 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) $272.0 million of net cash settlements on our foreign currency
forward contracts, (vii) $245.3 million from the sale of a senior loan
participation, and (viii) $70.7 million of net proceeds from the issuance of
shares of class A common stock. Furthermore, we are able to generate incremental
liquidity through the replenishment provisions of our CLOs, which allow us to
replace a repaid loan in the CLO by increasing the principal amount of existing
CLO collateral assets to maintain the aggregate amount of collateral assets in
the CLO, and the related financing outstanding.
We have access to further liquidity through public offerings of debt and equity
securities. To facilitate such offerings, in July 2022 , we filed a shelf
registration statement with the SEC that is effective for a term of three years
and expires in July 2025 . The amount of securities to be issued pursuant to this
shelf registration statement was not specified when it was filed and there is no
specific dollar limit on the amount of securities we may issue. The securities
covered by this registration statement include: (i) class A common stock; (ii)
preferred stock; (iii) depositary shares representing preferred stock; (iv) debt
securities; (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 our dividend reinvestment plan and direct
stock purchase plan, under which 9,984,370 shares of class A common stock were
available for issuance as of September 30, 2022 , and our at the market stock
offering program, pursuant to which we may sell, from time to time, up to $480.9
million of additional shares of our class A common stock as of September 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 $13.2
billion of outstanding borrowings under secured debt, our asset-specific debt,
our Term Loans, our Senior Secured Notes, and our Convertible Notes.
As of September 30, 2022 , we had unfunded commitments of $4.1 billion related to
122 loans receivable and $2.7 billion of committed or identified financing for
those commitments resulting in net unfunded commitments of $1.4 billion . The
unfunded loan commitments comprise funding for capital expenditures and
construction, leasing costs, and interest and carry costs, and their fundability
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.
67
--------------------------------------------------------------------------------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) $ 4,126,886 $ 134,565
13,213,212 400,435 4,255,279 7,837,659 719,839
debt(3)
Principal repayments under asset-specific 959,762 - 521,838 354,858 83,066
debt(3)
Principal repayments of term loans(4) 1,837,717 18,738 37,477 1,307,752 473,750 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) 2,596,262 765,801 1,219,051 535,582 75,828 Total(7)$ 23,653,839 $ 1,539,539 $ 7,428,937 $ 11,976,583 $ 2,708,780 (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 ofSeptember 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,$1.6 billion of non-consolidated senior interests, and$207.8 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.
We are also required to settle our foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 12 to our consolidated financial statements for details regarding our derivative contracts.
We are required to pay our Manager a base management fee, an incentive fee, and
reimbursements for certain expenses pursuant to our Management Agreement. The
table above does not include the amounts payable to our Manager under our
Management Agreement as they are not fixed and determinable. Refer to Note 14 to
our consolidated financial statements for additional terms and details of the
fees payable under our Management Agreement.
As a REIT, we generally must distribute substantially all of our net taxable
income to stockholders in the form of dividends to comply with the REIT
provisions of the Internal Revenue Code. Our taxable income does not necessarily
equal our net income as calculated in accordance with GAAP, or our Distributable
Earnings as described above.
68
--------------------------------------------------------------------------------Cash Flows
The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands):
Nine
Months Ended
2022 2021
Cash flows provided by operating activities $ 266,610 $ 255,022
Cash flows used in investing activities (3,200,070) (3,926,040)
Cash flows provided by financing activities 2,671,630 3,616,649
Net decrease in cash and cash equivalents $
(261,830)
We experienced a net decrease in cash and cash equivalents of$261.8 million for the nine months endedSeptember 30, 2022 , compared to a net decrease of$54.4 million for the nine months endedSeptember 30, 2021 . During the nine months endedSeptember 30, 2022 , we (i) funded$6.2 billion of loans, (ii) repaid$402.5 million of convertible notes, and (iii) paid$315.4 million of dividends on our class A common stock. During the nine months endedSeptember 30, 2022 , we received (i)$2.7 billion from loan principal collections and sales proceeds, (ii)$1.8 billion of net proceeds from secured debt borrowings, (iii)$575.9 million of net 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)$272.0 million of net cash settlements on our foreign currency forward contracts, (vii)$245.3 million from the sale of a senior loan participation, and (viii)$70.7 million of net proceeds from the issuance of shares of class A common stock. 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 forU.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 forU.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 toU.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 underU.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 certainU.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 ofSeptember 30, 2022 andDecember 31, 2021 , we were in compliance with all REIT requirements.
