BLACKSTONE MORTGAGE TRUST, INC. MANAGEMENT REPORT AND ANALYSIS OF FINANCIAL POSITION AND RESULTS OF OPERATIONS (Form 10-K)

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 in North America, Europe,
and Australia. 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 by BXMT Advisors L.L.C., or our
Manager, a subsidiary of Blackstone Inc., or Blackstone, and are a real estate
investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under
the symbol "BXMT."
We benefit from the deep knowledge, experience and information advantages of our
Manager, which is a part of Blackstone'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 the Blackstone platform deeply informs our credit and underwriting
process, and we believe gives us the tools to expertly manage the assets in our
portfolio and work with our borrowers throughout periods of economic stress and
uncertainty.
We conduct our operations as a REIT for U.S. federal income tax purposes. We
generally will not be subject to U.S. federal income taxes on our taxable income
to the extent that we annually distribute all of our net taxable income to
stockholders and maintain our qualification as a REIT. We also operate our
business in a manner that permits us to maintain an exclusion from registration
under the Investment Company Act of 1940, as amended. We are organized as a
holding company and conduct our business primarily through our various
subsidiaries.
Recent Developments

COVID-19

The novel coronavirus, or COVID-19, pandemic has evolved from its emergence in
early 2020, so has its global impact. Many countries have re-instituted, or
strongly encouraged, varying levels of quarantines and restrictions on travel
and in some cases have at times limited operations of certain businesses and
taken other restrictive measures designed to help slow the spread of COVID-19
and its variants. Governments and businesses have also instituted vaccine
mandates and testing requirements for employees. While vaccine availability and
uptake has increased, the longer-term macro-economic effects on global supply
chains, inflation, labor shortages and wage increases continue to impact many
industries, including the collateral underlying certain of our loans. Moreover,
with the potential for new strains of COVID-19 to emerge, governments and
businesses may re-impose aggressive measures to help slow its spread in the
future. For this reason, among others, as the COVID-19 pandemic continues, the
potential global impacts are uncertain and difficult to assess.

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, and the Swiss Average Rate Overnight, or
SARON, or collectively, IBORs, are the subject of recent national, international
and regulatory guidance and proposals for reform. As of December 31, 2021, the
ICE Benchmark Association, or IBA, ceased publication of all non-USD LIBOR and
previously announced its intention to cease publication of remaining U.S. dollar
LIBOR settings immediately after June 30, 2023.

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The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates
Committee, a steering committee comprised of large U.S. financial institutions,
has identified the Secured Overnight Financing Rate, or SOFR, a new index
calculated using short-term repurchase agreements backed by Treasury securities,
as its preferred alternative rate for USD LIBOR. Market participants have
started to transition to the Sterling Overnight Index Average, or SONIA, in line
with guidance from the U.K. regulators. As of December 31, 2021, one-month SOFR
is utilized as the floating benchmark rate on 16 of our loans, the financing
provided on the 2020 FL3 and 2020 FL2 CLOs, plus a credit spread adjustment, and
one of our credit facilities. Additionally, as of December 31, 2021, daily
compounded SONIA is utilized as the floating benchmark rate on nine of our loans
and five of our credit facilities.

At this time, it is not possible to predict how markets will respond to SOFR,
SONIA, or other alternative reference rates as the transition away from USD
LIBOR and GBP LIBOR proceeds. Despite the LIBOR transition in other markets,
benchmark rate methodologies in Europe, Australia, Canada, and Switzerland have
been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, and SARON 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 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 this Annual Report on Form 10-K.

2021 Highlights
Operating results:
•Net income of $419.2 million, or $2.77 per share, and Distributable Earnings of
$396.7 million, or $2.62 per share, with dividends declared of $383.9 million,
or $2.48 per share. Net income includes a $39.9 million decrease to the current
expected credit loss, or CECL, reserve that is excluded from Distributable
Earnings, as further described below.
•Increased book value per share $0.80 to $27.22 as of December 31, 2021, which
is net of a $0.78 cumulative CECL reserve.
Loan portfolio:
•Loan originations of $14.6 billion. During the year we had loan fundings of
$12.9 billion and loan repayments of $7.2 billion, resulting in net fundings of
$5.7 billion.
•Portfolio of 189 investments as of December 31, 2021, with a weighted-average
origination loan-to-value ratio of 64.4% and weighted-average all-in yield of +
3.54%.
•Maintained our disciplined focus on institutional quality assets and sponsors
while accelerating our activities in sectors and markets with the highest
potential for growth, including increasing our portfolio exposure to multifamily
to 24% from 10% and to the Sunbelt to 27% from 19%.
Capital markets and financing activity:
•Closed $10.5 billion of new financings under our secured debt facilities,
adding two new credit facilities with innovative structures to finance our
investments.
•Closed a $1.0 billion collateralized loan obligation, or CLO, securitization
resulting in an aggregate $3.5 billion of our loans financed through our CLO
securitizations as of December 31, 2021.
•Increased the borrowings under our senior term loan facilities by an aggregate
$300.0 million, decreased the spread on our B-2 senior term loan facility by
2.00% to L + 2.75%, and issued $400.0 million of 3.75% senior secured notes due
2027.
I. Key Financial Measures and Indicators
As a real estate finance company, we believe the key financial measures and
indicators for our business are earnings per share, dividends declared,
Distributable Earnings, and book value per share. For the three months ended
December 31, 2021, we recorded earnings per share of $0.76, declared a dividend
of $0.62 per share, and reported $0.78 per share of Distributable Earnings. In
addition, our book value as of December 31, 2021 was $27.22 per share, which is
net of a $0.78 cumulative CECL reserve. For the year ended December 31, 2021, we
recorded earnings per share of $2.77, declared aggregate dividends of $2.48 per
share, and reported $2.62 per share of Distributable Earnings.
As further described below, Distributable Earnings is a measure that is not
prepared in accordance with accounting principles generally accepted in the
United States of America, or GAAP, which helps us to evaluate our performance
excluding the effects of certain transactions and GAAP adjustments that we
believe are not necessarily indicative of our
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current loan portfolio and operations. In addition, Distributable Earnings is a
performance metric we consider when declaring our dividends.
Earnings Per Share and Dividends Declared
The following table sets forth the calculation of basic and diluted net income
per share and dividends declared per share ($ in thousands, except per share
data):


                                                             Three months                   Year Ended December 31,
                                                            ended December
                                                               31, 2021                    2021                    2020
Net income (1)                                             $      123,940          $     419,193              $    137,670

Weighted average number of shares outstanding, basic and diluted 162,056,782

                151,521,941           141,795,977
Net income per share, basic and diluted                    $         0.76          $        2.77              $       0.97
Dividends declared per share                               $         0.62          $        2.48              $       2.48




(1)Represents net income attributable to Blackstone Mortgage Trust.
Distributable Earnings
Distributable Earnings is a non-GAAP measure, which we define as GAAP net income
(loss), including realized gains and losses not otherwise recognized in current
period GAAP net income (loss), and excluding (i) non-cash equity compensation
expense, (ii) depreciation and amortization, (iii) unrealized gains (losses),
and (iv) certain non-cash items. Distributable Earnings may also be adjusted
from time to time to exclude one-time events pursuant to changes in GAAP and
certain other non-cash charges as determined by our Manager, subject to approval
by a majority of our independent directors. Distributable Earnings mirrors the
terms of our management agreement between our Manager and us, or our Management
Agreement, for purposes of calculating our incentive fee expense.
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 14 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.
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The following table provides a reconciliation of distributable earnings to GAAP net income (in thousands of dollars, except per share data):

                                                        Three Months                   Year Ended December 31,
                                                       Ended December
                                                          31, 2021                    2021                    2020
Net income(1)                                         $      123,940          $     419,193              $    137,670
Charge-offs of current expected credit loss                    (14,427)                   (14,427)                     -

reserve(2)

(Decrease) increase in current expected credit loss               9,568                   (39,864)               167,653

Reserve

Non-cash compensation expense                                     7,463                     31,647                34,532
Realized hedging and foreign currency income, net(3)              (668)                      (521)                10,852
Other items                                                         120                        561                 1,487
Adjustments attributable to non-controlling                        (30)                        132                 (204)
interests, net
Distributable Earnings(4)                             $      125,966          $     396,721              $    351,990
Weighted-average shares outstanding, basic and              162,056,782                151,521,941           141,795,977

diluted

Distributable Earnings per share, basic and           $         0.78          $        2.62              $       2.48
diluted(4)




(1)Represents net income attributable to Blackstone Mortgage Trust.
(2)Represents a realized loss related to loan principal amounts deemed
nonrecoverable following a realization event during the three months 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)For the three months and year ended December 31, 2021, represents realized
gains (losses) on the repatriation of unhedged foreign currency. For the year
ended December 31, 2020, primarily represents the forward points earned on our
foreign currency forward contracts, which reflect the interest rate
differentials between the applicable base rate for our foreign currency
investments and USD LIBOR. These forward contracts effectively convert the rate
exposure to USD LIBOR, resulting in additional interest income earned in U.S.
dollar terms. These amounts were not included in GAAP net income, but rather as
a component of Other Comprehensive Income in our consolidated financial
statements.
(4)Includes favorable Distributable Earnings impact, net of incentive fees, of
$19.1 million, or $0.12 and $0.13 per share for the three months and year ended
December 31, 2021 relating to (i) prepayment income and acceleration of deferred
origination fees related to a certain loan repayment during the three months
ended December 31, 2021 and (ii) the charge-off of a certain previously recorded
current expected credit loss reserve above.
Book Value Per Share
The following table calculates our book value per share ($ in thousands, except
per share data):

                                    December 31, 2021       December 31, 2020
            Stockholders' equity   $        4,588,187      $       

3,886,067

            Shares
            Class A common stock            168,179,798            

146 780 031

            Deferred stock units                363,572                 

306,691

            Total outstanding               168,543,370            

147 086 722

            Book value per share   $            27.22      $            

26.42


II. Loan Portfolio
During the year ended December 31, 2021, we originated or acquired $14.6 billion
of loans. Loan fundings during the year totaled $12.9 billion, including $393.9
million of non-consolidated senior interests. Loan repayments and sales during
the year totaled $7.2 billion, including $475.5 million of non-consolidated
senior interests and the loan held by our non-consolidated securitized debt
obligation. We generated interest income of $854.7 million and incurred interest
expense of $340.2 million during the year, which resulted in $514.5 million of
net interest income during the year ended December 31, 2021.
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Portfolio Overview
The following table details our loan origination activity ($ in thousands):
                                                                         Three Months
                                                                        Ended December            Year Ended
                                                                           31, 2021            December 31, 2021
Loan originations(1)                                                   $    5,966,853          $   14,571,453
Loan fundings(2)                                                       $    5,210,261          $   12,944,396
Loan repayments and sales(3)                                                 (3,530,274)             (7,208,647)
Total net fundings                                                     $    1,679,987          $    5,735,749




(1)Includes new loan originations and additional commitments made under existing
loans.
(2)Loan fundings during the three months and year ended December 31, 2021
include $109.3 million and $393.9 million, respectively, of additional fundings
under related non-consolidated senior interests.
(3)Loan repayments and sales during the three months and year ended December 31,
2021 include $148.3 and $475.5 million, respectively, of additional repayments
or reduction of loan exposure under related non-consolidated senior interests
and the loan held by our non-consolidated securitized debt obligation.
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The following table details the overall statistics of our investment portfolio at December 31, 2021 (in thousands of dollars):

