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

References here at “Blackstone Mortgage Trust,” “Company”, “we”, “us” or “our” refers to Blackstone Mortgage Trust, Inc. and its affiliates, unless the context specifically requires.

The following discussion should be read in conjunction with the unaudited
consolidated financial statements and notes thereto appearing elsewhere in this
quarterly report on Form 10-Q. In addition to historical data, this discussion
contains forward-looking statements within the meaning of Section 27A of the
Securities Act of 1933, as amended, and Section 21E of the Securities Exchange
Act of 1934, as amended, which reflect our current views with respect to, among
other things, our business, operations and financial performance. You can
identify these forward-looking statements by the use of words such as "intend,"
"goal," "estimate," "expect," "project," "projections," "plans," "seeks,"
"anticipates," "should," "could," "may," "designed to," "foreseeable future,"
"believe," "scheduled," and similar expressions. Such forward-looking statements
are subject to various risks, uncertainties and assumptions. Our actual results
or outcomes may differ materially from those in this discussion as a result of
various factors, including but not limited to those discussed in Item 1A. Risk
Factors in our annual report on Form 10-K for the year ended December 31, 2021
and elsewhere in this quarterly report on Form 10-Q.

Introduction

Blackstone Mortgage Trust is a real estate finance company that originates
senior loans collateralized by commercial real estate 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

Macroeconomic Environment

This year has been characterized by steep declines and significant volatility in
global markets, driven by investor concerns over inflation, rising interest
rates, slowing economic growth and geopolitical uncertainty. Inflation across
many key economies reached generational highs, prompting central banks to take
monetary policy tightening actions that are likely to create headwinds to
economic growth. The ongoing war between Russia and Ukraine is also contributing
to mounting inflationary pressure.

Inflation continues to rise and has caused the Federal Reserve to continue
raising interest rates, which has created further uncertainty for the economy
and for our borrowers. Although our business model is such that rising interest
rates will, all else being equal, correlate to increases in our net income,
increases in interest rates may adversely affect our existing borrowers.
Additionally, rising rates and increasing costs may dampen consumer spending and
slow corporate profit growth, which may negatively impact the collateral
underlying certain of our loans. While there is debate among economists as to
whether such factors, coupled with economic contraction in the U.S. in 2022,
indicate that the U.S. has
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entered, or in the near term will enter, a recession, it remains difficult to
predict the full impact of recent changes and any future changes in interest
rates or inflation.

Reference Rate Reform

LIBOR and certain other floating rate benchmark indices to which our floating
rate loans and other loan agreements are tied, including, without limitation,
the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered
Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the
Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or
SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively,
IBORs, are the subject of recent national, international and regulatory guidance
and proposals for reform. As of December 31, 2021, the ICE Benchmark
Association, or IBA, ceased publication of all non-USD LIBOR and the one-week
and two-month USD LIBOR and, as and previously announced, intends to cease
publication of remaining U.S. dollar LIBOR settings immediately after June 30,
2023. Further, on March 15, 2022, the Consolidated Appropriations Act of 2022,
which includes the Adjustable Interest Rate (LIBOR) Act, was signed into law in
the U.S. This legislation establishes a uniform benchmark replacement process
for financial contracts maturing after June 30, 2023 that do not contain clearly
defined or practicable fallback provisions. The legislation also creates a safe
harbor that shields lenders from litigation if they choose to utilize a
replacement rate recommended by the Board of Governors of the Federal Reserve.

The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates
Committee, a steering committee composed 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 U.S. Treasury
securities, as its preferred alternative rate for USD LIBOR. As of September 30,
2022, one-month SOFR is utilized as the floating benchmark rate on 49 of our
loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our
asset-specific financings, certain borrowings under nine of our credit
facilities, and our B-4 Term Loan. As of September 30, 2022, the one-month SOFR
was 3.04% and one-month USD LIBOR was 3.14%. Additionally, market participants
have transitioned from GBP LIBOR to the Sterling Overnight Index Average, or
SONIA, in line with guidance from the U.K. regulators. As of September 30, 2022,
daily compounded SONIA is utilized as the floating benchmark rate for all of our
floating rate British Pound Sterling loans and related financings.

At this time, it is not possible to predict how markets will respond to SOFR,
SONIA, or other alternative reference rates as the transition away from USD
LIBOR and GBP LIBOR proceeds. Despite the LIBOR transition in other markets,
benchmark rate methodologies in Europe, Australia, Canada, Switzerland, and
Denmark have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, SARON,
and CIBOR may persist as International Organization of Securities Commissions,
or IOSCO, compliant reference rates moving forward. However, multi-rate
environments may persist in these markets as regulators and working groups have
suggested market participants adopt alternative reference rates.

Refer to "Part I. Item 1A. Risk Factors-Risks Related to Our Lending and
Investment Activities-The recent and expected discontinuation of currently used
financial reference rates and use of alternative replacement reference rates may
adversely affect net interest income related to our loans and investments or
otherwise adversely affect our results of operations, cash flows and the market
value of our investments" of our Annual Report on Form 10-K filed with the SEC
on February 9, 2022.

I. Main 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
September 30, 2022, we recorded basic earnings per share of $0.60, declared a
dividend of $0.62 per share, and reported $0.71 per share of Distributable
Earnings. In addition, our book value as of September 30, 2022 was $27.20 per
share, which is net of a $0.90 per share cumulative CECL reserve.

As described in more detail below, distributable income is a measure that is not prepared in accordance with generally accepted accounting principles in The United States of America, or GAAP, which helps us assess our performance by excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily representative of our current loan portfolio and operations. In addition, distributable earnings is a performance measure that we take into account when declaring our dividends.

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Earnings per share and dividends declared

The following table shows the calculation of basic net earnings per share and declared dividends per share (in thousands of dollars, except per share data):

                                                          Three Months Ended
                                                September 30, 2022       June 30, 2022
  Net income(1)                                $           103,246      $       93,250
  Weighted-average shares outstanding, basic             170,971,874        

170 665 601

  Per share amount, basic                      $              0.60      $   

0.55

  Dividends declared per share                 $              0.62      $         0.62




(1)Represents net income attributable to Blackstone Mortgage Trust. Refer to
Note 13 to our consolidated financial statements for the calculation of diluted
net income per share.

Distributable Earnings

Distributable Earnings is a non-GAAP measure, which we define as GAAP net income
(loss), including realized gains and losses not otherwise recognized in current
period GAAP net income (loss), and excluding (i) non-cash equity compensation
expense, (ii) depreciation and amortization, (iii) unrealized gains (losses),
and (iv) certain non-cash items. Distributable Earnings may also be adjusted
from time to time to exclude one-time events pursuant to changes in GAAP and
certain other non-cash charges as determined by our Manager, subject to approval
by a majority of our independent directors. Distributable Earnings mirrors the
terms of our management agreement between our Manager and us, or our Management
Agreement, for purposes of calculating our incentive fee expense.

Our CECL reserve has been excluded from Distributable Earnings consistent with
other unrealized gains (losses) pursuant to our existing policy for reporting
Distributable Earnings. We expect to only recognize such potential credit losses
in Distributable Earnings if and when such amounts are deemed nonrecoverable
upon a realization event. This is generally at the time a loan is repaid, or in
the case of foreclosure, when the underlying asset is sold, but
non-recoverability may also be concluded if, in our determination, it is nearly
certain that all amounts due will not be collected. The realized loss amount
reflected in Distributable Earnings will equal the difference between the cash
received, or expected to be received, and the book value of the asset, and is
reflective of our economic experience as it relates to the ultimate realization
of the loan.

We believe that Distributable Earnings provides meaningful information to
consider in addition to our net income (loss) and cash flow from operating
activities determined in accordance with GAAP. We believe Distributable Earnings
is a useful financial metric for existing and potential future holders of our
class A common stock as historically, over time, Distributable Earnings has been
a strong indicator of our dividends per share. As a REIT, we generally must
distribute annually at least 90% of our net taxable income, subject to certain
adjustments, and therefore we believe our dividends are one of the principal
reasons stockholders may invest in our class A common stock. Refer to Note 15 to
our consolidated financial statements for further discussion of our distribution
requirements as a REIT. Further, Distributable Earnings helps us to evaluate our
performance excluding the effects of certain transactions and GAAP adjustments
that we believe are not necessarily indicative of our current loan portfolio and
operations, and is a performance metric we consider when declaring our
dividends.

Distributable Earnings does not represent net income (loss) or cash generated
from operating activities and should not be considered as an alternative to GAAP
net income (loss), or an indication of our GAAP cash flows from operations, a
measure of our liquidity, or an indication of funds available for our cash
needs. In addition, our methodology for calculating Distributable Earnings may
differ from the methodologies employed by other companies to calculate the same
or similar supplemental performance measures, and accordingly, our reported
Distributable Earnings may not be comparable to the Distributable Earnings
reported by other companies.
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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 ended
                                                           September 30, 2022                     June 30, 2022
Net income(1)                                                                  $     103,246                      $       93,250

Increase in current expected credit loss reserve                                         12,248                              12,983
Non-cash compensation expense                                                             8,219                               8,418
Realized hedging and foreign currency loss, net(2)                                      (1,698)                               (829)
Adjustments attributable to non-controlling interests,                                     (43)                                (46)
net
Other items                                                                                (10)                                (65)
Distributable Earnings                                                         $     121,962                      $      113,711
Weighted-average shares outstanding, basic(3)                                       170,971,874                         170,665,601
Distributable Earnings per share, basic                                        $        0.71                      $         0.67





(1)Represents net income attributable to Blackstone Mortgage Trust.
(2)Represents realized gains (losses) on the repatriation of unhedged foreign
currency. These amounts were not included in GAAP net income, but rather as a
component of Other Comprehensive Income in our consolidated financial
statements.
(3)The weighted-average shares outstanding, basic, exclude shares issuable from
a potential conversion of our Convertible Notes. Consistent with the treatment
of other unrealized adjustments to Distributable Earnings, these potentially
issuable shares are excluded until a conversion occurs.

Book value per share

The following table calculates our book value per share ($ in thousands, except
per share data):

                                       September 30, 2022       June 30, 2022
            Stockholders' equity      $         4,658,406      $   

4,637,591

            Shares
            Class A common stock                170,896,268        

170 295 049

            Deferred stock units                    399,512             

391,027

            Total outstanding                   171,295,780        

170 686 076

            Book value per share(1)   $             27.20      $        27.17



(1) Book value per share excludes shares issuable from a potential conversion of our convertible bonds. Refer to Note 13 to our Consolidated Financial Statements for the calculation of diluted net earnings per share.

