BLACKSTONE MORTGAGE TRUST, INC. The following discussion should be read in conjunction with the consolidated financial statements and notes thereto appearing elsewhere in this Annual Report on Form 10-K. In addition to historical data, this discussion contains forward looking statements about our business, operations and financial performance based on current expectations that involve risks, uncertainties and assumptions. Our actual results may differ materially from those in this discussion as a result of various factors, including but not limited to those discussed in Part, 1. Item 1A, "Risk Factors" in this Annual Report on Form 10-K.
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 The year endedDecember 31, 2022 has been characterized by steep declines and significant volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth and geopolitical uncertainty. Inflation across many key economies reached generational highs, prompting central banks to take monetary policy tightening actions that are likely to create headwinds to economic growth. The ongoing war betweenRussia andUkraine is also contributing to economic and geopolitical uncertainty. Inflation continues to rise and has caused theFederal Reserve to raise interest rates with indications of future increases, which has created further uncertainty for the economy and for our borrowers. Although our business model is such that rising interest rates will, all else being equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers. Additionally, rising rates and increasing costs may dampen consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans. While there is debate among economists as to whether such factors, coupled with recent periods of economic contraction in theU.S. , indicate that theU.S. has entered, or in the near term will enter, a recession, it remains difficult to predict the full impact of recent changes and any future changes in interest rates or inflation.
Reference Rate Reform
LIBOR and certain other floating rate benchmark indices to which our floating
rate loans and other loan agreements are tied, including, without limitation,
the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered
Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the
Canadian Dollar Offered Rate, or CDOR, the
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Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering
Rate, or CIBOR, or collectively, IBORs, have been the subject of national,
international and regulatory guidance and proposals for reform. As of December
31, 2021 , the ICE Benchmark Association , or IBA, ceased publication of most
non-USD LIBOR settings. IBA also previously announced its intention to cease
publication of remaining U.S. dollar LIBOR settings immediately after June 30,
2023 ; however, in November 2022 the U.K. Financial Conduct Authority , which
regulates IBA, announced a public consultation regarding whether it should
compel IBA to continue publishing "synthetic" USD LIBOR settings from June 2023
to the end of September 2024 . Further, on March 15, 2022 , the Consolidated
Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR)
Act, or LIBOR Act, was signed into law in the U.S. This legislation establishes
a uniform benchmark replacement process for financial contracts maturing after
June 30, 2023 that do not contain clearly defined or practicable fallback
provisions. Under the LIBOR Act, such contracts will automatically transition as
a matter of law to a Secured Overnight Financing Rate, or SOFR, based
replacement rate identified by the Board of Governors of the Federal Reserve
System , or Federal Reserve . The legislation also creates a safe harbor that
shields lenders from litigation if they choose to utilize a replacement rate
recommended by the Federal Reserve . In July 2022 , the Federal Reserve issued a
notice of proposed rulemaking implementing the LIBOR Act. As of December 31,
2022 , no regulations have been promulgated.
The Federal Reserve , in conjunction with the Alternative Reference Rates
Committee, or ARRC, a steering committee composed of large U.S. financial
institutions, identified SOFR, a new index calculated using short-term
repurchase agreements backed by U.S. Treasury securities, as its preferred
alternative rate for USD LIBOR. According to the ARRC, data from the cash and
derivatives markets show continued momentum in the transition from LIBOR to
SOFR, and SOFR is currently predominant across cash and derivatives markets. As
of December 31, 2022 , one-month term SOFR is utilized as the floating benchmark
rate on 76 of our loans, the financing provided on the 2020 FL3 and 2020 FL2
CLOs, one of our asset-specific financings, certain borrowings under twelve of
our credit facilities, and our B-4 Term Loan. As of December 31, 2022 , one-month
term SOFR was 4.36% and one-month USD LIBOR was 4.39%. Additionally, market
participants have continued to transition from GBP LIBOR to the Sterling
Overnight Index Average, or SONIA, in line with guidance from the U.K.
regulators. As of December 31, 2022 , daily compounded SONIA is utilized as the
floating benchmark rate for all of our floating rate British Pound Sterling
loans and related financings. As of December 31, 2022 , 63.5% of our aggregate
loan principal balance has either transitioned to the applicable replacement
benchmark rate, or its existing benchmark rate is not expected to be replaced,
and we expect to transition the remaining 36.5% in 2023.
At this time, it is not possible to predict how markets will respond in the
future to SOFR, SONIA, or other alternative reference rates as the transition
away from USD LIBOR and GBP LIBOR proceeds. Despite the LIBOR transition in
other markets, benchmark rate methodologies in Europe , Australia , Canada ,
Switzerland and Denmark have been reformed and rates such as EURIBOR, STIBOR,
BBSY, CDOR, SARON and CIBOR may persist as International Organization of
Securities Commissions , or IOSCO, compliant reference rates moving forward.
However, multi-rate environments may persist in these markets as regulators and
working groups have suggested market participants adopt alternative reference
rates.
Refer to "Part I. Item 1A. Risk Factors-Risks Related to Our Lending and
Investment Activities-The transition away from reference rates and the use of
alternative replacement reference rates may adversely affect net interest income
related to our loans and investments or otherwise adversely affect our results
of operations, cash flows and the market value of our investments." of this
Annual Report on Form 10-K.
2022 Highlights
Operating results:
•Net income of $248.6 million , or $1.46 per share, and Distributable Earnings of
$489.8 million , or $2.87 per share, with dividends declared of $423.6 million ,
or $2.48 per share. Net income includes a $211.5 million increase to the current
expected credit loss, or CECL, reserve that is excluded from Distributable
Earnings, as further described below.
•Book value per share of $26.26 as of December 31, 2022 , which is net of a $1.99
cumulative CECL reserve, and is within 1% of our book value of $26.42 as of
December 31, 2020 , despite an increase of $171.6 million in our CECL reserve
since that time.
•Increased our liquidity to
Loan portfolio:
•Loan originations of$7.1 billion . During the year we had loan fundings of$7.2 billion and loan repayments of$3.7 billion , resulting in net fundings of$3.4 billion . 60 -------------------------------------------------------------------------------- •Portfolio of 203 investments as ofDecember 31, 2022 , with a weighted-average origination loan-to-value ratio of 63.9% and weighted-average all-in yield of + 3.76%.
Capital markets and financing activity:
•Closed
•Borrowed an additional$825.0 million under our term loan facilities with an interest rate of SOFR plus 3.50% and maturity in 2029, issued$300.0 million aggregate principal amount of 5.50% convertible senior notes due 2027, and issued an aggregate 2.3 million shares of our class A common stock, providing aggregate net proceeds of$70.7 million .
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 endedDecember 31, 2022 , we recorded a net loss per share of$0.28 , declared a dividend of$0.62 per share, and reported$0.87 per share of Distributable Earnings. In addition, our book value as ofDecember 31, 2022 was$26.26 per share, which is net of a$1.99 per share cumulative CECL reserve. For the year endedDecember 31, 2022 , we recorded earnings per share of$1.46 , declared aggregate dividends of$2.48 per share, and reported$2.87 per share of Distributable Earnings.
As further described below, Distributable Earnings is a measure that is not
prepared in accordance with accounting principles generally accepted in
Earnings Per Share and Dividends Declared
The following table sets forth the calculation of basic net income (loss) per
share and dividends declared per share ($ in thousands, except per share data):
Three Months Year Ended December 31,
Ended December
31, 2022 2022 2021
Net (loss) income(1) $ (47,540) $ 248,642 $ 419,193
Weighted-average shares outstanding, basic 171,604,533 170,631,410 151,521,941
Per share amount, basic $ (0.28) $ 1.46 $ 2.77
Dividends declared per share $ 0.62 $ 2.48 $ 2.48
(1)Represents net income attributable to Blackstone Mortgage Trust . Refer to
Note 13 to our consolidated financial statements for the calculation of diluted
net income per share.
Distributable Earnings
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.
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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.
The following table provides a reconciliation of Distributable Earnings to GAAP net income (loss) ($ in thousands, except per share data):
Three Months Ended Year Ended December 31,
December 31, 2022 2022 2021
Net (loss) income(1) $ (47,540) $ 248,642 $ 419,193
Charge-offs of current expected credit loss - - (14,427)
reserve(2)
Increase (decrease) in current expected credit 188,811 211,505 (39,864) loss reserve Non-cash compensation expense 8,128 33,414 31,647 Realized hedging and foreign currency loss, (511) (3,239) (521)
net(3)
Adjustments attributable to non-controlling (268) (361) 132 interests, net Other items (25) (131) 561 Distributable Earnings$ 148,595 $ 489,830 $ 396,721
Weighted-average shares outstanding, basic(4) 171,604,533
170,631,410 151,521,941
Distributable Earnings per share, basic $ 0.87 $ 2.87 $ 2.62
(1)Represents net (loss) income attributable to Blackstone Mortgage Trust .
