QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
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(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
Title of each class |
Trading symbol(s) |
Name of each exchange on which registered | ||
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☒ |
Accelerated filer |
☐ | |||
Non-accelerated filer |
☐ |
Smaller reporting company |
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Emerging growth company |
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PART I. |
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ITEM 1. |
2 |
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Consolidated Financial Statements (Unaudited): |
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2 |
||||||
3 |
||||||
4 |
||||||
5 |
||||||
6 |
||||||
8 |
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ITEM 2. |
45 |
|||||
ITEM 3. |
68 |
|||||
ITEM 4. |
71 |
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PART II. |
||||||
ITEM 1. |
72 |
|||||
ITEM 1A. |
72 |
|||||
ITEM 2. |
75 |
|||||
ITEM 3. |
75 |
|||||
ITEM 4. |
75 |
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ITEM 5. |
75 |
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ITEM 6. |
76 |
|||||
78 |
ITEM |
1. FINANCIAL STATEMENTS |
March 31, |
December 31, |
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2020 |
2019 |
|||||||
Assets |
||||||||
Cash and cash equivalents |
$ | $ | ||||||
Loans receivable |
||||||||
Current expected credit loss reserve |
( |
) | — |
|||||
Loans receivable, net |
||||||||
Other assets |
||||||||
Total Assets |
$ | $ | ||||||
Liabilities and Equity |
||||||||
Secured debt agreements, net |
$ | $ | ||||||
Securitized debt obligations, net |
||||||||
Secured term loan, net |
||||||||
Convertible notes, net |
||||||||
Other liabilities |
||||||||
Total Liabilities |
||||||||
Commitments and contingencies |
||||||||
Equity |
||||||||
Class A common stock, $ |
||||||||
Additional paid-in capital |
||||||||
Accumulated other comprehensive income (loss) |
( |
) | ||||||
Accumulated deficit |
( |
) | ( |
) | ||||
Total Blackstone Mortgage Trust, Inc. stockholders’ equity |
||||||||
Non-controlling interests |
||||||||
Total Equity |
||||||||
Total Liabilities and Equity |
$ | $ | ||||||
Three Months Ended March 31, |
||||||||
2020 |
2019 |
|||||||
Income from loans and other investmen t s |
||||||||
Interest and related income |
$ | |
$ | |
||||
Less: Interest and related expenses |
|
|
||||||
Income from loans and other investments, net |
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|
||||||
Other expenses |
||||||||
Management and incentive fees |
|
|
||||||
General and administrative expenses |
|
|
||||||
Total other expenses |
|
|
||||||
Increase in current expected credit loss reserve |
( |
) | — |
|||||
(Loss) income before income taxes |
( |
) | |
|||||
Income tax provision |
|
|
||||||
Net (loss) income |
( |
) | |
|||||
Net income attributable to non-controlling interests |
( |
) | ( |
) | ||||
Net (loss) income attributable to Blackstone Mortgage Trust, Inc. |
$ | ( |
) | $ | |
|||
Net (loss) income per share of common stock basic and diluted |
$ | ( |
) | $ | |
|||
Weighted-average shares of common stock outstanding, basic and diluted |
|
|
||||||
Three Months Ended |
||||||||
March 31, |
||||||||
2020 |
2019 |
|||||||
Net (loss) income |
$ | ( |
) | $ | |
|||
Other comprehensive income |
||||||||
Unrealized (loss) gain on foreign currency translation |
( |
) | |
|||||
Realized and unrealized gain (loss) on derivative financial instruments |
|
( |
) | |||||
Other comprehensive income |
|
|
||||||
Comprehensive (loss) income |
( |
) | |
|||||
Comprehensive income attributable to non-controlling interests |
( |
) | ( |
) | ||||
Comprehensive (loss) income attributable to Blackstone Mortgage Trust, Inc. |
$ | ( |
) | $ | |
|||
|
Blackstone Mortgage Trust, Inc. |
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|
Class A |
Additional |
Accumulated Other |
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|||||||||||||||||||||
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Common |
Paid-In |
Comprehensive |
Accumulated |
Stockholders’ |
Non-controlling |
Total |
|||||||||||||||||||||
|
Stock |
Capital |
(Loss) Income |
Deficit |
Equity |
Interests |
Equity |
|||||||||||||||||||||
Balance at December 31, 2018 |
$ | |
$ | |
$ | ( |
) | $ | ( |
) | $ | |
$ | |
$ | |
||||||||||||
Shares of class A common stock issued, net |
|
|
— |
— |
|
— |
|
|||||||||||||||||||||
Restricted class A common stock earned |
— |
|
— |
— |
|
— |
|
|||||||||||||||||||||
Dividends reinvested |
— |
|
— |
( |
) | |
— |
|
||||||||||||||||||||
Deferred directors’ compensation |
— |
|
— |
— |
|
— |
|
|||||||||||||||||||||
Other comprehensive income |
— |
— |
|
— |
|
— |
|
|||||||||||||||||||||
Net income |
— |
— |
— |
|
|
|
|
|||||||||||||||||||||
Dividends declared on common stock, $ |
— |
— |
— |
( |
) | ( |
) | — |
( |
) | ||||||||||||||||||
Contributions from non-controlling interests |
— |
— |
— |
— |
— |
|
|
|||||||||||||||||||||
Distributions to non-controlling interests |
— |
— |
— |
— |
— |
( |
) | ( |
) | |||||||||||||||||||
Balance at March 31, 2019 |
$ | |
$ | |
$ | ( |
) | $ | ( |
) | $ | |
$ | |
$ | |
||||||||||||
Balance at December 31, 2019 |
$ | |
$ | |
$ | ( |
) | $ | ( |
) | $ | |
$ | |
$ | |
||||||||||||
Adoption of ASU 2016-13, see Note 2 |
— |
— |
— |
( |
) | ( |
) | ( |
) | ( |
) | |||||||||||||||||
Shares of class A common stock issued, net |
|
— |
— |
— |
|
— |
|
|||||||||||||||||||||
Restricted class A common stock earned |
— |
|
— |
— |
|
— |
|
|||||||||||||||||||||
Dividends reinvested |
— |
|
— |
( |
) | |
— |
|
||||||||||||||||||||
Deferred directors’ compensation |
— |
|
— |
— |
|
— |
|
|||||||||||||||||||||
Other comprehensive income |
— |
— |
|
— |
|
— |
|
|||||||||||||||||||||
Net (loss) income |
— |
— |
— |
( |
) | ( |
) | |
( |
) | ||||||||||||||||||
Dividends declared on common stock, $ |
— |
— |
— |
( |
) | ( |
) | — |
( |
) | ||||||||||||||||||
Contributions from non-controlling interests |
— |
— |
— |
— |
— |
|
|
|||||||||||||||||||||
Distributions to non-controlling interests |
— |
— |
— |
— |
— |
( |
) | ( |
) | |||||||||||||||||||
Balance at March 31, 2020 |
$ | |
$ | |
$ | |
$ | ( |
) | $ | |
$ | |
$ | |
|||||||||||||
Three Months Ended March 31, |
||||||||
2020 |
2019 |
|||||||
Cash flows from operating activities |
||||||||
Net (loss) income |
$ | ( |
) | $ | |
|||
Adjustments to reconcile net (loss) income to net cash provided by operating activities |
||||||||
Non-cash compensation expense |
|
|
||||||
Amortization of deferred fees on loans and debt securities |
( |
) | ( |
) | ||||
Amortization of deferred financing costs and premiums/ discount on debt obligations |
|
|
||||||
Increase in current expected credit loss reserve |
|
— |
||||||
Changes in assets and liabilities, net |
||||||||
Other assets |
( |
) | ( |
) | ||||
Other liabilities |
|
|
||||||
Net cash provided by operating activities |
|
|
||||||
Cash flows from investing activities |
||||||||
Origination and fundings of loans receivable |
( |
) | ( |
) | ||||
Principal collections and sales proceeds from loans receivable and debt securities |
|
|
||||||
Origination and exit fees received on loans receivable |
|
|
||||||
Receipts under derivative financial instruments |
|
|
||||||
Payments under derivative financial instruments |
( |
) | ( |
) | ||||
Collateral deposited under derivative agreements |
( |
) | ( |
) | ||||
Return of collateral deposited under derivative agreements |
|
|
||||||
Net cash used in investing activities |
( |
) | ( |
) | ||||
Three Months Ended March 31, |
||||||||
2020 |
2019 |
|||||||
Cash flows from financing activities |
||||||||
Borrowings under secured debt agreements |
$ | |
$ | |
||||
Repayments under secured debt agreements |
( |
) | ( |
) | ||||
Proceeds from issuance of collateralized loan obligations |
|
|
|
|
|
|
— |
|
Repayment of collateralized loan obligations |
|
|
( |
) |
|
|
— |
|
Proceeds from sale of loan participations |
|
|
||||||
Repayments of secured term loan |
( |
) | — |
|||||
Payment of deferred financing costs |
( |
) | ( |
) | ||||
Contributions from non-controlling interests |
|
|
||||||
Distributions to non-controlling interests |
( |
) | ( |
) | ||||
Net proceeds from issuance of class A common stock |
|
|
||||||
Dividends paid on class A common stock |
( |
) | ( |
) | ||||
Net cash provided by financing activities |
|
|
||||||
Net increase (decrease) in cash, cash equivalents, and restricted cash |
|
( |
) | |||||
Cash and cash equivalents at beginning of p eriod |
|
|
||||||
Effects of currency translation on cash and cash equivalents |
( |
) | ( |
) | ||||
Cash and cash equivalents at end of per iod |
$ | |
$ | |
||||
Supplemental disclosure of cash flows information |
||||||||
Payments of interest |
$ | ( |
) | $ | ( |
) | ||
Payments of income taxes |
$ | ( |
) | $ | ( |
) | ||
Supplemental disclosure of non-cash investing and financing activities |
||||||||
Dividends declared, not paid |
$ | ( |
) | $ | ( |
) | ||
Loan principal payments held by servicer, net |
$ | |
$ | |
||||
• |
U . S. Loans | |
• |
Non-U . S. Loans | |
• |
Unique Loans | |
• |
Impaired Loans |
Impact of ASU 2016-13 Adoption |
||||
Assets: |
||||
Loans |
||||
U . S. Loans |
$ | |
||
Non-U Loans. S. |
|
|||
Unique Loans |
|
|||
CECL reserve on loans |
$ | |
||
CECL reserve on held-to-maturity debt securities |
|
|||
Liabilities: |
||||
CECL reserve on unfunded loan commitments |
|
|||
Total impact of ASU 2016-13 adoption on retained earnings |
$ | |
||
1 - |
Very Low Risk | |||
2 - |
Low Risk | |||
3 - |
Medium Risk | |||
4 - |
High Risk/Potential for Loss: | |||
5 - |
Impaired/Loss Likely: |
• |
Level 1: Generally includes only unadjusted quoted prices that are available in active markets for identical financial instruments as of the reporting date. | |
• |
Level 2: Pricing inputs include quoted prices in active markets for similar instruments, quoted prices in less active or inactive markets for identical or similar instruments where multiple price quotes can be obtained, and other observable inputs, such as interest rates, yield curves, credit risks, and default rates. | |