II. loan portfolio

During the three months ended September 30, 2022, we originated or acquired
$438.5 million of loans. Loan fundings during the quarter totaled $696.6 million
and loan repayments and sales during the quarter totaled $443.0 million. We
generated interest income of $358.6 million and incurred interest expense of
$202.4 million during the quarter, which resulted in $156.2 million of net
interest income during the three months ended September 30, 2022.
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Portfolio overview

The following table details our loan origination activity (in thousands of dollars):

                                                                    Three Months Ended              Nine Months Ended
                                                                    September 30, 2022              September 30, 2022
Loan originations(1)                                                $        438,454                $     6,823,352
Loan fundings(2)                                                    $        696,642                $     6,465,261
Loan repayments and sales(3)                                                  (442,970)                    (3,086,011)
Total net fundings                                                  $        253,672                $     3,379,250




(1)Includes new loan originations and additional commitments made under existing
loans.
(2)Loan fundings during the three and nine months ended September 30, 2022,
include $61.1 million and $254.4 million, respectively, of additional fundings
under related non-consolidated senior interests.
(3)Loan repayments and sales during the three and nine months ended
September 30, 2022, include $10.0 million and $741.7 million, respectively, of
additional repayments or reduction of loan exposure under related
non-consolidated senior interests and the loan held by our non-consolidated
securitized debt obligation.

The following table details the overall statistics of our loan portfolio in
September 30, 2022 (in thousands of dollars):

                                                     Balance Sheet          Loan
                                                       Portfolio         Exposure(1)
     Number of investments                                   205                205
     Principal balance                              $ 24,576,601       $ 26,136,007
     Net book value                                 $ 24,278,702       $ 24,278,702
     Unfunded loan commitments(2)                   $  4,126,886       $  

4,923,241

     Weighted-average cash coupon(3)                      + 3.30  %        

+ 3.31%

     Weighted-average all-in yield(3)                     + 3.67  %        

+ 3.68%

     Weighted-average maximum maturity (years)(4)               3.3        

3.3

     Origination loan to value (LTV)(5)                     64.0  %        
   63.8  %




(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. Total loan exposure encompasses the entire loan we originated and
financed, including $1.6 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(2)Unfunded commitments will primarily be funded to finance our borrowers'
construction or development of real estate-related assets, capital improvements
of existing assets, or lease-related expenditures. These commitments will
generally be funded over the term of each loan, subject in certain cases to an
expiration date.
(3)The weighted-average cash coupon and all-in yield are expressed as a spread
over the relevant floating benchmark rates, which include USD LIBOR, SOFR,
SONIA, EURIBOR, and other indices as applicable to each investment. As of
September 30, 2022, substantially all of our loans by total loan exposure earned
a floating rate of interest, primarily indexed to USD LIBOR. In addition to cash
coupon, all-in yield includes the amortization of deferred origination and
extension fees, loan origination costs, and purchase discounts, as well as the
accrual of exit fees. Excludes a loan accounted for under the cost-recovery
method.
(4)Maximum maturity assumes all extension options are exercised by the borrower,
however our loans and other investments may be repaid prior to such date. As of
September 30, 2022, 63% of our loans by total loan exposure were subject to
yield maintenance or other prepayment restrictions and 37% were open to
repayment by the borrower without penalty.
(5)Based on LTV as of the dates loans were originated or acquired by us.

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The following table details the index floor rates for our loan portfolio based on total loan exposure at September 30, 2022 (in thousands of dollars):

                                       Total Loan Exposure(1)
Index Rate Floors              USD           Non-USD(2)          Total
Fixed Rate                $     37,500      $         -      $     37,500
0.00% or no floor(3)           3,815,590        7,072,364        10,887,954
0.01% to 1.00% floor          10,134,223          661,899        10,796,122
1.01% to 1.50% floor           2,960,631           55,040         3,015,671
1.51% to 2.00% floor             984,182                -           984,182
2.01% or more floor              366,129           48,449           414,578
Total(4)                  $ 18,298,255      $ 7,837,752      $ 26,136,007




(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. Total loan exposure encompasses the entire loan we originated and
financed, including $1.6 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(2)Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar,
Canadian Dollar, Swiss Franc, and Danish Krone currencies.
(3)Includes a $286.3 million loan accounted for under the cost-recovery method.
(4)As of September 30, 2022, the weighted-average index rate floor of our loan
portfolio was 0.37%. Excluding 0.0% index rate floors and loans with no floor,
the weighted-average index rate floor was 0.63%. As of December 31, 2021, the
weighted-average index rate floor of our loan portfolio was 0.42%. Excluding
0.0% index rate floors and loans with no floor, the weighted-average index rate
floor was 0.70%.

The following table details the floating benchmark rates for our loan portfolio based on total loan exposure at September 30, 2022 (total amounts of the investment portfolio in thousands):

    Investment                                       Total Loan
       Count                   Currency             Exposure(1)            Floating Rate Index(2)             Cash Coupon(3)              All-in Yield(3)
        163                       $               $  18,298,255              USD LIBOR / SOFR(4)                  + 3.17%                     + 3.53%
        11                        €               €   2,724,758                    EURIBOR                        + 3.02%                     + 3.40%
        22                        £               £   2,828,801                     SONIA                         + 3.73%                     + 4.24%
         9                     Various            $   2,007,173                   Other(5)                        + 4.24%                     + 4.55%

        205                                       $  26,136,007               Applicable Index                    + 3.31%                     + 3.68%




(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. Total loan exposure encompasses the entire loan we originated and
financed, including $1.6 billion of such non-consolidated senior interests that
are not included in our balance sheet portfolio.
(2)We use foreign currency forward contracts to protect the value or fix the
amount of certain investments or cash flows in terms of the U.S. dollar. We earn
forward points on our forward contracts that reflect the interest rate
differentials between the applicable base rate for our foreign currency
investments and prevailing US interest rates. These forward contracts
effectively convert the foreign currency rate exposure for such investments to
USD-equivalent interest rates.
(3)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, and purchase
discounts, as well as the accrual of exit fees. Excludes one loan accounted for
under the cost-recovery method.
(4)As of September 30, 2022, $13.5 billion and $4.8 billion of loans were
indexed to USD LIBOR and SOFR, respectively. As of September 30, 2022, one-month
USD LIBOR was 3.14% and SOFR was 3.04%.
(5)Includes floating rate loans indexed to STIBOR, BBSY, CDOR, SARON, and CIBOR
indices.


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The graphs below detail the geographic distribution and the types of assets guaranteeing our loan portfolio, at September 30, 2022:

[[Image Removed: bxmt-20220930_g2.jpg]]

See Section VI of this Section 7 for details of our loan portfolio on a loan-by-loan basis.

Portfolio Management

During the three months ended September 30, 2022, we collected 100.0% of the
contractual interest payments that were due under our loans, with no interest
deferrals, which we believe demonstrates the overall strength of our loan
portfolio and the commitment and financial wherewithal of our borrowers
generally, which are primarily affiliated with large real estate private equity
funds and other strong, well-capitalized, experienced sponsors.

We maintain a robust asset management relationship with our borrowers and
utilize these relationships to maximize the performance of our portfolio,
including during periods of volatility. We believe that we will benefit from
these relationships and from our long-standing core business model of
originating senior loans collateralized by large assets in major markets with
experienced, well-capitalized institutional sponsors. Our loan portfolio's low
weighted-average origination LTV of 63.8% as of September 30, 2022 reflects
significant equity value that our sponsors are motivated to protect through
periods of cyclical disruption. While we believe the principal amounts of our
loans are generally adequately protected by underlying collateral value, there
is a risk that we will not realize the entire principal value of certain
investments.

Our portfolio monitoring and asset management operations benefit from the deep
knowledge, experience, and information advantages derived from our position as
part 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, we perform a
quarterly review of our loan portfolio, assesses the performance of each loan,
and assigns it a risk rating between "1" and "5," from less risk to greater
risk. The weighted-average risk rating of our total loan exposure was 2.8 as of
both September 30, 2022 and December 31, 2021, respectively.
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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):

                                                       September 30, 2022
                                         Number                              Total Loan
           Risk Rating                  of Loans       Net Book Value       Exposure(1)
           1                               12         $     1,059,274      $  1,081,961
           2                               42                 6,323,262         7,008,246
           3                               137               14,070,849        15,072,206
           4                               13                 2,684,939         2,687,284
           5                                1                   284,809           286,309
           Loans receivable                205        $    24,423,133      

$26,136,006

           CECL reserve                                       (144,431)
           Loans receivable, net                      $    24,278,702




(1)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. See Note 2 to our consolidated financial statements for further
discussion. Total loan exposure encompasses the entire loan we originated and
financed, including $1.6 billion of such non-consolidated senior interests as of
September 30, 2022.

Current reserve for expected credit losses

The CECL reserve required by GAAP reflects our current estimate of potential
credit losses related to our loans and debt securities included in our
consolidated balance sheets. Other than a few narrow exceptions, GAAP requires
that all financial instruments subject to the CECL model have some amount of
loss reserve to reflect the GAAP principle underlying the CECL model that all
loans, debt securities, and similar assets have some inherent risk of loss,
regardless of credit quality, subordinate capital, or other mitigating factors.

During the three months ended September 30, 2022, we recorded an aggregate $12.2
million increase in the CECL reserve related to loans receivable, debt
securities, and unfunded loan commitments, bringing our total reserve to
$153.7 million as of September 30, 2022. See Notes 2 and 3 to our consolidated
financial statements for further discussion of our CECL reserve.

Previously, we entered into loan modifications related to a multifamily asset in
New York City, which were classified as troubled debt restructurings under GAAP.
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, which remains unchanged as of September 30, 2022. As a
result of the modification, during the three months ended December 31, 2021, we
charged-off $14.4 million of the $14.8 million asset-specific CECL reserve we
recorded on this loan, and reversed the remaining $360,000 CECL reserve. We have
no remaining asset-specific CECL reserve against this loan as of September 30,
2022. The loan is paying interest income current and we resumed income accrual
for this loan as of December 31, 2021.

Previously, 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. As of September 30, 2022, this loan has an outstanding principal balance
of $286.3 million, net of cost-recovery proceeds, and a CECL reserve of
$54.9 million, which was recorded based on our estimation of the fair value of
the loan's underlying collateral as of September 30, 2022. No income was
recorded on this loan during the nine months ended September 30, 2022.
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Multi-family joint venture

As of September 30, 2022, our Multifamily Joint Venture held $802.9 million of
loans, which are included in the loan disclosures above. Refer to Note 2 to our
consolidated financial statements for additional discussion of our Multifamily
Joint Venture.

Portfolio Financing

Our portfolio financing consists of secured debt, securitizations, and
asset-specific financings. The following table details our portfolio financing
($ in thousands):
                                             Portfolio Financing
                                        Outstanding Principal Balance
                                 September 30, 2022        December 31, 2021
Secured debt                   $     13,213,212           $       12,299,580
Securitizations(1)                           2,855,625               3,155,727
Asset-specific financings(2)                 2,726,929               1,913,374
Total portfolio financing      $     18,795,766           $       17,368,681




(1)Includes our consolidated securitized debt obligations of $2.9 billion as of
September 30, 2022. Includes our consolidated securitized debt obligations of
$2.9 billion and non-consolidated securitized debt of $300.1 million as of
December 31, 2021. The non-consolidated securitized debt obligation represents
the senior non-consolidated investment exposure to the 2018 Single Asset
Securitization. We owned the related subordinate position, which was classified
as a held-to-maturity debt security on our balance sheet. During the nine months
ended September 30, 2022, the 2018 Single Asset Securitization was liquidated
upon full repayment of its collateral and all senior securities outstanding.
Refer to Note 4 and Note 18 to our consolidated financial statements for details
of the 2018 Single Asset Securitization.
(2)Includes our asset-specific debt of $959.8 million, our loan participations
sold of $207.8 million, and our non-consolidated senior interests of
$1.6 billion, as of September 30, 2022. Includes our asset-specific debt of
$400.7 million and our non-consolidated senior interests of $1.5 billion, as of
December 31, 2021. The loan participations sold and non-consolidated senior
interests are non-debt financings that provide structural leverage for our whole
loan investments.