                                                                                            Total Investment Exposure
                                                Balance Sheet              Loan                   Other                    Total Investment
                                                Portfolio(1)          Exposure(1)(2)         Investments(3)                    Portfolio
Number of investments                                   188                    188                       1                             189
Principal balance                              $ 22,156,437          $  23,669,111          $      379,302                $     24,048,413
Net book value                                 $ 21,878,338          $  21,878,338          $       78,013                $     21,956,351
Unfunded loan commitments(4)                   $  4,180,128          $   4,924,287          $            -                $      4,924,287
Weighted-average cash coupon(5)                      + 3.19  %              + 3.22  %               + 2.75  %                       + 3.22  %
Weighted-average all-in yield(5)                     + 3.52  %              + 3.55  %               + 2.86  %                       + 3.54  %
Weighted-average maximum maturity (years)(6)            3.4                    3.4                     3.4                             3.4
Origination loan to value (LTV)(7)                     64.9  %                64.8  %                 42.6  %                         64.4  %




(1)Excludes investment exposure to the $79.2 million subordinate position we own
in the $379.3 million 2018 Single Asset Securitization. Refer to Notes 4 and 17
to our consolidated financial statements for further discussion of the 2018
Single Asset Securitization.
(2)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. Total loan exposure encompasses the entire loan we originated and
financed, including $1.5 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(3)Includes investment exposure to the $379.3 million 2018 Single Asset
Securitization. We do not consolidate the 2018 Single Asset Securitization on
our consolidated financial statements, and instead reflect our $79.2 million
subordinate position as a component of other assets on our consolidated balance
sheet. Refer to Notes 4 and 17 to our consolidated financial statements for
further discussion of the 2018 Single Asset Securitization.
(4)Unfunded commitments will primarily be funded to finance our borrowers'
construction or development of real estate-related assets, capital improvements
of existing assets, or lease-related expenditures. These commitments will
generally be funded over the term of each loan, subject in certain cases to an
expiration date.
(5)The weighted-average cash coupon and all-in yield are expressed as a spread
over the relevant floating benchmark rates, which include USD LIBOR, SOFR, GBP
LIBOR, SONIA, EURIBOR, and other indices as applicable to each investment. As of
December 31, 2021, 98% of our investments by total investment exposure earned a
floating rate of interest, primarily indexed to USD LIBOR. The other 2% of our
investments earned a fixed rate of interest, which we reflect as a spread over
the relevant floating benchmark rates, as of December 31, 2021, for purposes of
the weighted-averages. In addition to cash coupon, all-in yield includes the
amortization of deferred origination and extension fees, loan origination costs,
and purchase discounts, as well as the accrual of exit fees. Excludes a loan
accounted for under the cost-recovery method.
(6)Maximum maturity assumes all extension options are exercised by the borrower,
however our loans and other investments may be repaid prior to such date. As of
December 31, 2021, 56% of our loans and other investments by total investment
exposure were subject to yield maintenance or other prepayment restrictions and
44% were open to repayment by the borrower without penalty.
(7)Based on LTV as of the dates loans and other investments were originated or
acquired by us.


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The following table details the index floor rates for our loan portfolio as of December 31, 2021 (in thousands of dollars):

                              Loans Receivable Principal Balance
Index Rate Floors           USD           Non-USD(1)          Total
Fixed Rate             $     37,500      $   344,696      $    382,196
0.00% or no floor(2)        4,224,778        5,444,841         9,669,619
0.01% to 0.25% floor        7,125,069          447,339         7,572,408
0.26% to 1.00% floor        1,259,076          501,764         1,760,840
1.01% or more floor         4,439,258          224,092         4,663,350
Total(3)(4)            $ 17,085,681      $ 6,962,732      $ 24,048,413




(1)Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar,
Canadian Dollar, and Swiss Franc currencies.
(2)Includes a $286.3 million loan accounted for under the cost-recovery method.
(3)Includes investment exposure to the $79.2 million subordinate position we own
in the $379.3 million 2018 Single Asset Securitization. Refer to Notes 4 and 17
to our consolidated financial statements for further discussion of the 2018
Single Asset Securitization.
(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. Total loan exposure encompasses the entire loan we originated and
financed, including $1.5 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(5)As of December 31, 2021, the weighted-average index rate floor of our loan
portfolio was 0.42%. Excluding 0.0% index rate floors, the weighted-average
index rate floor was 0.70%. As of December 31, 2020, the weighted-average index
rate floor of our loan portfolio was 0.82%. Excluding 0.0% index rate floors,
the weighted-average index rate floor was 1.35%.

The following table details the floating benchmark rates for our investment
portfolio as of December 31, 2021 (total investment portfolio amounts in
thousands):
    Investment                                      Total Investment
       Count                   Currency                Portfolio               Floating Rate Index(1)             Cash Coupon(2)              All-in Yield(2)
        156                       $               $      17,085,680              USD LIBOR / SOFR(3)                  + 3.12%                     + 3.43%
         9                        €               €       2,777,193                    EURIBOR                        + 3.01%                     + 3.39%
        17                        £               £       1,956,619             GBP LIBOR / SONIA(4)                  + 3.84%                     + 4.23%
         7                        $               $       1,157,368                   OTHER(5)                        + 3.73%                     + 4.02%

        189                                       $      24,048,413               Applicable Index                    + 3.22%                     + 3.54%




(1)We use foreign currency forward contracts to protect the value or fix the
amount of certain investments or cash flows in terms of the U.S. dollar. We earn
forward points on our forward contracts that reflect the interest rate
differentials between the applicable base rate for our foreign currency
investments and USD LIBOR. These forward contracts effectively convert the
foreign currency rate exposure for such investments to USD LIBOR.
(2)The cash coupon and all-in yield of our fixed rate loans are reflected as a
spread over USD LIBOR for purposes of the weighted-averages. In addition to cash
coupon, all-in yield includes the amortization of deferred origination and
extension fees, loan origination costs, and purchase discounts, as well as the
accrual of exit fees. Excludes a loan accounted for under the cost-recovery
method.
(3)As of December 31, 2021, $15.6 billion and $1.5 billion of loans were indexed
to USD LIBOR and SOFR, respectively. The remaining $37.5 million of our United
States Dollar loans are fixed rate. As of December 31, 2021, one-month USD LIBOR
was 0.10% and SOFR was 0.05%.
(4)As of December 31, 2021, £874.8 million and £848.4 million of loans were
indexed to SONIA and GBP LIBOR, respectively. The remaining £233.4 million of
our British Pound Sterling loans are fixed rate. As of December 31, 2021, SONIA
was 0.19% and three-month GBP LIBOR was 0.26%.
(5)Includes floating rate loans indexed to STIBOR, BBSY, CDOR, and SARON
indices.

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The charts below detail the geographic distribution and types of properties
securing our investment portfolio, as of December 31, 2021:
[[Image Removed: bxmt-20211231_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 ended December 31, 2021, we collected 100.0% of the contractual
interest payments that were due under our loans, with virtually no interest
deferrals, including with respect to loans collateralized by hospitality assets,
which we believe demonstrates the overall strength of our loan portfolio and the
commitment and financial wherewithal of our borrowers generally, which are
primarily affiliated with large real estate private equity funds and other
strong, well-capitalized, experienced sponsors.
We maintain a robust asset management relationship with our borrowers and
utilize these relationships to maximize the performance of our portfolio,
including during periods of volatility, such as the COVID-19 pandemic. 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
investment portfolio's low origination weighted-average LTV of 64.4% as of
December 31, 2021 reflects significant equity value that our sponsors are
motivated to protect through periods of cyclical disruption. While we believe
the principal amounts of our loans are generally adequately protected by
underlying collateral value, there is a risk that we will not realize the entire
principal value of certain investments.
Our Manager's portfolio monitoring and asset management operations benefit from
the deep knowledge, experience, and information advantages derived from its
position as part of Blackstone's real estate platform. Blackstone 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 the Blackstone platform deeply informs our credit and underwriting process,
and gives us the tools to expertly asset manage our portfolio and work with our
borrowers throughout periods of economic stress and uncertainty.
As discussed in Note 2 to our consolidated financial statements, our Manager
performs a quarterly review of our loan portfolio, assesses the performance of
each loan, and assigns it a risk rating between "1" and "5," from less risk to
greater risk. The weighted-average risk rating of our total loan exposure was
2.8 and 3.0 as of December 31, 2021 and December 31, 2020, respectively. The
decrease in risk rating reflects the ongoing recovery from COVID-19 and the
improvement of our portfolio's credit.
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The following table breaks down the principal balance and total loan exposure balances based on our internal risk ratings (in thousands of dollars):

                                                       December 31, 2021
          Risk                         Number                               Total Loan
          Rating                      of Loans       Net Book Value       Exposure(1)(2)
          1                               8         $       642,776      $       645,854
          2                              28                 5,200,533            5,515,250
          3                              141               13,604,027           14,944,045
          4                              10                 2,270,872            2,277,653
          5                               1                   284,809              286,309
          Loans receivable               188        $    22,003,017      $    23,669,111
          CECL reserve                                      (124,679)
          Loans receivable, net                     $    21,878,338




(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. See Note 2 to our consolidated financial statements for further
discussion. Total loan exposure encompasses the entire loan we originated and
financed, including $1.5 billion of such non-consolidated senior interests as of
December 31, 2021.
(2)Excludes investment exposure to the $379.3 million 2018 Single Asset
Securitization. Refer to Notes 4 and 17 to our consolidated financial statements
for details of the subordinate position we own in the 2018 Single Asset
Securitization.
Current Expected Credit Loss Reserve
The CECL reserve required by GAAP reflects our current estimate of potential
credit losses related to our loans and debt securities included in our
consolidated balance sheets. Other than a few narrow exceptions, GAAP requires
that all financial instruments subject to the CECL model have some amount of
loss reserve to reflect the GAAP principal underlying the CECL model that all
loans, debt securities, and similar assets have some inherent risk of loss,
regardless of credit quality, subordinate capital, or other mitigating factors.

During the year ended December 31, 2021, we recorded an aggregate $39.9 million
decrease in the CECL reserve related to loans receivable, debt securities, and
unfunded loan commitments, and $14.4 million of charge-offs, bringing our total
reserve to $131.0 million as of December 31, 2021. This CECL reserve reflects
the macroeconomic impact of the COVID-19 pandemic on commercial real estate
markets generally, as well as certain loans assessed for impairment in our
portfolio. The decrease in the CECL reserve during the year ended December 31,
2021 reflects the ongoing market recovery from COVID-19 and the resulting
improvement in the performance of the collateral assets underlying our
portfolio. See Notes 2 and 3 to our consolidated financial statements for
further discussion of our CECL reserve.
During 2020 and 2021, we entered into loan modifications related to a
multifamily asset in New York City, which are classified as troubled debt
restructurings under GAAP. During the three months ended June 30, 2020, we
recorded a $14.8 million CECL reserve on this loan. During the three months
ended December 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, we charged-off $14.4 million of the $14.8 million
asset-specific CECL reserve we recorded on this loan during the three months
ended June 30, 2020, and reversed the remaining $360,000 CECL reserve. We have
no remaining asset-specific CECL reserve against this loan as of December 31,
2021. The loan is paying interest income current and we resumed income accrual
for this loan as of December 31, 2021. See Note 2 to our consolidated financial
statements for further discussion on the CECL reserve.
During the third quarter of 2020, we entered into a loan modification related to
a hospitality asset in New York City, which is classified as a troubled debt
restructuring under GAAP. During the three months ended June 30, 2020, we
recorded $54.9 million CECL reserve on this loan, which was unchanged as of
December 31, 2021. As of July 1, 2020, the income accrual on this loan was
suspended and no income was recorded subsequent to July 1, 2020. This loan has
an outstanding principal balance of $286.3 million, net of cost-recovery
proceeds, as of December 31, 2021. The CECL reserve was recorded based on our
estimation of the fair value of the loan's underlying collateral as of
December 31, 2021.