(2)Represents a realized loss related to loan principal amounts deemed
nonrecoverable following a realization event during the year ended December 31,
2021 . This amount was previously recognized as a component of GAAP net income as
an increase in our current expected credit loss reserve.
(3)Represents realized (losses) on the repatriation of unhedged foreign
currency. These amounts were not included in GAAP net income, but rather as a
component of Other Comprehensive Income in our consolidated financial
statements.
(4)The weighted-average shares outstanding, basic, exclude shares issuable from
a potential conversion of our Convertible Notes. Consistent with the treatment
of other unrealized adjustments to Distributable Earnings, these potentially
issuable shares are excluded until a conversion occurs. Refer to Note 13 to our
consolidated financial statements for the calculation of diluted net income per
share.
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Book Value Per Share
The following table calculates our book value per share ($ in thousands, except
per share data):
December 31, 2022 December 31, 2021
Stockholders' equity
Shares
Class A common stock 171,695,985 168,179,798
Deferred stock units 410,608 363,572
Total outstanding 172,106,593 168,543,370
Book value per share(1) $ 26.26 $ 27.22
(1)The book value per share excludes shares issuable from a potential conversion of our Convertible Notes. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share.
II. Loan Portfolio
During the year endedDecember 31, 2022 , we originated or acquired$7.1 billion of loans. Loan fundings during the year totaled$7.2 billion and loan repayments and sales during the year totaled$3.7 billion . We generated interest income of$1.3 billion and incurred interest expense of$710.9 million during the year, which resulted in$628.1 million of net interest income during the year endedDecember 31, 2022 . Portfolio Overview
The following table details our loan origination activity ($ in thousands):
Three Months Ended Year Ended
December 31, 2022 December 31, 2022
Loan originations(1) $ 235,467 $ 7,058,819
Loan fundings(2) $ 689,872 $ 7,155,133
Loan repayments and sales(3) (647,980) (3,733,990)
Total net fundings $ 41,892 $ 3,421,143
(1)Includes new loan originations and additional commitments made under existing
loans.
(2)Loan fundings during the three months and year ended December 31, 2022 ,
include $90.5 million and $344.9 million , respectively, of additional fundings
under related non-consolidated senior interests.
(3)Loan repayments and sales during the year ended December 31, 2022 include
$441.6 million of additional repayments or reduction of loan exposure under
related non-consolidated senior interests. Loan repayments and sales during the
year ended December 31, 2022 include $300.1 million of additional repayments by
the loan held by our non-consolidated securitized debt obligation. There were no
such related loan repayments during the three months ended December 31, 2022 .
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The following table details overall statistics for our loan portfolio as of
Balance Sheet Loan
Portfolio Exposure(1)
Number of investments 203 203
Principal balance $ 25,160,343 $ 26,810,281
Net book value $ 24,691,743 $ 24,691,743
Unfunded loan commitments(2) $ 3,806,153 $ 4,511,975
Weighted-average cash coupon(3) + 3.44 % + 3.37 %
Weighted-average all-in yield(3) + 3.84 % + 3.76 %
Weighted-average maximum maturity (years)(4) 3.1 3.1
Origination loan to value (LTV)(5) 64.1 % 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$1.6 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 ofDecember 31, 2022 , substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR and SOFR. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method. (4)Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As ofDecember 31, 2022 , 53% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 47% were open to repayment by the borrower without penalty. (5)Based on LTV as of the dates loans were originated or acquired by us. 64 --------------------------------------------------------------------------------
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 $ 38,160 $ - $ 38,160
0.00% or no floor 4,562,239 6,973,651 11,535,890
0.01% to 1.00% floor 9,837,376 858,247 10,695,623
1.01% to 1.50% floor 2,637,027 153,453 2,790,480
1.51% to 2.00% floor 1,000,252 343,841 1,344,093
2.01% or more floor 356,603 49,432 406,035
Total(3) $ 18,431,657 $ 8,378,624 $ 26,810,281
(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. Total loan exposure encompasses the entire loan we originated and
financed, including $1.6 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(2)Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar,
Canadian Dollar, Swiss Franc, and Danish Krone currencies.
(3)As of December 31, 2022 , the weighted-average index rate floor of our loan
portfolio was 0.38%. Excluding 0.0% index rate floors and loans with no floor,
the weighted-average index rate floor was 0.65%. As of December 31, 2021 , the
weighted-average index rate floor of our loan portfolio was 0.42%. Excluding
0.0% index rate floors and loans with no floor, the weighted-average index rate
floor was 0.70%.
The following table details the floating benchmark rates for our loan portfolio
based on total loan exposure as of December 31, 2022 (total investment portfolio
amounts in thousands):
Investment Total Loan
Count Currency Exposure(1) Floating Rate Index(2) Cash Coupon(3) All-in Yield(3)
160 $ $ 18,431,659 USD LIBOR / SOFR(4) + 3.21% + 3.58%
12 € € 2,717,778 EURIBOR + 3.20% + 3.63%
23 £ £ 2,782,967 SONIA + 3.82% + 4.36%
8 Various $ 2,106,582 Other(5) + 4.21% + 4.52%
203 $ 26,810,281 Applicable Index + 3.37% + 3.76%
(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. Total loan exposure encompasses the entire loan we originated and
financed, including $1.6 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(2)We use foreign currency forward contracts to protect the value or fix the
amount of certain investments or cash flows in terms of the U.S. 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 U.S. interest rates. These forward contracts
effectively convert the foreign currency rate exposure for such investments to
USD-equivalent interest rates.
(3)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, and purchase
discounts, as well as the accrual of exit fees. Excludes loans accounted for
under the cost-recovery method.
(4)As of December 31, 2022 , $10.4 billion and $8.0 billion of loans were indexed
to USD LIBOR and SOFR, respectively. As of December 31, 2022 , one-month USD
LIBOR was 4.39% and SOFR was 4.36%.
(5)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-20221231_g3.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 year endedDecember 31, 2022 , we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors. We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility. We believe that we will benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors. Our loan portfolio's low weighted-average origination LTV of 63.9% as ofDecember 31, 2022 reflects significant equity value that we expect our sponsors will be motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments. Our 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 bothDecember 31, 2022 andDecember 31, 2021 , respectively. 66 --------------------------------------------------------------------------------
The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands):
December 31, 2022
Number Total Loan
Risk Rating of Loans Net Book Value Exposure(1)
1 17 $ 1,403,185 $ 1,428,232
2 36 5,880,424 6,562,852
3 134 14,128,133 15,209,018
4 11 2,677,027 2,680,145
5 5 929,111 930,034
Loans receivable 203 $ 25,017,880
CECL reserve (326,137)
Loans receivable, net $ 24,691,743
(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
December 31, 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 year ended
During the year endedDecember 31, 2022 , we recorded an increase of$134.9 million in the CECL reserve specifically related to four of our loans receivable with an aggregate net book value of$644.3 million as ofDecember 31, 2022 . As ofDecember 31, 2022 , the income accrual was suspended on these four loans as recovery of income and principal was doubtful. During the three months endedDecember 31, 2022 , we recorded$11.3 million of interest income on these loans. As ofDecember 31, 2022 , we had an aggregate$189.8 million CECL reserve specifically related to five of our loans receivable, with an aggregate net book value of$929.1 million . This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as ofDecember 31, 2022 . As ofDecember 31, 2021 , we had a$54.9 million CECL reserve specifically related to one of our loans receivable, with a net book value of$284.8 million . No income was recorded on this loan during the years endedDecember 31, 2022 and 2021. As ofDecember 31, 2022 , all borrowers were current with all contractual terms of each respective loan, including payments of interest. Refer to Note 2 for further discussion of our revenue recognition policy and CECL reserve. During the fourth quarter of 2022, we entered into a loan modification related to an office asset inNew York City , which is classified as a troubled debt restructuring under GAAP. This modification included, among other changes, a reduction in the loan's contractual interest payments, an incremental exit fee, and an extension of the loan's maturity date. This loan has an outstanding principal balance of$193.6 million , with commitments to fund an additional$8.2 million , at our discretion, as ofDecember 31, 2022 . As ofDecember 31, 2022 , this loan was deemed impaired and we recorded an asset-specific CECL reserve against this loan. Previously, we entered into loan modifications related to a multifamily asset 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 . 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. As ofDecember 31, 2022 , this loan has an outstanding principal 67 --------------------------------------------------------------------------------
balance of
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 ofDecember 31, 2022 , this loan has an outstanding principal balance of$286.3 million , net of cost-recovery proceeds. As ofJune 30, 2020 this loan was deemed impaired and we recorded an asset-specific CECL reserve against this loan. This asset-specific CECL reserve has not changed as ofDecember 31, 2022 .