Secured Debt

The following table details our outstanding secured debt (in thousands of dollars):

                                                     Secured Debt
                                                Borrowings Outstanding
                                      September 30, 2022       December 31, 2021
         Secured credit facilities   $        13,213,212      $       12,299,580
         Acquisition facility                            -                       -

         Total secured debt          $        13,213,212      $       12,299,580



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Secured credit facilities

The following table details our credit facilities secured by spread over the base rates applicable to the September 30, 2022 (in thousands of dollars):

                                  Nine Months Ended
                                 September 30, 2022                                                                September 30, 2022
                                                                Total                  Wtd. Avg.                                               Wtd. Avg.                      Net Interest
Spread(1)                         New Financings(2)          Borrowings          All-in Cost(1)(3)(4)               Collateral(5)         All-in Yield(1)(3)                    Margin(6)
+ 1.50% or less                  $      1,194,022          $  7,635,918                       +1.52  %             $  10,764,384                     +3.20  %                         +1.68  %
+ 1.51% to + 1.75%                           359,518          2,403,030                       +1.88  %                 3,734,985                     +3.59  %                         +1.71  %
+ 1.76% to + 2.00%                           467,917          1,319,127                       +2.17  %                 1,904,840                     +4.18  %                         +2.01  %
+ 2.01% or more                            1,036,182          1,855,137                       +2.66  %                 2,558,091                     +4.92  %                         +2.26  %
Total                            $      3,057,639          $ 13,213,212                       +1.81  %             $  18,962,300                     +3.61  %                         +1.80  %





(1)The spread, all-in cost, and all-in yield are expressed over the relevant
floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and
other indices as applicable.
(2)Represents borrowings outstanding as of September 30, 2022 for new financings
during the nine months ended September 30, 2022, based on the date collateral
was initially pledged to each credit facility.
(3)In addition to spread, the cost includes the associated deferred fees and
expenses related to the respective borrowings. In addition to cash coupon,
all-in yield includes the amortization of deferred origination and extension
fees, loan origination costs, and purchase discounts, as well as the accrual of
exit fees.
(4)Represents the weighted-average all-in cost as of September 30, 2022 and is
not necessarily indicative of the spread applicable to recent or future
borrowings.
(5)Represents the principal balance of the collateral assets.
(6)Represents the difference between the weighted-average all-in yield and
weighted-average all-in cost.

Ease of acquisition

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 September 30, 2022, we had
no assets pledged to our acquisition facility.

Securitizations

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

Outstanding securitizations

                                                                     September 30, 2022           December 31, 2021
Securitized debt obligations                                       $     2,855,625                          2,855,625
Non-consolidated securitized debt obligation(1)                                         -                     300,102
Total securitizations                                              $     2,855,625              $        3,155,727




(1)These non-consolidated securitized debt obligations represent the senior
non-consolidated investment exposure to the 2018 Single Asset Securitization. We
owned the related subordinate position, which was classified as a
held-to-maturity debt security on our balance sheet. During the nine months
ended September 30, 2022, the 2018 Single Asset Securitization was liquidated
upon full repayment of its collateral and all senior securities outstanding.
Refer to Note 4 and Note 18 to our consolidated financial statements for details
of the 2018 Single Asset Securitization.
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Securitized debt securities

We have funded certain pools of our loans through secured loan obligations, which include CLO FL4 2021, CLO FL3 2020 and CLO FL2 2020, or collectively, the CLOs. The following table details our securitized debt securities (in thousands of dollars):

                                                                                           September 30, 2022
                                                                    Principal               Book                    Wtd. Avg.
Securitized Debt Obligations                      Count               Balance              Value                 Yield/Cost(1)(2)                  Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets                                  31             $ 1,000,000          $ 1,000,000                           + 3.51  %                   May 2025
Financing provided                                  1                    803,750              799,063                        + 1.57  %                   May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets                                  16                  1,000,000            1,000,000                        + 3.21  %               October 2024
Financing provided                                  1                    808,750              806,068                        + 2.03  %              November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets                                  18                  1,500,000            1,500,000                        + 3.39  %             September 2024
Financing provided                                  1                  1,243,125            1,238,901                        + 1.39  %              February 2038
Total
Collateral assets                                  65             $ 3,500,000          $ 3,500,000                           + 3.37  %
Financing provided(4)                               3             $ 2,855,625          $ 2,844,032                           + 1.62  %





(1)In addition to cash coupon, all-in yield includes the amortization of
deferred origination and extension fees, loan origination costs, purchase
discounts, and accrual of exit fees.
(2)The weighted-average all-in yield and cost are expressed as a spread over the
relevant floating benchmark rates, which include USD LIBOR and SOFR, as
applicable to each securitized debt obligation. As of September 30, 2022, the
floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2
CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%. As of
September 30, 2022, the one-month SOFR was 3.04% and one-month USD LIBOR was
3.14%.
(3)Loan term represents weighted-average final maturity, assuming all extension
options are exercised by the borrower. Repayments of securitized debt
obligations are tied to timing of the related collateral loan asset repayments.
The term of these obligations represents the rated final distribution date of
the securitizations.
(4)During the three and nine months ended September 30, 2022, we recorded
$26.1 million and $52.6 million, respectively, of interest expense related to
our securitized debt obligations.

Refer to Notes 6 and 18 to our Consolidated Financial Statements for more details on our securitized debt securities.

Asset-specific financing

The following table details our outstanding asset-specific financings ($ in
thousands):
                                                    Asset-Specific Financings
                                                  Outstanding Principal Balance
                                           September 30, 2022         December 31, 2021
 Asset-specific debt                    $        959,762             $          400,699
 Loan participations sold(1)                              207,762                       -
 Non-consolidated senior interests(1)                   1,559,405           

1,512,675

 Total asset-specific financings        $      2,726,929             $        1,913,374




(1)These loan participations sold and non-consolidated senior interests provide
structural leverage for our net investments which are reflected in the form of
mezzanine loans or other subordinate interests on our balance sheet and in our
results of operations.
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Asset specific debt

The following table details our specific debt to asset (in thousands of dollars):

                                                     September 30, 2022
                                       Principal                          Wtd. Avg.        Wtd. Avg.
Asset-Specific Debt       Count         Balance        Book Value       Yield/Cost(1)        Term(2)
Collateral assets           4        $ 1,125,108      $ 1,108,063            + 4.56  %      March 2026
Financing provided          4        $   959,762      $   949,891            + 3.09  %      March 2026





(1)These floating rate loans and related liabilities are currency and indexed
matched to the applicable benchmark rate relevant in each arrangement. In
addition to cash coupon, yield/cost includes the amortization of deferred
origination fees and financing costs.
(2)The weighted-average term is determined based on the maximum maturity of the
corresponding loans, assuming all extension options are exercised by the
borrower. Our asset-specific debt is term-matched in each case to the
corresponding collateral loans.

Loan participations sold

The following table details our loan participations sold (in thousands of dollars):

                                                         September 30, 2022
                                           Principal                        Wtd. Avg.
Loan Participations Sold       Count        Balance       Book Value       Yield/Cost(1)       Term(2)
Total loan                       1        $ 259,703      $  257,556             + 4.86  %      March 2027
Senior participation             1        $ 207,762      $  207,225             + 3.20  %      March 2027




(1)This non-debt participation sold structure is inherently matched in terms of
currency and interest rate. In addition to cash coupon, yield/cost includes the
amortization of deferred fees and financing costs.
(2)The term is determined based on the on maximum maturity of the loan, assuming
all extension options are exercised by the borrower.

Non-consolidated first-tier holdings

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 subordinated interests retained on our balance sheet and related unconsolidated senior interests (in thousands of dollars):

                                                                                            September 30, 2022
                                                                     Principal               Book                   Wtd. Avg.                    Wtd. Avg.
Non-Consolidated Senior Interests               Count                 Balance               Value                 Yield/Cost(1)                    Term
Total loan                                        8                $ 1,929,848                     n/a                     + 3.66  %               February 2026
Senior participation                              8                $ 1,559,405                     n/a                     + 2.63  %               February 2026




(1)The weighted-average spread and all-in yield are expressed as a spread over
the relevant floating benchmark rates, which includes USD LIBOR and SOFR, as
applicable to each investment. This non-debt participation sold structure is
inherently matched in terms of currency and interest rate. In addition to cash
coupon, yield/cost includes the amortization of deferred fees and financing
costs.


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Corporate financing

The following table details our outstanding corporate financing ($ in
thousands):
                                                  Corporate Financing
                                             Outstanding Principal Balance
                                      September 30, 2022         December 31, 2021
       Term loans                  $      1,837,717             $        1,349,271
       Senior secured notes                          400,000                 400,000
       Convertible notes                             520,000                 622,500
       Total corporate financing   $      2,757,717             $       
2,371,771


Term Loans

Of the September 30, 2022the 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      $  922,743               + 2.25  %              + 

2.53% April 23, 2026

    B-3 Term Loan      $  416,224               + 2.75  %              + 

3.42% April 23, 2026

    B-4 Term Loan      $  498,750               + 3.50  %              + 3.98  %          May 9, 2029




(1)The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of
0.50%. The B-1 Term Loan and B-3 Term Loan are indexed to one-month USD LIBOR
and the B-4 Term Loan is indexed to one-month SOFR.
(2)Includes issue discount and transaction expenses that are amortized through
interest expense over the life of the Term Loans.

Refer to Notes 2 and 9 to our Consolidated Financial Statements for additional discussion of our term loans.

Senior Secured Notes

As of September 30, 2022, the following Senior Secured Notes, were outstanding
($ in thousands):
Senior Secured Notes        Face Value      Interest Rate      All-in Cost(1)           Maturity
Senior Secured Notes       $  400,000              3.75  %             4.04  %        January 15, 2027



(1) Includes transaction costs which are amortized by interest expense over the life of the senior secured notes.

Refer to Notes 2 and 10 to our Consolidated Financial Statements for additional discussion of our Senior Secured Notes.