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Multifamily Joint Venture
As of December 31, 2021, our Multifamily Joint Venture held $746.9 million of
loans, which are included in the loan disclosures above. Refer to Note 2 to our
consolidated financial statements for additional discussion of our Multifamily
Joint Venture.
Portfolio Financing
Our portfolio financing consists of secured debt, securitizations, and
asset-specific financings. The following table details our portfolio financing
($ in thousands):
                                             Portfolio Financing
                                        Outstanding Principal Balance
                                  December 31, 2021        December 31, 2020
Secured debt                   $     12,299,580           $        7,896,863
Securitizations(1)                           3,155,727               3,596,980
Asset-specific financings(2)                 1,913,374               1,201,495
Total portfolio financing      $     17,368,681           $       12,695,338




(1)Includes our consolidated securitized debt obligations of $2.9 billion and
our non-consolidated securitized debt obligations of $300.1 million. The
non-consolidated securitized debt obligation represents the senior
non-consolidated investment exposure to the 2018 Single Asset Securitization. We
own the related subordinate position, which is classified as a held-to-maturity
debt security on our balance sheet. Refer to Note 4 and Note 17 to our
consolidated financial statements for details of the 2018 Single Asset
Securitization.
(2)Includes our consolidated asset-specific debt of $400.7 million and our
non-consolidated senior interests of $1.5 billion. The non-consolidated senior
interests provide structural leverage for our net investments which are
reflected in the form of mezzanine loans or other subordinate interests on our
balance sheet and in our results of operations.
Secured Debt
The following table details our outstanding secured debt ($ in thousands):
                                                     Secured Debt
                                                Borrowings Outstanding
                                      December 31, 2021       December 31, 2020
         Secured credit facilities   $       12,299,580      $        7,896,863
         Acquisition facility                           -                       -

         Total secured debt          $       12,299,580      $        7,896,863


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Secured Credit Facilities
The following table details our secured credit facilities as of December 31,
2021 ($ in thousands):
                                        Year Ended
                                    December 31, 2021                                                                 December 31, 2021
                                                                  Total                  Wtd. Avg.                                               Wtd. Avg.                      Net Interest
Spread(1)                           New Financings(2)          Borrowings          All-in Cost(1)(3)(4)               Collateral(5)         All-in Yield(1)(6)                    Margin(7)
+ 1.50% or less                     $     5,306,925          $  7,746,026                       +1.52  %             $  10,193,801                     +3.18  %                         +1.66  %
+ 1.51% to + 1.75%                           1,477,177          2,710,587                       +1.88  %                 3,977,492                     +3.55  %                         +1.67  %
+ 1.76% to + 2.00%                             668,470            998,781                       +2.13  %                 1,458,074                     +4.28  %                         +2.15  %
+ 2.01% or more                                310,991            844,186                       +2.49  %                 1,413,014                     +4.75  %                         +2.26  %
Total                               $     7,763,563          $ 12,299,580                       +1.72  %             $  17,042,381                     +3.49  %                         +1.77  %





(1)The spread, all-in cost, and all-in yield are expressed over the relevant
floating benchmark rates, which include USD LIBOR, SOFR, GBP LIBOR, SONIA,
EURIBOR, and other indices as applicable.
(2)Represents borrowings outstanding as of December 31, 2021 for new financings
during the year ended December 31, 2021, based on the date collateral was
initially pledged to each credit facility.
(3)In addition to spread, the cost includes the associated deferred fees and
expenses related to the respective borrowings.
(4)Represents the weighted-average all-in cost as of December 31, 2021 and is
not necessarily indicative of the spread applicable to recent or future
borrowings.
(5)Represents the principal balance of the collateral assets.
(6)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, and purchase
discounts, as well as the accrual of exit fees.
(7)Represents the difference between the weighted-average all-in yield and
weighted-average all-in cost.
Acquisition Facility
We have a $250.0 million full recourse secured credit facility that is designed
to finance eligible first mortgage originations for up to nine months as a
bridge to term financing without obtaining discretionary lender approval. The
maturity date of the facility is April 4, 2023. As of December 31, 2021, we had
one asset pledged to our acquisition facility and there was an aggregate $147.5
million available to be drawn at our discretion.

Securitizations

The following table details our ongoing securitizations (in thousands of dollars):

Outstanding securitizations

                                                                          December 31, 2021           December 31,
                                                                                                          2020
Securitized debt obligations                                            $     2,855,625                    2,940,638
Non-consolidated securitized debt obligation(1)                                        300,102               656,342
Total securitizations                                                   $     3,155,727              $  3,596,980




(1)These non-consolidated securitized debt obligations represent the senior
non-consolidated investment exposure to the 2018 Single Asset Securitization. We
own the related subordinate position, which is classified as a held-to-maturity
debt security on our balance sheet. Refer to Note 6 and Note 17 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 ($ in thousands):
                                                                                           December 31, 2021
                                                                    Principal               Book                    Wtd. Avg.
Securitized Debt Obligations                      Count               Balance              Value                 Yield/Cost(1)(2)                  Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets                                  34             $ 1,000,000          $ 1,000,000                           + 3.42  %              October 2024
Financing provided                                  1                    803,750              797,373                        + 1.66  %                  May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets                                  18                  1,000,000            1,000,000                        + 3.06  %                  May 2024
Financing provided                                  1                    808,750              804,096                        + 2.10  %             November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets                                  21                  1,500,000            1,500,000                        + 3.15  %                March 2024
Financing provided                                  1                  1,243,125            1,236,593                        + 1.45  %             February 2038
Total
Collateral assets                                  73             $ 3,500,000          $ 3,500,000                           + 3.20  %
Financing provided(4)                               3             $ 2,855,625          $ 2,838,062                           + 1.69  %





(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, 2021, the
floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2
CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%. As of
December 31, 2021, the one-month SOFR was 0.05% and one-month USD LIBOR was
0.10%.
(3)Loan term represents weighted-average final maturity, assuming all extension
options are exercised by the borrower. Repayments of securitized debt
obligations are tied to timing of the related collateral loan asset repayments.
The term of these obligations represents the rated final distribution date of
the securitizations.
(4)During the three and twelve months ended December 31, 2021, we recorded $10.8
million and $46.0 million, respectively, of interest expense related to our
securitized debt obligations.
Refer to Note 6 and Note 17 to our consolidated financial statements for
additional details of our securitized debt obligations.









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Non-Consolidated Securitized Debt Obligation
In the third quarter of 2018, we contributed a senior loan to the 2018 Single
Asset Securitization, and invested in the related subordinate position. We do
not consolidate the 2018 Single Asset Securitization on our balance sheet. The
non-consolidated securitized debt obligation provides structural leverage for
our net investment which is reflected as a held-to-maturity debt security and is
included in other assets on our consolidated balance sheets. The following table
details our non-consolidated securitized debt obligations ($ in thousands):
                                                                                                December 31, 2021
Non-Consolidated Securitized Debt                                          Principal                                       Wtd. Avg.                 Wtd. Avg.
Obligation                                             Count                Balance             Book Value               Yield/Cost(1)                Term(2)
Collateral assets                                        1                $ 379,302                        n/a                    + 2.86  %             June 2025
Financing provided                                       1                $ 300,102                        n/a                    + 2.66  %             June 2035




(1)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, and purchase
discounts.
(2)Loan term represents weighted-average final maturity, assuming all extension
options are exercised by the borrower. Repayments of non-consolidated
securitized debt obligations are tied to timing of the related collateral loan
asset repayments. The term of these obligations represents the rated final
distribution date of the securitizations.
Asset-Specific Financings
The following table details our outstanding asset-specific financings ($ in
thousands):
                                                    Asset-Specific Financings
                                                  Outstanding Principal Balance
                                            December 31, 2021         December 31, 2020
 Asset-specific debt                    $        400,699             $          399,699
 Non-consolidated senior interests(1)                   1,512,675           

801 796

 Total asset-specific financings        $      1,913,374             $        1,201,495




(1)These non-consolidated senior interests provide structural leverage for our
net investments which are reflected in the form of mezzanine loans or other
subordinate interests on our balance sheet and in our results of operations.
Asset-Specific Debt
The following table details our asset-specific debt ($ in thousands):
                                                    December 31, 2021
                                      Principal                        Wtd. Avg.        Wtd. Avg.
Asset-Specific Debt       Count        Balance       Book Value      Yield/Cost(1)        Term(2)
Collateral assets           4        $ 446,276      $  435,727            + 4.04  %      March 2025
Financing provided          4        $ 400,699      $  393,824            + 2.78  %      March 2025





(1)These floating rate loans and related liabilities are indexed to the various
benchmark rates relevant in each arrangement in terms of currency and payment
frequency. Therefore the net exposure to each benchmark rate is in direct
proportion to our net assets indexed to that rate. In addition to cash coupon,
yield/cost includes the amortization of deferred origination fees / financing
costs.
(2)The weighted-average term is determined based on the maximum maturity of the
corresponding loans, assuming all extension options are exercised by the
borrower. Each of our asset-specific debt is term-matched to the corresponding
collateral loans.

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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.
The following table details the subordinate interests retained on our balance
sheet and the related non-consolidated senior interests ($ in thousands):
                                                                                            December 31, 2021
                                                                      Principal                Book                   Wtd. Avg.                   Wtd. Avg.
Non-Consolidated Senior Interests               Count                  Balance                Value                 Yield/Cost(1)                   Term
Total loan                                        7                       1,933,758                  n/a                     + 3.89  %                 June 2025
Senior participation                              7                       1,512,675                  n/a                     + 2.83  %                 June 2025




(1)The weighted-average spread and all-in yield are expressed as a spread over
the relevant floating benchmark rates, which include USD LIBOR and GBP LIBOR, as
applicable to each investment. As of December 31, 2021, 83% of these loans'
total investment exposure earned a floating rate of interest indexed to USD
LIBOR or SOFR. The other 17% of our investments earned a fixed rate of interest,
which we reflect as a spread over GBP LIBOR, as of December 31, 2021, for
purposes of the weighted-averages. In addition to spread, 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.
Corporate Financing
The following table details our outstanding corporate financing ($ in
thousands):
                                                  Corporate Financing
                                             Outstanding Principal Balance
                                       December 31, 2021         December 31, 2020
       Term loans                  $      1,349,271             $        1,062,766
       Senior secured notes                          400,000                       -
       Convertible notes                             622,500                 622,500
       Total corporate financing   $      2,371,771             $       

1,685,266

Term Loans To December 31, 2021the following senior term loan facilities, or term loans, were outstanding (in thousands of dollars):

Term loans Nominal value Interest rate(1) Overall cost(1)(2) Maturity

    B-1 Term Loan      $  929,878               + 2.25  %              + 

2.53% April 23, 2026

    B-2 Term Loan      $  419,393               + 2.75  %              + 3.42  %       April 23, 2026




