BLACKSTONE MORTGAGE TRUST, INC. References herein to "
The following discussion should be read in conjunction with the unaudited consolidated financial statements and notes thereto appearing elsewhere in this Quarterly Report on Form 10-Q. In addition to historical data, this discussion contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, or the Securities Act, and Section 21E of the Securities Exchange Act of 1934, as amended, or the Exchange Act, which reflect our current views with respect to, among other things, our business, operations and financial performance. You can identify these forward-looking statements by the use of words such as "intend," "goal," "estimate," "expect," "project," "projections," "plans," "seeks," "anticipates," "should," "could," "may," "designed to," "foreseeable future," "believe," "scheduled," and similar expressions. Such forward- looking statements are subject to various risks, uncertainties and assumptions. Our actual results or outcomes may differ materially from those in this discussion as a result of various factors, including but not limited to those discussed in Item 1A. Risk Factors in our Annual Report on Form 10-K for the year endedDecember 31, 2022 and elsewhere in this Quarterly Report on Form 10-Q.
Introduction
Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate inNorth America ,Europe , andAustralia . Our portfolio is composed primarily of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators. These senior loans are capitalized by accessing a variety of financing options, including borrowing under our credit facilities, issuing CLOs or single-asset securitizations, and syndicating senior loan participations, depending on our view of the most prudent financing option available for each of our investments. We are not in the business of buying or trading securities, and the only securities we own are the retained interests from our securitization financing transactions, which we have not financed. We are externally managed byBXMT Advisors L.L.C. , or our Manager, a subsidiary of Blackstone Inc., orBlackstone , and are a real estate investment trust, or REIT, traded on theNew York Stock Exchange , or NYSE, under the symbol "BXMT." We benefit from the deep knowledge, experience and information advantages of our Manager, which is a part ofBlackstone's real estate platform.Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of theBlackstone platform deeply informs our credit and underwriting process, and we believe gives us the tools to expertly manage the assets in our portfolio and work with our borrowers throughout periods of economic stress and uncertainty. We conduct our operations as a REIT forU.S. federal income tax purposes. We generally will not be subject toU.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries. Recent Developments Macroeconomic Environment The three months endedMarch 31, 2023 have been characterized by continued volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth, and geopolitical uncertainty. Recent bank failures and consolidations, and other events affecting financial institutions, have also contributed to volatility in global markets and resulted in diminished liquidity and credit availability in the market broadly. The ongoing and potential future impacts of the war betweenRussia andUkraine is also contributing to economic and geopolitical uncertainty. Continued inflation has prompted central banks to take monetary policy tightening actions, including raising interest rates, which has created further uncertainty for the economy and for our borrowers. Although our business model is such that rising interest rates will, all else equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers and lead to nonperformance. Additionally, rising rates and increasing costs may dampen 47 -------------------------------------------------------------------------------- consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans. It remains difficult to predict the full impact of recent events and any future changes in interest rates or inflation. Reference Rate Reform LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, have been the subject of national, international and regulatory guidance and proposals for reform. As ofDecember 31, 2021 , theICE Benchmark Association , or IBA, ceased publication of most non-USD LIBOR settings. IBA also previously announced its intention to cease publication of remainingU.S. dollar LIBOR settings immediately afterJune 30, 2023 ; however, inNovember 2022 theU.K. Financial Conduct Authority , which regulates IBA, announced a public consultation regarding whether it should compel IBA to continue publishing "synthetic" USD LIBOR settings fromJune 2023 to the end ofSeptember 2024 . Further, onMarch 15, 2022 , the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, or LIBOR Act, was signed into law in theU.S. This legislation establishes a uniform benchmark replacement process for financial contracts maturing afterJune 30, 2023 that do not contain clearly defined or practicable fallback provisions. 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 theBoard of Governors of theFederal Reserve System , orFederal Reserve . The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by theFederal Reserve . InDecember 2022 , theFederal Reserve adopted a final rule to implement the LIBOR Act. TheFederal Reserve , in conjunction with the Alternative Reference Rates Committee, or ARRC, a steering committee composed of largeU.S. financial institutions, identified SOFR, a new index calculated using short-term repurchase agreements backed byU.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 ofMarch 31, 2023 , one-month term SOFR is utilized as the floating benchmark rate on 118 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under 14 of our credit facilities, and our B-4 Term Loan. As ofMarch 31, 2023 , one-month term SOFR was 4.80% and one-month USD LIBOR was 4.86%. Additionally, market participants have continued to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from theU.K. regulators. As ofMarch 31, 2023 , daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings. As ofMarch 31, 2023 , 80% 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 20% 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 inEurope ,Australia ,Canada ,Switzerland andDenmark have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, SARON and CIBOR may persist asInternational Organization of Securities Commissions , or IOSCO, compliant reference rates moving forward. However, multi-rate environments may persist in these markets as regulators and working groups have suggested market participants adopt alternative reference rates. Refer to "Part I. Item 1A. Risk Factors-Risks Related to Our Lending and Investment Activities-The recent and expected discontinuation of currently used financial reference rates and use of alternative replacement reference rates may adversely affect net interest income related to our loans and investments or otherwise adversely affect our results of operations, cash flows and the market value of our investments" of our Annual Report on Form 10-K filed with theSEC onFebruary 8, 2023 .
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 endedMarch 31, 2023 , we recorded basic earnings per share of$0.68 , declared a dividend of$0.62 per share, and reported$0.79 per share of Distributable Earnings. In addition, our book value as ofMarch 31, 2023 was$26.28 per share, which is net of a$2.04 per share cumulative CECL reserve. 48 --------------------------------------------------------------------------------
As further described below, Distributable Earnings is a measure that is not
prepared in accordance with accounting principles generally accepted in
Earnings Per Share and Dividends Declared
The following table sets forth the calculation of basic net income (loss) per
share and dividends declared per share ($ in thousands, except per share data):
Three Months Ended
March 31, 2023 December 31, 2022
Net income (loss)(1) $ 117,757 $ (47,540)
Weighted-average shares outstanding, basic 172,598,349 171,604,533
Per share amount, basic $ 0.68 $
(0.28)
Dividends declared per share $ 0.62 $ 0.62 (1)Represents net income attributable toBlackstone Mortgage Trust . Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share. Distributable Earnings Distributable Earnings is a non-GAAP measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise recognized in current period GAAP net income (loss), and excluding (i) non-cash equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), and (iv) certain non-cash items. Distributable Earnings may also be adjusted from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as determined by our Manager, subject to approval by a majority of our independent directors. Distributable Earnings mirrors the terms of our management agreement between our Manager and us, or our Management Agreement, for purposes of calculating our incentive fee expense. Our CECL reserve has been excluded from Distributable Earnings consistent with other unrealized gains (losses) pursuant to our existing policy for reporting Distributable Earnings. We expect to only recognize such potential credit losses in Distributable Earnings if and when such amounts are deemed nonrecoverable upon a realization event. This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected. The realized loss amount reflected in Distributable Earnings will equal the difference between the cash received, or expected to be received, and the book value of the asset, and is reflective of our economic experience as it relates to the ultimate realization of the loan. We believe that Distributable Earnings provides meaningful information to consider in addition to our net income (loss) and cash flow from operating activities determined in accordance with GAAP. We believe Distributable Earnings is a useful financial metric for existing and potential future holders of our class A common stock as historically, over time, Distributable Earnings has been a strong indicator of our dividends per share. As a REIT, we generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments, and therefore we believe our dividends are one of the principal reasons stockholders may invest in our class A common stock. Refer to Note 15 to our consolidated financial statements for further discussion of our distribution requirements as a REIT. Further, Distributable Earnings helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations, and is a performance metric we consider when declaring our dividends. Distributable Earnings does not represent net income (loss) or cash generated from operating activities and should not be considered as an alternative to GAAP net income (loss), or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs. In addition, our methodology for calculating Distributable Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings may not be comparable to the Distributable Earnings reported by other companies. 49 --------------------------------------------------------------------------------
The following table provides a reconciliation of Distributable Earnings to GAAP net income (loss) ($ in thousands, except per share data):
Three months ended
March 31, 2023 December 31, 2022
Net income (loss)(1) $ 117,757 $ (47,540)
Increase in current expected credit loss reserve 9,823 188,811 Non-cash compensation expense 7,655 8,128 Realized hedging and foreign currency gain (loss), net(2) 889 (511) Adjustments attributable to non-controlling interests, net (29) (268) Other items 18 (25) Distributable Earnings$ 136,113 $ 148,595 Weighted-average shares outstanding, basic(3) 172,598,349 171,604,533 Distributable Earnings per share, basic $ 0.79 $ 0.87 (1)Represents net income (loss) attributable toBlackstone Mortgage Trust . (2)Represents realized gains (losses) on the repatriation of unhedged foreign currency. These amounts were not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements. (3)The weighted-average shares outstanding, basic, exclude shares issuable from a potential conversion of our Convertible Notes. Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share. Book Value Per Share The following table calculates our book value per share ($ in thousands, except per share data): March 31, 2023 December 31, 2022 Stockholders' equity$ 4,535,227 $
4,518,794
Shares
Class A common stock 172,284,118 171,695,985
Deferred stock units 316,479 410,608
Total outstanding 172,600,597 172,106,593
Book value per share(1) $ 26.28 $ 26.26
(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
Loan fundings during the quarter totaled$443.6 million and loan repayments and sales during the quarter totaled$593.9 million . We generated interest income of$491.4 million and incurred interest expense of$317.2 million during the quarter, which resulted in$174.2 million of net interest income during the three months endedMarch 31, 2023 . 50 --------------------------------------------------------------------------------
Portfolio Overview
The following table details our loan origination activity ($ in thousands):
Three Months Ended
March 31, 2023 December 31, 2022
Loan originations(1) $ - $ 235,467
Loan fundings(2) $ 443,629 $ 689,872
Loan repayments and sales(3) (593,935) (647,980)
Total net fundings $ (150,306) $ 41,892
(1)Includes new loan originations and additional commitments made under existing
loans.