Multifamily Joint Venture
As ofDecember 31, 2022 , our Multifamily Joint Venture held$795.6 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture. Portfolio Financing Our portfolio financing consists of secured debt, securitizations, and asset-specific financings. The following table details our portfolio financing ($ in thousands): Portfolio Financing Outstanding Principal Balance December 31, 2022 December 31, 2021 Secured debt$ 13,549,748 $ 12,299,580 Securitizations(1) 2,673,541 3,155,727 Asset-specific financings(2) 2,824,961 1,913,374 Total portfolio financing$ 19,048,250 $ 17,368,681 (1)Includes our consolidated securitized debt obligations of$2.7 billion as ofDecember 31, 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 year endedDecember 31, 2022 , the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization. (2)Includes our asset-specific debt of$950.3 million , our loan participations sold of$224.7 million , and our non-consolidated senior interests of$1.6 billion , as ofDecember 31, 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
December 31, 2022 December 31, 2021
Secured credit facilities $ 13,549,748 $ 12,299,580
Acquisition facility - -
Total secured debt $ 13,549,748 $ 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
Year Ended
December 31, 2022 December 31, 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 $ 1,329,508 $ 7,433,204 +1.53 % $ 10,465,647 +3.24 % +1.71 %
+ 1.51% to + 1.75% 368,265 2,246,223 +1.88 % 3,538,815 +3.73 % +1.85 %
+ 1.76% to + 2.00% 405,723 1,514,541 +2.16 % 2,483,240 +4.14 % +1.98 %
+ 2.01% or more 1,246,650 2,355,780 +2.63 % 3,207,088 +4.78 % +2.15 %
Total $ 3,350,146 $ 13,549,748 +1.85 % $ 19,694,790 +3.70 % +1.85 %
(1)The spread, all-in cost, and all-in yield are expressed over the relevant
floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and
other indices as applicable.
(2)Represents borrowings outstanding as of December 31, 2022 for new financings
during the year ended December 31, 2022 , based on the date collateral was
initially pledged to each credit facility.
(3)In addition to spread, the cost includes the associated deferred fees and
expenses related to the respective borrowings. In addition to cash coupon,
all-in yield includes the amortization of deferred origination and extension
fees, loan origination costs, and purchase discounts, as well as the accrual of
exit fees. Excludes loans accounted for under the cost recovery method.
(4)Represents the weighted-average all-in cost as of December 31, 2022 and is
not necessarily indicative of the spread applicable to recent or future
borrowings.
(5)Represents the principal balance of the collateral assets.
(6)Represents the difference between the weighted-average all-in yield and
weighted-average all-in cost.
Acquisition Facility
We have a$250.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval. The maturity date of the facility isApril 4, 2023 . As ofDecember 31, 2022 , we had no assets pledged to our acquisition facility and no outstanding borrowings.
Securitizations
The following table details our outstanding securitizations ($ in thousands):
Securitizations Outstanding
December 31, 2022 December 31, 2021
Securitized debt obligations $ 2,673,541 2,855,625
Non-consolidated securitized debt obligation(1) - 300,102
Total securitizations $ 2,673,541 $ 3,155,727
(1)These non-consolidated securitized debt obligations represent the senior
non-consolidated investment exposure to the 2018 Single Asset Securitization. We
owned the related subordinate position, which was classified as a
held-to-maturity debt security on our balance sheet. During the year ended
December 31, 2022 , the 2018 Single Asset Securitization was liquidated upon full
repayment of its collateral and all senior securities outstanding. Refer to Note
4 and Note 18 to our consolidated financial statements for details of the 2018
Single Asset Securitization.
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--------------------------------------------------------------------------------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 and the underlying collateral assets that are financed ($ in thousands):
December 31, 2022
Principal Book Wtd. Avg.
Securitized Debt Obligations Count Balance Value Yield/Cost(1)(2) Term(3)
2021 FL4 Collateralized Loan Obligation
Senior CLO Securities Outstanding 1 $ 803,750 $ 799,626 + 1.57 % May 2038
Underlying Collateral Assets 30 1,000,000 1,000,000 + 3.47 % May 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding 1 808,750 806,757 + 2.14 % November 2037
Underlying Collateral Assets 16 1,000,000 1,000,000 + 3.25 % November 2024
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding 1 1,061,041 1,057,627 + 1.55 % February 2038
Underlying Collateral Assets 17 1,317,916 1,317,916 + 3.42 % November 2024
Total
Senior CLO Securities Outstanding(4) 3 $ 2,673,541 $ 2,664,010 + 1.73 %
Underlying Collateral Assets 63 $ 3,317,916 $ 3,317,916 + 3.38 %
(1)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, purchase
discounts, and accrual of exit fees.
(2)The weighted-average all-in yield and cost are expressed as a spread over the
relevant floating benchmark rates, which include USD LIBOR and SOFR, as
applicable to each securitized debt obligation. As of December 31, 2022 , the
floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2
CLOs is one-month SOFR. As of December 31, 2022 , one-month SOFR was 4.36% and
one-month USD LIBOR was 4.39%. Excludes loans accounted for under the cost
recovery method.
(3)Underlying Collateral Assets term represents the weighted-average final
maturity of such loans, assuming all extension options are exercised by the
borrower. Repayments of securitized debt obligations are tied to timing of the
related collateral loan asset repayments. The term of these obligations
represents the rated final distribution date of the securitizations.
(4)During the year ended December 31, 2022 , we recorded $87.6 million of
interest expense related to our securitized debt obligations.
Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations.
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Asset-Specific Financings
The following table details our outstanding asset-specific financings ($ in
thousands):
Asset-Specific Financings
Outstanding Principal Balance
December 31, 2022 December 31, 2021
Asset-specific debt $ 950,278 $ 400,699
Loan participations sold(1) 224,744 -
Non-consolidated senior interests(1) 1,649,939 1,512,675
Total asset-specific financings$ 2,824,961 $ 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. Asset-Specific Debt
The following table details our asset-specific debt ($ in thousands):
December 31, 2022
Principal Wtd. Avg. Wtd. Avg.
Asset-Specific Debt Count Balance Book Value Yield/Cost(1) Term(2)
Financing provided 4 $ 950,278 $ 942,503 + 3.29 % January 2026
Collateral assets 4 $ 1,094,450 $ 1,081,035 + 4.73 % January 2026
(1)These floating rate loans and related liabilities are currency and indexed
matched to the applicable benchmark rate relevant in each arrangement. In
addition to cash coupon, yield/cost includes the amortization of deferred
origination fees and financing costs.
(2)The weighted-average term is determined based on the maximum maturity of the
corresponding loans, assuming all extension options are exercised by the
borrower. Our asset-specific debt is term-matched in each case to the
corresponding collateral loans.
Loan Participations Sold
The following table details our loan participations sold ($ in thousands):
December 31, 2022
Principal Wtd. Avg.
Loan Participations Sold Count Balance Book Value Yield/Cost(1) Term(2)
Senior participation(3) 1 $ 224,744 $ 224,232 + 3.22 % March 2027
Total loan 1 $ 280,930 $ 278,843 + 4.86 % March 2027
(1)This non-debt participation sold structure is inherently matched in terms of
currency and interest rate. In addition to cash coupon, yield/cost includes the
amortization of deferred fees and financing costs.
(2)The term is determined based on the maximum maturity of the loan, assuming
all extension options are exercised by the borrower. Our loan participation sold
is inherently non-recourse and term-matched to the corresponding collateral
loan.
(3)During the year ended December 31, 2022 , we recorded $7.9 million of interest
expense related to our loan participations sold.
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--------------------------------------------------------------------------------Non-Consolidated Senior Interests
In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. Our non-consolidated senior interests are inherently term-matched and non-recourse.
The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests ($ in thousands):
December 31, 2022
Principal Book Wtd. Avg. Wtd. Avg.