(1)The B-2 Term Loan borrowing is subject to a LIBOR floor of 0.50%.
(2)Includes issue discount and transaction expenses that are amortized through
interest expense over the life of the Term Loans.
Refer to Note 2 and Note 8 to our consolidated financial statements for
additional discussion of our Term Loans.
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Senior Secured Notes
As of December 31, 2021, 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 issue discount and transaction expenses that are amortized through
interest expense over the life of the Notes.
Refer to Note 2 and Note 9 to our consolidated financial statements for
additional discussion of our Senior Secured Notes.
Convertible Notes
As of December 31, 2021 the following convertible senior notes, or Convertible
Notes, were outstanding ($ in thousands):
Convertible Notes Issuance                  Face Value              Interest Rate             All-in Cost(1)           Conversion Rate(2)              Maturity
May 2017                                   $  402,500                          4.38  %                 4.85  %                      28.0324           May 5, 2022
March 2018                                 $  220,000                          4.75  %                 5.33  %                      27.6052         March 15, 2023




(1)Includes issuance costs that are amortized through interest expense over the
life of the Convertible Notes using the effective interest method.
(2)Represents the number of shares of class A common stock issuable per $1,000
principal amount of Convertible Notes, which is equivalent to a conversion price
of $35.67 and $36.23 per share of class A common stock, respectively, for the
May 2017 and March 2018 convertible notes. The cumulative dividend threshold as
defined in the respective May 2017 and March 2018 convertible notes supplemental
indentures have not been exceeded as of December 31, 2021.
Refer to Note 2 and Note 10 to our consolidated financial statements for
additional discussion of our Convertible Notes.
Floating Rate Portfolio
Generally, our business model is such that rising interest rates will increase
our net income, while declining interest rates will decrease net income. As of
December 31, 2021, 98% of our investments by total investment exposure earned a
floating rate of interest and were financed with liabilities that pay interest
at floating rates, which resulted in an amount of net equity that is positively
correlated to rising interest rates, subject to the impact of interest rate
floors on certain of our floating rate investments. As of December 31, 2021, the
remaining 2% of our investments by total investment exposure earned a fixed rate
of interest, but are financed with liabilities that pay interest at floating
rates, which resulted in a negative correlation to rising interest rates to the
extent of our financing. In certain instances where we have financed fixed rate
assets with floating rate liabilities, we have purchased interest rate caps to
limit our exposure to increases in interest rates on such liabilities.
Our liabilities are generally currency and index-matched to each collateral
asset, resulting in a net exposure to movements in benchmark rates that varies
by currency silo based on the relative proportion of floating rate assets and
liabilities.
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The following table details the net exposure of our investment portfolio to interest rates by currency at December 31, 2021 (amounts in thousands):

                                                            USD                  EUR                  GBP              All Other(7)
Floating rate loans(1)(2)(3)                          $ 17,048,180          

€2,768,909 £1,723,235 $1,137,905
Variable rate debt(1)(2)(3)(4)(5)

                      (13,486,462)          (2,052,351)          (1,288,441)             (888,118)
Net floating rate exposure                            $  3,561,718          

€716,558 £434,794 $249,787
Net floating rate exposure in USD(6)

                  $  3,561,718          $   814,726          $   588,363          $    249,787





(1)Our floating rate investments and related liabilities are indexed to the
various benchmark rates relevant in each case in terms of currency and payment
frequency. Therefore the net exposure to each benchmark rate is in direct
proportion to our net assets indexed to that rate.
(2)Includes investment exposure and related financing of the 2018 Single Asset
Securitization. Refer to Note 4 and Note 17 to our consolidated financial
statements for details of the subordinate position we own in the 2018 Single
Asset Securitization.
(3)As of December 31, 2021, £874.8 million and £848.4 million of floating rate
loans were indexed to SONIA and GBP LIBOR, respectively. As of December 31,
2021, £856.6 million and £431.8 million of floating rate debt was indexed to
SONIA and GBP LIBOR, respectively. As of December 31, 2021, SONIA was 0.19%. and
three-month GBP LIBOR was 0.26%.
(4)Includes borrowings under secured debt, securitizations, asset-specific
financings, and term loans.
(5)As of December 31, 2021, $15.6 billion and $1.5 billion of floating rate debt
was indexed to USD LIBOR and SOFR, respectively. As of December 31, 2021, the
floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2
CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%. As of
December 31, 2021, one-month SOFR was 0.05% and one-month USD LIBOR was 0.10%.
(6)Represents the U.S. Dollar equivalent as of December 31, 2021.
(7)Includes Swedish Krona, Australian Dollar, Canadian Dollar, and Swiss Franc
currencies.
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III. Our Results of Operations
Operating Results
The following table sets forth information regarding our consolidated results of
operations for the years ended December 31, 2021, 2020, and 2019 ($ in
thousands, except per share data):
                                              Year Ended                                                   Year Ended
                                             December 31,                   2021 vs 2020                  December 31,                   2020 vs 2019
                                        2021               2020                  $                   2020               2019                  $
Income from loans and other
investments
Interest and related income         $ 854,690          $ 779,648          $ 

75,042 $779,648 $882,679 ($103,031)
Less: Interest and related expenses 340,223

            347,471                (7,248)            347,471            458,503              (111,032)
Income from loans and other              514,467            432,177                 82,290            432,177            424,176                  8,001
investments, net
Other expenses
Management and incentive fees             88,467             77,916                 10,551             77,916             78,435                  (519)
General and administrative expenses       43,168             45,871                (2,703)             45,871             38,854                  7,017
Total other expenses                     131,635            123,787                  7,848            123,787            117,289                  6,498
Decrease (increase) in current            39,864          (167,653)                207,517          (167,653)                  -              (167,653)
expected credit loss reserve
Income before income taxes               422,696            140,737                281,959            140,737            306,887              (166,150)
Income tax provision (benefit)               423                323                    100                323              (506)                    829
Net income                               422,273            140,414                281,859            140,414            307,393              (166,979)
Net income attributable to               (3,080)            (2,744)                  (336)            (2,744)            (1,826)                  (918)
non-controlling interests
Net income attributable to          $ 419,193          $ 137,670          $ 

281,523 $137,670 $305,567 ($167,897)
Blackstone Mortgage Trust, Inc.
Net earnings per share – basic and $2.77 $0.97 $

1.80 $0.97 $2.35 $(1.38)
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 $82.3 million during the
year ended December 31, 2021 compared to the year ended December 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 ended December 31, 2021, as compared to the year ended
December 31, 2020, and (iii) the impact of declining LIBOR and other floating
rate indices, which had a larger impact on interest expense than interest income
as a result of 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 ended December 31, 2021, as
compared to the year ended December 31, 2020.
Income from loans and other investments, net increased $8.0 million during the
year ended December 31, 2020 compared to the year ended December 31, 2019. The
increase was primarily due to (i) $13.7 billion of our loans earning interest
based on floors that were above the applicable floating rate index, as of
December 31, 2020, and (ii) an increase in the weighted-average principal
balance of our loan portfolio by $1.7 billion during the year ended December 31,
2020, as compared to the year ended December 31, 2019. This was offset by (i) a
decrease in weighted-average LIBOR and other floating rate indices in 2020, (ii)
an increase in the weighted-average principal balance of our outstanding
financing arrangements by $1.6 billion during year ended December 31, 2020, as
compared to the year ended December 31, 2019, (iii) a decrease in prepayment fee
income, and (iv) a decline in interest income related to two loans that are
accounted for under the cost-recovery method effective June 30, 2020.
Other expenses
Other expenses include management and incentive fees payable to our Manager and
general and administrative expenses. Other expenses increased by $7.8 million
during the year ended December 31, 2021 compared to the year ended
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December 31, 2020 due to (i) an increase of $6.8 million of incentive fees
payable to our Manager, primarily due to an increase in Distributable Earnings,
and (ii) an increase of $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.
Other expenses increased by $6.5 million during the year ended December 31, 2020
compared to the year ended December 31, 2019 due to (i) an increase of $5.1
million of management fees payable to our Manager, primarily as a result of net
proceeds received from the sale of shares of our class A common stock during
2019 and 2020, (ii) $3.9 million of additional non-cash restricted stock
amortization related to shares awarded under our long-term incentive plans, and
(iii) an increase of $3.1 million of other general operating expenses. This was
offset by a decrease of $5.7 million of incentive fees payable to our Manager.
Changes in current expected credit loss reserve
We adopted ASU 2016-13, which implemented the CECL accounting model, on January
1, 2020. During year ended December 31, 2021, we recorded a $39.9 million
decrease in the CECL reserve, as compared to a $167.7 million increase during
the year ended December 31, 2020. This CECL reserve reflects the macroeconomic
impact of the COVID-19 pandemic on commercial real estate markets generally, as
well as certain loans assessed for impairment in our portfolio. See Notes 2 and
3 to our consolidated financial statements for further discussion of our CECL
reserve.
Net income attributable to non-controlling interests
During the years ended December 31, 2021, 2020, and 2019, we recorded $3.1
million, $2.7 million, and $1.8 million, respectively, of net income
attributable to non-controlling interests related to our Multifamily Joint
Venture.
Dividends per share
During the year ended December 31, 2021, we declared aggregate dividends of
$2.48 per share, or $383.9 million. During 2020, we declared aggregate dividends
of $2.48 per share, or $356.2 million. During 2019, we declared aggregate
dividends of $2.48 per share, or $328.1 million.

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The following table sets forth information regarding our consolidated results of
operations for the three months ended December 31, 2021 and September 30, 2021
($ in thousands, except per share data):
                                                             Three Months           Three Months
                                                            Ended December        Ended September
                                                                 31,                    30,                 Change
                                                                 2021                   2021                   $
Income from loans and other investments
Interest and related income                                $     270,749          $     200,114          $   70,635
Less: Interest and related expenses                                  96,809                 82,690              14,119
Income from loans and other investments, net                        173,940                117,424              56,516
Other expenses
Management and incentive fees                                        28,373                 19,342               9,031
General and administrative expenses                                  11,060                 10,841                 219
Total other expenses                                                 39,433                 30,183               9,250
Decrease (increase) in current expected credit loss                 (9,568)                (2,767)             (6,801)
reserve
Income before income taxes                                          124,939                 84,474              40,465
Income tax provision                                                     77                     70                   7
Net income                                                          124,862                 84,404              40,458
Net income attributable to non-controlling interests                  (922)                  (647)               (275)

Net income attributable to Blackstone Mortgage Trust, Inc. $123,940

       $      83,757          $   40,183
Net income per share - basic and diluted                   $        0.76          $        0.56          $     0.20
Dividends declared per share                               $        0.62    

$0.62 $-


Income from loans and other investments, net
Income from loans and other investments, net increased $56.5 million during the
three months ended December 31, 2021 compared to the three months ended
September 30, 2021. The increase was primarily due to (i) an increase in
prepayment fee income and (ii) an increase in the weighted-average principal
balance of our loan portfolio by $2.8 billion for the three months ended
December 31, 2021, as compared to the three months ended September 30, 2021.
This was offset by an increase in the weighted-average principal balance of our
outstanding financing arrangements by $2.7 billion for the three months ended
December 31, 2021, as compared to the three months ended September 30, 2021.
Other expenses
Other expenses include management and incentive fees payable to our Manager and
general and administrative expenses. Other expenses increased by $9.3 million
during the three months ended December 31, 2021 compared to the three months
ended September 30, 2021 primarily due to (i) an increase of $7.6 million of
incentive fees payable to our Manager, primarily due to an increase in
Distributable Earnings, (ii) an increase of $1.5 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 the three months ended
December 31, 2021, and (iii) an increase of $847,000 of general operating
expense. This was offset by a decrease of $618,000 of non-cash restricted stock
amortization related to the timing of shares issued under our long-term
incentive plans.
Changes in current expected credit loss reserve
During the three months ended December 31, 2021, we recorded a $9.6 million
increase in the CECL reserve, as compared to a $2.8 million increase during the
three months ended September 30, 2021. Our CECL reserve reflects the
macroeconomic impact of the COVID-19 pandemic on commercial real estate markets
generally, as well as certain loans assessed for impairment in our portfolio.