• |
Level 3: Pricing inputs are unobservable for the financial instruments and include situations where there is little, if any, market activity for the financial instrument. These inputs require significant judgment or estimation by management of third-parties when determining fair value and generally represent anything that does not meet the criteria of Levels 1 and 2. |
• |
Cash and cash equivalents: The carrying amount of cash and cash equivalents approximates fair value. | |
• |
Loans receivable, net: The fair values of these loans were estimated by our Manager based on a discounted cash flow methodology, taking into consideration various factors including capitalization rates, discount rates, leasing, occupancy rates, availability and cost of financing, exit plan, sponsorship, actions of other lenders, and indications of market value from other market participants. | |
• |
Debt securities held-to-maturity: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price. | |
• |
Derivative financial instruments: The fair value of our foreign currency and interest rate contracts was estimated using advice from a third-party derivative specialist, based on contractual cash flows and observable inputs comprising foreign currency rates and credit spreads. | |
• |
Secured debt agreements, net: The fair value of these instruments was estimated based on the rate at which a similar credit facility would currently be priced. | |
• |
Securitized debt obligations, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price. |
• |
Secured term loan, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price. | |
• |
Convertible notes, net: Each series of the convertible notes is actively traded and their fair values were obtained using quoted market prices. |
March 31, 2020 |
December 31, 2019 |
|||||||
Number of loans |
||||||||
Principal balance |
$ | $ | ||||||
Net book value |
$ | $ | ||||||
Unfunded loan commitments (1) |
$ | $ | ||||||
Weighted-average cash coupon (2) |
% | % | ||||||
Weighted-average all-in yield(2) |
% | % | ||||||
Weighted-average maximum maturity (years) (3) |
||||||||
(1) |
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. |
|||||||||
(2) |
The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan. As of March 31, 2020, 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. |
(3) |
Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date. As of March 31, 2020, |
Principal Balance |
Deferred Fees / Other Items (1) |
Net Book Value |
||||||||||
Loans Receivable, as of December 31, 2019 |
$ | $ | ( |
) | $ | |||||||
Loan fundings |
||||||||||||
Loan repayments |
( |
) | ( |
) | ||||||||
Unrealized (loss) gain on foreign currency translation |
( |
) | ( |
) | ||||||||
Deferred fees and other items |
( |
) | ( |
) | ||||||||
Amortization of fees and other items |
||||||||||||
Loans Receivable, as of March 31, 2020 |
$ | $ | ( |
) | $ | |||||||
CECL reserve |
( |
) | ||||||||||
Loans Receivable, net, as of March 31, 2020 |
$ | |||||||||||
(1) |
Other items primarily consist of purchase discounts or premiums, exit fees, and deferred origination expenses. |
March 31, 2020 |
||||||||||||||||
Property Type |
Number of Loans |
Net Book Value |
Total Loan Exposure (1)(2) |
Percentage of Portfolio |
||||||||||||
Office |
$ | $ | ||||||||||||||
Hospitality |
||||||||||||||||
Multifamily |
||||||||||||||||
Industrial |
||||||||||||||||
Retail |
||||||||||||||||
Self-Storage |
||||||||||||||||
Condominium |
||||||||||||||||
Other |
||||||||||||||||
Total loans receivable |
132 |
$ | 16,363,608 |
$ | 17,161,035 |
100% |
||||||||||
CECL reserve |
( |
) | ||||||||||||||
Loans receivable, net |
$ | |||||||||||||||
Geographic Location |
Number of Loans |
Net Book Value |
Total Loan Exposure (1)(2) |
Percentage of Portfolio |
||||||||||||
United States |
||||||||||||||||
Northeast |
$ | $ | ||||||||||||||
West |
||||||||||||||||
Southeast |
||||||||||||||||
Midwest |
||||||||||||||||
Southwest |
||||||||||||||||
Northwest |
||||||||||||||||
Subtotal |
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International |
||||||||||||||||
United Kingdom |
||||||||||||||||
Ireland |
||||||||||||||||
Spain |
||||||||||||||||
Australia |
||||||||||||||||
Germany |
||||||||||||||||
Italy |
||||||||||||||||
Netherlands |
||||||||||||||||
Belgium |
||||||||||||||||
Canada |
||||||||||||||||
France |
||||||||||||||||
Subtotal |
||||||||||||||||
Total loans receivable |
$ | $ | ||||||||||||||
CECL reserve |
( |
) | ||||||||||||||
Loans receivable, net |
$ | |||||||||||||||
(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 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $non-consolidated senior interests as of March 31, 2020. |
|||||||||
(2) |
Excludes investment exposure to the $ |
December 31, 2019 |
||||||||||||||||
Property Type |
Number of Loans |
Net Book Value |
Total Loan Exposure (1)(2) |
Percentage of Portfolio |
||||||||||||
Office |
$ | $ | ||||||||||||||
Hospitality |
||||||||||||||||
Multifamily |
||||||||||||||||
Industrial |
||||||||||||||||
Retail |
||||||||||||||||
Self-Storage |
||||||||||||||||
Condominium |
||||||||||||||||
Other |
||||||||||||||||
$ | $ | 100% |
||||||||||||||
Geographic Location |
Number of Loans |
Net Book Value |
Total Loan Exposure (1)(2) |
Percentage of Portfolio |
||||||||||||
United States |
||||||||||||||||
Northeast |
$ | $ | ||||||||||||||
West |
||||||||||||||||
Southeast |
||||||||||||||||
Midwest |
||||||||||||||||
Southwest |
||||||||||||||||
Northwest |
— |
|||||||||||||||
Subtotal |
||||||||||||||||
International |
||||||||||||||||
United Kingdom |
||||||||||||||||
Ireland |
||||||||||||||||
Spain |
||||||||||||||||
Australia |
||||||||||||||||
Germany |
||||||||||||||||
Italy |
||||||||||||||||
Belgium |
||||||||||||||||
Canada |
||||||||||||||||
France |
||||||||||||||||
Subtotal |
||||||||||||||||
Total |
$ | $ | ||||||||||||||
(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 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $non-consolidated senior interests as of December 31, 2019. |
|||||||||
(2) |
Excludes investment exposure to the $ |
March 31, 2020 |
December 31, 2019 |
||||||||||||||||||||||||||||
Risk Rating |
Number of Loans |
Net Book Value |
Total Loan Exposure (1)(2) |
Number of Loans |
Net Book Value |
Total Loan Exposure (1)(2) |
|||||||||||||||||||||||
1 |
$ | $ | $ | $ | |||||||||||||||||||||||||
2 |
|||||||||||||||||||||||||||||
3 |
|||||||||||||||||||||||||||||
4 |
|||||||||||||||||||||||||||||
5 |
|||||||||||||||||||||||||||||
Total loans receivable |
$ | $ | $ | $ | |||||||||||||||||||||||||
CECL reserve |
( |
) |
— |
||||||||||||||||||||||||||
Loans receivable, net |
$ | $ | |||||||||||||||||||||||||||
(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 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $non-consolidated senior interests as of March 31, 2020 and December 31, 2019, respectively. | |||
(2) |
Excludes investment exposure to the 2018 Single Asset Securitization of $ million as of March 31, 2020 and December 31, 2019, respectively. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization. |
U.S. Loans |
Non-U.S. Loans |
Unique Loans |
Total |
|||||||||||||
Loans Receivable, Net |
||||||||||||||||
CECL reserve as of December 31, 2019 |
$ | $ | $ | $ | ||||||||||||
Initial CECL reserve on January 1, 2020 |
||||||||||||||||
Increase in CECL reserve |
||||||||||||||||
CECL reserve as of March 31, 2020 |
$ | $ | $ | $ | ||||||||||||
Net Book Value of Loans Receivable by Year of Origination (1)(2) |
||||||||||||||||||||||||||||
As of March 31, 2020 |
||||||||||||||||||||||||||||
2020 |
2019 |
2018 |
2017 |
2016 |
Prior |
Total |
||||||||||||||||||||||
U.S. loans |
||||||||||||||||||||||||||||
1 |
$ | $ | $ | — |
$ | $ | $ | — |
$ | |||||||||||||||||||
2 |
||||||||||||||||||||||||||||
3 |
||||||||||||||||||||||||||||
4 |
||||||||||||||||||||||||||||
5 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||
Total U.S. loans |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Non-U.S. loans |
||||||||||||||||||||||||||||
1 |
$ | $ | — |
$ | $ | — |
$ | — |
$ | — |
$ | |||||||||||||||||
2 |
— |
— |
— |
— |
||||||||||||||||||||||||
3 |
— |
— |
||||||||||||||||||||||||||
4 |
— |
— |
— |
— |
||||||||||||||||||||||||
5 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||
Total Non-U.S. loans |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
Unique loans |
||||||||||||||||||||||||||||
1 |
$ | $ | — |
$ | — |
$ | — |
$ | — |
$ | — |
$ | — |
|||||||||||||||
2 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||
3 |
— |
— |
||||||||||||||||||||||||||
4 |
— |
— |
— |
|||||||||||||||||||||||||
5 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||
Total unique loans |
$ | $ | $ | $ | — |
$ | — |
$ | $ | |||||||||||||||||||
Total loans receivable |
||||||||||||||||||||||||||||
1 |
$ | $ | $ | $ | $ | $ | — |
$ | ||||||||||||||||||||
2 |
||||||||||||||||||||||||||||
3 |
||||||||||||||||||||||||||||
4 |
||||||||||||||||||||||||||||
5 |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||
Total loans receivable |
$ |
$ | $ | $ | $ | $ | $ | |||||||||||||||||||||
CECL reserve |
( |
) | ||||||||||||||||||||||||||
Loans receivable, net |
$ | |||||||||||||||||||||||||||
(1) |
Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications. |
(2) |
Excludes the $ held-to-maturity debt securities which represents our subordinated risk retention position related to the 2018 Single Asset Securitization, and is included in other assets on our consolidated balance sheets. See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization. |
March 31, 2020 |
December 31, 2019 |
|||||||
Debt securities held-to-maturity (1) |
$ | $ | ||||||
CECL reserve |
( |
) | — |
|||||
Debt securities held-to-maturity, net |
||||||||
Accrued interest receivable |
||||||||
Loan portfolio payments held by servicer (2) |
||||||||
Prepaid expenses |
||||||||
Prepaid taxes |
||||||||
Derivative assets |
||||||||
Collateral deposited under derivative agreements |
— |
|||||||
Other |
||||||||
Total |
$ | $ | ||||||
(1) |