(2)Loan fundings during the three months ended March 31, 2023 and December 31,
2022 , include $73.8 million and $90.5 million , respectively, of additional
fundings under related non-consolidated senior interests.
(3)Loan repayments and sales during the three months ended March 31, 2023 ,
include $1.6 million of additional repayments or reduction of loan exposure
under related non-consolidated senior interests. There were no such related loan
repayments during the three months ended December 31, 2022 .
The following table details overall statistics for our loan portfolio as of
Balance Sheet Loan
Portfolio Exposure(1)
Number of investments 199 199
Principal balance $ 25,020,489 $ 26,742,669
Net book value $ 24,559,773 $ 24,559,773
Unfunded loan commitments(2) $ 3,382,489 $ 3,382,489
Weighted-average cash coupon(3) + 3.46 % + 3.38 %
Weighted-average all-in yield(3) + 3.85 % + 3.77 %
Weighted-average maximum maturity (years)(4) 2.9 2.9
Origination loan to value (LTV)(5) 64.1 % 63.8 % (1)In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. Total loan exposure encompasses the entire loan we originated and financed, including$1.7 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. Excludes$632.0 million of unfunded loan commitments related to our non-consolidated senior interests, as these commitments will not require cash outlays from us. (3)The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SONIA, EURIBOR, and other indices as applicable to each investment. As ofMarch 31, 2023 , substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR or USD LIBOR. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes 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 ofMarch 31, 2023 , 38% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 62% were open to repayment by the borrower without penalty. (5)Based on LTV as of the dates loans were originated or acquired by us. 51 --------------------------------------------------------------------------------
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 $ 39,588 $ - $ 39,588
0.00% or no floor 4,709,486 7,031,512 11,740,998
0.01% to 1.00% floor 9,737,130 868,032 10,605,162
1.01% to 1.50% floor 2,590,352 156,283 2,746,635
1.51% to 2.00% floor 809,175 313,008 1,122,183
2.01% or more floor 438,532 49,571 488,103
Total(3) $ 18,324,263 $ 8,418,406 $ 26,742,669
(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 $1.7 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 March 31, 2023 , the weighted-average index rate floor of our loan
portfolio was 0.37%. Excluding 0.0% index rate floors and loans with no floor,
the weighted-average index rate floor was 0.64%. 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%
The following table details the floating benchmark rates for our loan portfolio
based on total loan exposure as of March 31, 2023 (total investment portfolio
amounts in thousands):
Investment Total Loan
Count Currency Exposure(1) Floating Rate Index(2) Cash Coupon(3) All-in Yield(3)
158 $ $ 18,324,265 SOFR(4) / USD LIBOR + 3.23% + 3.61%
11 € € 2,607,969 EURIBOR + 3.18% + 3.59%
23 £ £ 2,836,907 SONIA + 3.83% + 4.31%
7 Various $ 2,091,734 Other(5) + 4.11% + 4.40%
199 $ 26,742,669 Applicable Index + 3.38% + 3.77%
(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 $1.7 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 March 31, 2023 , $12.1 billion and $6.2 billion of loans were indexed to
SOFR and USD LIBOR, respectively. As of March 31, 2023 , one-month SOFR was 4.80%
and one-month USD LIBOR was 4.86%.
(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: Collateral and Geographic Pies 3.31 vPaint.jpg]]
______________
(1)Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as ofMarch 31, 2023 , which is our total loan exposure net of (i)$1.7 billion of non-consolidated senior interests, (ii)$822.9 million of asset-specific debt, (iii)$229.5 million of loan participations sold, and (iv) our aggregate CECL reserve of$336.6 million . Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.
Refer to section VI of this Item 2 for details of our loan portfolio, on a loan-by-loan basis.
Portfolio Management
During the three months endedMarch 31, 2023 , we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals. We believe this 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 benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors. Our loan portfolio's low weighted-average origination LTV of 63.8% as ofMarch 31, 2023 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,
53
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assesses the performance of each loan, and assigns it a risk rating between "1"
and "5," from less risk to greater risk. Our loan portfolio had a
weighted-average risk rating of 2.9 as of both March 31, 2023 and December 31,
2022 .
The following table allocates the principal balance, total loan exposure, and
net loan exposure balances based on our internal risk ratings ($ in thousands):
March 31, 2023
Number Total Loan Net Loan
Risk Rating of Loans Net Book Value Exposure(1) Exposure(2)
1 17 $ 1,158,445 $ 1,182,278 $ 1,128,313
2 40 6,462,458 7,689,868 5,808,391
3 123 13,105,735 13,695,326 12,775,551
4 13 3,172,029 3,177,140 3,118,503
5 6 997,697 998,057 800,799
Loans receivable 199 $ 24,896,364 $ 26,742,669 $ 23,631,557
CECL reserve (336,591)
Loans receivable, net $ 24,559,773
(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 $1.7 billion of such non-consolidated senior interests as of
March 31, 2023 .
(2)Net loan exposure reflects the amount of each loan that is subject to risk of
credit loss to us as of March 31, 2023 , which is our total loan exposure net of
(i) $1.7 billion of non-consolidated senior interests, (ii) $822.9 million of
asset-specific debt, (iii) $229.5 million of loan participations sold, and (iv)
our aggregate CECL reserve of $336.6 million . Our non-consolidated senior
interests, asset-specific debt, and loan participations sold are structurally
non-recourse and term-matched to the corresponding collateral loans.