Furthermore, our taxable REIT subsidiaries are subject to federal, state, and local income tax on their net taxable income. Refer to Note 15 to our consolidated financial statements for additional discussion of our income taxes.
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 . 69
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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 throughAugust 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. We may also incorporate information from other sources, including information and opinions available to our Manager, to further inform these estimations. This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as ofSeptember 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. 70 -------------------------------------------------------------------------------- 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 endedSeptember 30, 2022 , we recorded an aggregate$12.2 million increase in the CECL reserve related to our loans receivable and unfunded loan commitments, bringing our total reserve to$153.7 million as ofSeptember 30, 2022 . See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.
Revenue Recognition
Interest income from our loans receivable portfolio and debt securities is
recognized over the life of each investment using the effective interest method
and is recorded on the accrual basis. Recognition of fees, premiums, and
discounts associated with these investments is deferred and recorded over the
term of the loan or debt security as an adjustment to yield. Income accrual is
generally suspended for loans at the earlier of the date at which payments
become 90 days past due or when, in our opinion, recovery of income and
principal becomes doubtful. Interest received is then recorded as a reduction in
the outstanding principal balance until accrual is resumed when the loan becomes
contractually current and performance is demonstrated to be resumed. In
addition, for loans we originate, the related origination expenses are deferred
and recognized as a component of interest income, however expenses related to
loans we acquire are included in general and administrative expenses as
incurred.
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VI. Loan Portfolio Details
The following table provides details of our loan portfolio, on a loan-by-loan
basis, as of September 30, 2022 ($ 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 $ 1,067 $ 989 $ 986 +2.62 % +3.22 % 12/23/2024 Dublin - IE Office $369 / sqft 74 % 2
2 Senior Loan 6/24/2022 847 847 839 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $385 / sqft 59 % 3
3 Senior Loan 4/9/2018 1,487 799 790 +4.64 % +5.84 % 6/9/2025 New York Office $525 / sqft 48 % 2
4 Senior Loan(4) 12/9/2021 770 702 403 +2.65 % +2.81 % 12/9/2026 New York Mixed-Use $232 / sqft 50 % 2
5 Senior Loan(4) 8/7/2019 746 630 127 +3.12 % +3.61 % 9/9/2025 Los Angeles Office $426 / sqft 59 % 3
6 Senior Loan 3/22/2018 616 616 616 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4
7 Senior Loan 3/30/2021 448 448 445 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $83 / sqft 76 % 2
8 Senior Loan(4) 12/17/2021 448 440 88 +3.95 % +4.35 % 1/9/2026 Diversified - US Other $13,716 / unit 61 % 2
9 Senior Loan 7/23/2021 500 372 367 +4.00 % +4.42 % 8/9/2027 New York Multi $498,816 / unit 58 % 3
10 Senior Loan 8/22/2018 363 363 363 +3.40 % +3.40 % 8/9/2023 Maui Hospitality $471,391 / key 61 % 1
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 470 341 68 +3.70 % +4.14 % 12/9/2025 Los Angeles Office $342 / sqft 69 % 3