Non-Consolidated Senior Interests Count Balance Value Yield/Cost(1) Term
Senior participation 8 $ 1,649,939 n/a + 2.65 % March 2026
Total loan 8 $ 2,042,929 n/a + 3.71 % March 2026
(1)The weighted-average spread and all-in yield are expressed as a spread over
the relevant floating benchmark rates, which includes USD LIBOR and SOFR, as
applicable to each investment. This non-debt participation sold structure is
inherently matched in terms of currency and interest rate. In addition to cash
coupon, yield/cost includes the amortization of deferred fees and financing
costs.
Corporate Financing
The following table details our outstanding corporate financing ($ in
thousands):
Corporate Financing
Outstanding Principal Balance
December 31, 2022 December 31, 2021
Term loans $ 2,157,218 $ 1,349,271
Senior secured notes 400,000 400,000
Convertible notes 520,000 622,500
Total corporate financing $ 3,077,218 $ 2,371,771 Term Loans
As of
Term Loans Face Value Interest Rate(1) All-in Cost(1)(2) Maturity
B-1 Term Loan $ 920,365 + 2.25 % +
2.53 %
B-3 Term Loan $ 415,168 + 2.75 % +
3.42 %
B-4 Term Loan $ 821,685 + 3.50 % + 4.11 % May 9, 2029
(1)The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of
0.50%. The B-1 Term Loan and B-3 Term Loan are indexed to one-month USD LIBOR
and the B-4 Term Loan is indexed to one-month SOFR.
(2)Includes issue discount and transaction expenses that are amortized through
interest expense over the life of the Term Loans.
Refer to Note 2 and Note 9 to our consolidated financial statements for additional discussion of our Term Loans.
72
--------------------------------------------------------------------------------Senior Secured Notes
As ofDecember 31, 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 ofDecember 31, 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 ofDecember 31, 2022 .
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 ofDecember 31, 2022 , substantially all of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments. Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities. 73 --------------------------------------------------------------------------------
The following table details our investment portfolio's net exposure to interest
rates by currency as of
USD GBP EUR All Other(1)
Floating rate loans(2)(3) $ 18,393,500 £
2,782,967 € 2,717,778
(14,897,068) (2,106,649) (2,017,887) (1,602,787)
Net floating rate exposure $ 3,496,432 £
676,318 € 699,891
$ 3,496,432 $ 817,195 $ 749,233 $ 503,795 (1)Includes Australian Dollar, Canadian Dollar,Danish Krone , Swedish Krona, and Swiss Franc currencies. (2)Our floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement. (3)As ofDecember 31, 2022 ,$10.4 billion and$8.0 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively. As ofDecember 31, 2022 ,$8.3 billion and$6.6 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively. As ofDecember 31, 2022 , one-month SOFR was 4.36% and one-month USD LIBOR was 4.39%. (4)Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans. (5)Represents theU.S. Dollar equivalent as ofDecember 31, 2022 . 74
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III. Our Results of Operations
Operating Results
The following table sets forth information regarding our consolidated results of operations for the years endedDecember 31, 2022 , 2021 and 2020 ($ in thousands, except per share data): Year Ended December 31, 2022 vs 2021 Year Ended December 31, 2021 vs 2020 2022 2021 $ 2021 2020 $ Income from loans and other investments Interest and related income$ 1,338,954 $ 854,690 $ 484,264 $ 854,690 $ 779,648 $ 75,042 Less: Interest and related expenses 710,904 340,223 370,681 340,223 347,471 (7,248) Income from loans and other 628,050 514,467 113,583 514,467 432,177 82,290 investments, net Other expenses Management and incentive fees 110,292 88,467 21,825 88,467 77,916 10,551 General and administrative expenses 52,193 43,168 9,025 43,168 45,871 (2,703) Total other expenses 162,485 131,635 30,850 131,635 123,787 7,848 (Increase) decrease in current (211,505) 39,864 (251,369) 39,864 (167,653) 207,517 expected credit loss reserve Income before income taxes 254,060 422,696 (168,636) 422,696 140,737 281,959 Income tax provision 3,003 423 2,580 423 323 100 Net income 251,057 422,273 (171,216) 422,273 140,414 281,859 Net income attributable to (2,415) (3,080) 665 (3,080) (2,744) (336) non-controlling interests Net income attributable to Blackstone$ 248,642 $ 419,193 $ (170,551) $ 419,193 $ 137,670 $ 281,523 Mortgage Trust, Inc.
Net income per share of common stock $ 1.46
$ (1.31) $ 2.77 $ 0.97 $ 1.80 basic and diluted Weighted-average shares of common 170,631,410 151,521,941 19,109,469 151,521,941 141,795,977 9,725,964
stock outstanding, basic and diluted
Dividends declared per share $ 2.48$ 2.48 $ -$ 2.48 $ 2.48 $ -
Income from loans and other investments, net
Income from loans and other investments, net increased$113.6 million during the year endedDecember 31, 2022 compared to the year endedDecember 31, 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$5.7 billion for the year endedDecember 31, 2022 , as compared to the year endedDecember 31, 2021 . This was primarily offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by$5.0 billion for the year endedDecember 31, 2022 , as compared to the year endedDecember 31, 2021 . Income from loans and other investments, net increased$82.3 million during the year endedDecember 31, 2021 compared to the year endedDecember 31, 2020 . The increase was primarily due to (i) an increase in prepayment fee income, (ii) an increase in the weighted-average principal balance of our loan portfolio by$2.0 billion for the year endedDecember 31, 2021 , as compared to the year endedDecember 31, 2020 , and (iii) the impact of declining LIBOR and other floating rate 75 -------------------------------------------------------------------------------- indices, which had a larger impact on interest expense than interest income as a result of certain of our loans earning interest based on floors that were above the applicable floating rate index during the period. This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by$1.9 billion for the year endedDecember 31, 2021 , as compared to the year endedDecember 31, 2020 .
Other expenses
Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by$30.9 million during the year endedDecember 31, 2022 compared to the year endedDecember 31, 2021 due to an increase of (i)$13.0 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii)$8.8 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2022 and 2021, (iii)$7.3 million of general operating expenses, and (iv)$1.7 million of non-cash restricted stock amortization related to shares issued under our long-term incentive plans. Other expenses increased by$7.8 million during the year endedDecember 31, 2021 compared to the year endedDecember 31, 2020 due to an increase of (i)$6.8 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, and (ii)$3.8 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021 and 2020. This was offset by a decrease of$3.0 million of non-cash restricted stock amortization related to shares issued under our long-term incentive plans in 2021 and 2020, primarily due to the difference in the grant date share price.
Changes in current expected credit loss reserve
During the year endedDecember 31, 2022 , we recorded a$211.5 million increase in the CECL reserve, as compared to a$39.9 million decrease during the year endedDecember 31, 2021 . This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions, including inflationary pressures and market volatility. During year endedDecember 31, 2021 , we recorded a$39.9 million decrease in the CECL reserve, as compared to a$167.7 million increase during the year endedDecember 31, 2020 . This CECL reserve reflected the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.
Dividends per share
During the year ended
76
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The following table sets forth information regarding our consolidated results of
operations for the three months ended December 31, 2022 and September 30, 2022
($ in thousands, except per share data):
Three Months Ended Change
December 31, September 30,
2022 2022 $
Income from loans and other investments
Interest and related income $ 462,278 $ 358,557 $ 103,721
Less: Interest and related expenses 271,196 202,375 68,821
Income from loans and other investments, net 191,082 156,182 34,900
Other expenses
Management and incentive fees 33,830 25,911 7,919
General and administrative expenses 14,492 12,932 1,560
Total other expenses 48,322 38,843 9,479
Increase in current expected credit loss reserve (188,811) (12,248) (176,563)
Income before income taxes (46,051) 105,091 (151,142)
Income tax provision 938 1,172 (234)
Net income (46,989) 103,919 (150,908)
Net income attributable to non-controlling interests (551) (673) 122
Net income attributable to
$ 103,246 $ (150,786) Inc. Net income per share of common stock Basic$ (0.28) $ 0.60 $ (0.88) Diluted$ (0.28) $ 0.59 $ (0.87)
Weighted-average shares of common stock outstanding
Basic 171,604,533 170,971,874 632,659 Diluted 171,604,533 185,316,078 (13,711,545) Dividends declared per share$ 0.62 $ 0.62 $ -
Income from loans and other investments, net
Income from loans and other investments, net increased$34.9 million during the three months endedDecember 31, 2022 compared to the three months endedSeptember 30, 2022 . The increase was primarily due to (i) an increase in USD LIBOR, SOFR, SONIA, EURIBOR, and other floating rate indices for the three months endedDecember 31, 2022 and (ii) an increase in prepayment fee income.