Represents the subordinate risk retention interest in the 2018 Single Asset Securitization, which held aggregate loan assets of $ |
|||||
( 2 ) |
Represents loan principal and interest payments held by our third-party loan servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle. |
U.S. Loans |
Non-U.S. Loans |
Unique Loans |
Total |
|||||||||||||
Debt Securities Held-To-Maturity |
||||||||||||||||
CECL reserve as of December 31, 2019 |
$ |
$ |
$ |
$ |
||||||||||||
Initial CECL reserve on January 1, 2020 |
||||||||||||||||
Increase in CECL reserve |
||||||||||||||||
CECL reserve as of March 31, 2020 |
$ |
$ |
$ |
— |
$ |
|||||||||||
December 31, 2019 |
||||||||
Accrued dividends payable |
$ | $ | ||||||
Accrued interest payable |
||||||||
Current expected credit loss reserve for unfunded loan commitments (1) |
— |
|||||||
Accrued management and incentive fees payable |
||||||||
Accounts payable and other liabilities |
||||||||
Derivative liabilities |
||||||||
Total |
$ | $ | ||||||
(1) |
Represents the CECL reserve related to our unfunded loan commitments. See Note 2 for further discussion of the CECL reserve. |
U.S. Loans |
Non-U.S. Loans |
Unique Loans |
Total |
|||||||||||||
Unfunded Loan Commitments |
||||||||||||||||
CECL reserve as of December 31, 2019 |
$ | $ | $ | $ | ||||||||||||
Initial CECL reserve on January 1, 2020 |
||||||||||||||||
Increase in CECL reserve |
||||||||||||||||
CECL reserve as of March 31, 2020 |
$ | $ | $ | $ | ||||||||||||
Secured Debt Agreements |
||||||||
Borrowings Outstanding |
||||||||
March 31, 2020 |
December 31, 2019 |
|||||||
Secured credit facilities |
$ | $ | ||||||
Asset-specific financings |
||||||||
Revolving credit agreement |
— |
|||||||
Total secured debt agreements |
$ | $ | ||||||
Deferred financing costs (1) |
( |
) | ( |
) | ||||
Net book value of secured debt |
$ | $ | ||||||
(1) |
Costs incurred in connection with our secured debt agreements are recorded on our consolidated balance sheet when incurred and recognized as a component of interest expense over the life of each related agreement. |
March 31, 2020 |
||||||||||||||||
Credit Facility Borrowings |
Collateral |
|||||||||||||||
Lender |
Potential (1) |
Outstanding |
Available (1) |
Assets (2) |
||||||||||||
Deutsche Bank |
$ | $ | $ | $ | ||||||||||||
Barclays |
||||||||||||||||
Wells Fargo |
||||||||||||||||
Citibank |
||||||||||||||||
Goldman Sachs |
||||||||||||||||
Bank of America |
||||||||||||||||
Morgan Stanley |
||||||||||||||||
MetLife |
||||||||||||||||
JP Morgan |
||||||||||||||||
US Bank - Multi. JV (3) |
||||||||||||||||
Goldman Sachs - Multi. JV (3) |
||||||||||||||||
Société Générale |
||||||||||||||||
Santander |
||||||||||||||||
Bank of America - Multi. JV (3) |
||||||||||||||||
$ | $ | $ | $ | |||||||||||||
(1) |
Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility. |
|||||||||||||||||
(2) |
Represents the principal balance of the collateral assets. |
|||||||||||||||||
(3) |
These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture. |
December 31, 2019 |
||||||||||||||||
Credit Facility Borrowings |
Collateral |
|||||||||||||||
Lender |
Potential (1) |
Outstanding |
Available (1) |
Assets (2) |
||||||||||||
Wells Fargo |
$ | $ | $ | $ | ||||||||||||
Deutsche Bank |
||||||||||||||||
Barclays |
||||||||||||||||
Citibank |
||||||||||||||||
Bank of America |
||||||||||||||||
Morgan Stanley |
||||||||||||||||
Goldman Sachs |
||||||||||||||||
MetLife |
— |
|||||||||||||||
Société Générale |
— |
|||||||||||||||
US Bank - Multi. JV (3) |
||||||||||||||||
JP Morgan |
||||||||||||||||
Santander |
— |
|||||||||||||||
Goldman Sachs - Multi. JV (3) |
— |
|||||||||||||||
Bank of America - Multi. JV (3) |
— |
|||||||||||||||
$ | $ | $ | $ | |||||||||||||
(1) |
Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility. |
|||||||||||||
(2) |
Represents the principal balance of the collateral assets. |
|||||||||||||
(3) |
These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture. |
Lender |
Currency |
Guarantee (1) |
Margin Call (2) |
Term/Maturity |
||||||||||||
Morgan Stanley |
$ / £ / € |
|||||||||||||||
Goldman Sachs - Multi. JV (3) |
$ |
( 6) |
||||||||||||||
Bank of America - Multi. JV (3) |
$ |
(7) |
||||||||||||||
JP Morgan |
$ / £ |
(8) |
||||||||||||||
Bank of America |
$ |
(9) |
||||||||||||||
Barclays |
$ / £ / € |
( 10) |
||||||||||||||
Goldman Sachs |
$ / £ / € |
(11) |
||||||||||||||
MetLife |
$ |
(12) |
||||||||||||||
Deutsche Bank |
$ / € |
(4) |
(13) |
|||||||||||||
Citibank |
$ / £ / € / A$ / C$ |
(13) |
||||||||||||||
Société Générale |
$ / £ / € |
(13) |
||||||||||||||
Santander |
€ |
(13) |
||||||||||||||
Wells Fargo |
$ / C$ |
(5) |
(13) |
|||||||||||||
US Bank - Multi. JV (3) |
$ |
(13) |
||||||||||||||
(1) |
Other than amounts guaranteed based on specific collateral asset types, borrowings under our credit facilities are non-recourse to us. | |
(2) |
Margin call provisions under our credit facilities do not permit valuation adjustments based on capital markets events, and are limited to collateral-specific credit marks. | |
(3) |
These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture. | |
(4) |
Specific borrowings outstanding of $ | |
(5) |
In addition to the | |
(6) |
Includes a one-year extension option which may be exercised at our sole discretion. | |
(7) |
Includes two one-year extension options which may be exercised at our sole discretion. | |
(8) |
Includes t wo one-year extension options which may be exercised at our sole discretion. | |
(9) |
Includes two one-year extension options which may be exercised at our sole discretion. | |
(10) |
Includes four one-year extension options which may be exercised at our sole discretion. | |
(11) |
Includes three one-year extension options which may be exercised at our sole discretion. | |
(12) |
Includes five one-year extension options which may be exercised at our sole discretion. | |
(13) |
These secured credit facilities have various availability periods during which new advances can be made and which are generally subject to each lender’s discretion. Maturity dates for advances outstanding are tied to the term of each respective collateral asset. |
Currency |
Potential Borrowings (1) |
Outstanding Borrowings |
Floating Rate Index (2) |
Spread |
Advance Rate (3) |
|||||||||||||||||||||
$ |
$ |
$ |
USD LIBOR |
|||||||||||||||||||||||
€ |
€ |
€ |
EURIBOR |
|||||||||||||||||||||||
£ |
£ |
£ |
GBP LIBOR |
|||||||||||||||||||||||
A$ |
A$ |
A$ |
BBSY |
|||||||||||||||||||||||
C$ |
C$ |
C$ |
CDOR |
|||||||||||||||||||||||
$ |
$ |
|||||||||||||||||||||||||
(1) |
Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility. |
|||||||||||||||||
(2) |
Floating rate indices are generally matched to the payment timing under the terms of each secured credit facility and its respective collateral assets. |
|||||||||||||||||
(3) |
Represents weighted-average advance rate based on the approved outstanding principal balance of the collateral assets pledged. |
March 31, 2020 |
||||||||||||||||||||||
Asset-Specific Financings |
Count |
Principal Balance |
Book Value |
Wtd. Avg. Yield/Cost (1) |
Guarantee (2) |
Wtd. Avg. Term (3) |
||||||||||||||||
Collateral assets |
$ | $ | L+ |
% | n/a |
|||||||||||||||||
Financing provided |
$ | $ | L+ |
% | $ |
December 31, 2019 |
||||||||||||||||||||||
Asset-Specific Financings |
Count |
Principal Balance |
Book Value |
Wtd. Avg. Yield/Cost (1) |
Guarantee (2) |
Wtd. Avg. Term (3) |
||||||||||||||||
Collateral assets |
$ | $ | L+ |
% | n/a |
|||||||||||||||||
Financing provided |
$ | $ | L+ |
% | $ | |||||||||||||||||
____________ |
(1) |
These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs. |
|||||||||
(2) |
Other than amounts guaranteed on an asset by asset basis, borrowings under our asset-specific financings are non-recourse to us. |
|||||||||
(3) |
The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Each of our asset-specific financings is term-matched to the corresponding collateral loans. |
March 31, 2020 |
||||||||||||||||||
Securitized Debt Obligations |
Count |
Principal Balance |
Book Value |
Wtd. Avg. Yield/Cost (1) |
Term (2) |
|||||||||||||
2020 Collateralized Loan Obligation |
||||||||||||||||||
Collateral assets |
|
$ | |
$ | |
L+ |
% | |
||||||||||
Financing provided |
|
|
|
L+ |
% | |
||||||||||||
2017 Collateralized Loan Obligation |
||||||||||||||||||
Collateral assets |
|
|
|
L+ |
% | |
||||||||||||
Financing provided |
|
|
|
L+ |
% | |
||||||||||||
2017 Single Asset Securitization |
||||||||||||||||||
Collateral assets (3) |
|
|
|
L+ |
% | |
||||||||||||
Financing provided |
|
|
|
L+ |
% | |
||||||||||||
Total |
||||||||||||||||||
Collateral assets |
|
$ | |
$ | |
L+ |
% | |||||||||||
Financing provided (4) |
|
$ | |
$ | |
L+ |
% | |||||||||||
December 31, 2019 |
||||||||||||||||||
Securitized Debt Obligations |
Count |
Principal Balance |
Book Value |
Wtd. Avg. Yield/Cost (1) |
Term (2) |
|||||||||||||
2017 Collateralized Loan Obligation |
||||||||||||||||||
Collateral assets |
|
$ | |
$ | |
L+ |
% | |
||||||||||
Financing provided |
|
|
|
L+ |
% | |
||||||||||||
2017 Single Asset Securitization |
||||||||||||||||||
Collateral assets (3) |
|
|
|
L+ |
% | |
||||||||||||
Financing provided |
|
|
|
L+ |
% | |
||||||||||||
Total |
||||||||||||||||||
Collateral assets |
|
$ | |
$ | |
L+ |
% | |||||||||||
Financing provided (4) |
|
$ | |
$ | |
L+ |
% | |||||||||||
|
(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. All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation. | |
(2) |
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. | |
(3) |
The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $ | |
(4) |
During the three months ended March 31, 2020 and 2019, we recorded $ |
Term Loan Issuance |
Face Value |
Net Book Value (1) |
Interest Rate |
All-in Cost(2) |
Maturity |
|||||||||||||||
Term Loan B |
$ |
|
$ |
|
|
% |
|
% |
|
|||||||||||
|
(1) |
The net book value of our Secured Term Loan was $ | |
(2) |
Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Secured Term Loan. |
Convertible Notes Issuance |
Face Value |
Coupon Rate |
All-in Cost(1) |
Conversion Rate (2) |
Maturity |
|||||||||||||||
|