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Net income attributable to non-controlling interests
During the three months ended December 31, 2021 and September 30, 2021, we
recorded $922,000 and $647,000, respectively, of net income attributable to
non-controlling interests related to our Multifamily Joint Venture.
Dividends per share
During the three months ended December 31, 2021, we declared aggregate dividends
of $0.62 per share, or $104.3 million. During the three months ended
September 30, 2021, we declared aggregate dividends of $0.62 per share, or $97.3
million.
IV. Liquidity and Capital Resources
Capitalization
We have capitalized our business to date primarily through the issuance and sale
of shares of our class A common stock, corporate debt, and asset-level
financing. As of December 31, 2021, our capitalization structure included $4.6
billion of common equity, $2.4 billion of corporate debt, and $17.4 billion of
asset-level financing. Our $2.4 billion of corporate debt includes $1.3 billion
of term loan borrowings, $400.0 million of senior secured notes, and $622.5
million of convertible notes, of which $402.5 million matures in 2022. Our $17.4
billion of asset-level financing includes $12.3 billion of secured debt, $3.2
billion of securitizations, and $1.9 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 December 31, 2021, we have $1.3 billion of liquidity that can be used to
satisfy our short-term cash requirements and as working capital for our
business.
See Notes 5, 6, 7, 8, 9, and 10 to our consolidated financial statements for
additional details regarding our secured debt, securitized debt obligations,
asset-specific debt, 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, 2021       December 31, 2020
Debt-to-equity ratio(1)           3.2x                    2.5x
Total leverage ratio(2)           4.2x                    3.6x




(1)Represents (i) total outstanding secured debt, asset-specific debt, term
loans, senior secured notes, and convertible notes, less cash, to (ii) total
equity, in each case at period end.
(2)Represents (i) total outstanding secured debt, securitizations,
asset-specific financings, term loans, senior secured notes, and convertible
notes, less cash, to (ii) total equity, in each case at period end.
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,
                                                                        2021                  2020
Cash and cash equivalents                                          $    551,154          $    289,970
Available borrowings under secured debt                                    754,900               829,165
Loan principal payments held by servicer, net(1)                            17,528                19,460
                                                                   $  1,323,582          $  1,138,595




(1)Represents loan principal payments held by our third-party servicer as of the
balance sheet date which were remitted to us during the subsequent remittance
cycle, net of the related secured debt balance.
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During the year ended December 31, 2021, we generated cash flow from operating
activities of $382.5 million and received $6.7 billion of loan repayments, $4.7
billion of net proceeds from secured debt borrowings, $638.0 million of net
proceeds from the issuance of shares of class A common stock, $400.0 million
from the issuance of senior secured notes, and $298.5 million of net proceeds
from borrowings under term loans. Furthermore, we are able to generate
incremental liquidity through the replenishment provisions of our 2021 FL4, 2020
FL3, and 2020 FL2 CLOs, which allow us to replace a repaid loan in the CLO by
increasing the principal amount of existing CLO collateral assets to maintain
the aggregate amount of collateral assets in the CLO, and the related financing
outstanding.
We have access to liquidity through public offerings of debt and equity
securities. To facilitate such offerings, in July 2019, we filed a shelf
registration statement with the SEC that is effective for a term of three years
and expires at the end of July 2022. The amount of securities to be issued
pursuant to this shelf registration statement was not specified when it was
filed and there is no specific dollar limit on the amount of securities we may
issue. The securities covered by this registration statement include: (i) class
A common stock; (ii) preferred stock; (iii) debt securities; (iv) depositary
shares representing preferred stock; (v) warrants; (vi) subscription rights;
(vii) purchase contracts; and (viii) units consisting of one or more of such
securities or any combination of these securities. The specifics of any future
offerings, along with the use of proceeds of any securities offered, will be
described in detail in a prospectus supplement, or other offering materials, at
the time of any offering.
We may also access liquidity through a dividend reinvestment plan and direct
stock purchase plan, under which 9,989,790 shares of class A common stock were
available for issuance as of December 31, 2021, and our at-the-market stock
offering program, pursuant to which we may sell, from time to time, up to $353.8
million of additional shares of our class A common stock as of December 31,
2021. Refer to Note 11 to our consolidated financial statements for additional
details.
Liquidity Needs
In addition to our loan origination activity and general operating expenses, our
primary liquidity needs include interest and principal payments under our $12.3
billion of outstanding borrowings under secured debt, our asset-specific debt,
our Term Loans, our Senior Secured Notes, and our Convertible Notes.
As of December 31, 2021, we had unfunded commitments of $4.2 billion related to
118 loans receivable and $2.5 billion of committed or identified financing for
those commitments resulting in net unfunded commitments of $1.7 billion. The
unfunded loan commitments comprise funding for capital expenditures and
construction, leasing costs, and interest and carry costs, and their fundability
will vary 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 3.6 years.









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Contractual obligations and commitments Our contractual obligations and commitments as December 31, 2021 were as follows (in thousands of dollars):

                                                                                              Payment Timing
                                               Total             Less Than             1 to 3               3 to 5             More Than
                                            Obligation           1 Year(1)             Years                Years               5 Years
Unfunded loan commitments(2)              $  4,180,128          $ 181,560   

$1,611,957 $1,395,295 $991,316
Principal repayments under guarantees

             12,299,580             64,564            5,378,851            5,986,465              869,700

debt(3)

Principal repayments under asset-specific         400,699                  -               78,659              322,039                    -

debt(3)

Principal repayments of term loans(4)           1,349,271             13,738               27,477            1,308,056                    -
Principal repayments of senior secured            400,000                  -                    -                    -              400,000

Remarks

Principal repayments of convertible               622,500            402,500              220,000                    -                    -

notes(5)

Interest payments(3)(6)                         1,035,532            305,220              468,574              247,088               14,650
Total(7)                                  $ 20,287,710          $ 967,582          $ 7,785,518          $ 9,258,943          $ 2,275,666




(1)Represents our known, estimated short-term cash requirements related to our
contractual obligations and commitments. Refer to the sources of liquidity
section above for our sources of funds to satisfy our short-term cash
requirements.
(2)The allocation of our unfunded loan commitments is based on the earlier of
the commitment expiration date or the final loan maturity date, however we may
be obligated to fund these commitments earlier than such date.
(3)The allocation of repayments under our secured debt and asset-specific debt
for both principal and interest payments is based on the earlier of (i) the
maturity date of each agreement, or (ii) the maximum maturity date of the
collateral loans, assuming all extension options are exercised by the borrower.
(4)The Term Loans are partially amortizing, with an amount equal to 1.0% per
annum of the initial principal balance due in quarterly installments. Refer to
Note 8 for further details on our term loans.
(5)Reflects the outstanding principal balance of convertible notes, excluding
any potential conversion premium. Refer to Note 10 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, and convertible notes. Future interest payment obligations are estimated
assuming the interest rates in effect as of December 31, 2021 will remain
constant into the future. This is only an estimate as actual amounts borrowed
and interest rates will vary over time.
(7)Total does not include $2.9 billion of consolidated securitized debt
obligations, $1.5 billion of non-consolidated senior interests, and $300.1
million of non-consolidated securitized debt obligations, as the satisfaction of
these liabilities will not require cash outlays from us.
We are also required to settle our foreign exchange derivatives with our
derivative counterparties upon maturity which, depending on exchange rate
movements, may result in cash received from or due to the respective
counterparty. The table above does not include these amounts as they are not
fixed and determinable. Refer to Note 11 to our consolidated financial
statements for details regarding our derivative contracts.
We are required to pay our Manager a base management fee, an incentive fee, and
reimbursements for certain expenses pursuant to our Management Agreement. The
table above does not include the amounts payable to our Manager under our
Management Agreement as they are not fixed and determinable. Refer to Note 13 to
our consolidated financial statements for additional terms and details of the
fees payable under our Management Agreement.
As a REIT, we generally must distribute substantially all of our net taxable
income to stockholders in the form of dividends to comply with the REIT
provisions of the Internal Revenue Code. Our taxable income does not necessarily
equal our net income as calculated in accordance with GAAP, or our Distributable
Earnings as described above.
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Cash Flows
The following table provides a breakdown of the net change in our cash and cash
equivalents ($ in thousands):
                                                                     For 

the years have ended the 31st of December,

                                                              2021                   2020                 2019
Cash flows provided by operating activities            $    382,483              $  336,607          $    304,037
Cash flows used in investing activities                        (5,627,461)            (88,251)           (1,871,148)
Cash flows provided by (used in) financing activities            5,508,224           (110,769)             1,612,552
Net increase in cash and cash equivalents              $    263,246         

$137,587 $45,441


We experienced a net increase in cash and cash equivalents of $263.2 million for
the year ended December 31, 2021, compared to a net increase of $137.6 million
for the year ended December 31, 2020. During 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.
We experienced a net increase in cash and cash equivalents of $137.6 million for
the year ended December 31, 2020, compared to a net increase of $45.4 million
for the year ended December 31, 2019. During 2020, we received (i) $2.1 billion
of proceeds from the issuance of collateralized loan obligations, (ii) $1.9
billion from loan principal collections and sales proceeds, (iii) $315.4 million
of net proceeds from secured term loan borrowings, and (iv) $278.3 million in
net proceeds from the issuance of shares of class A common stock. We used the
proceeds from these activities to (i) repay a net $2.1 billion under our secured
debt agreements and (ii) fund $1.9 billion of new loans.
Refer to Note 3 to our consolidated financial statements for further discussion
of our loan activity. Refer to Notes 5, 8, and 12 to our consolidated financial
statements for additional discussion of our secured debt, term loans, and
equity.
V. Other Items
Income Taxes
We have elected to be taxed as a REIT under the Internal Revenue Code for U.S.
federal income tax purposes. We generally must distribute annually at least 90%
of our net taxable income, subject to certain adjustments and excluding any net
capital gain, in order for U.S. federal income tax not to apply to our earnings
that we distribute. To the extent that we satisfy this distribution requirement,
but distribute less than 100% of our net taxable income, we will be subject to
U.S. federal income tax on our undistributed taxable income. In addition, we
will be subject to a 4% nondeductible excise tax if the actual amount that we
pay out to our stockholders in a calendar year is less than a minimum amount
specified under U.S. federal tax laws.
Our qualification as a REIT also depends on our ability to meet various other
requirements imposed by the Internal Revenue Code, which relate to
organizational structure, diversity of stock ownership, and certain restrictions
with regard to the nature of our assets and the sources of our income. Even if
we qualify as a REIT, we may be subject to certain U.S. federal income and
excise taxes and state and local taxes on our income and assets. If we fail to
maintain our qualification as a REIT for any taxable year, we may be subject to
material penalties as well as federal, state and local income tax on our taxable
income at regular corporate rates and we would not be able to qualify as a REIT
for the subsequent four full taxable years. As of December 31, 2021 and 2020, we
were in compliance with all REIT requirements.
Furthermore, our taxable REIT subsidiaries, or TRSs, are subject to federal,
state, and local income tax on their net taxable income. Refer to Note 14 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. 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
2021, 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:
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Current Expected Credit Losses
The current expected credit loss, or CECL, reserve required under Accounting
Standard Update, or ASU, 2016-13 "Financial Instruments - Credit Losses -
Measurement of Credit Losses on Financial Instruments (Topic 326)," or ASU
2016-13, reflects our current estimate of potential credit losses related to our
loans and debt securities included in our consolidated balance sheets. We
estimate our CECL reserve primarily using the Weighted Average Remaining
Maturity, or WARM method, which has been identified as an acceptable loss-rate
method for estimating CECL reserves in the Financial Accounting Standards Board
Staff Q&A Topic 326, No. 1. Estimating the CECL reserve requires judgment,
including the following assumptions:

•Historical loan loss reference data: To estimate the historic loan losses
relevant to our portfolio, we have augmented our historical loan performance
with market loan loss data licensed from Trepp LLC. This database includes
commercial mortgage-backed securities, or CMBS, issued since January 1, 1999
through November 30, 2021. Within this database, we focused our historical loss
reference calculations on the most relevant subset of available CMBS data, which
we determined based on loan metrics that are most comparable to our loan
portfolio including asset type, geography, and origination loan-to-value, or
LTV. We believe this CMBS data, which includes month-over-month loan and
property performance, is the most relevant, available, and comparable dataset to
our portfolio.