Other expenses
Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by$9.5 million during the three months endedDecember 31, 2022 compared to the three months endedSeptember 30, 2022 primarily due to an increase of (i)$7.8 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, and (ii)$1.7 million of general operating expenses.
Changes in current expected credit loss reserve
During the three months endedDecember 31, 2022 , we recorded a$188.8 million increase in the CECL reserve, as compared to a$12.2 million increase during the three months endedSeptember 30, 2022 . This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions, including inflationary pressures and market volatility. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. 77
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Dividends per share
During the three 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 ofDecember 31, 2022 , our capitalization structure included$4.5 billion of common equity,$3.1 billion of corporate debt, and$19.0 billion of asset-level financings. Our$3.1 billion of corporate debt includes$2.2 billion of term loan borrowings,$400.0 million of senior secured notes, and$520.0 million of convertible notes. Our$19.0 billion of asset-level financings includes$13.5 billion of secured debt,$2.7 billion of securitizations, and$2.8 billion of asset-specific financings, all of which are structured to produce term, currency, and index matched funding with no margin call provisions based upon capital markets events.
As of
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:
December 31, 2022 December 31, 2021
Debt-to-equity ratios
Debt-to-equity ratio(1) 3.8x 3.2x
Adjusted debt-to-equity ratio(2) 3.6x 3.1x
Total leverage ratios
Total leverage ratio(3) 4.8x 4.2x
Adjusted total leverage ratio(4) 4.5x 4.1x
(1)Represents, in each case at period end, (i) total outstanding secured debt,
asset-specific debt, term loans, senior secured notes, and convertible notes,
less cash, to (ii) total equity.
(2)Represents, in each case at period end, (i) total outstanding secured debt,
asset-specific debt, term loans, senior secured notes, and convertible notes,
less cash, to (ii) total equity, excluding our aggregate CECL reserve of $342.5
million and $131.0 million , as of December 31, 2022 , and December 31, 2021 ,
respectively.
(3)Represents, in each case at period end, (i) total outstanding secured debt,
securitizations, asset-specific financings, term loans, senior secured notes,
and convertible notes, less cash, to (ii) total equity.
(4)Represents, in each case at period end, (i) total outstanding secured debt,
securitizations, asset-specific financings, term loans, senior secured notes,
and convertible notes, less cash, to (ii) total equity, excluding our aggregate
CECL reserve of $342.5 million and $131.0 million , as of December 31, 2022 , and
December 31, 2021 , respectively.
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Sources of Liquidity
Our primary sources of liquidity include cash and cash equivalents, available
borrowings under our secured debt facilities, and net receivables from servicers
related to loan repayments, which are set forth in the following table ($ in
thousands):
December 31, December 31,
2022 2021
Cash and cash equivalents $ 291,340 $ 551,154
Available borrowings under secured debt 1,536,638 754,900
Loan principal payments held by servicer, net(1) 7,425 17,528
$ 1,835,403 $ 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 year ended December 31, 2022 , we generated cash flow from operating
activities of $396.8 million and received (i) $3.3 billion from loan principal
collections and sales proceeds, (ii) $1.7 billion of net proceeds from secured
debt borrowings, (iii) $807.8 million of net proceeds from secured term loan
borrowings, (iv) $562.0 million of net proceeds from asset-specific debt, (v)
$294.0 million of net proceeds from the issuance of convertible notes, (vi)
$330.3 million of net cash settlements on our foreign currency forward
contracts, (vii) $245.3 million from the sale of a senior loan participation,
and (viii) $70.7 million of net proceeds from the issuance of shares of class A
common stock. Furthermore, we are able to generate incremental liquidity through
the replenishment provisions of certain of our CLOs, which allow us to replace a
repaid loan in the CLO by increasing the principal amount of existing CLO
collateral assets to maintain the aggregate amount of collateral assets in the
CLO, and the related financing outstanding.
We have access to further liquidity through public offerings of debt and equity
securities. To facilitate such offerings, in July 2022 , we filed a shelf
registration statement with the SEC that is effective for a term of three years
and expires in July 2025 . The amount of securities to be issued pursuant to this
shelf registration statement was not specified when it was filed and there is no
specific dollar limit on the amount of securities we may issue. 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 9,981,548 shares of class A common stock were
available for issuance as of December 31, 2022 , and our at the market stock
offering program, pursuant to which we may sell, from time to time, up to $480.9
million of additional shares of our class A common stock as of December 31,
2022 . Refer to Note 13 to our consolidated financial statements for additional
details.
Liquidity Needs
In addition to our loan origination and funding activity and general operating
expenses, our primary liquidity needs include interest and principal payments
under our $13.5 billion of outstanding borrowings under secured debt, our
asset-specific debt, our Term Loans, our Senior Secured Notes, and our
Convertible Notes. From time to time we may also repurchase our outstanding debt
or shares of our class A common stock. Such repurchases, if any, will depend on
prevailing market conditions, our liquidity requirements, contractual
restrictions, and other factors. The amounts involved in any such purchase
transactions, individually or in the aggregate, may be material.
As of December 31, 2022 , we had unfunded commitments of $3.8 billion related to
121 loans receivable and $2.4 billion of committed or identified financing for
those commitments resulting in net unfunded commitments of $1.4 billion . The
unfunded loan commitments comprise funding for capital expenditures and
construction, leasing costs, and interest and carry costs, and their fundability
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 3.0 years.
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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) $ 3,806,153 $ 452,531
13,549,748 397,365 4,434,180 7,939,746 778,457
debt(3)
Principal repayments under asset-specific 950,278 - 816,434 31,900 101,944
debt(3)
Principal repayments of term loans(4) 2,157,218 21,997 43,994 1,310,832 780,395 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) 3,502,067 1,037,275 1,634,923 674,749 155,120 Total(7)$ 24,885,464 $ 2,129,168 $ 8,483,228 $ 11,801,072 $ 2,471,996 (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)Our secured debt and asset-specific debt agreements are generally term-matched to their underlying collateral. Therefore, the allocation of both principal and interest payments under such agreements is generally allocated based on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower. In limited instances, the maturity date of the respective debt agreement is used. (4)The Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the initial principal balance due in quarterly installments. 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 ofDecember 31, 2022 will remain constant into the future. This is only an estimate as actual amounts borrowed and interest rates will vary over time. (7)Total does not include$2.7 billion of consolidated securitized debt obligations,$1.6 billion of non-consolidated senior interests, and$224.7 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.
We are also required to settle our foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 12 to our consolidated financial statements for details regarding our derivative contracts.
We are required to pay our Manager a base management fee, an incentive fee, and
reimbursements for certain expenses pursuant to our Management Agreement. The
table above does not include the amounts payable to our Manager under our
Management Agreement as they are not fixed and determinable. Refer to Note 14 to
our consolidated financial statements for additional terms and details of the
fees payable under our Management Agreement.
As a REIT, we generally must distribute substantially all of our net taxable
income to stockholders in the form of dividends to comply with the REIT
provisions of the Internal Revenue Code. Our taxable income does not necessarily
equal our net income as calculated in accordance with GAAP, or our Distributable
Earnings as described above.
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--------------------------------------------------------------------------------Cash Flows
The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands):
For
the years ended
2022 2021 2020
Cash flows provided by operating activities $ 396,825 $ 382,483 $ 336,607
Cash flows used in investing activities (3,253,535) (5,627,461) (88,251)
Cash flows provided by (used in) financing activities 2,607,224 5,508,224 (110,769)
Net (decrease) increase in cash and cash equivalents
We experienced a net decrease in cash and cash equivalents of$249.5 million for the year endedDecember 31, 2022 , compared to a net increase of$263.2 million for the year endedDecember 31, 2021 . During the year endedDecember 31, 2022 , we (i) funded$6.8 billion of loans, (ii) repaid$402.5 million of convertible notes, and (iii) paid$421.4 million of dividends on our class A common stock. During the year endedDecember 31, 2022 , we received (i)$3.3 billion from loan principal collections and sales proceeds, (ii)$1.7 billion of net proceeds from secured debt borrowings, (iii)$807.8 million of net proceeds from secured term loan borrowings, (iv)$562.0 million of net proceeds from asset-specific debt, (v)$330.3 million of net cash settlements on our foreign currency forward contracts, (vi)$294.0 million of net proceeds from the issuance of convertible notes, (vii)$245.3 million from the sale of a senior loan participation, and (viii)$70.7 million of net proceeds from the issuance of shares of class A common stock. We experienced a net increase in cash and cash equivalents of$263.2 million for the year endedDecember 31, 2021 , compared to a net increase of$137.6 million for the year endedDecember 31, 2020 . During the year endedDecember 31, 2021 , we received (i)$6.7 billion from loan principal collections and sales proceeds, (ii)$4.7 billion of net proceeds from secured debt borrowings, (iii)$638.0 million of net proceeds from the issuance of shares of class A common stock, (iv)$395.0 million of net proceeds from the issuance of senior secured notes, and (v)$298.5 million of net proceeds from secured term loan borrowings. We used the proceeds from these activities to fund$12.6 billion of new loans. 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. 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 ofDecember 31, 2022 and 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.