Current Expected Credit Loss Reserve
The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans 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 principle underlying the CECL model that all loans and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors. During the three months endedMarch 31, 2023 , we recorded an increase of$10.5 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to$336.6 million as ofMarch 31, 2023 . This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions. During the three months endedMarch 31, 2023 , we recorded an aggregate net increase of$7.5 million in the asset-specific CECL reserve related to our impaired loans. The increase was primarily driven by one additional loan that was impaired during the three months endedMarch 31, 2023 . As ofMarch 31, 2023 , the income accrual was suspended on this loan as recovery of income and principal was doubtful. During the three months endedMarch 31, 2023 , we recorded$1.8 million of interest income on this loan. As ofMarch 31, 2023 , we had an aggregate$197.3 million asset-specific CECL reserve related to six of our loans receivable, with an aggregate net book value of$997.7 million . This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as ofMarch 31, 2023 . No income was recorded during the three months endedMarch 31, 2023 on our loans that were deemed impaired as ofDecember 31, 2022 . As ofMarch 31, 2023 , all borrowers were current with all contractual terms of each respective loan, including payments of interest. During the three months endedMarch 31, 2023 , we received an aggregate$18.3 million of cash proceeds from such loans that were applied as a reduction to the principal balance of each respective loan. Refer to Note 2 for further discussion of our revenue recognition policy and CECL reserve. 54
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Multifamily Joint Venture
As ofMarch 31, 2023 , our Multifamily Joint Venture held$797.7 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture. Portfolio Financing Our portfolio financing consists of secured debt, securitizations, and asset-specific financings. The following table details our portfolio financing ($ in thousands): Portfolio Financing Outstanding Principal Balance March 31, 2023 December 31, 2022 Secured debt$ 14,051,435 $ 13,549,748 Securitizations 2,671,734 2,673,541 Asset-specific financings(1) 2,774,522 2,824,961 Total portfolio financing$ 19,497,691 $ 19,048,250 (1)Includes our asset-specific debt of$822.9 million , our loan participations sold of$229.5 million , and our non-consolidated senior interests of$1.7 billion , as ofMarch 31, 2023 . Includes our asset-specific debt of$950.3 million , our loan participations sold of$224.7 million , and our non-consolidated senior interests of$1.6 billion , as ofDecember 31, 2022 . The loan participations sold and non-consolidated senior interests are non-debt financings that provide structural leverage for our whole loan investments.
Secured Debt
The following table details our outstanding secured debt ($ in thousands):
Secured Debt
Borrowings Outstanding
March 31, 2023 December 31, 2022
Secured credit facilities $ 14,051,435 $ 13,549,748
Acquisition facility - -
Total secured debt $ 14,051,435 $ 13,549,748
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Secured Credit Facilities
The following table details our secured credit facilities by spread over the
applicable base rates as of
Three Months Ended
March 31, 2023 March 31, 2023
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 $ - $ 7,134,303 +1.55 % $ 9,688,226 +3.27 % +1.72 %
+ 1.51% to + 1.75% $ - 2,617,621 +1.86 % 3,795,012 +3.65 % +1.79 %
+ 1.76% to + 2.00% $ - 1,867,336 +2.16 % 2,967,903 +4.05 % +1.89 %
+ 2.01% or more 69,524 2,432,175 +2.62 % 3,323,397 +4.78 % +2.16 %
Total $ 69,524 $ 14,051,435 +1.88 % $ 19,774,538 +3.71 % +1.83 %
(1)The spread, all-in cost, and all-in yield are expressed over the relevant
floating benchmark rates, which include SOFR, USD LIBOR, SONIA, EURIBOR, and
other indices as applicable.
(2)Represents borrowings outstanding as of March 31, 2023 for new financings
during the three months ended March 31, 2023 , 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 March 31, 2023 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$100.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval. The cost of borrowing under the facility is variable, dependent on the type of loan collateral, and its maturity date isApril 3, 2024 . As ofMarch 31, 2023 , we had no assets pledged to our acquisition facility and no outstanding borrowings. 56 --------------------------------------------------------------------------------
Securitizations
Securitized Debt Obligations
We have financed certain pools of our loans through collateralized loan obligations, or CLOs. The following table details our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands):
March 31, 2023
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 $ 800,192 + 1.57 % May 2038 Underlying Collateral Assets 29 1,000,000 1,000,000 + 3.51 % June 2025 2020 FL3 Collateralized Loan Obligation Senior CLO Securities Outstanding 1 808,750 807,428 + 2.15 % November 2037 Underlying Collateral Assets 16 1,000,000 1,000,000 + 3.24 % November 2024 2020 FL2 Collateralized Loan Obligation Senior CLO Securities Outstanding 1 1,059,234 1,056,588 + 1.55 % February 2038 Underlying Collateral Assets 17 1,316,109 1,316,109 + 3.41 % November 2024 Total Senior CLO Securities Outstanding(4) 3$ 2,671,734 $ 2,664,208 + 1.74 % Underlying Collateral Assets 62$ 3,316,109 $ 3,316,109 + 3.39 % (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 SOFR and USD LIBOR, as applicable to each securitized debt obligation. As ofMarch 31, 2023 , the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR. As ofMarch 31, 2023 , one-month SOFR was 4.80% and one-month USD LIBOR was 4.86%. 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 three months endedMarch 31, 2023 , we recorded$39.8 million of interest expense related to our securitized debt obligations.
Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations.
57--------------------------------------------------------------------------------
Asset-Specific Financings
The following table details our outstanding asset-specific financings ($ in
thousands):
Asset-Specific Financings
Outstanding Principal Balance
March 31, 2023 December 31, 2022
Asset-specific debt $ 822,873 $ 950,278
Loan participations sold(1) 229,468 224,744
Non-consolidated senior interests(1) 1,722,181 1,649,939
Total asset-specific financings$ 2,774,522 $ 2,824,961 (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):
March 31, 2023
Principal Wtd. Avg. Wtd. Avg.
Asset-Specific Debt Count Balance Book Value Yield/Cost(1) Term(2)
Financing provided 3 $ 822,873 $ 817,444 + 3.66 % February 2026
Collateral assets 3 $ 981,538 $ 971,397 + 4.85 % February 2026
(1)These floating rate loans and related liabilities are currency and
index-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 non-recourse, 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):
March 31, 2023
Principal Wtd. Avg.
Loan Participations Sold Count Balance Book Value Yield/Cost(1) Term(2)
Senior participation(3) 1 $ 229,468 $ 229,003 + 3.22 % March 2027
Total loan 1 $ 286,835 $ 284,940 + 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 three months ended March 31, 2023 , we recorded $3.7 million of
interest expense related to our loan participations sold.
58
--------------------------------------------------------------------------------Non-Consolidated Senior Interests
In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. Our non-consolidated senior interests are inherently term-matched and non-recourse.
The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests ($ in thousands):
March 31, 2023
Principal Book Wtd. Avg. Wtd. Avg.
Non-Consolidated Senior Interests Count Balance Value Yield/Cost(1) Term(2)
Senior participation 8 $ 1,722,181 n/a + 2.67 % March 2026
Total loan 8 $ 2,133,216 n/a + 3.76 % March 2026
(1)The weighted-average spread and all-in yield are expressed as a spread over
the relevant floating benchmark rates, which includes SOFR and USD LIBOR, 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.
(2)The term is determined based on the maximum maturity of the loan, assuming
all extension options are exercised by the borrower. Our non-consolidated senior
interests are inherently non-recourse and term-matched to the corresponding
collateral loan.
Corporate Financing
The following table details our outstanding corporate financing ($ in
thousands):
Corporate Financing
Outstanding Principal Balance
March 31, 2023 December 31, 2022
Term loans $ 2,151,719 $ 2,157,218
Senior secured notes 400,000 400,000
Convertible notes 300,000 520,000
Total corporate financing $ 2,851,719 $ 3,077,218 Term Loans
As of
Term Loans Face Value Interest Rate(1) All-in Cost(1)(2) Maturity
B-1 Term Loan $ 917,987 + 2.25 % +
2.53 %
B-3 Term Loan $ 414,111 + 2.75 % +
3.42 %
B-4 Term Loan $ 819,621 + 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.