$ | |
|
% | |
% | |
|
||||||||||||
|
$ | |
|
% | |
% | |
|
||||||||||||
|
(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 shares of class A common stock per $ |
March 31, 2020 |
December 31, 2019 |
|||||||
Face value |
$ | |
$ | |
||||
Unamortized discount |
( |
) | ( |
) | ||||
Deferred financing costs |
( |
) | ( |
) | ||||
Net book value |
$ | |
$ | |
||||
Three Months Ended |
||||||||
March 31, |
||||||||
2020 |
2019 |
|||||||
Cash coupon |
$ | |
$ | |
||||
Discount and issuance cost amortization |
|
|
||||||
Total interest expense |
$ | |
$ | |
||||
December 31, 2019 |
||||||||
Foreign Currency |
Number of |
Notional |
||||||
Derivatives |
Instruments |
Amount |
||||||
Sell GBP Forward |
|
£ | |
|||||
Sell EUR Forward |
|
€ |
|
|||||
Sell AUD Forward |
|
A$ |
|
|||||
Sell CAD Forward |
|
C$ | |
March 31, 2020 |
||||||||||||||||||||||||
Interest Rate Derivatives |
Number of Instruments |
Notional Amount |
Strike |
Index |
Wtd.-Avg. Maturity (Years) |
|||||||||||||||||||
Interest Rate Swaps |
|
C$ |
|
|
CDOR |
|
||||||||||||||||||
Interest Rate Caps |
|
C$ | |
|
CDOR |
|
December 31, 2019 |
||||||||||||||||||||||||
Interest Rate Derivatives |
Number of Instruments |
Notional Amount |
Strike |
Index |
Wtd.-Avg. Maturity (Years) |
|||||||||||||||||||
Interest Rate Swaps |
|
C$ | |
|
CDOR |
|
||||||||||||||||||
Interest Rate Caps |
|
C$ |
|
|
CDOR |
|
December 31, 2019 |
||||||||
|
Number of |
Notional |
||||||
Non-designated Hedges |
Instruments |
Amount |
||||||
Buy CAD / Sell USD Forward |
|
C$ |
|
|||||
Buy USD / Sell CAD Forward |
|
C$ | |
|||||
Buy GBP / Sell EUR Forward |
|
€ |
|
|||||
Buy AUD / Sell USD Forward |
|
A$ | |
|||||
Buy USD / Sell AUD Forward |
|
A$ | |
Fair Value of Derivatives in an |
Fair Value of Derivatives in a |
|||||||||||||||
Asset Position (1) as of |
Liability Position (2) as of |
|||||||||||||||
March 31, 2020 |
December 31, 2019 |
March 31, 2020 |
December 31, 2019 |
|||||||||||||
Derivatives designated as hedging instruments: |
||||||||||||||||
Interest rate derivatives |
$ | $ | $ | $ | — |
|||||||||||
Foreign exchange contracts |
— |
— |
— |
|||||||||||||
Total |
$ | $ | $ | $ | ||||||||||||
Derivatives not designated as hedging instruments: |
||||||||||||||||
Interest rate derivatives |
$ | — |
$ | — |
$ | — |
$ | — |
||||||||
Foreign exchange contracts |
— |
— |
||||||||||||||
Total |
$ | — |
$ | $ | — |
$ | ||||||||||
Total Derivatives |
$ | $ | $ | $ | ||||||||||||
(1) | Included in other assets in our consolidated balance sheets. |
(2) | Included in other liabilities in our consolidated balance sheets. |
Amount of Gain (Loss) Recognized in OCI on Derivatives |
Location of Gain |
Amount of Gain Reclassified from Accumulated OCI into Income |
||||||||||||||||||
Three Months Ended March 31, |
Reclassified from Accumulated |
Three Months Ended March 31, |
||||||||||||||||||
Derivatives in Hedging Relationships |
2020 |
2019 |
OCI into Income |
2020 |
2019 |
|||||||||||||||
Net Investment Hedges |
||||||||||||||||||||
Foreign exchange contracts (1) |
$ | $ | ( |
) | Interest Expense |
$ | — |
$ | — |
|||||||||||
Cash Flow Hedges |
||||||||||||||||||||
Interest rate derivatives |
( |
) | ( |
) | Interest Expense |
(2) |
||||||||||||||
Total |
$ | $ | ( |
) | $ | $ | ||||||||||||||
(1) |
During the three months ended March 31, 2020 and 2019, we received net cash settlements of $ | |
(2) |
During the three months ended March 31, 2020 and 2019, we recorded total interest and related expenses of $ |
Three Months Ended March 31, |
||||||||
Common Stock Outstanding (1) |
2020 |
2019 |
||||||
Beginning balance |
||||||||
Issuance of class A common stock (2) |
||||||||
Issuance of restricted class A common stock, net |
||||||||
Issuance of deferred stock units |
||||||||
Ending balance |
||||||||
(1) |
Includes deferred stock units held by members of our board of directors of | |
(2) |
Includes |
Three Months Ended |
||||||||
2020 |
2019 |
|||||||
Dividends declared per share of common stock |
$ | $ | ||||||
Total dividends declared |
$ | $ |
Three Months Ended March 31, |
||||||||
2020 |
2019 |
|||||||
Net (loss) income (1) |
$ | ( |
) | $ | ||||
Weighted-average shares outstanding, basic and diluted |
||||||||
Per share amount, basic and diluted |
$ | ( |
) | $ | ||||
(1) Represents net (loss) income attributable to Blackstone Mortgage Trust. |
Three Months Ended March 31, |
||||||||
2020 |
2019 |
|||||||
Professional services (1) |
$ | |
$ | |
||||
Operating and other costs (1) |
|
|
||||||
Subtotal |
|
|
||||||
Non-cash compensation expenses |
||||||||
Restricted class A common stock earned |
|
|
||||||
Director stock-based compensation |
|
|
||||||
Subtotal |
|
|
||||||
Total general and administrative expenses |
$ | |
$ | |
||||
|
(1) During the three months ended March 31, 2020 and 2019, we recognized an aggregate $ |
Restricted Class A Common Stock |
Weighted-Average Grant Date Fair Value Per Share |
|||||||
Balance as of December 31, 2019 |
|
$ | |
|||||
Granted |
|
|
||||||
Vested |
( |
) | |
|||||
Forfeited |
( |
) | |
|||||
Balance as of March 31, 2020 |
|
$ | |
|||||
March 31, 2020 |
December 31, 2019 |
|||||||||||||||||||||||||||||||
Level 1 |
Level 2 |
Level 3 |
Total |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||||||||||||||
Assets |
||||||||||||||||||||||||||||||||
Derivatives |
$ | — |
$ | |
$ | — |
$ | |
$ | — |
$ | |
$ | — |
$ | |
||||||||||||||||
Liabilities |
||||||||||||||||||||||||||||||||
Derivatives |
$ | — |
$ | |
$ | — |
$ | |
$ | — |
$ | |
$ | — |
$ | |
March 31, 2020 |
December 31, 2019 |
|||||||||||||||||||||||
Book |
Face |
Fair |
Book |
Face |
Fair |
|||||||||||||||||||
Value |
Amount |
Value |
Value |
Amount |
Value |
|||||||||||||||||||
Financial assets |
||||||||||||||||||||||||
Cash and cash equivalents |
$ | |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||||
Loans receivable, net |
|
|
|
|
|
|
||||||||||||||||||
Debt securities held-to-maturity (1) |
|
|
|
|
|
|
||||||||||||||||||
Financial liabilities |
||||||||||||||||||||||||
Secured debt agreements, net |
|
|
|
|
|
|
||||||||||||||||||
Securitized debt obligations, net |
|
|
|
|
|
|
||||||||||||||||||
Secured term loan, net |
|
|
|
|
|
|
||||||||||||||||||
Convertible notes, net |
|
|
|
|
|
|
|
||||||||||||||||||||||||
(1) Included in other assets on our consolidated balance sheets. |
March 31, 2020 |
December 31, 2019 |
|||||||
Assets: |
||||||||
Loans receivable |
$ | |
$ | |
||||
Current expected credit loss reserve |
( |
) | — |
|||||
Loans receivable, net |
|
|
|
|
|
|
|
|
Other assets |
|
|
||||||
Total assets |
$ | |
$ | |
||||
Liabilities: |
||||||||
Securitized debt obligations, net |
$ | |
$ | |
||||
Other liabilities |
|
|
||||||
Total liabilities |
$ | |
$ | |
||||
Payment Timing |
||||||||||||||||||||
Total |
Less Than |
1 to 3 |
3 to 5 |
More |
||||||||||||||||
Obligation |
1 Year |
Years |
Years |
5 Years |
||||||||||||||||
Principal repayments under secured debt agreements (1) |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||
Principal repayments of secured term loans (2) |
|
|
|
|
|
|||||||||||||||
Principal repayments of convertible notes (3) |
|
— |
|
— |
— |
|||||||||||||||
Total (4) |
$ | |
$ | |
$ | |
$ | |
$ | |
||||||||||
|
(1) |
The allocation of repayments under our secured debt agreements is based on the earlier of (i) the maturity date of each facility, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower. | |
(2) |
The Secured Term Loan is partially amortizing, with an amount equal to | |
(3) |
Reflects the outstanding principal balance of Convertible Notes, excluding any potential conversion premium. Refer to Note 8 for further details on our Convertible Notes. | |
(4) |
Does not include $ non-consolidated senior interests and $ |
ITEM 2. |
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
Three Months Ended |
||||||||
March 31, 2020 |
December 31, 2019 |
|||||||
Net (loss) income (1) |
$ | (53,350 |
) | $ | 78,931 |
|||
Weighted-average shares outstanding, basic and diluted |
135,619,264 |
134,832,323 |
||||||
Net (loss) income per share, basic and diluted |
$ | (0.39 |
) | $ | 0.59 |
|||
Dividends declared per share |
$ | 0.62 |
$ | 0.62 |
||||
|
(1) | Represents net (loss) income attributable to Blackstone Mortgage Trust. |
Three Months Ended |
||||||||
March 31, 2020 |
December 31, 2019 |
|||||||
Net (loss) income (1) |
$ | (53,350 |
) | $ | 78,931 |
|||
Increase in current expected credit loss reserve |
122,702 |
— |
||||||
Non-cash compensation expense |
8,678 |
7,380 |
||||||
Hedging and foreign currency income, net (2) |
8,467 |
4,767 |
||||||
Other items |
596 |
68 |
||||||
Increase attributable to non-controlling interests |
(561 |
) | — |
|||||
Core Earnings |
$ | 86,532 |
$ | 91,146 |
||||
Weighted-average shares outstanding, basic and diluted |
135,619,264 |
134,832,323 |
||||||
Core Earnings per share, basic and diluted |
$ | 0.64 |
$ | 0.68 |
||||
|
(1) |
Represents net (loss) income attributable to Blackstone Mortgage Trust. | |||
(2) |
Primarily represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR. These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S. dollar terms. These amounts are not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements. |
March 31, 2020 |
December 31, 2019 |
|||||||
Stockholders’ equity |
$ | 3,650,920 |
$ | 3,762,583 |
||||
Shares |
||||||||
Class A common stock |
135,355,320 |
135,003,662 |
||||||
Deferred stock units |
268,049 |
260,066 |
||||||
Total outstanding |
135,623,369 |
135,263,728 |
||||||
Book value per share |
$ | 26.92 |
$ | 27.82 |
||||
Three Months Ended |
Three Months Ended |
|||||||
March 31, 2020 |
December 31, 2019 |
|||||||
Loan originations (1) |
$ | 1,299,939 |
$ | 3,005,921 |
||||
Loan fundings (2) |
$ | 1,000,344 |
$ | 3,596,836 |
||||
Loan repayments |
(567,352 |
) | (2,234,719 |
) | ||||
Total net fundings |
$ | 432,992 |
$ | 1,362,117 |
||||
|
(1) |
Includes new loan originations and additional commitments made under existing loans. | |||
(2) |
Loan fundings during the three months ended March 31, 2020 and December 31, 2019 include $29.0 million and $26.1 million, respectively, of additional fundings under related non-consolidated senior interests. |