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--------------------------------------------------------------------------------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. The preparation of these financial statements requires our Manager to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenue and expenses, and related disclosure of contingent assets and liabilities. Actual results could differ from these estimates. During 2022, our Manager reviewed and evaluated our critical accounting policies and believes them to be appropriate. The following is a summary of our significant accounting policies that we believe are the most affected by our Manager's judgments, estimates, and assumptions:
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 throughNovember 30, 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, inflation, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term. In addition to the CMBS data we have licensed 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 ofDecember 31, 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 82 -------------------------------------------------------------------------------- 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 year endedDecember 31, 2022 , we recorded an aggregate$211.5 million increase in the CECL reserve related to our loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to$342.5 million as ofDecember 31, 2022 . See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.
Revenue Recognition
Interest income from our loans receivable portfolio and debt securities is
recognized over the life of each investment using the effective interest method
and is recorded on the accrual basis. Recognition of fees, premiums, and
discounts associated with these investments is deferred and recorded over the
term of the loan or debt security as an adjustment to yield. Income accrual is
generally suspended for loans at the earlier of the date at which payments
become 90 days past due or when, in our opinion, recovery of income and
principal becomes doubtful. Interest received is then recorded as a reduction in
the outstanding principal balance until accrual is resumed when the loan becomes
contractually current and performance is demonstrated to be resumed. In
addition, for loans we originate, the related origination expenses are deferred
and recognized as a component of interest income, however expenses related to
loans we acquire are included in general and administrative expenses as
incurred.
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VI. Loan Portfolio Details
The following table provides details of our loan portfolio, on a loan-by-loan
basis, as of December 31, 2022 ($ 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 $ 1,171 $ 1,033 $ 1,029 +3.06 % +3.78 % 12/23/2024 Dublin - IE Mixed-Use $386 / sqft 74 % 2
2 Senior Loan 4/9/2018 1,487 905 899 +4.49 % +5.72 % 6/9/2025 New York Office $525 / sqft 48 % 2
3 Senior Loan 6/24/2022 901 901 893 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $410 / sqft 59 % 3
4 Senior Loan(4) 12/9/2021 770 710 408 +2.65 % +2.82 % 12/9/2026 New York Mixed-Use $219 / sqft 50 % 2
5 Senior Loan(4) 8/7/2019 746 668 135 +3.12 % +3.61 % 9/9/2025 Los Angeles Office $451 / sqft 59 % 3
6 Senior Loan 3/22/2018 655 655 654 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4
7 Senior Loan 3/30/2021 477 477 473 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $88 / sqft 76 % 2
8 Senior Loan(4) 12/17/2021 448 440 88 +3.95 % +4.35 % 1/9/2026 Diversified - US Other $13,716 / unit 61 % 2
9 Senior Loan 7/23/2021 500 401 396 +4.00 % +4.42 % 8/9/2027 New York Multi $538,046 / unit 58 % 3
10 Senior Loan 8/22/2018 363 363 363 +3.42 % +3.42 % 8/9/2023 Maui Hospitality $471,391 / key 61 % 1
11 Senior Loan(4) 11/22/2019 470 353 70 +3.70 % +4.15 % 12/9/2025 Los Angeles Office $622 / sqft 69 % 3
12 Senior Loan 9/23/2019 375 346 344 +3.00 % +3.23 % 8/15/2024 Diversified - Spain Hospitality $122,667 / key 62 % 4
13 Senior Loan 4/11/2018 355 345 344 +2.85 % +3.10 % 5/1/2023 New York Office $437 / sqft 71 % 4
14 Senior Loan 10/25/2021 307 307 304 +4.30 % +4.62 % 10/25/2024 Diversified - AU Hospitality $151,102 / key 56 % 3
15 Senior Loan 2/27/2020 303 302 302 +2.70 % +3.04 % 3/9/2025 New York Multi $795,074 / unit 59 % 2
16 Senior Loan 5/6/2022 297 297 295 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $92 / sqft 53 % 2
17 Senior Loan 1/11/2019 290 290 289 +4.40 % +4.75 % 1/11/2026 Diversified - UK Other $286 / sqft 74 % 4
18 Senior Loan 9/29/2021 312 288 286 +2.70 % +2.91 % 10/9/2026 Washington, DC Office $375 / sqft 66 % 2
19 Senior Loan 11/30/2018 286 286 285 +2.35 % +2.35 % 8/9/2025 New York Hospitality $306,870 / key 73 % 5
20 Senior Loan 12/11/2018 310 284 285 +2.55 % +3.24 % 12/9/2023 Chicago Office $239 / sqft 78 % 4
21 Senior Loan 3/25/2022 281 281 279 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $123,867 / key 65 % 3
22 Senior Loan 10/23/2018 290 281 280 +2.86 % +3.01 % 11/9/2024 Atlanta Mixed-Use $261 / sqft 64 % 2
23 Senior Loan 9/30/2021 280 273 271 +2.50 % +2.77 % 9/30/2026 Dallas Multi $143,960 / unit 74 % 3
24 Senior Loan 4/26/2021 264 264 262 +2.56 % +2.75 % 5/9/2026 Diversified - US Multi $156,393 / unit 75 % 3
25 Senior Loan 11/30/2018 262 260 259 +2.80 % +3.04 % 12/9/2024 San Francisco Hospitality $379,015 / key 73 % 4
26 Senior Loan 7/15/2021 301 256 253 +4.25 % +4.68 % 7/16/2026 Diversified - EUR Hospitality $195,728 / key 53 % 3
27 Senior Loan 9/14/2021 259 255 254 +2.50 % +2.76 % 9/14/2026 Dallas Multi $206,310 / unit 72 % 3
28 Senior Loan 9/16/2021 247 235 234 +3.80 % +4.51 % 4/9/2024 San Francisco Office $285 / sqft 53 % 3
29 Senior Loan 6/8/2022 272 234 232 +3.65 % +4.01 % 6/9/2027 New York Office $1,312 / sqft 75 % 3
30 Senior Loan 2/23/2022 245 230 228 +2.60 % +2.84 % 3/9/2027 Reno Multi $213,047 / unit 74 % 3
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 4/23/2021 $ 219 $ 209 $ 209 +3.65 % +3.65 % 5/9/2024 Washington, DC Office $234 / sqft 57 % 5
32 Senior Loan 7/16/2021 221 205 203 +3.25 % +3.81 % 2/15/2027 London - UK Multi $228,087 / unit 69 % 3
33 Senior Loan 10/1/2019 248 204 203 +3.75 % +4.28 % 10/9/2025 Atlanta Office $380 / sqft 68 % 1
34 Senior Loan 8/31/2017 203 203 203 +2.50 % +2.50 % 9/9/2023 Orange County Office $238 / sqft 64 % 5
35 Senior Loan 6/28/2019 198 198 197 +3.82 % +4.49 % 6/26/2024 London - UK Office $647 / sqft 71 % 3
36 Senior Loan 6/27/2019 205 197 197 +2.80 % +2.80 % 8/15/2026 Berlin - DEU Office $423 / sqft 62 % 3