59
--------------------------------------------------------------------------------Senior Secured Notes
As ofMarch 31, 2023 , the following Senior Secured Notes, were outstanding ($ in thousands): Senior Secured Notes Face Value Interest Rate All-in Cost(1) Maturity Senior Secured Notes$ 400,000 3.75 % 4.04 % January 15, 2027
(1)Includes transaction expenses that are amortized through interest expense over the life of the Senior Secured Notes.
Refer to Note 2 and Note 10 to our consolidated financial statements for additional discussion of our Senior Secured Notes.
Convertible Notes
As of
Face Value Interest Rate All-in Cost(1) Conversion Price(2) Maturity
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 27.5702 for the March 2022 convertible notes. The conversion rate
represents the number of shares of class A common stock issuable per $1,000
principal amount of Convertible Notes. The cumulative dividend threshold as
defined in the March 2022 convertible notes supplemental indentures has not been
exceeded as of March 31, 2023 .
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 ofMarch 31, 2023 , substantially all of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments. Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities.
The following table details our investment portfolio's net exposure to interest
rates by currency as of
USD GBP EUR All Other(1)
Floating rate loans(2)(3) $ 18,284,677 £
2,836,907 € 2,607,969
(15,260,399) (2,141,971) (1,929,672) (1,654,888)
Net floating rate exposure $ 3,024,278 £
694,936 € 678,297
$ 3,024,278 $ 857,342 $ 735,206 $ 436,846 (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 index-matched to the applicable benchmark rate relevant in each arrangement. (3)As ofMarch 31, 2023 ,$12.1 billion and$6.2 billion of floating rate loans were indexed to SOFR and USD LIBOR, respectively. As ofMarch 31, 2023 ,$10.1 billion and$5.2 billion of floating rate debt was indexed to SOFR and USD LIBOR, respectively. As ofMarch 31, 2023 , one-month SOFR was 4.80% and one-month USD LIBOR was 4.86%. (4)Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans. (5)Represents theU.S. Dollar equivalent as ofMarch 31, 2023 . 60 --------------------------------------------------------------------------------
III. Our Results of Operations
Operating Results
The following table sets forth information regarding our consolidated results of operations for the three months endedMarch 31, 2023 andDecember 31, 2022 ($ in thousands, except per share data): Three Months Ended Change December 31, March 31, 2023 2022 $ Income from loans and other investments Interest and related income$ 491,384 $ 462,278 $ 29,106 Less: Interest and related expenses 317,197 271,196 46,001 Income from loans and other investments, net 174,187 191,082 (16,895) Other expenses Management and incentive fees 31,050 33,830 (2,780) General and administrative expenses 12,865 14,492 (1,627) Total other expenses 43,915 48,322 (4,407) Increase in current expected credit loss reserve (9,823) (188,811) 178,988 Income (loss) before income taxes 120,449 (46,051) 166,500 Income tax provision 1,893 938 955 Net income (loss) 118,556 (46,989) 165,545 Net income attributable to non-controlling interests (799) (551) (248)
Net income (loss) attributable to
$ (47,540) $ 165,297 Trust, Inc. Net income (loss) per share of common stock Basic $ 0.68$ (0.28) $ 0.96 Diluted $ 0.67$ (0.28) $ 0.95
Weighted-average shares of common stock outstanding
Basic 172,598,349 171,604,533 993,816 Diluted 180,869,409 171,604,533 9,264,876 Dividends declared per share $ 0.62
Income from loans and other investments, net
Income from loans and other investments, net decreased
Other expenses
Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses decreased by$4.4 million during the three months endedMarch 31, 2023 compared to the three months endedDecember 31, 2022 primarily due to a decrease of (i)$2.9 million of incentive fees payable to our Manager, primarily due to a decrease in Distributable Earnings, (ii)$1.2 million of general operating expenses, and (iii) non-cash restricted stock amortization of$464,000 related to shares awarded under our long-term incentive plans.
Changes in current expected credit loss reserve
During the three months endedMarch 31, 2023 , we recorded a$9.8 million increase in the CECL reserve, as compared to a$188.8 million increase during the three months endedDecember 31, 2022 . This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. 61 --------------------------------------------------------------------------------
Dividends per share
During the three months endedMarch 31, 2023 , we declared aggregate dividends of$0.62 per share, or$106.8 million . During the three months endedDecember 31, 2022 , we declared aggregate dividends of$0.62 per share, or$106.5 million . The following table sets forth information regarding our consolidated results of operations for the three months endedMarch 31, 2023 and 2022 ($ in thousands, except per share data): Three Months Ended Change March 31, 2023 March 31, 2022 $ Income from loans and other investments Interest and related income $
491,384
317,197 100,714 216,483
Income from loans and other investments, net 174,187 133,718 40,469
Other expenses
Management and incentive fees 31,050 23,486 7,564
General and administrative expenses 12,865 12,360 505
Total other expenses 43,915 35,846 8,069
(Increase) decrease in current expected credit loss reserve (9,823) 2,537 (12,360)
Income before income taxes 120,449 100,409 20,040
Income tax provision 1,893 146 1,747
Net income 118,556 100,263 18,293
Net income attributable to non-controlling interests (799) (576) (223)
Net income attributable to
$ 0.68 $ 0.59 $ 0.09
Diluted $
0.67 $ 0.58
172,598,349 169,254,059 3,344,290
Diluted 180,869,409 175,602,905 5,266,504
Dividends declared per share $ 0.62 $ 0.62 $ -
Income from loans and other investments, net
Income from loans and other investments, net increased$40.5 million during the three months endedMarch 31, 2023 compared to the three months endedMarch 31, 2022 . The increase was primarily due to (i) an increase in SOFR, USD LIBOR, SONIA, EURIBOR, and other floating rate indices during 2022 and 2023, and (ii) an increase in the weighted-average principal balance of our loan portfolio by$2.6 billion for the three months endedMarch 31, 2023 , as compared to the three months endedMarch 31, 2022 . This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by$2.4 billion for the three months endedMarch 31, 2023 , as compared to the three months endedMarch 31, 2022 . Other expenses Other expenses increased by$8.1 million during the three months endedMarch 31, 2023 compared to the three months endedMarch 31, 2022 due to an increase of (i)$7.1 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii)$1.5 million of general operating expenses, and (iii)$483,000 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. This was offset by a reduction in non-cash restricted stock amortization of$1.0 million related to shares awarded under our long-term incentive plans. 62 --------------------------------------------------------------------------------
Changes in current expected credit loss reserve
During the three months ended
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 ofMarch 31, 2023 , our capitalization structure included$4.5 billion of common equity,$2.9 billion of corporate debt, and$19.5 billion of asset-level financings. Our$2.9 billion of corporate debt includes$2.2 billion of term loan borrowings,$400.0 million of senior secured notes, and$300.0 million of convertible notes. Our$19.5 billion of asset-level financings includes$14.1 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:
March 31, 2023 December 31, 2022
Debt-to-equity ratios
Debt-to-equity ratio(1) 3.8x 3.8x
Adjusted debt-to-equity ratio(2) 3.5x 3.6x
Total leverage ratios
Total leverage ratio(3) 4.8x 4.8x
Adjusted total leverage ratio(4) 4.5x 4.5x
(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 $352.3
million and $342.5 million , as of March 31, 2023 , and December 31, 2022 ,
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 $352.3 million and $342.5 million , as of March 31, 2023 , and
December 31, 2022 , respectively.