Total Investment Exposure |
||||||||||||||||||||||||
Balance Sheet Portfolio (1) |
Loan Exposure (1)(2) |
Other Investments (3) |
Total Investment Portfolio |
|||||||||||||||||||||
Number of investments |
132 |
132 |
1 |
133 |
||||||||||||||||||||
Principal balance |
$ | 16,468,767 |
$ | 17,161,035 |
$ | 880,730 |
$ | 18,041,765 |
||||||||||||||||
Net book value |
$ | 16,250,914 |
$ | 16,250,914 |
$ | 76,936 |
$ | 16,327,850 |
||||||||||||||||
Unfunded loan commitments (4) |
$ | 3,905,323 |
$ | 4,905,459 |
$ | — |
$ | 4,905,459 |
||||||||||||||||
Weighted-average cash coupon (5) |
L + 3.16 |
% | L + 3.22 |
% | L + 2.75 |
% | L + 3.19 |
% | ||||||||||||||||
Weighted-average all-in yield(5) |
L + 3.51 |
% | L + 3.56 |
% | L + 3.03 |
% | L + 3.54 |
% | ||||||||||||||||
Weighted-average maximum maturity (years) (6) |
3.7 |
3.7 |
5.2 |
3.8 |
||||||||||||||||||||
Loan to value (LTV) (7) |
64.4 |
% | 64.5 |
% | 42.6 |
% | 63.4 |
% | ||||||||||||||||
|
(1) |
Excludes investment exposure to the $84.2 million subordinate risk retention interest we own in the $880.7 million 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization. | |
(2) |
In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. Total loan exposure encompasses the entire loan we originated and financed, including $692.3 million of such non-consolidated senior interests that are not included in our balance sheet portfolio. | |
(3) |
Includes investment exposure to the $880.7 million 2018 Single Asset Securitization. We do not consolidate the 2018 Single Asset Securitization on our consolidated financial statements, and instead reflect our $84.2 million subordinate risk retention investment as a component of other assets on our consolidated balance sheet. Refer to Notes 4 and 15 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization. | |
(4) |
Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date. | |
(5) |
The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan. As of March 31, 2020, 97% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $11.4 billion of such loans earned interest based on floors that are above the applicable index. The other 3% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2020, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. | |
(6) |
Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As of March 31, 2020, 56% of our loans and other investments were subject to yield maintenance or other prepayment restrictions and 44% were open to repayment by the borrower without penalty. | |
(7) |
Based on LTV as of the dates loans and other investments were originated or acquired by us. |
Investment Count |
Currency |
Total Investment Portfolio |
Floating Rate Index |
Cash Coupon (1) |
All-in Yield(1) | |||||||||||||||||||
106 |
$ |
$ | 12,537,017 |
USD LIBOR |
L + 3.13% |
L + 3.49% | ||||||||||||||||||
8 |
€ |
€ |
2,790,508 |
EURIBOR |
E + 2.89% |
E + 3.22% | ||||||||||||||||||
13 |
£ |
£ | 1,637,449 |
GBP LIBOR |
L + 3.90% |
L + 4.19% | ||||||||||||||||||
3 |
A$ |
A$ | 522,776 |
BBSY |
BBSY + 4.01% |
BBSY + 4.22% | ||||||||||||||||||
3 |
C$ |
C$ | 101,687 |
CDOR |
CDOR + 3.64% |
CDOR + 3.97% | ||||||||||||||||||
133 |
$ | 18,041,765 |
INDEX + 3.19% |
INDEX + 3.54% | ||||||||||||||||||||
|
(1) | The cash coupon and all-in yield of our fixed rate loans are reflected as a spread over USD LIBOR for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. |
March 31, 2020 |
||||||||||||
Risk Rating |
Number of Loans |
Net Book Value |
Total Loan Exposure (1)(2) |
|||||||||
1 |
5 |
$ | 353,112 |
$ | 354,879 |
|||||||
2 |
26 |
3,095,443 |
3,115,300 |
|||||||||
3 |
85 |
9,659,154 |
10,416,291 |
|||||||||
4 |
16 |
3,255,899 |
3,274,565 |
|||||||||
5 |
— |
— |
— |
|||||||||
Loans receivable |
132 |
$ | 16,363,608 |
$ | 17,161,035 |
|||||||
CECL reserve |
(112,694 |
) | ||||||||||
Loans receivable, net |
$ | 16,250,914 |
||||||||||
|
(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 $692.3 million of such non-consolidated senior interests as of March 31, 2020. | |
(2) |
Excludes investment exposure to the $880.7 million 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization. |
Portfolio Financing |
||||||||
Outstanding Principal Balance |
||||||||
March 31, 2020 |
December 31, 2019 |
|||||||
Secured credit facilities |
$ | 9,019,652 |
$ | 9,753,059 |
||||
Asset-specific financings |
347,618 |
330,879 |
||||||
Revolving credit agreement |
— |
— |
||||||
Non-consolidated senior interests(1) |
692,268 |
688,521 |
||||||
Securitized debt obligations |
2,253,008 |
1,189,642 |
||||||
Total portfolio financing |
$ | 12,312,546 |
$ | 11,962,101 |
||||
|
(1) |
These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. |
March 31, 2020 |
||||||||||||||||||
Credit Facility Borrowings |
Collateral |
|||||||||||||||||
Lender |
Potential (1) |
Outstanding |
Available (1) |
Assets (2) |
||||||||||||||
Deutsche Bank |
$ | 1,958,510 |
$ | 1,870,556 |
$ | 87,954 |
$ | 2,494,270 |
||||||||||
Barclays |
1,618,795 |
1,529,553 |
89,242 |
2,023,495 |
||||||||||||||
Wells Fargo |
1,492,906 |
1,464,938 |
27,968 |
1,928,798 |
||||||||||||||
Citibank |
919,790 |
875,416 |
44,374 |
1,178,568 |
||||||||||||||
Goldman Sachs |
555,612 |
555,612 |
— |
727,728 |
||||||||||||||
Bank of America |
538,473 |
443,473 |
95,000 |
749,127 |
||||||||||||||
Morgan Stanley |
493,208 |
438,202 |
55,006 |
670,544 |
||||||||||||||
MetLife |
434,131 |
434,131 |
— |
545,573 |
||||||||||||||
JP Morgan |
401,865 |
357,639 |
44,226 |
509,766 |
||||||||||||||
US Bank - Multi. JV (3) |
281,872 |
279,552 |
2,320 |
352,340 |
||||||||||||||
Goldman Sachs - Multi. JV (3) |
240,263 |
240,263 |
— |
306,367 |
||||||||||||||
Société Générale |
236,698 |
236,698 |
— |
300,386 |
||||||||||||||
Santander |
235,447 |
235,447 |
— |
298,865 |
||||||||||||||
Bank of America - Multi. JV (3) |
58,172 |
58,172 |
— |
72,715 |
||||||||||||||
$ 9,465,742 |
$ 9,019,652 |
$ 446,090 |
$ 12,158,542 |
|||||||||||||||
|
(1) |
Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility. | |
(2) |
Represents the principal balance of the collateral assets. | |
(3) |
These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture. |
March 31, 2020 |
||||||||||||||||||||||
Asset-Specific Financings |
Count |
Principal Balance |
Book Value |
Wtd. Avg. Yield/Cost (1) |
Guarantee (2) |
Wtd. Avg. Term (3) |
||||||||||||||||
Collateral assets |
4 |
$ | 445,917 |
$ | 434,409 |
L+4.90 |
% | n/a |
Mar. 2023 |
|||||||||||||
Financing provided |
4 |
$ | 347,618 |
$ | 340,407 |
L+3.42 |
% | $ | 95,721 |
Mar. 2023 |
| ||
(1) |
These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs. | |
(2) |
Other than amounts guaranteed on asset-by-asset basis, borrowings under our asset-specific financings are non-recourse to us. | |
(3) |
The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Each of our asset-specific financings is term-matched to the corresponding collateral loans. |
March 31, 2020 |
||||||||||||||||||||||
Non-Consolidated Senior Interests |
Count |
Principal Balance |
Book Value |
Wtd. Avg. Yield/Cost (1) |
Guarantee |
Wtd. Avg. Term |
||||||||||||||||
Total loan |
5 |
$ | 860,746 |
n/a |
5.80 |
% | n/a |
Dec. 2023 |
||||||||||||||
Senior participation |
5 |
692,268 |
n/a |
4.41 |
% | n/a |
Dec. 2023 |
| ||
(1) |
Our floating rate loans and related liabilities were indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, all-in yield/cost includes the amortization of deferred fees / financing costs. |
March 31, 2020 |
||||||||||||||||||
Principal |
Book |
Wtd. Avg. |
||||||||||||||||
Securitized Debt Obligations |
Count |
Balance |
Value |
Yield/Cost (1) |
Term (2) |
|||||||||||||
2020 Collateralized Loan Obligation |
||||||||||||||||||
Collateral assets |
34 |
$ | 1,500,000 |
$ | 1,500,000 |
L+3.22 |
% | December 2023 |
||||||||||
Financing provided |
1 |
1,243,125 |
1,231,186 |
L+1.47 |
% | February 2038 |
||||||||||||
2017 Collateralized Loan Obligation |
||||||||||||||||||
Collateral assets |
16 |
717,763 |
717,763 |
L+3.35 |
% | January 2023 |
||||||||||||
Financing provided |
1 |
535,263 |
533,857 |
L+1.82 |
% | June 2035 |
||||||||||||
2017 Single Asset Securitization |
||||||||||||||||||
Collateral assets (3) |
1 |
716,884 |
716,240 |
L+3.60 |
% | June 2023 |
||||||||||||
Financing provided |
1 |
474,620 |
474,597 |
L+1.63 |
% | June 2033 |
||||||||||||
Total |
||||||||||||||||||
Collateral assets |
51 |
$ | 2,934,647 |
$ | 2,934,003 |
L+3.36 |
% | |||||||||||
Financing provided (4) |
3 |
$ | 2,253,008 |
$ | 2,239,640 |
L+1.59 |
% | |||||||||||
| ||
(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. All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation. | |
(2) |
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. | |
(3) |
The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million. | |
(4) |
During the three months ended March 31, 2020, we recorded $12.0 million of interest expense related to our securitized debt obligations. |
Term Loan Issuance |
Face Value |
Interest Rate |
All-in Cost(1) |
Maturity |
||||||||||||
Term Loan B |
$ | 745,006 |
L+2.25 |
% | L+2.52 |
% | April 23, 2026 |
| ||
(1) |
Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Secured Term Loan. |
Convertible Notes Issuance |
Face Value |
Coupon Rate |
All-in Cost(1) |
Maturity |
||||||||||||
May 2017 |
$ | 402,500 |
4.38 |
% | 4.85 |
% | May 5, 2022 |
|||||||||
March 2018 |
$ | 220,000 |
4.75 |
% | 5.33 |
% | March 15, 2023 |
| ||
(1) |
Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method. |
USD |
EUR |
GBP |
AUD |
CAD |
||||||||||||||||
Floating rate loans (1) |
$ | 11,656,287 |
€ |
2,790,508 |
£ | 1,268,072 |
A$ | 522,776 |
C$ | 54,738 |
||||||||||
Floating rate debt (1)(2)(3) |
(8,904,263 |
) | (2,175,406 |
) | (874,118 |
) | (388,102 |
) | (59,986 |
) | ||||||||||
Net floating rate exposure (4) |
$ | 2,752,024 |
€ |
615,102 |
£ | 393,954 |
A$ | 134,674 |
C$ | (5,248 |
) | |||||||||
| ||
(1) |
Our floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. | |
(2) |
Includes borrowings under secured debt agreements, non-consolidated senior interests, securitized debt obligations, and secured term loans. | |