13 Senior Loan 9/23/2019 343 314 312 +3.00 % +3.20 % 11/15/2024 Diversified - Spain Hospitality $171,617 / key 62 % 4
14 Senior Loan 2/27/2020 303 302 302 +2.70 % +3.04 % 3/9/2025 New York Multi $948 / sqft 59 % 2
15 Senior Loan 10/25/2021 288 288 286 +4.30 % +4.62 % 10/25/2024 Diversified - AU Hospitality $141,942 / key 56 % 3
16 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
17 Senior Loan 9/29/2021 312 284 282 +2.70 % +2.91 % 10/9/2026 Washington, DC Office $370 / sqft 66 % 2
18 Senior Loan 12/11/2018 310 280 281 +2.55 % +2.77 % 12/9/2023 Chicago Office $236 / sqft 78 % 4
19 Senior Loan 10/23/2018 290 279 279 +2.80 % +3.04 % 11/9/2024 Atlanta Office $260 / sqft 64 % 2
20 Senior Loan 5/6/2022 277 277 275 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $86 / sqft 53 % 2
21 Senior Loan 9/30/2021 280 271 269 +2.50 % +2.77 % 9/30/2026 Dallas Multi $142,933 / unit 74 % 3
22 Senior Loan 1/11/2019 268 268 267 +4.35 % +4.70 % 1/11/2026 Diversified - UK Other $265 / sqft 74 % 4
23 Senior Loan 4/26/2021 264 264 262 +2.45 % +2.63 % 5/9/2026 Diversified - US Multi $156,393 / unit 75 % 3
24 Senior Loan 3/25/2022 260 260 258 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $118,559 / key 65 % 3
25 Senior Loan 11/30/2018 263 259 259 +2.80 % +3.03 % 12/9/2024 San Francisco Hospitality $377,489 / key 73 % 4
26 Senior Loan 9/14/2021 259 254 253 +2.50 % +2.76 % 9/14/2026 Dallas Multi $205,828 / unit 72 % 3
27 Senior Loan 7/15/2021 278 232 229 +4.25 % +4.74 % 7/15/2026 Diversified - EUR Hospitality $177,004 / key 53 % 3
28 Senior Loan 2/23/2022 245 227 225 +2.60 % +2.84 % 3/9/2027 Reno Multi $210,655 / unit 74 % 3
29 Senior Loan 9/16/2021 247 225 224 +3.80 % +4.49 % 4/9/2024 San Francisco Office $273 / sqft 53 % 3
30 Senior Loan 6/8/2022 272 225 223 +3.35 % +3.70 % 6/9/2027 New York Office $1,259 / sqft 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
31 Senior Loan 4/29/2022 $ 210 $ 210 $ 208 +3.45 % +3.68 % 3/3/2027 Diversified - UK Hospitality n / a 41 % 2
32 Senior Loan 4/23/2021 219 209 209 +3.65 % +3.77 % 5/9/2024 Washington, DC Office $234 / sqft 57 % 4
33 Senior Loan 8/31/2017 203 203 203 +2.50 % +2.74 % 9/9/2023 Orange County Office $236 / sqft 64 % 3
34 Senior Loan 10/1/2019 248 197 196 +3.75 % +4.28 % 10/9/2025 Atlanta Office $369 / sqft 68 % 1
35 Senior Loan 9/30/2021 195 195 194 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3
36 Senior Loan 12/22/2016 202 191 192 +3.90 % +4.65 % 12/9/2023 New York Office $268 / sqft 64 % 4
37 Senior Loan 7/16/2021 204 189 188 +3.25 % +3.81 % 2/15/2027 London - UK Multi $215,007 / unit 69 % 3
38 Senior Loan 6/28/2019 183 183 182 +3.70 % +4.37 % 6/27/2024 London - UK Office $598 / sqft 71 % 3
39 Senior Loan 6/4/2018 183 183 182 +3.50 % +3.76 % 6/9/2024 New York Hospitality $301,071 / key 52 % 4
40 Senior Loan 2/15/2022 191 177 176 +2.90 % +3.14 % 3/9/2027 Denver Office $353 / sqft 61 % 3
41 Senior Loan 6/27/2019 188 175 175 +2.80 % +2.80 % 8/15/2026 Berlin - DEU Office $184 / sqft 62 % 3
42 Senior Loan 9/30/2021 217 172 170 +4.00 % +4.49 % 9/30/2026 Diversified - Spain Hospitality $155,064 / key 60 % 3
43 Senior Loan 9/30/2021 256 172 170 +3.00 % +3.35 % 10/9/2028 Chicago Office $190 / sqft 74 % 3
44 Senior Loan 9/26/2019 165 165 165 +3.10 % +3.34 % 7/9/2023 New York Office $241 / sqft 65 % 3
45 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,680 / unit 48 % 2
46 Senior Loan 9/25/2019 164 164 164 +4.35 % +4.87 % 9/26/2024 London - UK Office $749 / sqft 72 % 3