63--------------------------------------------------------------------------------
Sources of Liquidity
Our primary sources of liquidity include cash and cash equivalents, available
borrowings under our secured debt facilities, and net receivables from servicers
related to loan repayments, which are set forth in the following table ($ in
thousands):
December 31,
March 31, 2023 2022
Cash and cash equivalents $ 515,808 $ 291,340
Available borrowings under secured debt 1,027,556 1,536,638
Loan principal payments held by servicer, net(1) 19,756 7,425
$ 1,563,120 $ 1,835,403
(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 three months ended March 31, 2023 , we generated cash flow from
operating activities of $110.2 million and received (i) $562.1 million from loan
principal collections and sales proceeds and (ii) $425.8 million of net proceeds
from secured debt borrowings. 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 9,980,171 shares of class A common stock were
available for issuance as of March 31, 2023 , 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 March 31, 2023 .
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$14.1 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 ofMarch 31, 2023 , we had unfunded commitments of$3.4 billion related to 112 loans receivable and$2.1 billion of committed or identified financing for those commitments resulting in net unfunded commitments of$1.3 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. 64
--------------------------------------------------------------------------------
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) $ 3,382,489 $ 363,675
14,051,435 766,634 5,106,597 7,330,396 847,808
debt(3)
Principal repayments under asset-specific 822,873 - 676,520 32,299 114,054
debt(3)
Principal repayments of term loans(4) 2,151,719 21,997 43,994 1,307,398 778,330 Principal repayments of senior secured 400,000 - - 400,000 -
notes
Principal repayments of convertible 300,000 - - 300,000 -
notes(5)
Interest payments(3)(6) 3,655,393 1,145,555 1,756,265 611,826 141,747 Total(7)$ 24,763,909 $ 2,297,861 $ 9,248,608 $ 10,728,748 $ 2,488,692 (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 ofMarch 31, 2023 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,$1.7 billion of non-consolidated senior interests, and$229.5 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.
We are also required to settle our foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 12 to our consolidated financial statements for details regarding our derivative contracts.
We are required to pay our Manager a base management fee, an incentive fee, and
reimbursements for certain expenses pursuant to our Management Agreement. The
table above does not include the amounts payable to our Manager under our
Management Agreement as they are not fixed and determinable. Refer to Note 14 to
our consolidated financial statements for additional terms and details of the
fees payable under our Management Agreement.
As a REIT, we generally must distribute substantially all of our net taxable
income to stockholders in the form of dividends to comply with the REIT
provisions of the Internal Revenue Code. Our taxable income does not necessarily
equal our net income as calculated in accordance with GAAP, or our Distributable
Earnings as described above.
65
--------------------------------------------------------------------------------Cash Flows
The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands):
Three
Months Ended
2023 2022
Cash flows provided by operating activities $ 110,173 $ 90,098
Cash flows provided by (used in) investing activities 156,531 (1,688,750)
Cash flows (used in) provided by financing activities (43,725) 1,360,093
Net increase (decrease) in cash and cash equivalents $
222,979
We experienced a net increase in cash and cash equivalents of$223.0 million for the three months endedMarch 31, 2023 , compared to a net decrease of$238.6 million for the three months endedMarch 31, 2022 . During the three months endedMarch 31, 2023 , we received (i)$562.1 million from loan principal collections and sales proceeds and (ii)$425.8 million of net proceeds from secured debt borrowings. During the three months endedMarch 31, 2023 , we (i) funded$369.8 million of loans, (ii) repaid$220.0 million of convertible notes, (iii) repaid a net$127.8 million of asset-specific debt, and (iv) paid$106.5 million of dividends on our class A common stock.
Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Notes 5, 7, 11, and 13 to our consolidated financial statements for additional discussion of our secured debt, asset-specific debt, 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 ofMarch 31, 2023 andDecember 31, 2022 , we were in compliance with all REIT requirements.
Furthermore, our taxable REIT subsidiaries are subject to federal, state, and local income tax on their net taxable income. Refer to Note 15 to our consolidated financial statements for additional discussion of our income taxes.
Critical Accounting Policies
Our discussion and analysis of our financial condition and results of operations is based upon our consolidated financial statements, which have been prepared in accordance with GAAP. There have been no material changes to our Critical Accounting Policies described in our Annual Report on Form 10-K filed with theSEC onFebruary 8, 2023 .
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 included in our consolidated balance sheets. We estimate our CECL reserve
primarily using the Weighted Average Remaining Maturity, or WARM method, which
has been identified as an acceptable loss-rate method for estimating CECL
reserves in the Financial Accounting
66
--------------------------------------------------------------------------------•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 throughFebruary 28, 2023 . 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 loans receivable. •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 ofMarch 31, 2023 . •Impairment: impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan. Determining that a loan is impaired requires significant judgment from management and is based on several factors including (i) the underlying collateral performance, (ii) discussions with the borrower, (iii) borrower events of default, and (iv) other facts that impact the borrower's ability to pay the contractual amounts due under the terms of the loan. If a loan is determined to be impaired, we record the impairment as a component of our CECL reserve by applying the practical expedient for collateral dependent loans. The CECL reserve is assessed on an individual basis for these loans by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed relevant by us. Actual losses, if any, could ultimately differ materially from these estimates. We only expect to realize the impairment losses if and when such amounts are deemed nonrecoverable upon a realization event. This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected. These assumptions vary from quarter to quarter as our loan portfolio changes and market and economic conditions evolve. The sensitivity of each assumption and its impact on the CECL reserve may change over time and from period to period. During the three months endedMarch 31, 2023 , we recorded an aggregate$9.8 million increase in the CECL reserve related to our loans receivable and unfunded loan commitments, bringing our total reserve to$352.3 million as ofMarch 31, 2023 . See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve. 67 --------------------------------------------------------------------------------
Revenue Recognition
Interest income from our loans receivable portfolio is recognized over the life
of each investment using the effective interest method and is recorded on the
accrual basis. Recognition of fees, premiums, and discounts associated with
these investments is deferred and recorded over the term of the loan as an
adjustment to yield. Income accrual is generally suspended for loans at the
earlier of the date at which payments become 90 days past due or when, in our
opinion, recovery of income and principal becomes doubtful. Interest received is
then recorded as a reduction in the outstanding principal balance until accrual
is resumed when the loan becomes contractually current and performance is
demonstrated to be resumed. In addition, for loans we originate, the related
origination expenses are deferred and recognized as a component of interest
income, however expenses related to loans we acquire are included in general and
administrative expenses as incurred.