(3) |
Balance includes two interest rate swaps totaling C$17.3 million ($12.3 million as of March 31, 2020) that are used to hedge a portion of our fixed rate debt. | |
(4) |
In addition, we have one interest rate cap of C$21.4 million ($15.2 million as of March 31, 2020) to limit our exposure to increases in interest rates. |
Three Months Ended |
2020 vs. |
|||||||||||
March 31, |
2019 |
|||||||||||
2020 |
2019 |
$ |
||||||||||
Income from loans and other investments |
||||||||||||
Interest and related income |
$ | 204,875 |
$ | 224,759 |
$ | (19,884 |
) | |||||
Less: Interest and related expenses |
104,239 |
118,688 |
(14,449 |
) | ||||||||
Income from loans and other investments, net |
100,636 |
106,071 |
(5,435 |
) | ||||||||
Other expenses |
||||||||||||
Management and incentive fees |
19,277 |
19,790 |
(513 |
) | ||||||||
General and administrative expenses |
11,791 |
9,313 |
2,478 |
|||||||||
Total other expenses |
31,068 |
29,103 |
1,965 |
|||||||||
Increase in current expected credit loss reserve |
(122,702 |
) | — |
(122,702 |
) | |||||||
(Loss) income before income taxes |
(53,134 |
) | 76,968 |
(130,102 |
) | |||||||
Income tax provision |
149 |
101 |
48 |
|||||||||
Net (loss) income |
(53,283 |
) | 76,867 |
(130,150 |
) | |||||||
Net income attributable to non-controlling interests |
(67 |
) | (302 |
) | 235 |
|||||||
Net (loss) income attributable to Blackstone Mortgage Trust, Inc. |
$ | (53,350 |
) | $ | 76,565 |
$ | (129,915 |
) | ||||
Net (loss) income per share - basic and diluted |
$ | (0.39 |
) | $ | 0.62 |
$ | (1.01 |
) | ||||
Dividends declared per share |
$ | 0.62 |
$ | 0.62 |
$ | — |
March 31, 2020 |
December 31, 2019 |
|||||||
Debt-to-equity ratio(1) |
2.8x |
3.0x |
||||||
Total leverage ratio (2) |
3.9x |
3.7x |
||||||
|
(1) |
Represents (i) total outstanding secured debt agreements, secured term loans, and convertible notes, less cash, to (ii) total equity, in each case at period end. | |
(2) |
Represents (i) total outstanding secured debt agreements, secured term loans, convertible notes, non-consolidated senior interests, and securitized debt obligations, less cash, to (ii) total equity, in each case at period end. |
March 31, 2020 |
December 31, 2019 |
|||||||
Cash and cash equivalents |
$ | 355,018 |
$ | 150,090 |
||||
Available borrowings under secured debt agreements |
480,273 |
598,840 |
||||||
Loan principal payments held by servicer, net (1) |
656 |
1,965 |
||||||
$ | 835,947 |
$ | 750,895 |
|||||
|
(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. |
Payment Timing |
||||||||||||||||||||
Total |
Less Than |
1 to 3 |
3 to 5 |
More Than |
||||||||||||||||
Obligation |
1 Year |
Years |
Years |
5 Years |
||||||||||||||||
Unfunded loan commitments (1) |
$ | 3,905,323 |
$ | 162,077 |
$ | 615,039 |
$ | 2,056,230 |
$ | 1,071,977 |
||||||||||
Principal repayments under secured debt agreements (2) |
9,367,270 |
172,926 |
2,803,500 |
6,145,210 |
245,634 |
|||||||||||||||
Principal repayments of secured term loans (3) |
745,006 |
5,616 |
16,847 |
14,975 |
707,568 |
|||||||||||||||
Principal repayments of convertible notes (4) |
622,500 |
— |
622,500 |
— |
— |
|||||||||||||||
Interest payments (2)(5) |
992,963 |
298,542 |
477,169 |
189,839 |
27,413 |
|||||||||||||||
Total (6) |
$ | 15,633,062 |
$ | 639,161 |
$ | 4,535,055 |
$ | 8,406,254 |
$ | 2,052,592 |
||||||||||
|
(1) |
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. | |
(2) |
The allocation of repayments under our secured debt agreements for both principal and interest payments is based on the earlier of (i) the maturity date of each facility, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower. | |
(3) |
The Secured Term Loan is partially amortizing, with an amount equal to 1.0% per annum of the principal balance due in quarterly installments. Refer to Note 7 to our consolidated financial statements for further details on our secured term loan. | |
(4) |
Reflects the outstanding principal balance of convertible notes, excluding any potential conversion premium. Refer to Note 8 to our consolidated financial statements for further details on our convertible notes. | |
(5) |
Represents interest payments on our secured debt agreements, convertible notes, and Secured Term Loan. Future interest payment obligations are estimated assuming the interest rates in effect as of March 31, 2020 will remain constant into the future. This is only an estimate as actual amounts borrowed and interest rates will vary over time. | |
(6) |
Total does not include $692.3 million of non-consolidated senior interests and $2.3 billion of securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us. |
Three Months Ended March 31, |
||||||||
2020 |
2019 |
|||||||
Cash flows provided by operating activities |
$ | 68,617 |
$ | 77,572 |
||||
Cash flows used in investing activities |
(249,266 |
) | (333,446 |
) | ||||
Cash flows provided by financing activities |
389,077 |
229,678 |
||||||
Net increase (decrease) in cash and cash equivalents |
$ | 208,428 |
$ | (26,196 |
) | |||
Loan Type (1) |
Origination Date (2) |
Total Loan (3)(4) |
Principal Balance (4) |
Net Book Value |
Cash Coupon (5) |
All-in Yield (5) |
Maximum Maturity (6) |
Location |
Property Type |
Loan Per SQFT / Unit / Key |
LTV (2) |
Risk Rating | ||||||||||||||||||||||||||
1 |
Senior loan |
8/14/2019 |
$ | 1,309.0 |
$ | 1,309.0 |
$ | 1,298.1 |
L + 2.50% |
L + 2.85% |
12/23/2024 |
Dublin - IE |
Office |
$451 / sqft |
74% |
3 | ||||||||||||||||||||||
2 |
Senior loan |
3/22/2018 |
962.2 |
962.2 |
958.6 |
L + 3.15% |
L + 3.37% |
3/15/2023 |
Diversified - Spain |
Mixed-Use |
n/a |
71% |
4 | |||||||||||||||||||||||||
3 |
Senior loan |
5/11/2017 |
752.6 |
716.9 |
716.2 |
L + 3.40% |
L + 3.60% |
6/10/2023 |
Washington DC |
Office |
$351 / sqft |
62% |
3 | |||||||||||||||||||||||||
4 |
Senior loan |
11/25/2019 |
724.2 |
615.6 |
615.0 |
L + 2.30% |
L + 2.75% |
12/9/2024 |
New York |
Office |
$882 / sqft |
65% |
3 | |||||||||||||||||||||||||
5 |
Senior loan (4) |
8/6/2015 |
458.8 |
458.8 |
83.5 |
5.75% |
5.77% |
10/29/2022 |
Diversified - EUR |
Other |
n/a |
71% |
3 | |||||||||||||||||||||||||
6 |
Senior loan |
4/11/2018 |
355.0 |
344.5 |
344.5 |
L + 2.85% |
L + 3.02% |
5/1/2023 |
New York |
Office |
$437 / sqft |
71% |
2 | |||||||||||||||||||||||||
7 |
Senior loan |
8/22/2018 |
362.5 |
340.8 |
339.2 |
L + 3.15% |
L + 3.49% |
8/9/2023 |
Maui |
Hospitality |
$442,661 / key |
61% |
4 | |||||||||||||||||||||||||
8 |
Senior loan |
10/23/2018 |
352.4 |
337.9 |
336.9 |
L + 3.40% |
L + 3.72% |
10/23/2021 |
New York |
Mixed-Use |
$572 / sqft |
65% |
3 | |||||||||||||||||||||||||
9 |
Senior loan |
1/11/2019 |
298.2 |
298.2 |
294.7 |
L + 4.35% |
L + 4.70% |
1/11/2026 |
Diversified - UK |
Other |
$295 / sqft |
66% |
4 | |||||||||||||||||||||||||
10 |
Senior loan |
11/30/2018 |
292.9 |
279.8 |
278.1 |
L + 2.85% |
L + 3.20% |
12/9/2023 |
New York |
Hospitality |
$299,941 / key |
73% |
4 | |||||||||||||||||||||||||
11 |
Senior loan |
2/27/2020 |
300.0 |
266.9 |
264.2 |
L + 2.70% |
L + 3.03% |
3/9/2025 |
New York |
Mixed-Use |
$837 / sqft |
59% |
3 | |||||||||||||||||||||||||
12 |
Senior loan |
12/11/2018 |
310.0 |
249.3 |
247.3 |
L + 2.55% |
L + 2.96% |
12/9/2023 |
Chicago |
Office |
$210 / sqft |
78% |
3 | |||||||||||||||||||||||||
13 |
Senior loan |
7/31/2018 |
284.5 |
248.0 |
246.4 |
L + 3.10% |
L + 3.54% |
8/9/2022 |
San Francisco |
Office |
$622 / sqft |
50% |
2 | |||||||||||||||||||||||||
14 |
Senior loan |
11/30/2018 |
253.9 |
247.7 |
246.2 |
L + 2.80% |
L + 3.17% |
12/9/2023 |
San Francisco |
Hospitality |
$363,659 / key |
73% |
4 | |||||||||||||||||||||||||
15 |
Senior loan |
5/9/2018 |
242.9 |
232.9 |
232.4 |
L + 2.60% |
L + 3.03% |
5/9/2023 |
New York |
Industrial |
$66 / sqft |
70% |
2 | |||||||||||||||||||||||||
16 |
Senior loan |
9/23/2019 |
275.8 |
226.7 |
224.2 |
L + 3.00% |
L + 3.22% |
11/15/2024 |
Diversified - Spain |
Hospitality |
$121,063 / key |
62% |
4 | |||||||||||||||||||||||||
17 |
Senior loan |
4/17/2018 |
225.0 |
219.1 |
219.1 |
L + 3.25% |
L + 3.84% |
5/9/2023 |
New York |
Office |
$204 / sqft |
45% |
2 | |||||||||||||||||||||||||
18 |
Senior loan |
10/23/2018 |
278.4 |
214.1 |
212.7 |
L + 2.65% |
L + 2.87% |
11/9/2024 |
Atlanta |
Office |
$199 / sqft |
64% |
2 | |||||||||||||||||||||||||
19 |
Senior loan |
7/20/2017 |
250.0 |
213.7 |
212.8 |
L + 4.80% |
L + 5.71% |
8/9/2022 |
San Francisco |
Office |
$355 / sqft |
58% |
2 | |||||||||||||||||||||||||
20 |
Senior loan |
6/23/2015 |
210.5 |
210.5 |
210.4 |
L + 3.65% |
L + 3.78% |
5/8/2022 |
Washington DC |
Office |
$236 / sqft |
72% |
2 | |||||||||||||||||||||||||
21 |
Senior loan |
9/30/2019 |
304.9 |
206.1 |
206.3 |
L + 3.66% |
L + 3.75% |
9/9/2024 |
Chicago |
Office |
$179 / sqft |
58% |
3 | |||||||||||||||||||||||||
22 |
Senior loan |
12/12/2019 |
260.5 |
196.8 |
195.7 |
L + 2.40% |
L + 2.68% |
12/9/2024 |
New York |
Office |
$94 / sqft |
42% |
1 | |||||||||||||||||||||||||
23 |
Senior loan |
8/31/2017 |
203.0 |
193.1 |
192.6 |
L + 2.50% |
L + 2.75% |
9/9/2023 |
Orange County |
Office |
$225 / sqft |
64% |
3 | |||||||||||||||||||||||||
24 |
Senior loan |
6/4/2018 |
190.0 |
190.0 |
189.3 |
L + 3.50% |
L + 3.86% |
6/9/2024 |
New York |
Hospitality |
$313,015 / key |
52% |
4 | |||||||||||||||||||||||||
25 |
Senior loan |
12/22/2016 |
204.5 |
188.6 |
188.5 |
L + 2.90% |
L + 2.98% |
12/9/2022 |
New York |
Office |
$265 / sqft |
64% |
3 | |||||||||||||||||||||||||
26 |
Senior loan |
6/27/2019 |
211.5 |
185.5 |
183.8 |
L + 2.80% |
L + 3.16% |
8/15/2026 |
Berlin - DEU |
Office |
$398 / sqft |
62% |
3 | |||||||||||||||||||||||||
27 |
Senior loan |
4/9/2018 |
1,486.5 |
185.0 |
173.1 |
L + 8.50% |
L + 10.64% |
6/9/2025 |
New York |
Office |
$525 / sqft |
48% |
2 | |||||||||||||||||||||||||
28 |
Senior loan (4) |
8/7/2019 |
745.8 |
201.2 |
37.9 |
L + 3.12% |
L + 3.49% |
9/9/2025 |
Los Angeles |
Office |
$228 / sqft |
59% |
3 | |||||||||||||||||||||||||
29 |
Senior loan |
9/25/2019 |
182.8 |
182.8 |
181.4 |
L + 4.35% |
L + 4.93% |
9/26/2023 |
London - UK |
Office |
$833 / sqft |
72% |
3 | |||||||||||||||||||||||||
30 |
Senior loan |
11/5/2019 |
213.6 |
180.6 |
178.6 |
L + 3.85% |
L + 4.45% |