47 Senior Loan 11/23/2018 164 164 163 +2.62 % +2.87 % 2/15/2024 Diversified - UK Office $486 / sqft 50 % 3
48 Senior Loan 12/21/2021 168 162 160 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $332 / sqft 67 % 3
49 Senior Loan 7/23/2021 244 160 158 +5.00 % +5.39 % 8/9/2027 New York Office $519 / sqft 53 % 3
50 Senior Loan 10/7/2021 165 159 159 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $325 / sqft 68 % 3
51 Senior Loan 5/27/2021 205 159 158 +2.70 % +2.99 % 6/9/2026 Atlanta Office $134 / sqft 66 % 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 8/24/2021 179 154 153 +3.10 % +3.41 % 9/9/2026 San Jose Office $367 / sqft 65 % 3
54 Senior Loan 1/27/2022 178 154 153 +3.10 % +3.44 % 2/9/2027 Dallas Multi $100,663 / unit 71 % 3
55 Senior Loan 3/9/2022 151 151 150 +2.95 % +3.17 % 8/15/2027 Various Retail $129 / sqft 55 % 2
56 Senior Loan 8/31/2021 150 150 149 +3.15 % +3.42 % 9/9/2026 Diversified - US Retail $299 / sqft 65 % 2
57 Senior Loan 9/4/2018 163 150 149 +4.25 % +4.50 % 9/9/2024 Las Vegas Hospitality $181,054 / key 70 % 3
58 Senior Loan 5/13/2021 199 145 143 +3.55 % +3.94 % 6/9/2026 Boston Office $733 / sqft 64 % 3
59 Senior Loan 1/17/2020 203 144 144 +2.75 % +3.16 % 2/9/2025 New York Mixed-Use $119 / sqft 43 % 3
60 Senior Loan 7/29/2022 246 143 139 +4.60 % +5.78 % 7/27/2027 London - UK Industrial $201 / sqft 52 % 3
continued…
73
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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 3/10/2020 $ 140 $ 132 $ 132 +2.50 % +2.50 % 10/11/2024 New York Mixed-Use $805 / sqft 53 % 2
62 Senior Loan 9/14/2021 132 128 127 +2.70 % +2.95 % 10/9/2026 San Bernardino Multi $257,631 / unit 75 % 3
63 Senior Loan 1/7/2022 155 127 126 +3.70 % +3.96 % 1/9/2027 Fort Lauderdale Office $327 / sqft 55 % 1
64 Senior Loan 11/27/2019 146 127 127 +2.75 % +3.13 % 12/9/2024 Minneapolis Office $127 / sqft 64 % 3
65 Senior Loan 11/18/2021 126 126 126 +3.25 % +3.51 % 10/21/2026 London - UK Other $173 / sqft 65 % 2
66 Senior Loan 12/20/2019 126 126 125 +3.10 % +3.32 % 12/18/2026 London - UK Office $636 / sqft 75 % 2
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 150 124 123 +3.05 % +3.35 % 4/9/2027 Miami Office $341 / sqft 69 % 3
69 Senior Loan 6/30/2022 122 122 121 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $493 / sqft 60 % 3
70 Senior Loan 6/1/2021 120 120 120 +2.85 % +3.05 % 6/9/2026 Miami Multi $298,507 / unit 61 % 2
71 Senior Loan 4/6/2021 123 120 119 +3.20 % +3.52 % 4/9/2026 Los Angeles Office $505 / sqft 65 % 3
72 Senior Loan 4/29/2022 118 118 117 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,235,602 / key 66 % 2
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 138 117 116 +3.01 % +3.43 % 8/9/2024 Houston Office $211 / sqft 58 % 3
75 Senior Loan 5/20/2021 148 115 114 +3.60 % +4.00 % 6/9/2026 San Jose Office $295 / sqft 65 % 3
76 Senior Loan 8/27/2021 122 115 114 +3.00 % +3.29 % 9/9/2026 San Diego Retail $434 / sqft 58 % 3
77 Senior Loan 10/21/2021 114 114 114 +2.90 % +3.15 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 1
78 Senior Loan 12/21/2021 120 111 110 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $380 / sqft 68 % 3
79 Senior Loan 2/25/2022 110 110 109 +4.00 % +4.31 % 2/25/2027 Copenhagen - DK Industrial $78 / sqft 69 % 2
80 Senior Loan 3/29/2021 114 109 108 +3.90 % +4.49 % 3/29/2026 Diversified - UK Multi $47,517 / unit 61 % 3
81 Senior Loan 3/13/2018 123 106 106 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $163,717 / key 50 % 3