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VI. Loan Portfolio Details
The following table provides details of our loan portfolio, on a loan-by-loan
basis, as of March 31, 2023 ($ 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 $ 1,148 $ 1,037 $ 1,033 +3.05 % +3.78 % 12/23/2024 Dublin - IE Mixed-Use $353 / sqft 74 % 2
2 Senior Loan 4/9/2018 1,487 981 977 +4.41 % +5.65 % 6/9/2025 New York Office $524 / sqft 48 % 2
3 Senior Loan 6/24/2022 884 884 877 +4.75 % +5.07 % 6/21/2029 Diversified - AU Hospitality $402 / sqft 59 % 3
4 Senior Loan(4) 12/9/2021 770 712 409 +2.65 % +2.82 % 12/9/2026 New York Mixed-Use $214 / sqft 50 % 2
5 Senior Loan(4) 8/7/2019 746 685 138 +3.12 % +3.61 % 9/9/2025 Los Angeles Office $463 / sqft 59 % 2
6 Senior Loan 3/22/2018 646 646 645 +3.25 % +3.31 % 3/15/2026 Diversified - Spain Mixed-Use n / a 71 % 4
7 Senior Loan 3/30/2021 478 478 475 +3.20 % +3.41 % 5/15/2026 Diversified - SE Industrial $89 / 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 500 425 420 +4.00 % +4.45 % 8/9/2027 New York Multi $569,804 / 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 470 361 72 +3.70 % +4.17 % 12/9/2025 Los Angeles Office $662 / sqft 69 % 3
12 Senior Loan 9/23/2019 379 351 350 +3.00 % +3.23 % 8/15/2024 Diversified - Spain Hospitality $124,697 / 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 301 301 299 +4.00 % +4.32 % 10/25/2024 Diversified - AU Hospitality $148,263 / key 56 % 2
15 Senior Loan 2/27/2020 303 302 301 +2.70 % +2.94 % 3/9/2025 New York Multi $795,074 / unit 59 % 3
16 Senior Loan 5/6/2022 301 301 299 +3.50 % +3.79 % 5/6/2027 Diversified - UK Industrial $95 / sqft 53 % 2
17 Senior Loan 1/11/2019 296 296 296 +4.40 % +4.75 % 1/11/2026 Diversified - UK Other $293 / sqft 74 % 4
18 Senior Loan 9/29/2021 312 289 287 +2.81 % +3.03 % 10/9/2026 Washington, DC Office $377 / sqft 66 % 2
19 Senior Loan 11/30/2018 276 276 275 +2.43 % +2.43 % 8/9/2025 New York Hospitality $296,217 / key 73 % 5
20 Senior Loan 12/11/2018 310 286 287 +2.55 % +3.24 % 12/9/2023 Chicago Office $241 / sqft 78 % 4
21 Senior Loan 3/25/2022 287 287 285 +4.50 % +4.86 % 3/25/2027 Diversified - UK Hospitality $126,471 / key 65 % 3
22 Senior Loan 10/23/2018 290 281 281 +2.86 % +3.01 % 11/9/2024 Atlanta Mixed-Use $262 / sqft 64 % 2
23 Senior Loan 9/30/2021 280 274 273 +2.61 % +2.88 % 9/30/2026 Dallas Multi $144,577 / unit 74 % 3
24 Senior Loan 4/26/2021 264 264 263 +2.56 % +2.75 % 5/9/2026 Diversified - US Multi $156,393 / unit 75 % 3
25 Senior Loan 11/30/2018 261 261 261 +2.80 % +3.04 % 12/9/2024 San Francisco Hospitality $380,626 / key 73 % 4
26 Senior Loan 7/15/2021 306 268 265 +4.25 % +4.69 % 7/16/2026 Diversified - EUR Hospitality $205,172 / key 53 % 3
27 Senior Loan 9/14/2021 259 255 254 +2.61 % +2.87 % 9/14/2026 Dallas Multi $206,610 / unit 72 % 3
28 Senior Loan 9/16/2021 247 235 235 +3.80 % +4.51 % 4/9/2024 San Francisco Office $285 / sqft 53 % 4
29 Senior Loan 6/8/2022 272 246 244 +3.65 % +4.01 % 6/9/2027 New York Office $1,379 / sqft 75 % 3
30 Senior Loan 2/23/2022 245 230 229 +2.60 % +2.84 % 3/9/2027 Reno Multi $213,831 / 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 $ 216 $ 206 $ 206 +3.65 % +3.65 % 5/9/2024 Washington, DC Office $230 / sqft 57 % 5
32 Senior Loan 7/16/2021 225 210 208 +3.25 % +3.51 % 2/15/2027 London - UK Multi $232,881 / unit 69 % 3
33 Senior Loan 8/31/2017 200 200 200 +2.50 % +2.50 % 9/9/2023 Orange County Office $235 / sqft 64 % 5
34 Senior Loan 6/28/2019 202 202 202 +3.82 % +4.49 % 6/26/2024 London - UK Office $487 / sqft 71 % 3
35 Senior Loan 6/27/2019 208 199 199 +2.80 % +2.80 % 8/15/2026 Berlin - DEU Office $428 / sqft 62 % 3
36 Senior Loan 9/30/2021 195 195 194 +3.75 % +4.10 % 10/9/2026 Boca Raton Multi $532,787 / unit 77 % 3
37 Senior Loan 12/22/2016 199 192 193 +2.00 % +2.00 % 12/9/2023 New York Office $284 / sqft 64 % 5
38 Senior Loan 9/30/2021 186 136 135 +4.00 % +4.51 % 9/30/2026 Diversified - Spain Hospitality $117,540 / key 60 % 3
39 Senior Loan 6/4/2018 183 183 183 +3.50 % +3.76 % 6/9/2024 New York Hospitality $301,071 / key 52 % 4
40 Senior Loan 9/30/2021 256 182 180 +3.00 % +3.35 % 10/9/2028 Chicago Office $201 / sqft 74 % 3
41 Senior Loan 9/25/2019 182 182 181 +4.47 % +4.99 % 9/26/2024 London - UK Office $846 / sqft 72 % 3
42 Senior Loan 2/15/2022 191 178 177 +2.90 % +3.14 % 3/9/2027 Denver Office $348 / sqft 61 % 3
43 Senior Loan 11/23/2018 181 181 180 +2.68 % +2.92 % 2/15/2024 Diversified - UK Office $1,115 / sqft 50 % 3
44 Senior Loan 12/21/2021 186 180 179 +2.82 % +3.11 % 4/29/2027 London - UK Industrial $365 / sqft 67 % 3
45 Senior Loan 7/23/2021 244 176 174 +5.00 % +5.41 % 8/9/2027 New York Office $569 / sqft 53 % 4
46 Senior Loan 12/17/2021 168 165 164 +3.95 % +4.33 % 1/9/2026 Diversified - US Other $5,601 / unit 48 % 1
47 Senior Loan 3/9/2022 167 167 165 +2.95 % +3.17 % 8/15/2027 Various Retail $142 / sqft 55 % 2
48 Senior Loan 1/27/2022 178 169 168 +3.10 % +3.40 % 2/9/2027 Dallas Multi $110,636 / unit 71 % 3
49 Senior Loan 7/29/2022 271 186 182 +4.60 % +5.65 % 7/27/2027 London - UK Industrial $240 / sqft 52 % 3
50 Senior Loan 5/27/2021 205 160 159 +2.81 % +3.11 % 6/9/2026 Atlanta Office $135 / sqft 66 % 3
51 Senior Loan 10/7/2021 165 160 160 +3.25 % +3.58 % 10/9/2025 Los Angeles Office $326 / sqft 68 % 3
52 Senior Loan 5/13/2021 199 156 156 +3.66 % +4.10 % 6/9/2026 Boston Life Sciences $793 / sqft 64 % 3
53 Senior Loan 3/7/2022 156 156 156 +3.45 % +3.63 % 6/9/2026 Los Angeles Hospitality $624,000 / key 64 % 3
54 Senior Loan 8/24/2021 179 156 155 +3.21 % +3.52 % 9/9/2026 San Jose Office $372 / sqft 65 % 3
55 Senior Loan 9/4/2018 163 150 149 +4.25 % +4.50 % 9/9/2024 Las Vegas Hospitality $181,054 / key 70 % 3
56 Senior Loan 1/7/2022 155 150 149 +3.70 % +3.97 % 1/9/2027 Fort Lauderdale Office $387 / sqft 55 % 1