•Expected timing and amount of future loan fundings and repayments: Expected
credit losses are estimated over the contractual term of each loan, adjusted for
expected prepayments. As part of our quarterly review of our loan portfolio, we
assess the expected repayment date of each loan, which is used to determine the
contractual term for purposes of computing our CECL reserve. Additionally, the
expected credit losses over the contractual period of our loans are subject to
the obligation to extend credit through our unfunded loan commitments. The CECL
reserve for unfunded loan commitments is adjusted quarterly, as we consider the
expected timing of future funding obligations over the estimated life of the
loan. The considerations in estimating our CECL reserve for unfunded loan
commitments are similar to those used for the related outstanding loan
receivables.

•Current credit quality of our portfolio: Our risk rating is our primary credit
quality indicator in assessing our current expected credit loss reserve. Our
Manager performs a quarterly risk review of our portfolio of loans, and assigns
each loan a risk rating based on a variety of factors, including, without
limitation, LTV, debt yield, property type, geographic and local market
dynamics, physical condition, cash flow volatility, leasing and tenant profile,
loan structure and exit plan, and project sponsorship.

•Expectations of performance and market conditions: Our CECL reserve is adjusted
to reflect our estimation of the current and future economic conditions that
impact the performance of the commercial real estate assets securing our loans.
These estimations include unemployment rates, interest rates, and other
macroeconomic factors impacting the likelihood and magnitude of potential credit
losses for our loans during their anticipated term. In addition to the CMBS data
we have licensed from Trepp LLC, we have also licensed certain macroeconomic
financial forecasts to inform our view of the potential future impact that
broader economic conditions may have on our loan portfolio's performance. These
estimations require significant judgments about future events that, while based
on the information available to us as of the balance sheet date, are ultimately
indeterminate and the actual economic condition impacting our portfolio could
vary significantly from the estimates we made as of December 31, 2021.

•Impairment: impairment is indicated when it is deemed probable that we will not
be able to collect all amounts due to us pursuant to the contractual terms of
the loan. Determining that a loan is impaired requires significant judgment from
management and is based on several factors including (i) the underlying
collateral performance, (ii) discussions with the borrower, (iii) borrower
events of default, and (iv) other facts that impact the borrower's ability to
pay the contractual amounts due under the terms of the loan. If a loan is
determined to be impaired, we record the impairment as a component of our CECL
reserve by applying the practical expedient for collateral dependent loans. The
CECL reserve is assessed on an individual basis for these loans by comparing the
estimated fair value of the underlying collateral, less costs to sell, to the
book value of the respective loan. These valuations require significant
judgments, which include assumptions regarding capitalization rates, discount
rates, leasing, creditworthiness of major tenants, occupancy rates, availability
and cost of financing, exit plan, loan sponsorship, actions of other lenders,
and other factors deemed relevant by our Manager. 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 ended December 31, 2021, we recorded an aggregate $39.9 million
decrease in the CECL reserve related to loans receivable, debt securities, and
unfunded loan commitments, and $14.4 million of charge-offs, bringing our total
reserve to $131.0 million as of December 31, 2021. The decrease in the CECL
reserve during the year ended December 31,
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2021 reflects the ongoing market recovery from COVID-19 and the improvement in
the performance of the collateral assets underlying our portfolio. This CECL
reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial
real estate markets generally, as well as certain loans assessed for impairment
in our portfolio. 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 the opinion of our Manager, 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, 2021 ($ 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     $     1,192          $     1,160          $  1,156           +2.54      %            +2.96      %                 12/23/2024     Dublin - IE                    Office                              $422 / sqft                     74  %           2
      2        Senior Loan                   3/22/2018                822                  822               821        +3.25      %            +3.42      %                  3/15/2023     Diversified - Spain            Mixed-Use                                 n / a                     71  %           4
      3       Senior Loan(4)                 12/9/2021                770                  667               382        +2.65      %            +2.82      %                  12/9/2026     New York                       Mixed-Use                           $220 / sqft                     50  %           2
      4        Senior Loan                   3/30/2021                551                  551               546        +3.20      %            +3.41      %                  5/15/2026     Diversified - SE               Industrial                          $101 / sqft                     76  %           2
      5       Senior Loan(4)                  8/7/2019                746                  497                99        +3.12      %            +3.60      %                   9/9/2025     Los Angeles                    Office                              $338 / sqft                     59  %           3
      6       Senior Loan(4)                12/17/2021                448                  440               283        +3.95      %            +4.33      %                   1/9/2026     Diversified - US               Other                            $13,716 / unit                     61  %           3
      7        Senior Loan                   8/22/2018                363                  363               362        +3.15      %            +3.28      %                   8/9/2023     Maui                           Hospitality                     $471,391 / unit                     61  %           2
      8        Senior Loan                    4/9/2018              1,487                  358               346        +6.13      %            +6.43      %                   6/9/2025     New York                       Office                              $525 / sqft                     48  %           2
      9        Senior Loan                   9/23/2019                398                  346               343        +3.00      %            +3.22      %                 11/15/2024     Diversified - Spain            Hospitality                     $188,896 / unit                     62  %           4
     10        Senior Loan                   4/11/2018                355                  345               344        +2.85      %            +3.10      %                   5/1/2023     New York                       Office                              $437 / sqft                     71  %           3
     11        Senior Loan                  10/25/2021                327                  327               323        +4.30      %            +4.62      %                 10/25/2024     Diversified - AU               Hospitality                     $161,082 / unit                     56  %           3
     12       Senior Loan(4)                  8/6/2015                325                  325                59              5.74 %                  5.85 %                 10/29/2022     Diversified - EUR              Other                                     n / a                     71  %           3
     13        Senior Loan                   1/11/2019                325                  325               323        +4.35      %            +4.70      %                  1/11/2026     Diversified - UK               Other                               $321 / sqft                     74  %           4
     14        Senior Loan                   2/27/2020                303                  299               298        +2.70      %            +3.04      %                   3/9/2025     New York                       Mixed-Use                           $938 / sqft                     59  %           2
     15        Senior Loan                  11/30/2018                286                  286               285            n/m(7) %                n/m(7) %                   8/9/2025     New York                       Hospitality                     $306,870 / unit                     73  %           5
     16       Senior Loan(4)                11/22/2019                470                  279                55        +3.70      %            +4.17      %                  12/9/2025     Los Angeles                    Office                              $279 / sqft                     69  %           3
     17        Senior Loan                  10/23/2018                290                  275               275        +2.80      %            +3.04      %                  11/9/2024     Atlanta                        Office                              $256 / sqft                     64  %           2
     18        Senior Loan                  12/11/2018                310                  273               272        +2.55      %            +2.77      %                  12/9/2023     Chicago                        Office                              $229 / sqft                     78  %           3
     19        Senior Loan                   7/23/2021                500                  271               266        +4.00      %            +4.42      %                   8/9/2027     New York                       Multi                           $364,197 / unit                     58  %           3
     20        Senior Loan                   7/15/2021                327                  270               266        +4.25      %            +4.73      %                  7/15/2026     Diversified - EUR              Hospitality                     $206,234 / unit                     53  %           3
     21        Senior Loan                   9/30/2021                280                  265               263        +2.50      %            +2.77      %                  9/30/2026     Dallas                         Multi                           $139,884 / unit                     74  %           3
     22        Senior Loan                   4/26/2021                264                  264               262        +2.45      %            +2.63      %                   5/9/2026     Diversified - US               Multi                           $156,393 / unit                     75  %           3
     23        Senior Loan                   9/29/2021                312                  255               253        +2.70      %            +2.92      %                  10/9/2026     Washington DC                  Office                              $332 / sqft                     66  %           3
     24        Senior Loan                   9/14/2021                259                  252               250        +2.50      %            +2.76      %                  9/14/2026     Dallas                         Multi                           $203,644 / unit                     72  %           3
     25        Senior Loan                  11/30/2018                264                  251               250        +2.80      %            +3.03      %                  12/9/2024     San Francisco                  Hospitality                     $368,495 / unit                     73  %           4
     26        Senior Loan                   7/16/2021                247                  230               227        +3.50      %            +3.81      %                  2/15/2026     London - UK                    Multi                           $260,473 / unit                     72  %           3
     27       Senior Loan(4)                 3/23/2020                307                  223                44        +3.75      %            +4.47      %                   1/9/2025     Nashville                      Mixed-Use                           $262 / sqft                     78  %           3
     28        Senior Loan                   7/20/2017                250                  223               222        +3.70      %            +4.16      %                   8/9/2023     San Francisco                  Office                              $369 / sqft                     58  %           2
     29        Senior Loan                   9/16/2021                247                  212               210        +3.80      %            +4.49      %                   4/9/2024     San Francisco                  Office                              $267 / sqft                     53  %           3
     30        Senior Loan                   4/23/2021                219                  209               209        +3.65      %            +3.77      %                   5/8/2024     Washington DC                  Office                              $234 / sqft                     57  %           3