37 Senior Loan 9/30/2021 195 195 194 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3
38 Senior Loan 12/22/2016 202 194 195 +2.00 % +2.00 % 12/9/2023 New York Office $286 / sqft 64 % 5
39 Senior Loan 9/30/2021 237 188 186 +4.00 % +4.49 % 9/30/2026 Diversified - Spain Hospitality $132,783 / key 60 % 3
40 Senior Loan 6/4/2018 183 183 183 +3.50 % +3.76 % 6/9/2024 New York Hospitality $301,071 / key 52 % 4
41 Senior Loan 9/30/2021 256 179 177 +3.00 % +3.35 % 10/9/2028 Chicago Office $197 / sqft 74 % 3
42 Senior Loan 9/25/2019 178 178 177 +4.47 % +4.99 % 9/26/2024 London - UK Office $811 / sqft 72 % 3
43 Senior Loan 2/15/2022 191 177 176 +2.90 % +3.14 % 3/9/2027 Denver Office $353 / sqft 61 % 3
44 Senior Loan 11/23/2018 177 177 176 +2.68 % +2.92 % 2/15/2024 Diversified - UK Office $1,092 / sqft 50 % 3
45 Senior Loan 12/21/2021 182 175 174 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $359 / sqft 67 % 3
46 Senior Loan 7/23/2021 244 168 167 +5.00 % +5.41 % 8/9/2027 New York Office $545 / sqft 53 % 3
47 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,601 / unit 48 % 1
48 Senior Loan 3/9/2022 163 163 162 +2.95 % +3.17 % 8/15/2027 Various Retail $140 / sqft 55 % 2
49 Senior Loan 1/27/2022 178 163 162 +3.10 % +3.44 % 2/9/2027 Dallas Multi $106,318 / unit 71 % 3
50 Senior Loan 7/29/2022 266 162 158 +4.60 % +5.78 % 7/27/2027 London - UK Industrial $228 / sqft 52 % 3
51 Senior Loan 5/27/2021 205 160 159 +2.70 % +2.99 % 6/9/2026 Atlanta Office $134 / sqft 66 % 3
52 Senior Loan 10/7/2021 165 160 159 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $326 / sqft 68 % 3
53 Senior Loan 5/13/2021 199 156 155 +3.55 % +3.99 % 6/9/2026 Boston Office $793 / sqft 64 % 3
54 Senior Loan 3/7/2022 156 156 155 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 3
55 Senior Loan 8/24/2021 179 156 155 +3.10 % +3.41 % 9/9/2026 San Jose Office $371 / sqft 65 % 3
56 Senior Loan 8/31/2021 150 150 149 +3.15 % +3.42 % 9/9/2026 Diversified - US Retail $299 / sqft 65 % 2
57 Senior Loan 9/4/2018 163 150 149 +4.25 % +4.50 % 9/9/2024 Las Vegas Hospitality $181,054 / key 70 % 3
58 Senior Loan 1/7/2022 155 146 145 +3.70 % +3.97 % 1/9/2027 Fort Lauderdale Office $377 / sqft 55 % 1
59 Senior Loan 1/17/2020 203 146 145 +2.75 % +3.16 % 2/9/2025 New York Mixed-Use $120 / sqft 43 % 3
60 Senior Loan 11/18/2021 137 137 136 +3.25 % +3.51 % 11/18/2026 London - UK Other $174 / sqft 65 % 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 12/20/2019 $ 136 $ 136 $ 135 +3.22 % +3.44 % 12/18/2026 London - UK Office $688 / sqft 75 % 3
62 Senior Loan 2/25/2022 135 135 134 +4.05 % +4.43 % 2/25/2027 Copenhagen - DK Industrial $91 / sqft 69 % 2
63 Senior Loan 3/10/2020 140 132 132 +3.10 % +3.10 % 10/11/2024 New York Mixed-Use $806 / sqft 53 % 3
64 Senior Loan 6/30/2022 129 129 129 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $251,353 / key 60 % 3
65 Senior Loan 9/14/2021 132 128 128 +2.70 % +2.95 % 10/9/2026 San Bernardino Multi $258,709 / unit 75 % 3
66 Senior Loan 6/28/2022 675 127 121 +4.60 % +5.04 % 7/9/2029 Austin Mixed-Use $106 / sqft 53 % 3
67 Senior Loan 3/28/2022 150 126 125 +3.05 % +3.35 % 4/9/2027 Miami Office $341 / sqft 69 % 3
68 Senior Loan 4/3/2018 126 125 125 +2.86 % +3.03 % 4/9/2024 Dallas Retail $761 / sqft 64 % 3
69 Senior Loan 4/6/2021 123 121 120 +3.20 % +3.52 % 4/9/2026 Los Angeles Office $510 / sqft 65 % 3
70 Senior Loan 6/1/2021 120 120 120 +2.96 % +3.17 % 6/9/2026 Miami Multi $298,507 / unit 61 % 2
71 Senior Loan 4/29/2022 118 118 117 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,240,799 / key 66 % 2
72 Senior Loan 3/29/2021 123 118 117 +4.02 % +4.61 % 3/29/2026 Diversified - UK Multi $51,680 / unit 61 % 3
73 Senior Loan 5/20/2021 150 118 117 +3.76 % +4.19 % 6/9/2026 San Jose Office $302 / sqft 65 % 3
74 Senior Loan 6/28/2019 125 117 117 +2.75 % +2.91 % 2/1/2024 Los Angeles Office $591 / sqft 48 % 3
75 Senior Loan 7/15/2019 138 117 116 +3.01 % +3.43 % 8/9/2024 Houston Office $211 / sqft 58 % 3
76 Senior Loan 8/27/2021 122 115 114 +3.00 % +3.29 % 9/9/2026 San Diego Retail $434 / sqft 58 % 3
77 Senior Loan 10/21/2021 114 114 114 +3.01 % +3.26 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 1
78 Senior Loan 2/20/2019 163 111 111 +4.07 % +6.12 % 2/19/2024 London - UK Office $545 / sqft 61 % 3
79 Senior Loan 12/21/2021 120 111 110 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $380 / sqft 68 % 3
80 Senior Loan 3/17/2022 262 110 108 +3.87 % +4.63 % 6/30/2025 London - UK Office $494 / sqft 62 % 3
81 Senior Loan 3/13/2018 123 108 108 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $167,020 / key 50 % 3
82 Senior Loan 11/8/2022 107 107 106 +3.88 % +4.53 % 11/8/2027 London - UK Multi $166,047 / unit 60 % 3
83 Senior Loan 11/27/2019 109 107 106 +2.86 % +3.20 % 12/9/2024 Minneapolis Office $107 / sqft 64 % 3
84 Senior Loan 2/15/2022 106 104 104 +2.85 % +3.19 % 3/9/2027 Tampa Multi $239,117 / unit 73 % 3
85 Senior Loan(4) 11/10/2021 362 104 20 +4.00 % +4.68 % 12/9/2026 San Francisco Office $198 / sqft 66 % 3
86 Senior Loan 12/29/2021 110 102 101 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $174,662 / unit 64 % 3
87 Senior Loan 3/29/2022 103 101 100 +2.70 % +2.96 % 4/9/2027 Miami Multi $280,418 / unit 75 % 3
88 Senior Loan 7/1/2021 104 99 99 +3.10 % +3.35 % 7/9/2026 Diversified - US Retail $281 / sqft 61 % 2
89 Senior Loan 10/1/2021 101 99 99 +2.86 % +3.13 % 10/1/2026 Phoenix Multi $229,212 / unit 77 % 3
90 Senior Loan 6/18/2021 99 99 98 +2.60 % +2.83 % 7/9/2026 New York Industrial $51 / sqft 55 % 1
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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 12/15/2021 $ 146 $ 98 $ 96 +3.44 % +4.52 % 12/9/2026 Dublin - IE Multi $245,972 / unit 79 % 3
92 Senior Loan 12/10/2021 135 98 97 +3.00 % +3.35 % 1/9/2027 Miami Office $327 / sqft 49 % 3
93 Senior Loan 3/28/2019 97 97 97 +3.25 % +3.25 % 1/9/2024 New York Hospitality $249,463 / key 63 % 4
94 Senior Loan 10/28/2021 96 96 95 +3.00 % +3.35 % 11/9/2026 Philadelphia Multi $353,704 / unit 79 % 3
95 Senior Loan 3/25/2020 114 95 95 +2.40 % +2.78 % 3/31/2025 Diversified - NL Multi $116,103 / unit 65 % 2
96 Senior Loan 6/14/2021 100 93 93 +3.70 % +4.04 % 7/9/2024 Miami Office $196 / sqft 65 % 3
97 Senior Loan 10/27/2021 93 93 92 +2.61 % +2.81 % 11/9/2026 Orlando Multi $155,612 / unit 75 % 3
98 Senior Loan 3/3/2022 92 92 91 +3.45 % +3.76 % 3/9/2027 Boston Hospitality $418,182 / key 64 % 3