Convertible Notes

As of September 30, 2022 the following convertible senior notes, or Convertible
Notes, were outstanding ($ in thousands):
Convertible Notes Issuance               Face Value               Interest Rate            All-in Cost(1)          Conversion Price(2)            Maturity

March 2018                               $  220,000                          4.75  %                 5.33  %                         $36.23           March 15, 2023
March 2022                               $  300,000                          5.50  %                 5.94  %                         $36.27           March 15, 2027




(1)Includes issuance costs that are amortized through interest expense over the
life of the Convertible Notes using the effective interest method.
(2)Represents the price of class A common stock per share based on a conversion
rate of 27.6052 and 27.5702, respectively, for the March 2018 and March 2022
convertible notes. The conversion rate represents the number of shares of class
A common stock issuable per $1,000 principal amount of Convertible Notes. The
cumulative dividend threshold as defined in the respective March 2018 and March
2022 convertible notes supplemental indentures have not been exceeded as of
September 30, 2022.
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Refer to Notes 2 and 11 to our Consolidated Financial Statements for additional discussion of our convertible notes.

Floating rate portfolio

Generally, our business model is such that rising interest rates will increase
our net income, while declining interest rates will decrease net income. As of
September 30, 2022, substantially all of our investments by total loan exposure
earned a floating rate of interest and were financed with liabilities that pay
interest at floating rates, which resulted in an amount of net equity that is
positively correlated to rising interest rates, subject to the impact of
interest rate floors on certain of our floating rate investments.

Our liabilities are generally currency and index-matched to each collateral
asset, resulting in a net exposure to movements in benchmark rates that varies
by currency silo based on the relative proportion of floating rate assets and
liabilities.

The following table details the net exposure of our investment portfolio to interest rates by currency at September 30, 2022 (amounts in thousands):

                                                      USD                  GBP                  EUR              All Other(5)
Floating rate loans(1)(2)                       $ 18,260,755          £ 

€2,828,801 2,724,758 $2,007,173
Variable rate debt(1)(2)(3)

                      (14,682,870)          (2,158,295)          (2,047,629)           (1,532,713)
Net floating rate exposure                      $  3,577,885          £   

670 506 677 129 € $474,460
Net floating rate exposure in USD(4)

            $  3,577,885          $   748,956          $   663,722          $    474,460





(1)Our floating rate loans and related liabilities are currency and indexed
matched to the applicable benchmark rate relevant in each arrangement.
(2)As of September 30, 2022, $13.5 billion and $4.8 billion of floating rate
loans were indexed to USD LIBOR and SOFR, respectively. As of September 30,
2022, $8.5 billion and $6.2 billion of floating rate debt was indexed to USD
LIBOR and SOFR, respectively. As of September 30, 2022, one-month SOFR was 3.04%
and one-month USD LIBOR was 3.14%.
(3)Includes borrowings under secured debt, securitizations, asset-specific
financings, and term loans.
(4)Represents the U.S. Dollar equivalent as of September 30, 2022.
(5)Includes Australian Dollar, Canadian Dollar, Danish Krone, Swedish Krona, and
Swiss Franc currencies.


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III. Our operating results

Operating results

The following table sets forth information regarding our consolidated results of
operations for the three months ended September 30, 2022 and June 30, 2022 ($ in
thousands, except per share data):


                                                                     Three Months Ended                     Change
                                                            September 30,
                                                                2022               June 30, 2022               $
Income from loans and other investments
Interest and related income                                $    358,557          $      283,687          $   74,870
Less: Interest and related expenses                                202,375                 136,619              65,756
Income from loans and other investments, net                       156,182                 147,068               9,114
Other expenses
Management and incentive fees                                       25,911                  27,065             (1,154)
General and administrative expenses                                 12,932                  12,409                 523
Total other expenses                                                38,843                  39,474               (631)
Increase in current expected credit loss reserve                  (12,248)                (12,983)                 735
Income before income taxes                                         105,091                  94,611              10,480
Income tax provision                                                 1,172                     746                 426
Net income                                                         103,919                  93,865              10,054
Net income attributable to non-controlling interests                 (673)                   (615)                (58)

Net income attributable to Blackstone Mortgage Trust, Inc. $103,246

      $       93,250          $    9,996
Net income per share of common stock
Basic                                                      $       0.60          $         0.55          $     0.05
Diluted                                                    $       0.59     

$0.54 $0.05
Weighted average common shares outstanding Basic

                                                          170,971,874             170,665,601             306,273
Diluted                                                        185,316,078             185,009,805             306,273
Dividends declared per share                               $       0.62     

$0.62 –

Income from loans and other investments, net

Income from loans and other investments, net increased $9.1 million during the
three months ended September 30, 2022 compared to the three months ended
June 30, 2022. The increase was primarily due to (i) an increase in USD LIBOR,
SOFR, SONIA, and other floating rate indices and (ii) an increase in the
weighted-average principal balance of our loan portfolio by $764.1 million for
the three months ended September 30, 2022, as compared to the three months ended
June 30, 2022. This was offset by an increase in the weighted-average principal
balance of our outstanding financing arrangements by $681.8 million for the
three months ended September 30, 2022, as compared to the three months ended
June 30, 2022.

Other expenses

Other expenses include management and incentive fees payable to our Manager and
general and administrative expenses. Other expenses decreased by $631,000 during
the three months ended September 30, 2022 compared to the three months ended
June 30, 2022 due to a decrease of (i) $1.2 million of incentive fees payable to
our Manager and (ii) non-cash restricted stock amortization of $199,000 related
to shares awarded under our long-term incentive plans. This was offset by an
increase of (i) $723,000 of general operating expenses, and (iii) $70,000 of
management fees payable to our Manager.



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Changes in the current reserve for expected credit losses

During the three months ended September 30, 2022, we recorded a $12.2 million
increase in the CECL reserve, as compared to a $13.0 million increase during the
three months ended June 30, 2022. See Notes 2 and 3 to our consolidated
financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling interests

In the three months ended September 30, 2022 and June 30, 2022we have registered
$673,000 and $615,000respectively, net income attributable to non-controlling interests related to our multi-family joint venture.

Dividends per share

During the three months ended September 30, 2022, we declared aggregate
dividends of $0.62 per share, or $106.0 million. During the three months ended
June 30, 2022, we declared aggregate dividends of $0.62 per share, or $105.6
million.


The following table sets forth information regarding our consolidated results of
operations for the nine months ended September 30, 2022 and September 30, 2021
($ in thousands, except per share data):

                                                                    Nine Months Ended                     Change
                                                           September 30,         September 30,
                                                               2022                  2021                   $
Income from loans and other investments
Interest and related income                               $    876,676          $    583,941          $   292,735
Less: Interest and related expenses                               439,708               243,413              196,295
Income from loans and other investments, net                      436,968               340,528               96,440
Other expenses
Management and incentive fees                                      76,462                60,094               16,368
General and administrative expenses                                37,701                32,108                5,593
Total other expenses                                              114,163                92,202               21,961
(Increase) decrease in current expected credit loss              (22,694)                49,432             (72,126)
reserve
Income before income taxes                                        300,111               297,758                2,353
Income tax provision                                                2,064                   346                1,718
Net income                                                        298,047               297,412                  635
Net income attributable to non-controlling interests              (1,864)               (2,158)                  294

Net income attributable to Blackstone Mortgage Trust, $296,183

     $    295,254          $       929
Inc.
Net income per share of common stock
Basic                                                     $       1.74          $       2.00          $     (0.26)
Diluted                                                   $       1.71          $       2.00          $     (0.29)
Weighted-average shares of common stock outstanding
Basic                                                         170,303,470           147,971,737           22,331,733
Diluted                                                       182,011,842           147,971,737           34,040,105
Dividends declared per share                              $       1.86          $       1.86          $         -

Income from loans and other investments, net

Income from loans and other investments, net increased $96.4 million during the
nine months ended September 30, 2022 compared to the nine months ended
September 30, 2021. The increase was primarily due to (i) an increase in USD
LIBOR, SOFR, SONIA, and other floating rate indices during 2022, (ii) an
increase in the weighted-average principal balance of our loan portfolio by $6.4
billion for the nine months ended September 30, 2022, as compared to the nine
months ended September 30, 2021, and (iii) an increase in prepayment fee income.
This was offset by an increase in the weighted-average principal balance of our
outstanding financing arrangements by $5.7 billion for the nine months ended
September 30, 2022, as compared to the nine months ended September 30, 2021.
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Other expenses

Other expenses include management and incentive fees payable to our Manager and
general and administrative expenses. Other expenses increased by $22.0 million
during the nine months ended September 30, 2022 compared to the nine months
ended September 30, 2021 due to an increase of (i) $8.7 million of incentive
fees payable to our Manager, primarily due to an increase in Distributable
Earnings, (ii) $7.7 million of management fees payable to our Manager, primarily
as a result of net proceeds received from the sale of shares of our class A
common stock during 2021, (iii) $4.5 million of general operating expenses, and
(iv) $1.0 million of non-cash restricted stock amortization related to shares
issued under our long-term incentive plans.

Changes in the current reserve for expected credit losses

During the nine months ended September 30, 2022, we recorded a $22.7 million
increase in the CECL reserve, as compared to a $49.4 million decrease during the
nine months ended September 30, 2021. See Notes 2 and 3 to our consolidated
financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling interests

In the nine months ended September 30, 2022 and September 30, 2021we have registered $1.9 million and $2.2 millionrespectively, net income attributable to non-controlling interests related to our multi-family joint venture.

Dividends per share

In the nine months ended September 30, 2022we declared total dividends of $1.86 per share, or $317.1 million. In the nine months ended
September 30, 2021we declared total dividends of $1.86 per share, or
$279.7 million.

IV. Cash and capital resources

Capitalization

We have capitalized our business to date primarily through the issuance and sale
of shares of our class A common stock, corporate debt, and asset-level
financings. As of September 30, 2022, our capitalization structure included $4.7
billion of common equity, $2.8 billion of corporate debt, and $18.8 billion of
asset-level financings. Our $2.8 billion of corporate debt includes $1.8 billion
of term loan borrowings, $400.0 million of senior secured notes, and $520.0
million of convertible notes. Our $18.8 billion of asset-level financings
includes $13.2 billion of secured debt, $2.9 billion of securitizations, and
$2.7 billion of asset-specific financings all of which are structured to produce
term, currency, and index matched funding with no margin call provisions based
upon capital markets events.

Of the September 30, 2022We have $1.7 billion cash that can be used to meet our short-term cash requirements and as working capital for our business.

See Notes 5, 6, 7, 8, 9, 10, and 11 to our consolidated financial statements for
additional details regarding our secured debt, securitized debt obligations,
asset-specific debt, loan participations sold, Term Loans, Senior Secured Notes,
and Convertible Notes, respectively.

Debt ratio and total leverage ratio

The following table presents our debt-to-equity ratio and total leverage ratio:


                           September 30, 2022      December 31, 2021
Debt-to-equity ratio(1)           3.6x                    3.2x
Total leverage ratio(2)           4.6x                    4.2x




(1)Represents (i) total outstanding secured debt, asset-specific debt, term
loans, senior secured notes, and convertible notes, less cash, to (ii) total
equity, in each case at period end.
(2)Represents (i) total outstanding secured debt, securitizations,
asset-specific financings, term loans, senior secured notes, and convertible
notes, less cash, to (ii) total equity, in each case at period end.