                                                                      continued…



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                                       Origination            Total             Principal           Net Book           Cash                    All-in                     Maximum                                                                       Loan Per                   Origination             Risk
                Loan Type(1)             Date(2)           Loan(3)(4)          Balance(4)            Value           Coupon(5)                Yield(5)                  Maturity(6)               Location                 Property Type            SQFT / Unit / Key                LTV(2)               Rating
     31        Senior Loan                  6/27/2019     $      218          $      204          $     203           +2.80      %            +3.16      %                  8/15/2026     Berlin - DEU                   Office                              $214 / sqft                     62  %           3
     32        Senior Loan                  8/31/2017               203                 202                202        +2.50      %            +2.85      %                   9/9/2023     Orange County                  Office                              $235 / sqft                     64  %           3
     33        Senior Loan                  11/5/2019               210                 200                199        +3.85      %            +4.45      %                  2/21/2025     Diversified - IT               Office                              $394 / sqft                     66  %           3
     34        Senior Loan                  9/25/2019               199                 199                198        +4.35      %            +4.93      %                  9/26/2023     London - UK                    Office                              $908 / sqft                     72  %           3
     35        Senior Loan                 11/23/2018               198                 198                197        +2.62      %            +2.87      %                  2/15/2024     Diversified - UK               Office                              $589 / sqft                     50  %           3
     36        Senior Loan                  9/30/2021               195                 195                193        +3.75      %            +4.10      %                  10/9/2026     Boca Raton                     Multi                           $532,787 / unit                     77  %           3
     37        Senior Loan                 12/22/2016               205                 192                192        +2.90      %            +3.13      %                  12/9/2022     New York                       Office                              $270 / sqft                     64  %           3
     38        Senior Loan                   6/4/2018               188                 188                188        +3.50      %            +3.76      %                   6/9/2024     New York                       Hospitality                     $309,308 / unit                     52  %           4
     39        Senior Loan                 12/21/2017               198                 182                182        +2.65      %            +2.87      %                   1/9/2023     Atlanta                        Office                              $136 / sqft                     51  %           1
     40        Senior Loan                  6/28/2019               222                 182                180        +3.70      %            +4.35      %                  6/27/2024     London - UK                    Office                              $596 / sqft                     71  %           3
     41        Senior Loan                  10/1/2019               248                 175                173        +3.75      %            +4.25      %                  10/9/2025     Atlanta                        Office                              $369 / sqft                     68  %           1
     42        Senior Loan                  9/26/2019               175                 175                175        +3.10      %            +3.54      %                   1/9/2023     New York                       Office                              $256 / sqft                     65  %           3
     43        Senior Loan                 12/17/2021               178                 175                173        +3.95      %            +4.33      %                   1/9/2026     Diversified - US               Other                             $5,680 / unit                     48  %           3
     44        Senior Loan                  9/30/2021               256                 172                170        +3.00      %            +3.35      %                  10/9/2028     Chicago                        Office                              $190 / sqft                     74  %           3
     45        Senior Loan                   9/5/2019               198                 169                169        +2.75      %            +3.26      %                   9/9/2024     New York                       Office                            $1,055 / sqft                     62  %           3
     46        Senior Loan                   9/4/2018               173                 159                159        +3.00      %            +3.39      %                   9/9/2023     Las Vegas                      Hospitality                     $192,456 / unit                     70  %           3
     47        Senior Loan                  10/7/2021               165                 158                157        +3.25      %            +3.58      %                  10/9/2025     Los Angeles                    Office                              $322 / unit                     68  %           3
     48        Senior Loan                  9/30/2021               209                 157                155        +4.00      %            +4.52      %                  9/30/2026     Diversified - Spain            Hospitality                     $140,968 / unit                     60  %           3
     49        Senior Loan                  5/27/2021               205                 154                153        +2.70      %            +2.99      %                   6/9/2026     Atlanta                        Office                              $130 / sqft                     66  %           3
     50        Senior Loan                  8/24/2021               179                 153                152        +3.10      %            +3.41      %                   9/9/2026     San Jose                       Office                              $365 / sqft                     65  %           3
     51        Senior Loan                 11/18/2021               153                 153                152        +3.25      %            +3.51      %                 10/21/2026     London                         Industrial                          $209 / sqft                     65  %           2
     52        Senior Loan                 12/20/2019               152                 152                151        +3.10      %            +3.32      %                 12/18/2026     London - UK                    Office                              $756 / sqft                     75  %           2
     53        Senior Loan                 12/21/2021               145                 145                143        +2.75      %            +3.11      %                 12/21/2026     London                         Industrial                          $504 / sqft                     67  %           3
     54        Senior Loan                  7/23/2021               244                 141                138        +5.00      %            +5.33      %                   8/9/2027     New York                       Mixed-Use                           $455 / sqft                     53  %           3
     55        Senior Loan                  1/17/2020               203                 139                138        +2.75      %            +3.07      %                   2/9/2025     New York                       Mixed-Use                           $114 / sqft                     43  %           3
     56        Senior Loan                 11/14/2017               133                 133                133        +2.75      %            +2.86      %                   6/9/2023     Los Angeles                    Hospitality                     $532,000 / unit                     56  %           2
     57        Senior Loan                  3/10/2020               140                 130                130        +2.50      %            +2.50      %                 10/11/2024     New York                       Mixed-Use                           $793 / sqft                     53  %           2
     58        Senior Loan                  9/14/2021               132                 127                127        +2.70      %            +2.95      %                  10/9/2026     San Bernardino                 Multi                           $256,774 / unit                     75  %           3
     59        Senior Loan                   4/3/2018               126                 125                125        +2.75      %            +2.92      %                   4/9/2024     Dallas                         Mixed-Use                           $761 / sqft                     64  %           3
     60        Senior Loan                 11/17/2021               135                 125                124        +2.80      %            +3.15      %                  12/9/2026     Denver                         Multi                           $323,316 / unit                     71  %           3



                                                                      continued…






                                       79
--------------------------------------------------------------------------------

                                       Origination            Total             Principal           Net Book           Cash                    All-in                     Maximum                                                                     Loan Per                   Origination             Risk
                Loan Type(1)             Date(2)           Loan(3)(4)          Balance(4)            Value           Coupon(5)                Yield(5)                  Maturity(6)              Location                Property Type            SQFT / Unit / Key                LTV(2)               Rating
     61        Senior Loan                 11/27/2019     $      146          $      125          $     124           +2.75      %            +3.13      %                  12/9/2024     Minneapolis                  Office                              $125 / sqft                     64  %           3
     62        Senior Loan                  4/30/2018               173                 123                122        +3.25      %            +3.51      %                  4/30/2023     London - UK                  Office                              $553 / sqft                     60  %           3
     63        Senior Loan                  8/31/2021               119                 119                118        +3.05      %            +3.32      %                   9/9/2026     Diversified - US             Retail                              $316 / sqft                     65  %           3
     64        Senior Loan                   6/1/2021               120                 117                117        +2.85      %            +3.05      %                   6/9/2026     Miami                        Multi                           $291,189 / unit                     61  %           3
     65        Senior Loan                  6/28/2019               125                 117                117        +2.75      %            +2.91      %                   2/1/2024     Los Angeles                  Office                              $591 / sqft                     48  %           3
     66        Senior Loan                   4/6/2021               123                 117                116        +3.20      %            +3.52      %                   4/9/2026     Los Angeles                  Office                              $493 / sqft                     65  %           3
     67        Senior Loan                  7/15/2019               145                 117                116        +2.90      %            +3.25      %                   8/9/2024     Houston                      Office                              $211 / sqft                     58  %           3
     68        Senior Loan                  9/14/2018               114                 114                114        +3.50      %            +3.84      %                  9/14/2023     Canberra - AU                Mixed-Use                           $335 / sqft                     68  %           3
     69        Senior Loan                  3/29/2021               138                 114                113        +3.90      %            +4.55      %                  3/29/2026     Diversified - UK             Multi                            $49,962 / unit                     61  %           3
     70        Senior Loan                  8/27/2021               122                 114                113        +3.00      %            +3.29      %                   9/9/2026     San Diego                    Retail                              $430 / sqft                     58  %           3
     71        Senior Loan                 10/21/2021               114                 114                114        +2.90      %            +3.15      %                  11/9/2025     Fort Lauderdale              Multi                           $334,311 / unit                     64  %           2
     72        Senior Loan                 12/21/2018               123                 114                114        +2.60      %            +2.99      %                   1/9/2024     Chicago                      Office                              $223 / sqft                     72  %           3
     73        Senior Loan                  5/13/2021               199                 111                109        +3.55      %            +3.94      %                   6/9/2026     Boston                       Office                              $561 / sqft                     64  %           3
     74        Senior Loan                 12/21/2021               120                 110                109        +2.70      %            +3.00      %                   1/9/2027     Washington DC                Office                              $384 / sqft                     68  %           3
     75        Senior Loan                  5/20/2021               148                 106                105        +3.60      %            +4.00      %                   6/9/2026     San Jose                     Office                              $273 / sqft                     65  %           3
     76        Senior Loan                  3/13/2018               123                 104                104        +3.00      %            +3.27      %                   4/9/2027     Honolulu                     Hospitality                     $160,580 / unit                     50  %           3
     77        Senior Loan                  2/20/2019               183                 101                 99        +3.95      %            +4.43      %                  2/19/2024     London - UK                  Office                              $493 / sqft                     61  %           3
     78        Senior Loan                 12/29/2021               110                 100                 99        +2.85      %            +3.06      %                   1/9/2027     Phoenix                      Multi                               $260 / sqft                     64  %           3
     79        Senior Loan                   7/1/2021               104                  99                 98        +3.10      %            +3.35      %                   7/9/2026     Diversified - US             Retail                              $281 / sqft                     61  %           3
     80        Senior Loan                  3/25/2020               121                  99                 98        +2.40      %            +2.78      %                  3/31/2025     Diversified - NL             Multi                           $120,775 / unit                     65  %           2
     81        Senior Loan                  6/18/2021                99                  99                 98        +2.60      %            +2.83      %                   7/9/2026     New York                     Industrial                           $52 / sqft                     55  %           2
     82        Senior Loan                 11/16/2018               118                  98                 98        +4.10      %            +4.10      %                  12/9/2023     Fort Lauderdale              Mixed-Use                           $276 / sqft                     59  %           2
     83        Senior Loan                  10/1/2021               101                  98                 97        +2.75      %            +3.02      %                  10/1/2026     Phoenix                      Multi                           $226,852 / unit                     77  %           3
     84        Senior Loan                 12/10/2018               120                  98                 97        +2.95      %            +3.95      %                  12/3/2024     London - UK                  Office                              $466 / sqft                     72  %           3
     85        Senior Loan                 10/16/2018               106                  97                 97        +3.25      %            +3.52      %                  11/9/2023     San Francisco                Hospitality                     $211,959 / unit                     72  %           4
     86        Senior Loan                  3/28/2019                98                  97                 97        +3.25      %            +3.40      %                   1/9/2024     New York                     Hospitality                     $249,463 / unit                     63  %           4
     87        Senior Loan                 10/28/2021                96                  96                 95        +2.90      %            +3.25      %                  11/9/2026     Philadelphia                 Multi                           $353,704 / unit                     79  %           3
     88        Senior Loan                 10/27/2021                93                  93                 92        +2.50      %            +2.69      %                  11/9/2026     Orlando                      Multi                           $155,612 / unit                     75  %           3
     89        Senior Loan                  6/14/2021               100                  92                 92        +3.70      %            +4.04      %                   7/9/2024     Miami                        Office                              $195 / sqft                     65  %           3
     90        Senior Loan                   2/3/2021               111                  92                 92        +3.20      %            +3.57      %                   2/9/2026     Austin                       Office                              $382 / sqft                     56  %           1