57 Senior Loan 1/17/2020 203 148 148 +2.86 % +3.00 % 2/9/2025 New York Mixed-Use $122 / sqft 43 % 3
58 Senior Loan 11/18/2021 139 139 139 +3.25 % +3.51 % 11/18/2026 London - UK Other $175 / sqft 65 % 2
59 Senior Loan 12/20/2019 139 139 138 +3.22 % +3.44 % 12/18/2026 London - UK Office $703 / sqft 75 % 3
60 Senior Loan 2/25/2022 137 137 136 +4.05 % +4.43 % 2/25/2027 Copenhagen - DK Industrial $78 / sqft 69 % 2
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Origination Total Principal Net Book Cash All-in Maximum Loan Per Origination Risk
Loan Type(1) Date(2) Loan(3)(4) Balance(4) Value Coupon(5) Yield(5) Maturity(6) Location Property Type SQFT / Unit / Key LTV(2) Rating
61 Senior Loan 3/10/2020 $ 140 $ 140 $ 140 +3.10 % +3.10 % 10/11/2024 New York Mixed-Use $854 / sqft 53 % 4
62 Senior Loan 6/30/2022 127 127 127 +3.75 % +3.93 % 9/30/2025 Canberra - AU Hospitality $246,631 / key 60 % 2
63 Senior Loan 9/14/2021 132 128 128 +2.81 % +3.07 % 10/9/2026 San Bernardino Multi $258,709 / unit 75 % 3
64 Senior Loan 6/28/2022 675 143 136 +4.60 % +5.06 % 7/9/2029 Austin Mixed-Use $118 / sqft 53 % 3
65 Senior Loan 3/28/2022 150 127 126 +3.05 % +3.35 % 4/9/2027 Miami Office $345 / sqft 69 % 3
66 Senior Loan 4/3/2018 126 125 125 +2.86 % +3.03 % 4/9/2024 Dallas Retail $761 / sqft 64 % 3
67 Senior Loan 4/6/2021 123 121 121 +3.20 % +3.52 % 4/9/2026 Los Angeles Office $503 / sqft 65 % 3
68 Senior Loan 6/1/2021 120 120 120 +2.96 % +3.17 % 6/9/2026 Miami Multi $298,507 / unit 61 % 2
69 Senior Loan 4/29/2022 118 118 117 +3.50 % +3.77 % 2/18/2027 Napa Valley Hospitality $1,240,799 / key 66 % 2
70 Senior Loan 3/29/2021 126 121 120 +4.02 % +4.61 % 3/29/2026 Diversified - UK Multi $52,836 / unit 61 % 3
71 Senior Loan 5/20/2021 150 120 120 +3.76 % +4.19 % 6/9/2026 San Jose Office $308 / sqft 65 % 4
72 Senior Loan 6/28/2019 125 117 117 +2.87 % +3.13 % 2/1/2024 Los Angeles Studio $591 / sqft 48 % 3
73 Senior Loan 7/15/2019 138 117 116 +3.01 % +3.43 % 8/9/2024 Houston Office $211 / sqft 58 % 3
74 Senior Loan 8/27/2021 122 116 116 +3.00 % +3.29 % 9/9/2026 San Diego Retail $438 / sqft 58 % 3
75 Senior Loan 10/21/2021 114 114 114 +3.01 % +3.26 % 11/9/2025 Fort Lauderdale Multi $334,311 / unit 64 % 2
76 Senior Loan 2/20/2019 167 122 122 +4.07 % +4.65 % 2/19/2024 London - UK Office $600 / sqft 61 % 3
77 Senior Loan 12/21/2021 120 113 112 +2.70 % +3.00 % 1/9/2027 Washington, DC Office $386 / sqft 68 % 3
78 Senior Loan 3/17/2022 268 126 124 +3.87 % +5.00 % 6/30/2025 London - UK Office $565 / sqft 62 % 3
79 Senior Loan 3/13/2018 123 108 108 +3.00 % +3.27 % 4/9/2027 Honolulu Hospitality $167,020 / key 50 % 3
80 Senior Loan 11/8/2022 109 109 108 +3.88 % +4.53 % 11/8/2027 London - UK Multi $169,538 / unit 60 % 2
81 Senior Loan 11/27/2019 109 107 106 +2.86 % +3.20 % 12/9/2024 Minneapolis Office $107 / sqft 64 % 3
82 Senior Loan 2/15/2022 106 104 104 +2.85 % +3.19 % 3/9/2027 Tampa Multi $239,257 / unit 73 % 3
83 Senior Loan(4) 11/10/2021 362 146 29 +4.00 % +4.76 % 12/9/2026 San Francisco Life Sciences $277 / sqft 66 % 3
84 Senior Loan 12/29/2021 110 103 103 +2.85 % +3.06 % 1/9/2027 Phoenix Multi $177,670 / unit 64 % 3
85 Senior Loan 3/29/2022 103 101 100 +2.70 % +2.96 % 4/9/2027 Miami Multi $281,192 / unit 75 % 3
86 Senior Loan 7/1/2021 104 99 99 +3.10 % +3.35 % 7/9/2026 Diversified - US Retail $281 / sqft 61 % 2
87 Senior Loan 10/1/2021 101 99 99 +2.86 % +3.13 % 10/1/2026 Phoenix Multi $230,081 / unit 77 % 3
88 Senior Loan 6/18/2021 99 99 98 +2.71 % +2.95 % 7/9/2026 New York Industrial $51 / sqft 55 % 1
89 Senior Loan 12/15/2021 147 106 105 +3.47 % +4.52 % 12/9/2026 Dublin - IE Multi $266,711 / unit 79 % 3
90 Senior Loan 12/10/2021 135 102 102 +3.11 % +3.46 % 1/9/2027 Miami Office $342 / sqft 49 % 3
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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 3/28/2019 $ 97 $ 97 $ 97 +4.36 % +4.36 % 1/9/2024 New York Hospitality $249,463 / key 63 % 3
92 Senior Loan 10/28/2021 96 96 95 +3.00 % +3.35 % 11/9/2026 Philadelphia Multi $353,704 / unit 79 % 3
93 Senior Loan 3/25/2020 96 96 96 +2.40 % +2.58 % 3/31/2025 Diversified - NL Multi $117,556 / unit 65 % 2
94 Senior Loan 6/14/2021 100 93 93 +3.81 % +4.16 % 7/9/2024 Miami Office $196 / sqft 65 % 3
95 Senior Loan 10/27/2021 93 93 92 +2.61 % +2.81 % 11/9/2026 Orlando Multi $155,612 / unit 75 % 3
96 Senior Loan 3/3/2022 92 92 92 +3.45 % +3.76 % 3/9/2027 Boston Hospitality $418,182 / key 64 % 3
97 Senior Loan 12/21/2018 98 91 91 +2.71 % +2.95 % 1/9/2024 Chicago Office $177 / sqft 72 % 3
98 Senior Loan 12/22/2021 91 91 90 +3.18 % +3.44 % 1/9/2027 Las Vegas Multi $205,682 / unit 65 % 3
99 Senior Loan 10/16/2018 100 91 91 +3.36 % +4.05 % 11/9/2024 San Francisco Hospitality $197,536 / key 72 % 4
100 Senior Loan 12/15/2021 91 89 89 +2.96 % +3.22 % 1/9/2027 Charlotte Multi $255,428 / unit 76 % 3
101 Senior Loan 12/10/2018 89 89 89 +4.57 % +5.28 % 12/3/2024 London - UK Office $425 / sqft 72 % 3
102 Senior Loan 6/25/2021 85 85 85 +2.86 % +3.31 % 7/1/2026 St. Louis Multi $80,339 / unit 70 % 3
103 Senior Loan 3/31/2017 89 84 84 +4.30 % +4.30 % 4/9/2023 New York Office $403 / sqft 64 % 5
104 Senior Loan 4/1/2021 102 86 85 +3.41 % +3.85 % 4/9/2026 San Jose Office $575 / sqft 67 % 3
105 Senior Loan 7/30/2021 87 83 84 +2.61 % +2.95 % 8/9/2026 Los Angeles Multi $165,520 / unit 70 % 2
106 Senior Loan 7/29/2021 82 82 81 +2.76 % +3.14 % 6/9/2026 Charlotte Multi $222,630 / unit 78 % 3
107 Senior Loan 3/9/2022 92 81 81 +2.90 % +3.43 % 3/9/2025 Boston Office $215 / sqft 68 % 3
108 Senior Loan 6/14/2022 106 80 79 +2.95 % +3.30 % 7/9/2027 San Francisco Mixed-Use $166 / sqft 76 % 3
109 Senior Loan 12/15/2021 87 87 86 +4.00 % +4.29 % 12/15/2026 Melbourne - AU Multi $63,620 / unit 38 % 2
110 Senior Loan 6/27/2019 88 83 83 +2.75 % +3.04 % 7/9/2024 West Palm Beach Office $285 / sqft 70 % 2