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Sources of liquidity

Our primary sources of liquidity include cash and cash equivalents, available
borrowings under our secured debt facilities, and net receivables from servicers
related to loan repayments, which are set forth in the following table ($ in
thousands):


                                                                   September 30,         December 31,
                                                                       2022                  2021
Cash and cash equivalents                                         $    271,899          $    551,154
Available borrowings under secured debt                                 1,398,058               754,900
Loan principal payments held by servicer, net(1)                            1,902                17,528
                                                                  $  1,671,859          $  1,323,582




(1)Represents loan principal payments held by our third-party servicer as of the
balance sheet date which were remitted to us during the subsequent remittance
cycle, net of the related secured debt balance.

During the nine months ended September 30, 2022, we generated cash flow from
operating activities of $266.6 million and received (i) $2.7 billion from loan
principal collections and sales proceeds, (ii) $1.8 billion of net proceeds from
secured debt borrowings, (iii) $575.9 million of net proceeds from
asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan
borrowings, (v) $294.0 million of net proceeds from the issuance of convertible
notes, (vi) $272.0 million of net cash settlements on our foreign currency
forward contracts, (vii) $245.3 million from the sale of a senior loan
participation, and (viii) $70.7 million of net proceeds from the issuance of
shares of class A common stock. Furthermore, we are able to generate incremental
liquidity through the replenishment provisions of our CLOs, which allow us to
replace a repaid loan in the CLO by increasing the principal amount of existing
CLO collateral assets to maintain the aggregate amount of collateral assets in
the CLO, and the related financing outstanding.

We have access to further liquidity through public offerings of debt and equity
securities. To facilitate such offerings, in July 2022, we filed a shelf
registration statement with the SEC that is effective for a term of three years
and expires in July 2025. The amount of securities to be issued pursuant to this
shelf registration statement was not specified when it was filed and there is no
specific dollar limit on the amount of securities we may issue. The securities
covered by this registration statement include: (i) class A common stock; (ii)
preferred stock; (iii) depositary shares representing preferred stock; (iv) debt
securities; (v) warrants; (vi) subscription rights; (vii) purchase contracts;
and (viii) units consisting of one or more of such securities or any combination
of these securities. The specifics of any future offerings, along with the use
of proceeds of any securities offered, will be described in detail in a
prospectus supplement, or other offering materials, at the time of any offering.

We may also access liquidity through our dividend reinvestment plan and direct
stock purchase plan, under which 9,984,370 shares of class A common stock were
available for issuance as of September 30, 2022, and our at the market stock
offering program, pursuant to which we may sell, from time to time, up to $480.9
million of additional shares of our class A common stock as of September 30,
2022. Refer to Note 13 to our consolidated financial statements for additional
details.

Liquidity Needs

In addition to our loan origination activity and general operating expenses, our
primary liquidity needs include interest and principal payments under our $13.2
billion of outstanding borrowings under secured debt, our asset-specific debt,
our Term Loans, our Senior Secured Notes, and our Convertible Notes.
As of September 30, 2022, we had unfunded commitments of $4.1 billion related to
122 loans receivable and $2.7 billion of committed or identified financing for
those commitments resulting in net unfunded commitments of $1.4 billion. The
unfunded loan commitments comprise funding for capital expenditures and
construction, leasing costs, and interest and carry costs, and their fundability
varies depending on the progress of capital projects, leasing, and cash flows at
the properties securing our loans. Therefore, the exact timing and amounts of
such future loan fundings are uncertain and will depend on the current and
future performance of the underlying collateral assets. We expect to fund our
loan commitments over the remaining term of the related loans, which have a
weighted-average future funding period of 3.9 years.




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Contractual obligations and commitments

Our contractual obligations and commitments September 30, 2022 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)              $  4,126,886          $   134,565 

$1,395,292 $1,240,732 $1,356,297
Principal repayments under guarantees

             13,213,212              400,435            4,255,279             7,837,659              719,839

debt(3)

Principal repayments under asset-specific         959,762                    -              521,838               354,858               83,066

debt(3)

Principal repayments of term loans(4)           1,837,717               18,738               37,477             1,307,752              473,750
Principal repayments of senior secured            400,000                    -                    -               400,000                    -

Remarks

Principal repayments of convertible               520,000              220,000                    -               300,000                    -
notes(5)
Interest payments(3)(6)                         2,596,262              765,801            1,219,051               535,582               75,828
Total(7)                                  $ 23,653,839          $ 1,539,539          $ 7,428,937          $ 11,976,583          $ 2,708,780




(1)Represents known and estimated short-term cash requirements related to our
contractual obligations and commitments. Refer to the sources of liquidity
section above for our sources of funds to satisfy our short-term cash
requirements.
(2)The allocation of our unfunded loan commitments is based on the earlier of
the commitment expiration date or the final loan maturity date, however we may
be obligated to fund these commitments earlier than such date.
(3)The allocation of repayments under our secured debt and asset-specific debt
for both principal and interest payments is based on the earlier of (i) the
maturity date of each agreement, or (ii) the maximum maturity date of the
collateral loans, assuming all extension options are exercised by the borrower.
(4)The Term Loans are partially amortizing, with an amount equal to 1.0% per
annum of the initial principal balance due in quarterly installments. Refer to
Note 9 for further details on our term loans.
(5)Reflects the outstanding principal balance of convertible notes, excluding
any potential conversion premium. Refer to Note 11 to our consolidated financial
statements for further details on our convertible notes.
(6)Represents interest payments on our secured debt, asset-specific debt, term
loans, senior secured notes, and convertible notes. Future interest payment
obligations are estimated assuming the interest rates in effect as of
September 30, 2022 will remain constant into the future. This is only an
estimate as actual amounts borrowed and interest rates will vary over time.
(7)Total does not include $2.9 billion of consolidated securitized debt
obligations, $1.6 billion of non-consolidated senior interests, and $207.8
million of loan participations sold, as the satisfaction of these liabilities
will not require cash outlays from us.

We are also required to settle our foreign exchange derivatives with our derivative counterparties on maturity which, depending on fluctuations in foreign exchange rates, may result in cash being received from or due to the respective counterparty. The table above does not include these amounts as they are neither fixed nor determinable. Refer to Note 12 to our Consolidated Financial Statements for further details regarding our derivative contracts.

We are required to pay our Manager a base management fee, an incentive fee, and
reimbursements for certain expenses pursuant to our Management Agreement. The
table above does not include the amounts payable to our Manager under our
Management Agreement as they are not fixed and determinable. Refer to Note 14 to
our consolidated financial statements for additional terms and details of the
fees payable under our Management Agreement.

As a REIT, we generally must distribute substantially all of our net taxable
income to stockholders in the form of dividends to comply with the REIT
provisions of the Internal Revenue Code. Our taxable income does not necessarily
equal our net income as calculated in accordance with GAAP, or our Distributable
Earnings as described above.
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Cash flow

The following table presents a breakdown of the net change in our cash and cash equivalents (in thousands of dollars):

                                                                      Nine 

Months ended September 30,

                                                                         2022                    2021
Cash flows provided by operating activities                      $         266,610          $    255,022
Cash flows used in investing activities                                   (3,200,070)           (3,926,040)
Cash flows provided by financing activities                                 2,671,630             3,616,649
Net decrease in cash and cash equivalents                        $        

(261,830) ($54,369)


We experienced a net decrease in cash and cash equivalents of $261.8 million for
the nine months ended September 30, 2022, compared to a net decrease of $54.4
million for the nine months ended September 30, 2021. During the nine months
ended September 30, 2022, we (i) funded $6.2 billion of loans, (ii) repaid
$402.5 million of convertible notes, and (iii) paid $315.4 million of dividends
on our class A common stock. During the nine months ended September 30, 2022, we
received (i) $2.7 billion from loan principal collections and sales proceeds,
(ii) $1.8 billion of net proceeds from secured debt borrowings, (iii)
$575.9 million of net proceeds from asset-specific debt, (iv) $492.5 million of
net proceeds from secured term loan borrowings, (v) $294.0 million of net
proceeds from the issuance of convertible notes, (vi) $272.0 million of net cash
settlements on our foreign currency forward contracts, (vii) $245.3 million from
the sale of a senior loan participation, and (viii) $70.7 million of net
proceeds from the issuance of shares of class A common stock.

Refer to Note 3 to our consolidated financial statements for further discussion
of our loan activity. Refer to Notes 5, 7, 8, 9, 11, and 13 to our consolidated
financial statements for additional discussion of our secured debt,
asset-specific debt, loan participations sold, term loans, convertible notes,
and equity, respectively.

V. Other Items

Income Taxes

We have elected to be taxed as a REIT under the Internal Revenue Code 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 September 30, 2022 and
December 31, 2021, we were in compliance with all REIT requirements.

In addition, our taxable REIT subsidiaries are subject to federal, state and local income taxes on their net taxable income. Refer to Note 15 to our Consolidated Financial Statements for additional discussion of our income taxes.

Critical accounting policies

Our discussion and analysis of our financial condition and results of operations
is based upon our consolidated financial statements, which have been prepared in
accordance with GAAP. There have been no material changes to our Critical
Accounting Policies described in our annual report on Form 10-K filed with the
SEC on February 9, 2022.




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Currently 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 August 31, 2022. Within this database, we focused our historical loss
reference calculations on the most relevant subset of available CMBS data, which
we determined based on loan metrics that are most comparable to our loan
portfolio including asset type, geography, and origination loan-to-value, or
LTV. We believe this CMBS data, which includes month-over-month loan and
property performance, is the most relevant, available, and comparable dataset to
our portfolio.

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

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

•Expectations of performance and market conditions: Our CECL reserve is adjusted
to reflect our estimation of the current and future economic conditions that
impact the performance of the commercial real estate assets securing our loans.
These estimations include unemployment rates, interest rates, and other
macroeconomic factors impacting the likelihood and magnitude of potential credit
losses for our loans during their anticipated term. In addition to the CMBS data
we have licensed 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. We may
also incorporate information from other sources, including information and
opinions available to our Manager, to further inform these estimations. This
process requires significant judgments about future events that, while based on
the information available to us as of the balance sheet date, are ultimately
indeterminate and the actual economic condition impacting our portfolio could
vary significantly from the estimates we made as of September 30, 2022.