2/21/2025 |
Diversified - IT |
Industrial |
$357 / sqft |
66% |
3 |
Loan Type (1) |
Origination Date (2) |
Total Loan (3)(4) |
Principal Balance (4) |
Net Book Value |
Cash Coupon (5) |
All-in Yield (5) |
Maximum Maturity (6) |
Location |
Property Type |
Loan Per SQFT / Unit / Key |
LTV (2) |
Risk Rating | ||||||||||||||||||||||||||
31 |
Senior loan |
11/23/2018 |
184.7 |
180.2 |
178.7 |
L + 2.62% |
L + 2.87% |
2/15/2024 |
Diversified - UK |
Office |
$1,093 / sqft |
50% |
3 | |||||||||||||||||||||||||
32 |
Senior loan |
4/3/2018 |
178.6 |
177.1 |
176.6 |
L + 2.75% |
L + 3.08% |
4/9/2024 |
Dallas |
Mixed-Use |
$502 / sqft |
64% |
3 | |||||||||||||||||||||||||
33 |
Senior loan |
9/26/2019 |
175.0 |
175.0 |
174.1 |
L + 3.10% |
L + 3.54% |
1/9/2023 |
New York |
Office |
$256 / sqft |
65% |
3 | |||||||||||||||||||||||||
34 |
Senior loan |
12/21/2017 |
197.5 |
157.6 |
157.1 |
L + 2.65% |
L + 3.06% |
1/9/2023 |
Atlanta |
Office |
$118 / sqft |
51% |
2 | |||||||||||||||||||||||||
35 |
Senior loan |
9/4/2018 |
172.7 |
155.8 |
154.9 |
L + 3.00% |
L + 3.39% |
9/9/2023 |
Las Vegas |
Hospitality |
$188,647 / key |
70% |
4 | |||||||||||||||||||||||||
36 |
Senior loan |
9/14/2018 |
154.6 |
154.6 |
153.8 |
L + 3.50% |
L + 3.85% |
9/14/2023 |
Canberra - AU |
Mixed-Use |
$401 / sqft |
68% |
3 | |||||||||||||||||||||||||
37 |
Senior loan |
8/23/2017 |
165.0 |
152.5 |
152.2 |
L + 3.25% |
L + 3.58% |
10/9/2022 |
Los Angeles |
Office |
$309 / sqft |
74% |
2 | |||||||||||||||||||||||||
38 |
Senior loan |
12/6/2019 |
142.8 |
142.8 |
141.6 |
L + 2.80% |
L + 3.31% |
12/5/2024 |
London - UK |
Office |
$946 / sqft |
75% |
3 | |||||||||||||||||||||||||
39 |
Senior loan |
12/20/2019 |
139.5 |
139.5 |
138.2 |
L + 3.10% |
L + 3.32% |
12/18/2026 |
London - UK |
Office |
$694 / sqft |
75% |
3 | |||||||||||||||||||||||||
40 |
Senior loan |
5/11/2017 |
135.9 |
135.1 |
135.0 |
L + 3.40% |
L + 3.91% |
6/10/2023 |
Washington DC |
Office |
$310 / sqft |
38% |
2 | |||||||||||||||||||||||||
41 |
Senior loan |
11/14/2017 |
133.0 |
133.0 |
132.7 |
L + 2.75% |
L + 3.00% |
6/9/2023 |
Los Angeles |
Hospitality |
$532,000 / key |
56% |
3 | |||||||||||||||||||||||||
42 |
Senior loan |
1/17/2020 |
203.0 |
130.3 |
128.8 |
L + 2.75% |
L + 3.07% |
2/9/2025 |
New York |
Mixed-Use |
$108 / sqft |
43% |
3 | |||||||||||||||||||||||||
43 |
Senior loan |
9/5/2019 |
198.5 |
126.3 |
124.4 |
L + 2.75% |
L + 3.17% |
9/9/2024 |
New York |
Office |
$788 / sqft |
62% |
3 | |||||||||||||||||||||||||
44 |
Senior loan (4) |
11/22/2019 |
470.0 |
131.4 |
25.4 |
L + 3.70% |
L + 4.22% |
12/9/2025 |
Los Angeles |
Office |
$222 / sqft |
69% |
3 | |||||||||||||||||||||||||
45 |
Senior loan |
12/14/2018 |
135.6 |
122.1 |
121.6 |
L + 2.90% |
L + 3.27% |
1/9/2024 |
Diversified - US |
Industrial |
$49 / sqft |
57% |
3 | |||||||||||||||||||||||||
46 |
Senior loan |
11/27/2019 |
146.3 |
121.0 |
119.7 |
L + 2.75% |
L + 3.13% |
12/9/2024 |
Minneapolis |
Office |
$121 / sqft |
64% |
3 | |||||||||||||||||||||||||
47 |
Senior loan |
11/16/2018 |
211.9 |
119.0 |
117.3 |
L + 4.10% |
L + 4.67% |
12/9/2023 |
Fort Lauderdale |
Mixed-Use |
$335 / sqft |
59% |
3 | |||||||||||||||||||||||||
48 |
Senior loan |
6/28/2019 |
125.0 |
117.2 |
116.7 |
L + 2.75% |
L + 2.91% |
2/1/2024 |
Los Angeles |
Office |
$591 / sqft |
48% |
3 | |||||||||||||||||||||||||
49 |
Senior loan |
3/10/2020 |
140.0 |
114.4 |
114.0 |
L + 2.50% |
L + 2.67% |
1/9/2025 |
New York |
Mixed-Use |
$74 / sqft |
53% |
3 | |||||||||||||||||||||||||
50 |
Senior loan |
9/20/2018 |
113.2 |
113.2 |
113.0 |
L + 4.00% |
L + 4.06% |
8/16/2023 |
Diversified - AU |
Other |
$776 / sqft |
53% |
3 | |||||||||||||||||||||||||
51 |
Senior loan |
4/30/2018 |
159.2 |
112.8 |
111.7 |
L + 3.25% |
L + 3.51% |
4/30/2023 |
London - UK |
Office |
$507 / sqft |
60% |
3 | |||||||||||||||||||||||||
52 |
Senior loan |
7/15/2019 |
144.6 |
112.5 |
111.5 |
L + 2.90% |
L + 3.25% |
8/9/2024 |
Houston |
Office |
$204 / sqft |
58% |
3 | |||||||||||||||||||||||||
53 |
Senior loan |
6/28/2019 |
181.3 |
112.2 |
110.4 |
L + 3.70% |
L + 4.33% |
6/27/2024 |
London - UK |
Office |
$366 / sqft |
71% |
3 | |||||||||||||||||||||||||
54 |
Senior loan |
3/21/2018 |
113.2 |
108.3 |
107.9 |
L + 3.10% |
L + 3.36% |
3/21/2024 |
Jacksonville |
Office |
$108 / sqft |
72% |
2 | |||||||||||||||||||||||||
55 |
Senior loan |
10/16/2018 |
113.7 |
104.7 |
104.2 |
L + 3.25% |
L + 3.57% |
11/9/2023 |
San Francisco |
Hospitality |
$228,212 / key |
72% |
4 | |||||||||||||||||||||||||
56 |
Senior loan |
10/17/2016 |
104.4 |
104.4 |
104.4 |
L + 3.95% |
L + 3.96% |
10/21/2021 |
Diversified - UK |
Self-Storage |
$143 / sqft |
73% |
3 | |||||||||||||||||||||||||
57 |
Senior loan |
12/21/2018 |
123.1 |
104.0 |
103.2 |
L + 2.60% |
L + 3.00% |
2/13/2023 |
Chicago |
Office |
$203 / key |
72% |
2 | |||||||||||||||||||||||||
58 |
Senior loan |
3/13/2018 |
123.0 |
103.6 |
103.0 |
L + 3.00% |
L + 3.27% |
4/9/2025 |
Honolulu |
Hospitality |
$160,580 / key |
50% |
3 | |||||||||||||||||||||||||
59 |
Senior loan |
12/19/2018 |
106.7 |
103.0 |
102.8 |
L + 2.60% |
L + 2.94% |
12/9/2022 |
Chicago |
Multi |
$556,723 / unit |
66% |
2 | |||||||||||||||||||||||||
60 |
Senior loan |
4/25/2019 |
210.0 |
101.1 |
100.1 |
L + 3.50% |
L + 3.76% |
9/1/2025 |
Los Angeles |
Office |
$439 / sqft |
73% |
3 |
Loan Type (1) |
Origination Date (2) |
Total Loan (3)(4) |
Principal Balance (4) |
Net Book Value |
Cash Coupon (5) |
All-in Yield (5) |
Maximum Maturity (6) |
Location |
Property Type |
Loan Per SQFT / Unit / Key |
LTV (2) |
Risk Rating | ||||||||||||||||||||||||||
61 |
Senior loan |
5/16/2014 |
100.0 |
100.0 |
99.9 |
L + 3.85% |
L + 4.11% |
4/9/2022 |
Miami |
Office |
$215 / sqft |
67% |
3 | |||||||||||||||||||||||||
62 |
Senior loan |
3/31/2020 |
117.6 |
96.0 |
94.8 |
L + 2.40% |
L + 2.78% |
3/31/2025 |
Diversified - NL |
Multi |
$117,174 / unit |
65% |
3 | |||||||||||||||||||||||||
63 |
Senior loan |
11/30/2018 |
151.1 |
95.0 |
94.2 |
L + 2.55% |
L + 2.80% |
12/9/2024 |
Washington DC |
Office |
$271 / sqft |
60% |
3 | |||||||||||||||||||||||||
64 |
Senior loan |
12/23/2019 |
109.7 |
93.2 |
92.3 |
L + 2.70% |
L + 3.03% |
1/9/2025 |
Miami |
Multi |
$322,491 / unit |
68% |
3 | |||||||||||||||||||||||||
65 |
Senior loan |
4/12/2018 |
103.1 |
90.7 |
90.4 |
L + 2.75% |
L + 3.06% |
5/9/2023 |
San Francisco |
Office |
$237 / sqft |
72% |
2 | |||||||||||||||||||||||||
66 |
Senior loan |
3/28/2019 |
98.4 |
90.4 |
90.2 |
L + 3.25% |
L + 3.40% |
1/9/2024 |
New York |
Hospitality |
$233,706 / key |
63% |
4 | |||||||||||||||||||||||||
67 |
Senior loan |
6/1/2018 |
125.4 |
90.3 |
89.5 |
L + 3.40% |
L + 3.75% |
5/28/2023 |
London - UK |
Office |
$612 / sqft |
70% |
1 | |||||||||||||||||||||||||
68 |
Senior loan |
2/18/2015 |
87.7 |
87.7 |
87.6 |
L + 3.75% |
L + 4.21% |
4/9/2020 |
Diversified - CA |
Office |
$181 / sqft |
71% |
3 | |||||||||||||||||||||||||
69 |
Senior loan |
12/10/2018 |
110.3 |
86.9 |
86.0 |
L + 2.95% |
L + 3.34% |
12/3/2024 |
London - UK |
Office |
$415 / sqft |
72% |
3 | |||||||||||||||||||||||||
70 |
Senior loan |
8/18/2017 |
85.8 |
85.8 |
85.6 |
L + 4.10% |
L + 4.80% |
8/18/2022 |
Brussels - BE |
Office |
$133 / sqft |
59% |
2 | |||||||||||||||||||||||||
71 |
Senior loan |
3/31/2017 |
96.9 |
85.1 |
85.2 |
L + 4.30% |
L + 4.70% |
4/9/2022 |
New York |
Office |
$418 / sqft |
64% |
3 | |||||||||||||||||||||||||
72 |
Senior loan |
11/22/2019 |
85.0 |
85.0 |
84.6 |
L + 2.99% |
L + 3.27% |
12/1/2024 |
San Jose |
Multi |
$317,164 / unit |
62% |
3 | |||||||||||||||||||||||||
73 |
Senior loan |
6/18/2019 |
90.0 |
85.0 |
84.3 |
L + 3.15% |
L + 3.52% |
7/9/2024 |
Napa Valley |
Hospitality |
$890,052 / key |
74% |
4 | |||||||||||||||||||||||||
74 |
Senior loan |
6/29/2016 |
83.4 |
79.7 |
79.7 |
L + 2.80% |
L + 3.28% |
7/9/2021 |
Miami |
Office |
$307 / sqft |
64% |
2 | |||||||||||||||||||||||||
75 |
Senior loan |
2/20/2019 |
126.1 |
72.9 |
71.6 |
L + 3.25% |
L + 3.89% |
2/19/2024 |
London - UK |
Office |
$358 / sqft |
61% |
3 | |||||||||||||||||||||||||
76 |
Senior loan |
10/17/2018 |
80.4 |
71.4 |
71.2 |
L + 2.60% |
L + 3.03% |
11/9/2023 |
San Francisco |
Office |
$445 / sqft |
68% |
3 | |||||||||||||||||||||||||
77 |
Senior loan |
7/26/2018 |
84.1 |
71.1 |
71.0 |
L + 2.75% |
L + 2.85% |
7/1/2024 |
Columbus |
Multi |
$66,984 / unit |
69% |
3 | |||||||||||||||||||||||||
78 |
Senior loan |
6/27/2019 |
84.0 |
70.0 |
69.6 |
L + 2.50% |
L + 2.77% |
7/9/2024 |
West Palm Beach |
Office |
$481 / sqft |
70% |
3 | |||||||||||||||||||||||||
79 |
Senior loan |
1/30/2020 |
104.4 |
66.7 |
65.8 |
L + 2.85% |
L + 3.22% |
2/9/2026 |
Honolulu |
Hospitality |
$214,341 / key |
63% |
4 | |||||||||||||||||||||||||
80 |
Senior loan |
4/5/2018 |
85.3 |
65.9 |
65.6 |
L + 3.10% |
L + 3.51% |
4/9/2023 |
Diversified - US |
Industrial |
$24 / sqft |
54% |
3 | |||||||||||||||||||||||||
81 |
Senior loan |
8/22/2019 |
74.3 |
65.0 |
64.4 |
L + 2.55% |
L + 2.93% |
9/9/2024 |
Los Angeles |
Office |
$389 / sqft |
63% |
3 | |||||||||||||||||||||||||
82 |
Senior loan (4) |
9/22/2017 |
91.0 |
69.4 |
17.3 |
L + 5.28% |
L + 6.63% |
10/9/2022 |
San Francisco |
Multi |
$446,078 / unit |
46% |
3 | |||||||||||||||||||||||||
83 |
Senior loan |
6/29/2017 |
64.2 |
63.4 |
63.2 |
L + 3.40% |
L + 3.65% |
7/9/2023 |
New York |
Multi |
$184,768 / unit |
69% |
4 | |||||||||||||||||||||||||
84 |
Senior loan |
11/30/2016 |
65.2 |
56.7 |
56.6 |
L + 3.10% |
L + 3.32% |
12/9/2021 |
Chicago |
Retail |
$1,167 / sqft |
54% |
4 | |||||||||||||||||||||||||
85 |
Senior loan |
10/6/2017 |
55.9 |
55.8 |
55.7 |
L + 2.95% |
L + 3.21% |
10/9/2022 |
Nashville |
Multi |
$99,598 / unit |
74% |
2 | |||||||||||||||||||||||||
86 |
Senior loan |
8/16/2019 |
54.3 |
54.3 |
54.1 |
L + 2.75% |
L + 2.95% |
9/1/2022 |
Sarasota |
Multi |
$238,158 / unit |
76% |
3 | |||||||||||||||||||||||||
87 |
Senior loan |
11/23/2016 |
53.6 |
53.6 |
53.5 |
L + 3.50% |
L + 3.80% |
12/9/2022 |
New York |
Multi |
$223,254 / unit |
65% |
4 | |||||||||||||||||||||||||
88 |
Senior loan |
3/11/2014 |
52.8 |
52.8 |
52.8 |
L + 1.84% |
L + 1.85% |
4/9/2021 |
New York |
Multi |
$593,109 / unit |
65% |
4 | |||||||||||||||||||||||||
89 |
Senior loan |
10/5/2018 |
52.7 |
52.7 |
52.4 |
L + 5.50% |
L + 5.65% |