82 Senior Loan 2/15/2022 106 104 103 +2.85 % +3.19 % 3/9/2027 Tampa Multi $238,308 / unit 73 % 3
83 Senior Loan 6/28/2022 675 104 97 +4.60 % +5.04 % 7/9/2029 Austin Mixed-Use $86 / sqft 53 % 3
84 Senior Loan 3/17/2022 242 101 100 +3.75 % +4.51 % 6/30/2025 London - UK Office $456 / sqft 62 % 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 $194 / sqft 72 % 3
87 Senior Loan 3/29/2022 103 99 99 +2.70 % +2.96 % 4/9/2027 Miami Multi $276,762 / unit 75 % 3
88 Senior Loan 7/1/2021 104 99 99 +3.10 % +3.35 % 7/9/2026 Diversified - US Retail $281 / sqft 61 % 2
89 Senior Loan 10/1/2021 101 99 98 +2.75 % +3.02 % 10/1/2026 Phoenix Multi $228,201 / unit 77 % 3
90 Senior Loan 6/18/2021 99 99 98 +2.60 % +2.83 % 7/9/2026 New York Industrial $52 / sqft 55 % 1
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 % 11/9/2024 San Francisco Hospitality$211,959 / key 72 % 4 92 Senior Loan2/20/2019 151 97 96 +3.95 % +6.00 %2/19/2024 London -UK Office$475 / sqft 61 % 3 93 Senior Loan3/28/2019 97 97 97 +3.25 % +3.25 %1/9/2024 New York Hospitality$249,463 / key 63 % 4 94 Senior Loan10/28/2021 96 96 95 +2.90 % +3.25 %11/9/2026 Philadelphia Multi$353,704 / unit 79 % 3 95 Senior Loan12/10/2021 135 93 92 +3.00 % +3.37 %1/9/2027 Miami Office$311 / sqft 49 % 3 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 93 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 Loan12/22/2021 91 91 90 +3.18 % +3.44 %1/9/2027 Las Vegas Multi$205,682 / unit 65 % 3 100 Senior Loan12/15/2021 91 88 87 +2.85 % +3.10 %1/9/2027 Charlotte Multi$251,107 / unit 76 % 3 101 Senior Loan3/25/2020 105 87 87 +2.40 % +2.78 %3/31/2025 Diversified -NL Multi$106,309 / unit 65 % 2 102 Senior Loan6/25/2021 85 85 85 +2.75 % +3.10 %7/1/2026 St. Louis Multi$80,339 / unit 70 % 3 103 Senior Loan3/31/2017 89 84 84 +4.30 % +4.54 %4/9/2023 New York Office$403 / sqft 64 % 4 104 Senior Loan7/30/2021 87 82 82 +2.50 % +2.84 %8/9/2026 Los Angeles Multi$162,678 / unit 70 % 3 105 Senior Loan12/10/2018 99 81 80 +3.45 % +3.95 %12/3/2024 London -UK Office$384 / sqft 72 % 3 106 Senior Loan3/9/2022 92 80 79 +2.90 % +3.43 %3/9/2025 Boston Office$211 / sqft 68 % 3 107 Senior Loan6/14/2022 106 80 79 +2.95 % +3.30 %7/9/2027 San Francisco Industrial$167 / sqft 76 % 3 108 Senior Loan4/1/2021 102 80 79 +3.30 % +3.74 %4/9/2026 San Jose Office$535 / sqft 67 % 3 109 Senior Loan6/27/2019 88 79 79 +2.75 % +2.66 %7/9/2024 West Palm Beach Office$270 / sqft 70 % 2 110 Senior Loan7/29/2021 82 78 78 +2.65 % +3.02 %6/9/2026 Charlotte Multi$214,126 / unit 78 % 3 111 Senior Loan11/23/2021 92 77 76 +2.75 % +3.08 %12/9/2026 Los Angeles Industrial$219 / sqft 66 % 3 112 Senior Loan8/27/2021 79 77 76 +3.85 % +4.43 %9/9/2026 Diversified - US Hospitality$113,865 / key 67 % 3 113 Senior Loan1/30/2020 104 75 74 +2.85 % +3.31 %2/9/2026 Honolulu Hospitality$239,478 / key 63 % 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 Loan12/15/2021 133 72 70 +3.46 % +4.44 %12/15/2026 Dublin - IE Multi$179,745 / unit 79 % 3 116 Senior Loan(4)11/10/2021 362 71 14 +4.00 % +4.63 %12/9/2026 San Francisco Office$134 / sqft 66 % 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 Loan12/21/2021 74 68 67 +2.70 % +3.06 %1/9/2027 Tampa Multi$199,635 / unit 77 % 2 120 Senior Loan9/22/2021 67 67 67 +3.00 % +3.16 %4/1/2024 Jacksonville Multi$181,081 / unit 62 % 2 continued… 75
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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 3/24/2022 $ 65 $ 65 $ 65 +3.50 % +3.59 % 4/1/2027 Fairfield Multi $406,250 / unit 70 % 3