                                                                      continued…






                                       80
--------------------------------------------------------------------------------
                                        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                  3/31/2017     $        97          $        91          $     91           +4.30      %            +4.54      %                   4/9/2023     New York                    Office                              $444 / sqft                     64  %           3
      92        Senior Loan                 12/22/2021                 91                   91                90        +3.18      %            +3.44      %                   1/9/2027     Las Vegas                   Multi                           $205,682 / unit                     65  %           3
      93        Senior Loan                 12/15/2021                 91                   87                87        +2.85      %            +3.10      %                   1/9/2027     Charlotte                   Multi                           $249,000 / unit                     76  %           3
      94        Senior Loan                  6/25/2021                 85                   85                85        +2.75      %            +3.10      %                   7/1/2026     St. Louis                   Multi                            $80,339 / unit                     70  %           3
      95        Senior Loan                 12/10/2021                135                   85                84        +3.00      %            +3.37      %                   1/9/2027     Miami                       Office                              $286 / sqft                     49  %           3
      96        Senior Loan                  6/29/2016                 83                   82                82        +2.80      %            +3.04      %                   7/8/2022     Miami                       Office                              $318 / sqft                     64  %           2
      97        Senior Loan                  7/30/2021                 87                   80                80        +2.50      %            +2.84      %                   8/9/2026     Los Angeles                 Multi                           $159,040 / unit                     70  %           3
      98        Senior Loan                  7/29/2021                 82                   78                77        +2.65      %            +3.02      %                   6/9/2026     Charlotte                   Multi                           $212,295 / unit                     78  %           3
      99        Senior Loan                 11/23/2021                 92                   77                76        +2.75      %            +3.08      %                  12/9/2026     Los Angeles                 Industrial                          $219 / sqft                     66  %           3
     100        Senior Loan                  6/27/2019                 84                   76                76        +2.50      %            +2.77      %                   7/9/2024     West Palm Beach             Office                              $262 / sqft                     70  %           2
     101        Senior Loan                  6/18/2019                 75                   75                75        +2.75      %            +3.15      %                   7/9/2024     Napa Valley                 Hospitality                     $785,340 / unit                     74  %           2
     102        Senior Loan                   4/1/2021                102                   75                74        +3.30      %            +3.71      %                   4/9/2026     San Jose                    Office                              $497 / sqft                     67  %           3
     103        Senior Loan                 12/30/2021                228                   73                71        +4.35      %            +5.05      %                   1/9/2028     Santa Monica                Multi                           $132,635 / unit                     50  %           3
     104        Senior Loan                  3/21/2018                 74                   73                73        +3.10      %            +3.33      %                  3/21/2024     Jacksonville                Office                               $95 / sqft                     72  %           1
     105        Senior Loan                  7/23/2021                 73                   71                71        +3.00      %            +3.02      %                   7/9/2024     New York                    Multi                               $402 / sqft                     62  %           3
     106        Senior Loan                 10/28/2021                 69                   69                69        +2.55      %            +2.74      %                  11/9/2026     Tacoma                      Multi                           $209,864 / unit                     70  %           3
     107        Senior Loan                  9/22/2021                 67                   67                67        +3.00      %            +3.16      %                   4/1/2024     Jacksonville                Multi                           $181,081 / unit                     62  %           2
     108        Senior Loan                  1/30/2020                104                   67                66        +2.85      %            +3.22      %                   2/9/2026     Honolulu                    Hospitality                     $214,341 / unit                     63  %           3
     109        Senior Loan                 12/21/2021                 74                   67                66        +2.70      %            +3.06      %                   1/9/2027     Tampa                       Multi                           $195,588 / unit                     77  %           3
     110        Senior Loan                  8/22/2019                 74                   65                65        +2.55      %            +2.93      %                   9/9/2024     Los Angeles                 Office                              $389 / sqft                     63  %           3
     111        Senior Loan                 12/10/2021                 68                   65                64        +2.85      %            +3.19      %                   1/9/2027     Austin                      Multi                           $260,000 / unit                     73  %           3
     112        Senior Loan                  6/29/2017                 63                   63                63        +3.40      %            +4.35      %                   7/9/2023     New York                    Multi                           $184,768 / unit                     69  %           4
     113        Senior Loan                  10/5/2018                 63                   63                62        +5.50      %            +5.92      %                 12/20/2022     Sydney - AU                 Office                              $663 / sqft                     78  %           3
     114        Senior Loan                 12/23/2021                 62                   62                61        +2.18      %            +2.99      %                   9/1/2023     New York                    Office                              $145 / unit                     71  %           3
     115        Senior Loan                  3/31/2021                 62                   62                62        +3.73      %            +3.86      %                   4/1/2024     Boston                      Multi                           $316,327 / unit                     75  %           2
     116        Senior Loan                  7/30/2021                 62                   62                62        +2.75      %            +2.94      %                   8/9/2026     Salt Lake City              Multi                           $224,185 / unit                     73  %           3
     117        Senior Loan                  9/29/2021                 62                   58                58        +2.85      %            +3.02      %                  10/1/2025     Houston                     Multi                            $52,968 / unit                     61  %           3
     118        Senior Loan                  7/16/2021                 58                   58                58        +2.75      %            +3.03      %                   8/1/2025     Orlando                     Multi                           $195,750 / unit                     74  %           2
     119        Senior Loan                 12/17/2021                 58                   58                57        +2.65      %            +2.85      %                   1/9/2027     Phoenix                     Multi                           $209,601 / unit                     69  %           3
     120        Senior Loan                  8/14/2019                 70                   58                58        +2.45      %            +2.90      %                   9/9/2024     Los Angeles                 Office                              $661 / sqft                     57  %           3


                                                                      continued…






                                       81
--------------------------------------------------------------------------------
                                          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                   11/11/2021     $        61          $        58          $     57           +3.95      %            +4.74      %                    8/6/2026     London                          Hospitality                     $205,396 / unit                     40  %           3
     122        Senior Loan                    6/30/2021                 65                   57                57        +2.90      %            +3.19      %                    7/9/2026     Nashville                       Office                              $235 / sqft                     71  %           3
     123        Senior Loan                    4/15/2021                 66                   57                57        +3.00      %            +3.30      %                    5/9/2026     Austin                          Office                              $277 / sqft                     73  %           3
     124        Senior Loan                    6/28/2021                 57                   57                56        +3.60      %            +4.86      %                   2/15/2023     Diversified - Spain             Hospitality                     $143,719 / unit                     56  %           3
     125        Senior Loan                   12/15/2021                155                   57                55        +3.26      %            +5.05      %                  12/15/2026     Dublin                          Multi                         $1,012,688 / unit                     79  %           3
     126        Senior Loan                   12/10/2020                 61                   55                55        +3.25      %            +3.54      %                    1/9/2026     Fort Lauderdale                 Office                              $189 / sqft                     68  %           3
     127        Senior Loan                   12/22/2021                 55                   55                54        +2.82      %            +2.96      %                    1/1/2027     Los Angeles                     Multi                           $272,500 / unit                     68  %           3
     128        Senior Loan                    6/26/2019                 70                   54                54        +3.35      %            +3.66      %                   6/20/2024     London - UK                     Office                              $610 / sqft                     61  %           3
     129        Senior Loan                   12/14/2018                 60                   52                53        +2.90      %            +3.33      %                    1/9/2024     Diversified - US                Industrial                           $39 / sqft                     57  %           2
     130        Senior Loan                   11/30/2016                 61                   52                52        +3.10      %            +3.22      %                   12/9/2023     Chicago                         Retail                            $1,014 / sqft                     54  %           4
     131        Senior Loan                    7/30/2021                 59                   51                51        +2.75      %            +2.96      %                    8/9/2026     Tampa Bay                       Multi                           $127,788 / unit                     71  %           3
     132        Senior Loan                    12/9/2021                 51                   51                51        +2.75      %            +2.89      %                    1/1/2027     Portland                        Multi                           $241,825 / unit                     65  %           3
     133        Senior Loan                    2/17/2021                 53                   51                51        +3.55      %            +3.75      %                    3/9/2026     Miami                           Multi                           $290,985 / unit                     64  %           3
     134        Senior Loan                    9/23/2021                 49                   49                49        +2.75      %            +2.86      %                   10/1/2026     Portland                        Multi                           $232,938 / unit                     65  %           3
     135        Senior Loan                     8/5/2021                 57                   49                49        +2.90      %            +3.04      %                    8/9/2026     Denver                          Office                              $186 / sqft                     70  %           3
     136        Senior Loan                   12/17/2021                 66                   49                48        +4.35      %            +4.93      %                    1/9/2026     Diversified - US                Other                             $3,693 / unit                     37  %           3
     137        Senior Loan                    8/27/2021                 51                   48                48        +3.75      %            +4.27      %                    9/9/2026     Diversified - US                Hospitality                     $107,519 / unit                     67  %           3
     138        Senior Loan                    7/20/2021                 48                   48                48        +2.75      %            +3.09      %                    8/9/2026     Los Angeles                     Multi                           $366,412 / unit                     60  %           3
     139        Senior Loan                    2/20/2019                 53                   47                47        +3.50      %            +3.92      %                    3/9/2024     Calgary - CAN                   Office                              $131 / sqft                     52  %           2
     140        Senior Loan                   12/29/2021                 47                   47                46        +2.85      %            +2.96      %                    1/1/2027     Dallas                          Multi                           $155,000 / unit                     73  %           3
     141        Senior Loan                    11/3/2017                 45                   45                45        +3.00      %            +3.25      %                   11/1/2022     Los Angeles                     Office                              $209 / sqft                     50  %           1
     142        Senior Loan                    7/30/2021                 45                   45                45        +2.75      %            +2.86      %                    8/1/2026     Portland                        Multi                            $62,378 / unit                     64  %           3
     143        Senior Loan                    10/1/2019                 48                   44                44        +3.75      %            +4.25      %                   10/9/2025     Atlanta                         Hospitality                     $249,016 / unit                     74  %           3
     144        Senior Loan                    7/29/2021                 42                   42                42        +2.75      %            +2.95      %                    8/9/2026     Las Vegas                       Multi                           $167,113 / unit                     72  %           3
     145        Senior Loan                    11/3/2021                 41                   41                41        +2.60      %            +2.94      %                   11/9/2026     Washington DC                   Multi                           $137,788 / unit                     68  %           3
     146        Senior Loan                    12/8/2021                 48                   40                40        +2.75      %            +2.96      %                   12/9/2026     Columbus                        Multi                           $132,401 / unit                     69  %           3
     147        Senior Loan                   12/23/2021                 38                   38                38        +2.35      %            +3.38      %                   4/26/2024     Corvallis                       Multi                            $65,793 / unit                     71  %           3
     148        Senior Loan                   12/23/2021                 38                   38                38        +3.40      %            +4.48      %                    6/1/2023     Boston                          Hospitality                     $165,441 / unit                     51  %           3
     149        Senior Loan                   12/23/2021                 38                   38                38        +3.00      %            +4.13      %                    9/1/2022     New York                        Other                                $21 / sqft                     15  %           2
     150        Senior Loan                   12/23/2021                 42                   38                38        +3.30      %            +3.45      %                    1/1/2027     Dallas                          Multi                           $102,717 / unit                     65  %           3



                                                                      continued…








                                       82
--------------------------------------------------------------------------------
                                         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              1,895                1,066             1,039        +2.97      %            +3.43      %                    3.7 yrs     Various                 Various                                 Various                     61  %          2.8
     188
               CECL reserve                                                                               (125)
               Loans receivable, net                        $    28,593          $    23,669          $ 21,878               + 3.22 %                +
3.55 %                    3.4 yrs                                                                                                 65  %          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, 2021, seven loans in our portfolio have been
financed with an aggregate $1.5 billion of non-consolidated senior interest,
which are included in the table above. Portfolio excludes our $79.2 million
subordinate position in the $379.3 million 2018 Single Asset Securitization.
Refer to Notes 4 and 17 to our consolidated financial statements for details of
the 2018 Single Asset Securitization.
(5)The weighted-average cash coupon and all-in yield are expressed as a spread
over the relevant floating benchmark rates, which include USD LIBOR, SOFR, GBP
LIBOR, SONIA, EURIBOR, and other indices as applicable to each loan. As of
December 31, 2021, 98% of our loans by total loan exposure earned a floating
rate of interest, primarily indexed to USD LIBOR. The other 2% of our loans
earned a fixed rate of interest, which we reflect as a spread over the relevant
floating benchmark rates, as of December 31, 2021, for purposes of the
weighted-averages. In addition to cash coupon, all-in yield includes the
amortization of deferred origination and extension fees, loan origination costs,
and purchase discounts, as well as the accrual of exit fees. Excludes a loan
accounted for under the cost-recovery method.
(6)Maximum maturity assumes all extension options are exercised, however our
loans may be repaid prior to such date.
(7)Loan is accounted for under the cost-recovery method.
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