•Impairment: impairment is indicated when it is deemed probable that we will not
be able to collect all amounts due to us pursuant to the contractual terms of
the loan. Determining that a loan is impaired requires significant judgment from
management and is based on several factors including (i) the underlying
collateral performance, (ii) discussions with the borrower, (iii) borrower
events of default, and (iv) other facts that impact the borrower's ability to
pay the contractual amounts due under the terms of the loan. If a loan is
determined to be impaired, we record the impairment as a component of our CECL
reserve by applying the practical expedient for collateral dependent loans. The
CECL reserve is assessed on an individual basis for these loans by comparing the
estimated fair value of the underlying collateral, less costs to sell, to the
book value of the respective loan. These valuations require significant
judgments, which include assumptions regarding capitalization rates, discount
rates, leasing, creditworthiness of major tenants, occupancy rates, availability
and cost of financing, exit plan, loan sponsorship, actions of other lenders,
and other factors deemed relevant by us. Actual losses, if any, could ultimately
differ materially from these estimates. We only expect to realize the impairment
losses if and when such amounts are deemed nonrecoverable upon a realization
event. This is generally at the time a loan is repaid, or in the case of
foreclosure, when the underlying asset is sold, but non-recoverability may also
be concluded if, in our determination, it is nearly certain that all amounts due
will not be collected.
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These assumptions vary from quarter to quarter as our loan portfolio changes and
market and economic conditions evolve. The sensitivity of each assumption and
its impact on the CECL reserve may change over time and from period to period.
During the three months ended September 30, 2022, we recorded an aggregate
$12.2 million increase in the CECL reserve related to our loans receivable and
unfunded loan commitments, bringing our total reserve to $153.7 million as of
September 30, 2022. See Notes 2 and 3 to our consolidated financial statements
for further discussion of our CECL reserve.

Revenue recognition

Interest income from our loans receivable portfolio and debt securities is
recognized over the life of each investment using the effective interest method
and is recorded on the accrual basis. Recognition of fees, premiums, and
discounts associated with these investments is deferred and recorded over the
term of the loan or debt security as an adjustment to yield. Income accrual is
generally suspended for loans at the earlier of the date at which payments
become 90 days past due or when, in our opinion, recovery of income and
principal becomes doubtful. Interest received is then recorded as a reduction in
the outstanding principal balance until accrual is resumed when the loan becomes
contractually current and performance is demonstrated to be resumed. In
addition, for loans we originate, the related origination expenses are deferred
and recognized as a component of interest income, however expenses related to
loans we acquire are included in general and administrative expenses as
incurred.
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VI. Loan Portfolio Details
The following table provides details of our loan portfolio, on a loan-by-loan
basis, as of September 30, 2022 ($ in millions):
                                        Origination            Total              Principal           Net Book           Cash                    All-in                     Maximum                                                                      Loan Per                   Origination             Risk
                Loan Type(1)              Date(2)            Loan(3)(4)          Balance(4)            Value           Coupon(5)                Yield(5)                  Maturity(6)              Location                 Property Type            SQFT / Unit / Key                LTV(2)               Rating
      1       Senior Loan                    8/14/2019     $     1,067          $      989          $     986           +2.62      %            +3.22      %                 12/23/2024     Dublin - IE                   Office                              $369 / sqft                     74  %           2
      2       Senior Loan                    6/24/2022                847                 847                839        +4.75      %            +5.07      %                  6/21/2029     Diversified - AU              Hospitality                         $385 / sqft                     59  %           3
      3       Senior Loan                     4/9/2018              1,487                 799                790        +4.64      %            +5.84      %                   6/9/2025     New York                      Office                              $525 / sqft                     48  %           2
      4       Senior Loan(4)                 12/9/2021                770                 702                403        +2.65      %            +2.81      %                  12/9/2026     New York                      Mixed-Use                           $232 / sqft                     50  %           2
      5       Senior Loan(4)                  8/7/2019                746                 630                127        +3.12      %            +3.61      %                   9/9/2025     Los Angeles                   Office                              $426 / sqft                     59  %           3
      6       Senior Loan                    3/22/2018                616                 616                616        +3.25      %            +3.31      %                  3/15/2026     Diversified - Spain           Mixed-Use                                 n / a                     71  %           4
      7       Senior Loan                    3/30/2021                448                 448                445        +3.20      %            +3.41      %                  5/15/2026     Diversified - SE              Industrial                           $83 / sqft                     76  %           2
      8       Senior Loan(4)                12/17/2021                448                 440                 88        +3.95      %            +4.35      %                   1/9/2026     Diversified - US              Other                            $13,716 / unit                     61  %           2
      9       Senior Loan                    7/23/2021                500                 372                367        +4.00      %            +4.42      %                   8/9/2027     New York                      Multi                           $498,816 / unit                     58  %           3
     10       Senior Loan                    8/22/2018                363                 363                363        +3.40      %            +3.40      %                   8/9/2023     Maui                          Hospitality                      $471,391 / key                     61  %           1
     11       Senior Loan                    4/11/2018                355                 345                344        +2.85      %            +3.10      %                   5/1/2023     New York                      Office                              $437 / sqft                     71  %           3
     12       Senior Loan(4)                11/22/2019                470                 341                 68        +3.70      %            +4.14      %                  12/9/2025     Los Angeles                   Office                              $342 / sqft                     69  %           3
     13       Senior Loan                    9/23/2019                343                 314                312        +3.00      %            +3.20      %                 11/15/2024     Diversified - Spain           Hospitality                      $171,617 / key                     62  %           4
     14       Senior Loan                    2/27/2020                303                 302                302        +2.70      %            +3.04      %                   3/9/2025     New York                      Multi                               $948 / sqft                     59  %           2
     15       Senior Loan                   10/25/2021                288                 288                286        +4.30      %            +4.62      %                 10/25/2024     Diversified - AU              Hospitality                      $141,942 / key                     56  %           3
     16       Senior Loan                   11/30/2018                286                 286                285            n/m(7) %                n/m(7) %                   8/9/2025     New York                      Hospitality                      $306,870 / key                     73  %           5
     17       Senior Loan                    9/29/2021                312                 284                282        +2.70      %            +2.91      %                  10/9/2026     Washington, DC                Office                              $370 / sqft                     66  %           2
     18       Senior Loan                   12/11/2018                310                 280                281        +2.55      %            +2.77      %                  12/9/2023     Chicago                       Office                              $236 / sqft                     78  %           4
     19       Senior Loan                   10/23/2018                290                 279                279        +2.80      %            +3.04      %                  11/9/2024     Atlanta                       Office                              $260 / sqft                     64  %           2
     20       Senior Loan                     5/6/2022                277                 277                275        +3.50      %            +3.79      %                   5/6/2027     Diversified - UK              Industrial                           $86 / sqft                     53  %           2
     21       Senior Loan                    9/30/2021                280                 271                269        +2.50      %            +2.77      %                  9/30/2026     Dallas                        Multi                           $142,933 / unit                     74  %           3
     22       Senior Loan                    1/11/2019                268                 268                267        +4.35      %            +4.70      %                  1/11/2026     Diversified - UK              Other                               $265 / sqft                     74  %           4
     23       Senior Loan                    4/26/2021                264                 264                262        +2.45      %            +2.63      %                   5/9/2026     Diversified - US              Multi                           $156,393 / unit                     75  %           3
     24       Senior Loan                    3/25/2022                260                 260                258        +4.50      %            +4.86      %                  3/25/2027     Diversified - UK              Hospitality                      $118,559 / key                     65  %           3
     25       Senior Loan                   11/30/2018                263                 259                259        +2.80      %            +3.03      %                  12/9/2024     San Francisco                 Hospitality                      $377,489 / key                     73  %           4
     26       Senior Loan                    9/14/2021                259                 254                253        +2.50      %            +2.76      %                  9/14/2026     Dallas                        Multi                           $205,828 / unit                     72  %           3
     27       Senior Loan                    7/15/2021                278                 232                229        +4.25      %            +4.74      %                  7/15/2026     Diversified - EUR             Hospitality                      $177,004 / key                     53  %           3
     28       Senior Loan                    2/23/2022                245                 227                225        +2.60      %            +2.84      %                   3/9/2027     Reno                          Multi                           $210,655 / unit                     74  %           3
     29       Senior Loan                    9/16/2021                247                 225                224        +3.80      %            +4.49      %                   4/9/2024     San Francisco                 Office                              $273 / sqft                     53  %           3
     30       Senior Loan                     6/8/2022                272                 225                223        +3.35      %            +3.70      %                   6/9/2027     New York                      Office                            $1,259 / sqft                     75  %           3


                                                                      continued…



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                                       Origination            Total             Principal           Net Book           Cash                    All-in                     Maximum                                                                       Loan Per                   Origination             Risk
                Loan Type(1)             Date(2)           Loan(3)(4)          Balance(4)            Value           Coupon(5)                Yield(5)                  Maturity(6)               Location                 Property Type            SQFT / Unit / Key                LTV(2)               Rating
     31       Senior Loan                   4/29/2022     $      210          $      210          $     208           +3.45      %            +3.68      %                   3/3/2027     Diversified - UK               Hospitality                               n / a                     41  %           2
     32       Senior Loan                   4/23/2021               219                 209                209        +3.65      %            +3.77      %                   5/9/2024     Washington, DC                 Office                              $234 / sqft                     57  %           4
     33       Senior Loan                   8/31/2017               203                 203                203        +2.50      %            +2.74      %                   9/9/2023     Orange County                  Office                              $236 / sqft                     64  %           3
     34       Senior Loan                   10/1/2019               248                 197                196        +3.75      %            +4.28      %                  10/9/2025     Atlanta                        Office                              $369 / sqft                     68  %           1
     35       Senior Loan                   9/30/2021               195                 195                194        +3.75      %            +4.10      %                  10/9/2026     Boca Raton                     Multi                           $532,787 / unit                     77  %           3
     36       Senior Loan                  12/22/2016               202                 191                192        +3.90      %            +4.65      %                  12/9/2023     New York                       Office                              $268 / sqft                     64  %           4
     37       Senior Loan                   7/16/2021               204                 189                188        +3.25      %            +3.81      %                  2/15/2027     London - UK                    Multi                           $215,007 / unit                     69  %           3
     38       Senior Loan                   6/28/2019               183                 183                182        +3.70      %            +4.37      %                  6/27/2024     London - UK                    Office                              $598 / sqft                     71  %           3
     39       Senior Loan                    6/4/2018               183                 183                182        +3.50      %            +3.76      %                   6/9/2024     New York                       Hospitality                      $301,071 / key                     52  %           4
     40       Senior Loan                   2/15/2022               191                 177                176        +2.90      %            +3.14      %                   3/9/2027     Denver                         Office                              $353 / sqft                     61  %           3
     41       Senior Loan                   6/27/2019               188                 175                175        +2.80      %            +2.80      %                  8/15/2026     Berlin - DEU                   Office                              $184 / sqft                     62  %           3
     42       Senior Loan                   9/30/2021               217                 172                170        +4.00      %            +4.49      %                  9/30/2026     Diversified - Spain            Hospitality                      $155,064 / key                     60  %           3
     43       Senior Loan                   9/30/2021               256                 172                170        +3.00      %            +3.35      %                  10/9/2028     Chicago                        Office                              $190 / sqft                     74  %           3
     44       Senior Loan                   9/26/2019               165                 165                165        +3.10      %            +3.34      %                   7/9/2023     New York                       Office                              $241 / sqft                     65  %           3
     45       Senior Loan                  12/17/2021               168                 165                164        +3.95      %            +4.33      %                   1/9/2026     Diversified - US               Other                             $5,680 / unit                     48  %           2
     46       Senior Loan                   9/25/2019               164                 164                164        +4.35      %            +4.87      %                  9/26/2024     London - UK                    Office                              $749 / sqft                     72  %           3
     47       Senior Loan                  11/23/2018               164                 164                163        +2.62      %            +2.87      %                  2/15/2024     Diversified - UK               Office                              $486 / sqft                     50  %           3
     48       Senior Loan                  12/21/2021               168                 162                160        +2.82      %            +3.11      %                  4/29/2027     London - UK                    Industrial                          $332 / sqft                     67  %           3
     49       Senior Loan                   7/23/2021               244                 160                158        +5.00      %            +5.39      %                   8/9/2027     New York                       Office                              $519 / sqft                     53  %           3
     50       Senior Loan                   10/7/2021               165                 159                159        +3.25      %            +3.58      %                  10/9/2025     Los Angeles                    Office                              $325 / sqft                     68  %           3
     51       Senior Loan                   5/27/2021               205                 159                158        +2.70      %            +2.99      %                   6/9/2026     Atlanta                        Office                              $134 / sqft                     66  %           3
     52       Senior Loan                    3/7/2022               156                 156                155        +3.45      %            +3.63      %                   6/9/2026     Los Angeles                    Hospitality                      $624,000 / key                     64  %           3
     53       Senior Loan                   8/24/2021               179                 154                153        +3.10      %            +3.41      %                   9/9/2026     San Jose                       Office                              $367 / sqft                     65  %           3
     54       Senior Loan                   1/27/2022               178                 154                153        +3.10      %            +3.44      %                   2/9/2027     Dallas                         Multi                           $100,663 / unit                     71  %           3
     55       Senior Loan                    3/9/2022               151                 151                150        +2.95      %            +3.17      %                  8/15/2027     Various                        Retail                              $129 / sqft                     55  %           2
     56       Senior Loan                   8/31/2021               150                 150                149        +3.15      %            +3.42      %                   9/9/2026     Diversified - US               Retail                              $299 / sqft                     65  %           2
     57       Senior Loan                    9/4/2018               163                 150                149        +4.25      %            +4.50      %                   9/9/2024     Las Vegas                      Hospitality                      $181,054 / key                     70  %           3
     58       Senior Loan                   5/13/2021               199                 145                143        +3.55      %            +3.94      %                   6/9/2026     Boston                         Office                              $733 / sqft                     64  %           3
     59       Senior Loan                   1/17/2020               203                 144                144        +2.75      %            +3.16      %                   2/9/2025     New York                       Mixed-Use                           $119 / sqft                     43  %           3
     60       Senior Loan                   7/29/2022               246                 143                139        +4.60      %            +5.78      %                  7/27/2027     London - UK                    Industrial                          $201 / sqft                     52  %           3