122 Senior Loan 8/22/2019 65 65 65 +2.55 % +2.69 % 9/9/2024 Los Angeles Office $389 / sqft 63 % 3
123 Senior Loan 3/31/2022 70 63 63 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $139,018 / unit 71 % 3
124 Senior Loan 12/15/2021 83 63 62 +5.25 % +6.17 % 12/15/2026 Melbourne - AU Multi $45,675 / unit 38 % 3
125 Senior Loan 8/17/2022 70 62 62 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $98 / sqft 72 % 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 $143 / sqft 71 % 3
129 Senior Loan 8/14/2019 70 60 60 +2.56 % +2.78 % 9/9/2024 Los Angeles Office $684 / sqft 57 % 3
130 Senior Loan 12/23/2021 288 60 55 +4.25 % +5.46 % 6/24/2028 London - UK Multi $65,799 / unit 59 % 3
131 Senior Loan 6/30/2021 65 59 59 +2.90 % +3.19 % 7/9/2026 Nashville Office $242 / sqft 71 % 3
132 Senior Loan 4/15/2021 66 58 58 +3.00 % +3.30 % 5/9/2026 Austin Office $282 / sqft 73 % 3
133 Senior Loan 9/29/2021 62 58 58 +2.85 % +3.02 % 10/1/2025 Houston Multi $52,968 / unit 61 % 3
134 Senior Loan 12/17/2021 58 58 58 +2.65 % +2.85 % 1/9/2027 Phoenix Multi $209,601 / unit 69 % 3
135 Senior Loan 7/16/2021 58 58 58 +2.75 % +3.03 % 8/1/2025 Orlando Multi $195,750 / unit 74 % 2
136 Senior Loan 12/10/2020 61 56 56 +3.25 % +3.54 % 1/9/2026 Fort Lauderdale Office $192 / sqft 68 % 3
137 Senior Loan 10/5/2018 55 55 55 +5.50 % +5.92 % 12/20/2022 Sydney - AU Office $584 / sqft 78 % 3
138 Senior Loan 12/22/2021 55 55 54 +2.82 % +2.96 % 1/1/2027 Los Angeles Multi $272,500 / unit 68 % 3
139 Senior Loan 12/14/2018 60 53 53 +2.90 % +3.14 % 1/9/2024 Diversified - US Industrial $39 / sqft 57 % 1
140 Senior Loan 7/30/2021 59 53 52 +2.75 % +2.96 % 8/9/2026 Tampa Multi $131,486 / unit 71 % 3
141 Senior Loan 12/17/2021 66 53 52 +4.35 % +4.93 % 1/9/2026 Diversified - US Other $3,693 / unit 37 % 2
142 Senior Loan 11/30/2016 61 52 52 +3.10 % +3.22 % 12/9/2023 Chicago Retail $1,014 / sqft 54 % 4
143 Senior Loan 12/9/2021 51 51 51 +2.75 % +2.89 % 1/1/2027 Portland Multi $241,825 / unit 65 % 3
144 Senior Loan 2/17/2021 53 51 51 +3.55 % +3.75 % 3/9/2026 Miami Multi $290,985 / unit 64 % 2
145 Senior Loan 11/5/2019 56 50 50 +3.85 % +3.90 % 2/21/2025 Diversified - IT Office $1,758 / sqft 66 % 3
146 Senior Loan 1/21/2022 68 50 49 +3.70 % +4.11 % 2/9/2027 Denver Office $296 / sqft 65 % 3
147 Senior Loan 8/5/2021 57 50 50 +2.90 % +3.04 % 8/9/2026 Denver Office $188 / sqft 70 % 3
148 Senior Loan 9/23/2021 49 49 49 +2.75 % +2.86 % 10/1/2026 Portland Multi $232,938 / unit 65 % 3
149 Senior Loan 6/28/2021 49 49 49 +3.60 % +4.86 % 2/15/2023 Diversified - Spain Hospitality $123,899 / key 56 % 3
150 Senior Loan 2/20/2019 48 48 48 +3.50 % +3.72 % 3/9/2024 Calgary - CAN Office $134 / sqft 52 % 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
151 - Senior Loan(4) Various 2,206 1,785 1,753 +3.04 % +3.48 % 3.2 yrs Various Various Various 61 % 2.6
205
CECL reserve (144)
Loans receivable, net $ 31,059 $ 26,136 $ 24,279 +3.31 % +3.68 % 3.3 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 September 30, 2022 , eight loans in our portfolio have been
financed with an aggregate $1.6 billion of non-consolidated senior interest,
which are included in the table above.
(5)The weighted-average cash coupon and all-in yield are expressed as a spread
over the relevant floating benchmark rates, which include USD LIBOR, SOFR,
SONIA, EURIBOR, and other indices as applicable to each loan. As of
September 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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