111 Senior Loan 1/30/2020 104 82 81 +2.96 % +3.17 % 2/9/2026 Honolulu Hospitality $261,951 / key 63 % 3
112 Senior Loan 8/27/2021 79 77 77 +3.85 % +4.43 % 9/9/2026 Diversified - US Hospitality $114,628 / key 67 % 3
113 Senior Loan 11/23/2021 92 77 76 +2.85 % +3.17 % 12/9/2026 Los Angeles Industrial $219 / sqft 66 % 3
114 Senior Loan 12/23/2021 318 88 83 +4.25 % +5.14 % 6/24/2028 London - UK Multi $96,833 / unit 59 % 3
115 Senior Loan(4) 12/30/2021 228 73 14 +4.35 % +5.50 % 1/9/2028 Los Angeles Multi $209,770 / unit 50 % 3
116 Senior Loan 12/21/2021 74 72 71 +2.70 % +3.06 % 1/9/2027 Tampa Multi $211,172 / unit 77 % 2
117 Senior Loan 10/28/2021 69 69 69 +2.66 % +2.86 % 11/9/2026 Tacoma Multi $209,864 / unit 70 % 3
118 Senior Loan 1/26/2022 338 82 79 +4.10 % +4.66 % 2/9/2027 Seattle Office $172 / sqft 56 % 3
119 Senior Loan 8/17/2022 77 69 68 +3.35 % +3.83 % 8/17/2027 Dublin - IE Industrial $107 / sqft 72 % 3
120 Senior Loan 9/22/2021 67 67 67 +3.00 % +3.16 % 4/1/2024 Jacksonville Multi $181,081 / unit 62 % 2
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Origination Total Principal Net Book Cash All-in Maximum Loan Per Origination Risk
Loan Type(1) Date(2) Loan(3)(4) Balance(4) Value Coupon(5) Yield(5) Maturity(6) Location Property Type SQFT / Unit / Key LTV(2) Rating
121 Senior Loan 3/24/2022 $ 65 $ 65 $ 65 +3.50 % +3.59 % 4/1/2027 Fairfield Multi $406,250 / unit 70 % 3
122 Senior Loan 3/31/2022 70 64 64 +2.80 % +3.14 % 4/9/2027 Las Vegas Multi $140,423 / unit 71 % 3
123 Senior Loan 8/14/2019 70 63 62 +2.56 % +2.78 % 9/9/2024 Los Angeles Office $608 / sqft 57 % 3
124 Senior Loan 3/31/2021 62 62 62 +3.73 % +3.86 % 4/1/2024 Boston Multi $316,327 / unit 75 % 3
125 Senior Loan 7/30/2021 62 62 62 +2.86 % +3.06 % 8/9/2026 Salt Lake City Multi $224,185 / unit 73 % 3
126 Senior Loan 12/23/2021 61 61 61 +2.18 % +2.99 % 9/1/2023 New York Office $239 / sqft 71 % 3
127 Senior Loan 6/30/2021 65 60 60 +2.95 % +3.23 % 7/9/2026 Nashville Office $246 / sqft 71 % 3
128 Senior Loan 4/15/2021 66 60 60 +3.06 % +3.34 % 5/9/2026 Austin Office $291 / sqft 73 % 3
129 Senior Loan 12/17/2021 66 61 61 +4.35 % +4.83 % 1/9/2026 Diversified - US Other $4,623 / unit 37 % 1
130 Senior Loan 9/29/2021 58 58 58 +2.85 % +3.02 % 10/1/2025 Houston Multi $52,968 / unit 61 % 3
131 Senior Loan 12/17/2021 58 58 58 +2.65 % +2.85 % 1/9/2027 Phoenix Multi $209,601 / unit 69 % 3
132 Senior Loan 7/16/2021 58 58 58 +2.75 % +3.03 % 8/1/2025 Orlando Multi $195,750 / unit 74 % 2
133 Senior Loan 8/22/2019 54 54 54 +2.66 % +3.01 % 9/9/2024 Los Angeles Office $312 / sqft 63 % 3
134 Senior Loan 12/10/2020 61 56 56 +3.30 % +3.56 % 1/9/2026 Fort Lauderdale Office $194 / sqft 68 % 3
135 Senior Loan 12/22/2021 55 55 54 +2.82 % +2.96 % 1/1/2027 Los Angeles Multi $272,500 / unit 68 % 3
136 Senior Loan 12/14/2018 54 54 54 +3.01 % +3.27 % 1/9/2024 Diversified - US Industrial $40 / sqft 57 % 1
137 Senior Loan 7/30/2021 59 54 53 +2.86 % +3.07 % 8/9/2026 Tampa Multi $129,293 / unit 71 % 2
138 Senior Loan 1/21/2022 68 54 53 +3.70 % +4.09 % 2/9/2027 Denver Office $318 / sqft 65 % 3
139 Senior Loan 8/16/2022 65 58 57 +4.75 % +5.17 % 8/16/2027 London - UK Hospitality $429,633 / key 64 % 3
140 Senior Loan 11/11/2021 54 54 54 +4.07 % +4.86 % 8/12/2026 London - UK Hospitality $191,445 / key 40 % 3
141 Senior Loan 12/9/2021 51 51 51 +2.75 % +2.89 % 1/1/2027 Portland Multi $241,825 / unit 65 % 3
142 Senior Loan 8/5/2021 57 52 51 +2.96 % +3.24 % 8/9/2026 Denver Office $195 / sqft 70 % 3
143 Senior Loan 2/17/2021 53 51 51 +3.66 % +3.86 % 3/9/2026 Miami Multi $290,985 / unit 64 % 2
144 Senior Loan 2/20/2019 50 50 50 +3.50 % +3.72 % 3/9/2024 Calgary - CAN Office $137 / sqft 52 % 2
145 Senior Loan 9/23/2021 49 49 49 +2.75 % +2.86 % 10/1/2026 Portland Multi $232,938 / unit 65 % 3
146 Senior Loan 11/30/2016 57 49 48 +3.18 % +3.40 % 12/9/2023 Chicago Retail $946 / sqft 54 % 4
147 Senior Loan 7/20/2021 48 48 47 +2.86 % +3.21 % 8/9/2026 Los Angeles Multi $366,412 / unit 60 % 3
148 Senior Loan 7/28/2021 53 49 49 +2.75 % +3.14 % 8/9/2026 Los Angeles Multi $277,281 / unit 71 % 3
149 Senior Loan 6/26/2019 62 48 48 +3.47 % +3.78 % 6/20/2024 London - UK Office $538 / sqft 61 % 3
150 Senior Loan 12/29/2021 47 47 46 +2.85 % +2.96 % 1/1/2027 Dallas Multi $155,000 / unit 73 % 3
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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 1,892 1,566 1,498 +3.15 % +3.57 % 2.8 yrs Various Various Various 63 % 2.5
199
CECL reserve (337)
Loans receivable, net $ 30,757 $ 26,743 $ 24,560 +3.38 % +3.77 % 2.9 yrs 64 % 2.9
(1)Senior loans include senior mortgages and similar credit quality loans,
including related contiguous subordinate loans and pari passu participations in
senior mortgage loans.
(2)Date loan was originated or acquired by us, and the LTV as of such date.
Origination dates are subsequently updated to reflect material loan
modifications.
(3)Total loan amount reflects outstanding principal balance as well as any
related unfunded loan commitment.
(4)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. As of March 31, 2023 , eight loans in our portfolio have been
financed with an aggregate $1.7 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 SOFR, USD LIBOR,
SONIA, EURIBOR, and other indices as applicable to each loan. As of March 31,
2023 , substantially all of our loans by total loan exposure earned a floating
rate of interest, primarily indexed to SOFR and USD LIBOR. In addition to cash
coupon, all-in yield includes the amortization of deferred origination and
extension fees, loan origination costs, and purchase discounts, as well as the
accrual of exit fees. Excludes 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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