                                                                      continued…





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                                       Origination            Total             Principal           Net Book           Cash                    All-in                     Maximum                                                                     Loan Per                   Origination             Risk
                Loan Type(1)             Date(2)           Loan(3)(4)          Balance(4)            Value           Coupon(5)                Yield(5)                  Maturity(6)              Location                Property Type            SQFT / Unit / Key                LTV(2)               Rating
     61       Senior Loan                   3/10/2020     $      140          $      132          $     132           +2.50      %            +2.50      %                 10/11/2024     New York                     Mixed-Use                           $805 / sqft                     53  %           2
     62       Senior Loan                   9/14/2021               132                 128                127        +2.70      %            +2.95      %                  10/9/2026     San Bernardino               Multi                           $257,631 / unit                     75  %           3
     63       Senior Loan                    1/7/2022               155                 127                126        +3.70      %            +3.96      %                   1/9/2027     Fort Lauderdale              Office                              $327 / sqft                     55  %           1
     64       Senior Loan                  11/27/2019               146                 127                127        +2.75      %            +3.13      %                  12/9/2024     Minneapolis                  Office                              $127 / sqft                     64  %           3
     65       Senior Loan                  11/18/2021               126                 126                126        +3.25      %            +3.51      %                 10/21/2026     London - UK                  Other                               $173 / sqft                     65  %           2
     66       Senior Loan                  12/20/2019               126                 126                125        +3.10      %            +3.32      %                 12/18/2026     London - UK                  Office                              $636 / sqft                     75  %           2
     67       Senior Loan                    4/3/2018               126                 125                125        +2.75      %            +2.92      %                   4/9/2024     Dallas                       Retail                              $761 / sqft                     64  %           3
     68       Senior Loan                   3/28/2022               150                 124                123        +3.05      %            +3.35      %                   4/9/2027     Miami                        Office                              $341 / sqft                     69  %           3
     69       Senior Loan                   6/30/2022               122                 122                121        +3.75      %            +3.93      %                  9/30/2025     Canberra - AU                Hospitality                         $493 / sqft                     60  %           3
     70       Senior Loan                    6/1/2021               120                 120                120        +2.85      %            +3.05      %                   6/9/2026     Miami                        Multi                           $298,507 / unit                     61  %           2
     71       Senior Loan                    4/6/2021               123                 120                119        +3.20      %            +3.52      %                   4/9/2026     Los Angeles                  Office                              $505 / sqft                     65  %           3
     72       Senior Loan                   4/29/2022               118                 118                117        +3.50      %            +3.77      %                  2/18/2027     Napa Valley                  Hospitality                    $1,235,602 / key                     66  %           2
     73       Senior Loan                   6/28/2019               125                 117                117        +2.75      %            +2.91      %                   2/1/2024     Los Angeles                  Office                              $591 / sqft                     48  %           3
     74       Senior Loan                   7/15/2019               138                 117                116        +3.01      %            +3.43      %                   8/9/2024     Houston                      Office                              $211 / sqft                     58  %           3
     75       Senior Loan                   5/20/2021               148                 115                114        +3.60      %            +4.00      %                   6/9/2026     San Jose                     Office                              $295 / sqft                     65  %           3
     76       Senior Loan                   8/27/2021               122                 115                114        +3.00      %            +3.29      %                   9/9/2026     San Diego                    Retail                              $434 / sqft                     58  %           3
     77       Senior Loan                  10/21/2021               114                 114                114        +2.90      %            +3.15      %                  11/9/2025     Fort Lauderdale              Multi                           $334,311 / unit                     64  %           1
     78       Senior Loan                  12/21/2021               120                 111                110        +2.70      %            +3.00      %                   1/9/2027     Washington, DC               Office                              $380 / sqft                     68  %           3
     79       Senior Loan                   2/25/2022               110                 110                109        +4.00      %            +4.31      %                  2/25/2027     Copenhagen - DK              Industrial                           $78 / sqft                     69  %           2
     80       Senior Loan                   3/29/2021               114                 109                108        +3.90      %            +4.49      %                  3/29/2026     Diversified - UK             Multi                            $47,517 / unit                     61  %           3
     81       Senior Loan                   3/13/2018               123                 106                106        +3.00      %            +3.27      %                   4/9/2027     Honolulu                     Hospitality                      $163,717 / key                     50  %           3
     82       Senior Loan                   2/15/2022               106                 104                103        +2.85      %            +3.19      %                   3/9/2027     Tampa                        Multi                           $238,308 / unit                     73  %           3
     83       Senior Loan                   6/28/2022               675                 104                 97        +4.60      %            +5.04      %                   7/9/2029     Austin                       Mixed-Use                            $86 / sqft                     53  %           3
     84       Senior Loan                   3/17/2022               242                 101                100        +3.75      %            +4.51      %                  6/30/2025     London - UK                  Office                              $456 / sqft                     62  %           3
     85       Senior Loan                  12/29/2021               110                 100                 99        +2.85      %            +3.06      %                   1/9/2027     Phoenix                      Multi                               $260 / sqft                     64  %           3
     86       Senior Loan                  12/21/2018               108                 100                100        +2.60      %            +2.85      %                   1/9/2024     Chicago                      Office                              $194 / sqft                     72  %           3
     87       Senior Loan                   3/29/2022               103                  99                 99        +2.70      %            +2.96      %                   4/9/2027     Miami                        Multi                           $276,762 / unit                     75  %           3
     88       Senior Loan                    7/1/2021               104                  99                 99        +3.10      %            +3.35      %                   7/9/2026     Diversified - US             Retail                              $281 / sqft                     61  %           2
     89       Senior Loan                   10/1/2021               101                  99                 98        +2.75      %            +3.02      %                  10/1/2026     Phoenix                      Multi                           $228,201 / unit                     77  %           3
     90       Senior Loan                   6/18/2021                99                  99                 98        +2.60      %            +2.83      %                   7/9/2026     New York                     Industrial                           $52 / sqft                     55  %           1



                                                                      continued…




                                       74
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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)            