99 Senior Loan 12/21/2018 98 91 91 +2.60 % +2.85 % 1/9/2024 Chicago Office $176 / sqft 72 % 3
100 Senior Loan 12/22/2021 91 91 90 +3.18 % +3.44 % 1/9/2027 Las Vegas Multi $205,682 / unit 65 % 3
101 Senior Loan 10/16/2018 99 90 90 +3.36 % +3.64 % 11/9/2024 San Francisco Hospitality $196,325 / key 72 % 4
102 Senior Loan 12/15/2021 91 89 88 +2.85 % +3.10 % 1/9/2027 Charlotte Multi $253,585 / unit 76 % 3
103 Senior Loan 12/10/2018 87 87 87 +4.57 % +5.28 % 12/3/2024 London - UK Office $416 / sqft 72 % 3
104 Senior Loan 6/25/2021 85 85 85 +2.75 % +3.10 % 7/1/2026 St. Louis Multi $80,339 / unit 70 % 3
105 Senior Loan 3/31/2017 89 84 84 +4.30 % +4.54 % 4/9/2023 New York Office $403 / sqft 64 % 4
106 Senior Loan 4/1/2021 102 83 83 +3.30 % +3.74 % 4/9/2026 San Jose Office $558 / sqft 67 % 3
107 Senior Loan 7/30/2021 87 83 83 +2.50 % +2.84 % 8/9/2026 Los Angeles Multi $164,314 / unit 70 % 3
108 Senior Loan 7/29/2021 82 82 81 +2.65 % +3.02 % 6/9/2026 Charlotte Multi $222,630 / unit 78 % 3
109 Senior Loan 3/9/2022 92 80 80 +2.90 % +3.43 % 3/9/2025 Boston Office $211 / sqft 68 % 3
110 Senior Loan 6/14/2022 106 80 79 +2.95 % +3.30 % 7/9/2027 San Francisco Mixed-Use $166 / sqft 76 % 3
111 Senior Loan 12/15/2021 89 80 79 +5.25 % +6.19 % 12/15/2026 Melbourne - AU Multi $58,341 / unit 38 % 3
112 Senior Loan 6/27/2019 88 79 79 +2.75 % +3.04 % 7/9/2024 West Palm Beach Office $274 / sqft 70 % 2
113 Senior Loan 1/30/2020 104 79 79 +2.96 % +3.41 % 2/9/2026 Honolulu Hospitality $254,250 / key 63 % 3
114 Senior Loan 8/27/2021 79 77 77 +3.85 % +4.43 % 9/9/2026 Diversified - US Hospitality $114,079 / key 67 % 3
115 Senior Loan 11/23/2021 92 77 76 +2.75 % +3.08 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3
116 Senior Loan 12/23/2021 312 73 69 +4.25 % +5.37 % 6/24/2028 London - UK Multi $81,145 / unit 59 % 3
117 Senior Loan(4) 12/30/2021 228 73 14 +4.35 % +5.29 % 1/9/2028 Los Angeles Multi $209,770 / unit 50 % 3
118 Senior Loan 12/21/2021 74 72 71 +2.70 % +3.06 % 1/9/2027 Tampa Multi $210,663 / unit 77 % 2
119 Senior Loan 10/28/2021 69 69 69 +2.66 % +2.86 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3
120 Senior Loan 1/26/2022 338 69 66 +4.10 % +4.56 % 2/9/2027 Seattle Office $145 / sqft 56 % 3
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
121 Senior Loan 8/17/2022 $ 76 $ 68 $ 67 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial$107 / sqft 72 % 3 122 Senior Loan9/22/2021 67 67 67 +3.00 % +3.16 %4/1/2024 Jacksonville Multi$181,081 / unit 62 % 2 123 Senior Loan3/24/2022 65 65 65 +3.50 % +3.59 %4/1/2027 Fairfield Multi$406,250 / unit 70 % 3 124 Senior Loan3/31/2022 70 64 63 +2.80 % +3.14 %4/9/2027 Las Vegas Multi$139,394 / unit 71 % 3 125 Senior Loan8/14/2019 70 62 62 +2.56 % +2.78 %9/9/2024 Los Angeles Office$606 / sqft 57 % 3 126 Senior Loan3/31/2021 62 62 62 +3.73 % +3.86 %4/1/2024 Boston Multi$316,327 / unit 75 % 3 127 Senior Loan7/30/2021 62 62 62 +2.86 % +3.06 %8/9/2026 Salt Lake City Multi$224,185 / unit 73 % 3 128 Senior Loan12/23/2021 61 61 61 +2.18 % +2.99 %9/1/2023 New York Office$240 / sqft 71 % 3 129 Senior Loan6/30/2021 65 59 59 +2.90 % +3.19 %7/9/2026 Nashville Office$244 / sqft 71 % 3 130 Senior Loan4/15/2021 66 59 59 +3.00 % +3.30 %5/9/2026 Austin Office$286 / sqft 73 % 3 131 Senior Loan12/17/2021 66 58 58 +4.35 % +4.83 %1/9/2026 Diversified - US Other$4,404 / unit 37 % 1 132 Senior Loan9/29/2021 62 58 58 +2.85 % +3.02 %10/1/2025 Houston Multi$52,968 / unit 61 % 3 133 Senior Loan12/17/2021 58 58 58 +2.65 % +2.85 %1/9/2027 Phoenix Multi$209,601 / unit 69 % 3 134 Senior Loan7/16/2021 58 58 58 +2.75 % +3.03 %8/1/2025 Orlando Multi$195,750 / unit 74 % 2 135 Senior Loan8/22/2019 57 57 56 +2.66 % +3.01 %9/9/2024 Los Angeles Office$317 / sqft 63 % 3 136 Senior Loan12/10/2020 61 56 56 +3.25 % +3.54 %1/9/2026 Fort Lauderdale Office$193 / sqft 68 % 3 137 Senior Loan12/22/2021 55 55 54 +2.82 % +2.96 %1/1/2027 Los Angeles Multi$272,500 / unit 68 % 3 138 Senior Loan6/28/2021 54 54 53 +3.60 % +4.86 %2/15/2023 Diversified -Spain Hospitality$122,727 / key 56 % 3 139 Senior Loan12/14/2018 60 53 53 +2.90 % +3.14 %1/9/2024 Diversified - US Industrial$39 / sqft 57 % 1 140 Senior Loan7/30/2021 59 53 52 +2.86 % +3.07 %8/9/2026 Tampa Multi$129,859 / unit 71 % 2 141 Senior Loan1/21/2022 68 52 52 +3.70 % +4.11 %2/9/2027 Denver Office$308 / sqft 65 % 3 142 Senior Loan8/16/2022 64 52 51 +4.75 % +5.35 %8/16/2027 London -UK Hospitality$382,807 / key 64 % 3 143 Senior Loan11/11/2021 54 51 51 +4.07 % +4.86 %8/12/2026 London -UK Hospitality$183,403 / key 40 % 3 144 Senior Loan12/9/2021 51 51 51 +2.75 % +2.89 %1/1/2027 Portland Multi$241,825 / unit 65 % 3 145 Senior Loan8/5/2021 57 51 51 +2.90 % +3.04 %8/9/2026 Denver Office$193 / sqft 70 % 3 146 Senior Loan2/17/2021 53 51 51 +3.55 % +3.75 %3/9/2026 Miami Multi$290,985 / unit 64 % 2 147 Senior Loan2/20/2019 49 49 49 +3.50 % +3.72 %3/9/2024 Calgary - CAN Office$136 / sqft 52 % 2 148 Senior Loan9/23/2021 49 49 49 +2.75 % +2.86 %10/1/2026 Portland Multi$232,938 / unit 65 % 3 149 Senior Loan11/30/2016 57 49 48 +3.18 % +3.40 %12/9/2023 Chicago Retail$946 / sqft 54 % 4 150 Senior Loan7/20/2021 48 48 47 +2.75 % +3.09 %8/9/2026 Los Angeles Multi$366,412 / unit 60 % 3 continued… 88
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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 2,099 1,719 1,668 +3.06 % +3.46 % 3.0 yrs Various Various Various 63 % 2.6
203
CECL reserve (326)
Loans receivable, net $ 31,322 $ 26,810 $ 24,692 + 3.37 % + 3.76 % 3.1 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 December 31, 2022 , eight loans in our portfolio have been
financed with an aggregate $1.6 billion of non-consolidated senior interest,
which are included in the table above.
(5)The weighted-average cash coupon and all-in yield are expressed as a spread
over the relevant floating benchmark rates, which include USD LIBOR, SOFR,
SONIA, EURIBOR, and other indices as applicable to each loan. As of December 31,
2022 , substantially all of our loans by total loan exposure earned a floating
rate of interest, primarily indexed to USD LIBOR and SOFR. In addition to cash
coupon, all-in yield includes the amortization of deferred origination and
extension fees, loan origination costs, and purchase discounts, as well as the
accrual of exit fees. Excludes loans accounted for under the cost-recovery
method.
(6)Maximum maturity assumes all extension options are exercised, however our
loans may be repaid prior to such date.
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