Evaluation

      91       Senior Loan                   10/16/2018     $      106          $        97          $     97           +3.25      %            +3.52  
   %                  11/9/2024     San Francisco                Hospitality                      $211,959 / key                     72  %           4
      92       Senior Loan                    2/20/2019               151                   97                96        +3.95      %            +6.00      %                  2/19/2024     London - UK                  Office                              $475 / sqft                     61  %           3
      93       Senior Loan                    3/28/2019                97                   97                97        +3.25      %            +3.25      %                   1/9/2024     New York                     Hospitality                      $249,463 / key                     63  %           4
      94       Senior Loan                   10/28/2021                96                   96                95        +2.90      %            +3.25      %                  11/9/2026     Philadelphia                 Multi                           $353,704 / unit                     79  %           3
      95       Senior Loan                   12/10/2021               135                   93                92        +3.00      %            +3.37      %                   1/9/2027     Miami                        Office                              $311 / sqft                     49  %           3
      96       Senior Loan                   10/27/2021                93                   93                92        +2.50      %            +2.69      %                  11/9/2026     Orlando                      Multi                           $155,612 / unit                     75  %           3
      97       Senior Loan                    6/14/2021               100                   93                92        +3.70      %            +4.04      %                   7/9/2024     Miami                        Office                              $195 / sqft                     65  %           3
      98       Senior Loan                     3/3/2022                92                   92                91        +3.45      %            +3.76      %                   3/9/2027     Boston                       Hospitality                      $418,182 / key                     64  %           3
      99       Senior Loan                   12/22/2021                91                   91                90        +3.18      %            +3.44      %                   1/9/2027     Las Vegas                    Multi                           $205,682 / unit                     65  %           3
     100       Senior Loan                   12/15/2021                91                   88                87        +2.85      %            +3.10      %                   1/9/2027     Charlotte                    Multi                           $251,107 / unit                     76  %           3
     101       Senior Loan                    3/25/2020               105                   87                87        +2.40      %            +2.78      %                  3/31/2025     Diversified - NL             Multi                           $106,309 / unit                     65  %           2
     102       Senior Loan                    6/25/2021                85                   85                85        +2.75      %            +3.10      %                   7/1/2026     St. Louis                    Multi                            $80,339 / unit                     70  %           3
     103       Senior Loan                    3/31/2017                89                   84                84        +4.30      %            +4.54      %                   4/9/2023     New York                     Office                              $403 / sqft                     64  %           4
     104       Senior Loan                    7/30/2021                87                   82                82        +2.50      %            +2.84      %                   8/9/2026     Los Angeles                  Multi                           $162,678 / unit                     70  %           3
     105       Senior Loan                   12/10/2018                99                   81                80        +3.45      %            +3.95      %                  12/3/2024     London - UK                  Office                              $384 / sqft                     72  %           3
     106       Senior Loan                     3/9/2022                92                   80                79        +2.90      %            +3.43      %                   3/9/2025     Boston                       Office                              $211 / sqft                     68  %           3
     107       Senior Loan                    6/14/2022               106                   80                79        +2.95      %            +3.30      %                   7/9/2027     San Francisco                Industrial                          $167 / sqft                     76  %           3
     108       Senior Loan                     4/1/2021               102                   80                79        +3.30      %            +3.74      %                   4/9/2026     San Jose                     Office                              $535 / sqft                     67  %           3
     109       Senior Loan                    6/27/2019                88                   79                79        +2.75      %            +2.66      %                   7/9/2024     West Palm Beach              Office                              $270 / sqft                     70  %           2
     110       Senior Loan                    7/29/2021                82                   78                78        +2.65      %            +3.02      %                   6/9/2026     Charlotte                    Multi                           $214,126 / unit                     78  %           3
     111       Senior Loan                   11/23/2021                92                   77                76        +2.75      %            +3.08      %                  12/9/2026     Los Angeles                  Industrial                          $219 / sqft                     66  %           3
     112       Senior Loan                    8/27/2021                79                   77                76        +3.85      %            +4.43      %                   9/9/2026     Diversified - US             Hospitality                      $113,865 / key                     67  %           3
     113       Senior Loan                    1/30/2020               104                   75                74        +2.85      %            +3.31      %                   2/9/2026     Honolulu                     Hospitality                      $239,478 / key                     63  %           3
     114       Senior Loan(4)                12/30/2021               228                   73                14        +4.35      %            +5.17      %                   1/9/2028     Los Angeles                  Multi                           $132,635 / unit                     50  %           3
     115       Senior Loan                   12/15/2021               133                   72                70        +3.46      %            +4.44      %                 12/15/2026     Dublin - IE                  Multi                           $179,745 / unit                     79  %           3
     116       Senior Loan(4)                11/10/2021               362                   71                14        +4.00      %            +4.63      %                  12/9/2026     San Francisco                Office                              $134 / sqft                     66  %           3
     117       Senior Loan                   10/28/2021                69                   69                69        +2.55      %            +2.74      %                  11/9/2026     Tacoma                       Multi                           $209,864 / unit                     70  %           3
     118       Senior Loan                    1/26/2022               338                   69                66        +4.10      %            +4.56      %                   2/9/2027     Seattle                      Office                              $145 / sqft                     56  %           3
     119       Senior Loan                   12/21/2021                74                   68                67        +2.70      %            +3.06      %                   1/9/2027     Tampa                        Multi                           $199,635 / unit                     77  %           2
     120       Senior Loan                    9/22/2021                67                   67                67        +3.00      %            +3.16      %                   4/1/2024     Jacksonville                 Multi                           $181,081 / unit                     62  %           2


                                                                      continued…




                                       75
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                                        Origination            Total              Principal           Net Book           Cash                    All-in                     Maximum                                                                      Loan Per                   Origination             Risk
                 Loan Type(1)             Date(2)            Loan(3)(4)           Balance(4)            Value          Coupon(5)                Yield(5)                  Maturity(6)              Location                 Property Type            SQFT / Unit / Key                LTV(2)               Rating
     121       Senior Loan                   3/24/2022     $        65          $        65          $     65           +3.50      %            +3.59      %                   4/1/2027     Fairfield                     Multi                           $406,250 / unit                     70  %           3
     122       Senior Loan                   8/22/2019                 65                   65                65        +2.55      %            +2.69      %                   9/9/2024     Los Angeles                   Office                              $389 / sqft                     63  %           3
     123       Senior Loan                   3/31/2022                 70                   63                63        +2.80      %            +3.14      %                   4/9/2027     Las Vegas                     Multi                           $139,018 / unit                     71  %           3
     124       Senior Loan                  12/15/2021                 83                   63                62        +5.25      %            +6.17      %                 12/15/2026     Melbourne - AU                Multi                            $45,675 / unit                     38  %           3
     125       Senior Loan                   8/17/2022                 70                   62                62        +3.35      %            +3.83      %                  8/17/2027     Dublin - IE                   Industrial                           $98 / sqft                     72  %           3
     126       Senior Loan                   3/31/2021                 62                   62                62        +3.73      %            +3.86      %                   4/1/2024     Boston                        Multi                           $316,327 / unit                     75  %           2
     127       Senior Loan                   7/30/2021                 62                   62                62        +2.75      %            +2.94      %                   8/9/2026     Salt Lake City                Multi                           $224,185 / unit                     73  %           3
     128       Senior Loan                  12/23/2021                 62                   62                61        +2.18      %            +2.99      %                   9/1/2023     New York                      Office                              $143 / sqft                     71  %           3
     129       Senior Loan                   8/14/2019                 70                   60                60        +2.56      %            +2.78      %                   9/9/2024     Los Angeles                   Office                              $684 / sqft                     57  %           3
     130       Senior Loan                  12/23/2021                288                   60                55        +4.25      %            +5.46      %                  6/24/2028     London - UK                   Multi                            $65,799 / unit                     59  %           3
     131       Senior Loan                   6/30/2021                 65                   59                59        +2.90      %            +3.19      %                   7/9/2026     Nashville                     Office                              $242 / sqft                     71  %           3
     132       Senior Loan                   4/15/2021                 66                   58                58        +3.00      %            +3.30      %                   5/9/2026     Austin                        Office                              $282 / sqft                     73  %           3
     133       Senior Loan                   9/29/2021                 62                   58                58        +2.85      %            +3.02      %                  10/1/2025     Houston                       Multi                            $52,968 / unit                     61  %           3
     134       Senior Loan                  12/17/2021                 58                   58                58        +2.65      %            +2.85      %                   1/9/2027     Phoenix                       Multi                           $209,601 / unit                     69  %           3
     135       Senior Loan                   7/16/2021                 58                   58                58        +2.75      %            +3.03      %                   8/1/2025     Orlando                       Multi                           $195,750 / unit                     74  %           2
     136       Senior Loan                  12/10/2020                 61                   56                56        +3.25      %            +3.54      %                   1/9/2026     Fort Lauderdale               Office                              $192 / sqft                     68  %           3
     137       Senior Loan                   10/5/2018                 55                   55                55        +5.50      %            +5.92      %                 12/20/2022     Sydney - AU                   Office                              $584 / sqft                     78  %           3
     138       Senior Loan                  12/22/2021                 55                   55                54        +2.82      %            +2.96      %                   1/1/2027     Los Angeles                   Multi                           $272,500 / unit                     68  %           3
     139       Senior Loan                  12/14/2018                 60                   53                53        +2.90      %            +3.14      %                   1/9/2024     Diversified - US              Industrial                           $39 / sqft                     57  %           1
     140       Senior Loan                   7/30/2021                 59                   53                52        +2.75      %            +2.96      %                   8/9/2026     Tampa                         Multi                           $131,486 / unit                     71  %           3
     141       Senior Loan                  12/17/2021                 66                   53                52        +4.35      %            +4.93      %                   1/9/2026     Diversified - US              Other                             $3,693 / unit                     37  %           2
     142       Senior Loan                  11/30/2016                 61                   52                52        +3.10      %            +3.22      %                  12/9/2023     Chicago                       Retail                            $1,014 / sqft                     54  %           4
     143       Senior Loan                   12/9/2021                 51                   51                51        +2.75      %            +2.89      %                   1/1/2027     Portland                      Multi                           $241,825 / unit                     65  %           3
     144       Senior Loan                   2/17/2021                 53                   51                51        +3.55      %            +3.75      %                   3/9/2026     Miami                         Multi                           $290,985 / unit                     64  %           2
     145       Senior Loan                   11/5/2019                 56                   50                50        +3.85      %            +3.90      %                  2/21/2025     Diversified - IT              Office                            $1,758 / sqft                     66  %           3
     146       Senior Loan                   1/21/2022                 68                   50                49        +3.70      %            +4.11      %                   2/9/2027     Denver                        Office                              $296 / sqft                     65  %           3
     147       Senior Loan                    8/5/2021                 57                   50                50        +2.90      %            +3.04      %                   8/9/2026     Denver                        Office                              $188 / sqft                     70  %           3
     148       Senior Loan                   9/23/2021                 49                   49                49        +2.75      %            +2.86      %                  10/1/2026     Portland                      Multi                           $232,938 / unit                     65  %           3
     149       Senior Loan                   6/28/2021                 49                   49                49        +3.60      %            +4.86      %                  2/15/2023     Diversified - Spain           Hospitality                      $123,899 / key                     56  %           3
     150       Senior Loan                   2/20/2019                 48                   48                48        +3.50      %            +3.72      %                   3/9/2024     Calgary - CAN                 Office                              $134 / sqft                     52  %           2



                                                                      continued…



                                       76
--------------------------------------------------------------------------------




                                         Origination            Total              Principal           Net Book           Cash                    All-in                     Maximum                                                                Loan Per                   Origination             Risk
                 Loan Type(1)              Date(2)            Loan(3)(4)           Balance(4)            Value          Coupon(5)                Yield(5)                  Maturity(6)           Location              Property Type            SQFT / Unit / Key                LTV(2)               Rating
151 -          Senior Loan(4)                   Various              2,206                1,785             1,753        +3.04      %            +3.48      %                    3.2 yrs     Various                 Various                                 Various                     61  %          2.6
205
               CECL reserve                                                                               (144)
               Loans receivable, net                        $    31,059          $    26,136          $ 24,279           +3.31      %            +3.68      %                    3.3 yrs                                                                                                 64  %          2.8





(1)Senior loans include senior mortgages and similar credit quality loans,
including related contiguous subordinate loans and pari passu participations in
senior mortgage loans.
(2)Date loan was originated or acquired by us, and the LTV as of such date.
Origination dates are subsequently updated to reflect material loan
modifications.
(3)Total loan amount reflects outstanding principal balance as well as any
related unfunded loan commitment.
(4)In certain instances, we finance our loans through the non-recourse sale of a
senior loan interest that is not included in our consolidated financial
statements. As of September 30, 2022, eight loans in our portfolio have been
financed with an aggregate $1.6 billion of non-consolidated senior interest,
which are included in the table above.
(5)The weighted-average cash coupon and all-in yield are expressed as a spread
over the relevant floating benchmark rates, which include USD LIBOR, SOFR,
SONIA, EURIBOR, and other indices as applicable to each loan. As of
September 30, 2022, substantially all of our loans by total loan exposure earned
a floating rate of interest, primarily indexed to USD LIBOR. In addition to cash
coupon, all-in yield includes the amortization of deferred origination and
extension fees, loan origination costs, and purchase discounts, as well as the
accrual of exit fees. Excludes one loan accounted for under the cost-recovery
method.
(6)Maximum maturity assumes all extension options are exercised, however our
loans may be repaid prior to such date.
(7)Loan is accounted for under the cost-recovery method.
                                       77

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