10/5/2021 |
Sydney - AU |
Office |
$560 / sqft |
78% |
3 | |||||||||||||||||||||||||
90 |
Senior loan |
6/26/2019 |
66.1 |
51.9 |
51.3 |
L + 3.35% |
L + 3.66% |
6/20/2024 |
London - UK |
Office |
$586 / sqft |
61% |
3 |
Loan Type (1) |
Origination Date (2) |
Total Loan (3)(4) |
Principal Balance (4) |
Net Book Value |
Cash Coupon (5) |
All-in Yield (5) |
Maximum Maturity (6) |
Location |
Property Type |
Loan Per SQFT / Unit / Key |
LTV (2) |
Risk Rating | ||||||||||||||||||||||||||
91 |
Senior loan |
6/12/2019 |
55.0 |
48.3 |
48.2 |
L + 3.25% |
L + 3.37% |
7/1/2022 |
Grand Rapids |
Multi |
$92,529 / unit |
69% |
3 | |||||||||||||||||||||||||
92 |
Senior loan |
10/31/2018 |
63.3 |
48.0 |
47.8 |
L + 5.00% |
L + 5.64% |
11/9/2023 |
New York |
Multi |
$249,489 / unit |
61% |
3 | |||||||||||||||||||||||||
93 |
Senior loan |
10/31/2018 |
57.3 |
47.4 |
47.3 |
L + 5.00% |
L + 6.01% |
11/9/2023 |
New York |
Condo |
$399 / sqft |
64% |
3 | |||||||||||||||||||||||||
94 |
Senior loan |
8/14/2019 |
70.3 |
47.3 |
46.7 |
L + 2.45% |
L + 2.87% |
9/9/2024 |
Los Angeles |
Office |
$509 / sqft |
57% |
3 | |||||||||||||||||||||||||
95 |
Senior loan |
5/24/2018 |
81.3 |
46.0 |
45.6 |
L + 4.10% |
L + 4.59% |
6/9/2023 |
Boston |
Office |
$89 / sqft |
55% |
3 | |||||||||||||||||||||||||
96 |
Senior loan |
9/25/2018 |
49.3 |
45.0 |
44.8 |
L + 3.50% |
L + 3.79% |
9/1/2023 |
Chicago |
Multi |
$61,202 / unit |
70% |
3 | |||||||||||||||||||||||||
97 |
Senior loan |
11/3/2017 |
45.0 |
44.0 |
44.0 |
L + 3.00% |
L + 3.08% |
11/1/2022 |
Los Angeles |
Office |
$205 / sqft |
50% |
1 | |||||||||||||||||||||||||
98 |
Senior loan |
2/21/2020 |
43.8 |
43.8 |
43.5 |
L + 3.25% |
L + 3.58% |
3/1/2025 |
Atlanta |
Multi |
$137,304 / unit |
68% |
3 | |||||||||||||||||||||||||
99 |
Senior loan |
8/29/2017 |
51.2 |
43.5 |
43.4 |
L + 3.10% |
L + 3.52% |
10/9/2022 |
Southern California |
Industrial |
$91 / sqft |
65% |
3 | |||||||||||||||||||||||||
100 |
Senior loan |
6/26/2015 |
41.6 |
40.9 |
40.8 |
L + 3.75% |
L + 3.94% |
7/9/2020 |
San Diego |
Office |
$187 / sqft |
73% |
3 | |||||||||||||||||||||||||
101 |
Senior loan |
12/27/2016 |
39.5 |
39.5 |
39.4 |
L + 3.10% |
L + 3.45% |
1/9/2022 |
New York |
Multi |
$784,286 / unit |
64% |
3 | |||||||||||||||||||||||||
102 |
Senior loan |
2/20/2019 |
47.6 |
37.5 |
37.2 |
L + 3.50% |
L + 3.91% |
3/9/2024 |
Calgary - CAN |
Office |
$103 / sqft |
52% |
3 | |||||||||||||||||||||||||
103 |
Senior loan |
11/30/2018 |
40.0 |
37.3 |
37.3 |
L + 2.95% |
L + 3.38% |
12/1/2023 |
Las Vegas |
Multi |
$77,810 / unit |
70% |
2 | |||||||||||||||||||||||||
104 |
Senior loan |
10/31/2019 |
33.9 |
33.0 |
32.9 |
L + 3.25% |
L + 3.34% |
11/1/2024 |
Raleigh |
Multi |
$162,626 / unit |
52% |
3 | |||||||||||||||||||||||||
105 |
Senior loan |
12/13/2019 |
80.0 |
32.4 |
31.5 |
L + 3.55% |
L + 4.49% |
6/12/2024 |
Diversified - FR |
Industrial |
$23 / sqft |
55% |
3 | |||||||||||||||||||||||||
106 |
Senior loan |
10/31/2019 |
31.5 |
31.1 |
31.0 |
L + 3.25% |
L + 3.33% |
11/1/2024 |
Atlanta |
Multi |
$163,666 / unit |
60% |
3 | |||||||||||||||||||||||||
107 |
Senior loan |
8/14/2019 |
31.0 |
31.0 |
30.9 |
L + 5.00% |
L + 6.02% |
8/14/2020 |
Orangeburg |
Other |
$150 / sqft |
36% |
3 | |||||||||||||||||||||||||
108 |
Senior loan |
12/3/2019 |
30.3 |
30.3 |
30.3 |
L + 2.75% |
L + 3.20% |
3/1/2021 |
Pensacola |
Multi |
$117,500 / unit |
50% |
2 | |||||||||||||||||||||||||
109 |
Senior loan |
6/26/2019 |
30.0 |
30.0 |
30.0 |
L + 3.25% |
L + 3.65% |
10/1/2020 |
Lake Charles |
Multi |
$111,940 / unit |
73% |
3 | |||||||||||||||||||||||||
110 |
Senior loan |
10/31/2019 |
30.2 |
29.4 |
29.3 |
L + 3.25% |
L + 3.33% |
11/1/2024 |
Austin |
Multi |
$155,582 / unit |
52% |
3 | |||||||||||||||||||||||||
111 |
Senior loan |
5/31/2019 |
29.3 |
29.3 |
29.3 |
L + 3.75% |
L + 3.75% |
6/1/2021 |
Denver |
Multi |
$195,333 / unit |
59% |
2 | |||||||||||||||||||||||||
112 |
Senior loan |
8/30/2018 |
28.7 |
27.7 |
27.6 |
L + 3.00% |
L + 3.42% |
9/1/2022 |
Boise |
Multi |
$108,887 / unit |
73% |
3 | |||||||||||||||||||||||||
113 |
Senior loan |
10/31/2019 |
27.2 |
26.9 |
26.8 |
L + 3.25% |
L + 3.32% |
11/1/2024 |
Austin |
Multi |
$133,636 / unit |
53% |
3 | |||||||||||||||||||||||||
114 |
Senior loan |
12/15/2017 |
22.5 |
22.5 |
22.5 |
L + 3.50% |
L + 3.50% |
12/9/2020 |
Diversified - US |
Hospitality |
$340,809 / key |
50% |
3 | |||||||||||||||||||||||||
115 |
Senior loan |
3/24/2020 |
22.0 |
22.0 |
22.0 |
L + 3.25% |
L + 3.26% |
10/1/2021 |
San Jose |
Multi |
$400,000 / unit |
58% |
3 | |||||||||||||||||||||||||
116 |
Senior loan |
2/26/2020 |
20.4 |
20.4 |
20.3 |
L + 2.80% |
L + 3.27% |
3/1/2021 |
Atlanta |
Multi |
$85,356 / unit |
36% |
3 | |||||||||||||||||||||||||
117 |
Senior loan |
6/15/2018 |
22.0 |
20.4 |
20.5 |
L + 3.35% |
L + 3.79% |
7/1/2022 |
Phoenix |
Multi |
$71,430 / unit |
78% |
3 | |||||||||||||||||||||||||
118 |
Senior loan |
12/23/2019 |
26.2 |
20.0 |
19.8 |
L + 2.85% |
L + 3.21% |
1/9/2025 |
Miami |
Office |
$337 / sqft |
68% |
3 | |||||||||||||||||||||||||
119 |
Senior loan |
4/26/2019 |
20.0 |
20.0 |
19.9 |
L + 2.93% |
L + 3.38% |
5/1/2024 |
Nashville |
Multi |
$198,020 / unit |
73% |
2 | |||||||||||||||||||||||||
120 |
Senior loan |
12/21/2018 |
22.9 |
20.0 |
19.9 |
L + 3.25% |
L + 3.48% |
1/1/2024 |
Daytona Beach |
Multi |
$74,627 / unit |
77% |
3 |
Loan Type (1) |
Origination Date (2) |
Total Loan (3)(4) |
Principal Balance (4) |
Net Book Value |
Cash Coupon (5) |
All-in Yield (5) |
Maximum Maturity (6) |
Location |
Property Type |
Loan Per SQFT / Unit / Key |
LTV (2) |
Risk Rating | ||||||||||||||||||||||||||
121 |
Senior loan |
3/8/2017 |
19.5 |
19.5 |
19.5 |
4.84% (7) |
5.18% (7) |
12/23/2021 |
Montreal - CAN |
Office |
$53 / sqft |
45% |
2 | |||||||||||||||||||||||||
122 |
Senior loan |
3/30/2016 |
15.3 |
15.3 |
15.4 |
5.15% |
5.27% |
9/4/2020 |
Diversified - CAN |
Self-Storage |
$3,332 / unit |
56% |
1 | |||||||||||||||||||||||||
123 |
Senior loan |
10/20/2017 |
17.2 |
15.1 |
15.0 |
L + 4.25% |
L + 4.35% |
11/1/2021 |
Houston |
Multi |
$119,444 / unit |
56% |
3 | |||||||||||||||||||||||||
124 |
Senior loan |
6/21/2019 |
14.8 |
14.5 |
14.4 |
L + 3.30% |
L + 3.41% |
7/1/2022 |
Portland |
Multi |
$130,180 / unit |
66% |
2 | |||||||||||||||||||||||||
125 |
Senior loan |
5/22/2014 |
14.0 |
14.0 |
14.0 |
L + 2.90% |
L + 3.06% |
6/15/2021 |
Orange County |
Office |
$32 / sqft |
74% |
2 | |||||||||||||||||||||||||
126 |
Senior loan |
4/30/2019 |
15.5 |
13.9 |
13.8 |
L + 3.00% |
L + 3.32% |
5/1/2024 |
Houston |
Multi |
$44,848 / unit |
78% |
3 | |||||||||||||||||||||||||
127 |
Senior loan |
2/28/2019 |
15.3 |
13.8 |
13.7 |
L + 3.00% |
L + 3.33% |
3/1/2024 |
San Antonio |
Multi |
$59,800 / unit |
75% |
3 | |||||||||||||||||||||||||
128 |
Senior loan |
5/30/2018 |
10.1 |
10.1 |
10.1 |
L + 3.90% |
L + 3.97% |
6/1/2021 |
Phoenix |
Multi |
$112,222 / unit |
74% |
3 | |||||||||||||||||||||||||
129 |
Senior loan |
10/31/2018 |
10.0 |
10.0 |
10.0 |
L + 3.35% |
L + 3.58% |
11/1/2020 |
Boise |
Multi |
$156,250 / unit |
74% |
2 | |||||||||||||||||||||||||
130 |
Senior loan |
9/1/2016 |
8.5 |
8.5 |
8.6 |
L + 4.20% |
L + 4.38% |
9/1/2022 |
Atlanta |
Multi |
$78,696 / unit |
72% |
1 | |||||||||||||||||||||||||
131 |
Senior loan (4) |
3/23/2020 |
348.6 |
0.0 |
(1.1 |
) | L + 3.75% |
L + 4.82% |
1/9/2025 |
Nashville |
Mixed-Use |
$66 / sqft |
78% |
3 | ||||||||||||||||||||||||
132 |
Senior loan |
10/1/2019 |
341.7 |
0.0 |
(3.4 |
) | L + 3.75% |
L + 4.21% |
10/9/2025 |
Atlanta |
Mixed-Use |
$505 / sqft |
70% |
3 | ||||||||||||||||||||||||
CECL reserve |
(112.7 |
) | ||||||||||||||||||||||||||||||||||||
Loans receivable, net |
$ | 22,066.5 |
$17,161.0 |
$ | 16,250.9 |
L + 3.22% |
L + 3.56% |
3.7 yrs |
64% |
3.0 | ||||||||||||||||||||||||||||
| ||
(1) |
Senior loans include senior mortgages and similar credit quality loans, including related contiguous subordinate loans and pari passu participations in senior mortgage loans. | |
(2) |
Date loan was originated or acquired by us, and the LTV as of such date. Origination dates are subsequently updated to reflect material loan modifications. | |
(3) |
Total loan amount reflects outstanding principal balance as well as any related unfunded loan commitment. | |
(4) |
In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. As of March 31, 2020, five loans in our portfolio have been financed with an aggregate $692.3 million of non-consolidated senior interest, which are included in the table above. Portfolio excludes our $84.2 million subordinate risk retention interest in the $880.7 million 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for details of the 2018 Single Asset Securitization. | |
(5) |
The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan. As of March 31, 2020, 97% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $11.4 billion of such loans earned interest based on floors that are above the applicable index. The other 3% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2020, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. | |
(6) |
Maximum maturity assumes all extension options are exercised, however our loans may be repaid prior to such date. | |
(7) |
Loan consists of one or more floating and fixed rate tranches. Coupon and all-in yield assume applicable floating benchmark rates for weighted-average calculation. |
ITEM 3. |
QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
Assets (Liabilities) Sensitive to Changes in Interest Rates (1)(2) |
Interest Rate Sensitivity as of March 31, 2020 |
|||||||||||||||||||||||
Increase in Rates |
Decrease in Rates |
|||||||||||||||||||||||
Currency |
25 Basis Points |
50 Basis Points |
25 Basis Points |
50 Basis Points |
||||||||||||||||||||
USD |
$ | 11,656,287 |
Income |
$ | 10,389 |
$ | 23,731 |
$ | (6,366 |
) | $ | (12,689 |
) | |||||||||||
(8,904,263 |
) | Expense |
(16,695 |
) | (33,396 |
) | 15,573 |
31,111 |
||||||||||||||||
$ | 2,752,024 |
Net interest |
$ | (6,306 |
) | $ | (9,665 |
) | $ | 9,207 |
$ | 18,422 |
||||||||||||
EUR |
$ | 3,078,210 |
Income |
$ | — |
$ | 2,912 |
$ | — |
$ | — |
|||||||||||||
(2,399,691 |
) | Expense |
— |
(2,261 |
) | — |
— |
|||||||||||||||||
$ | 678,519 |
Net interest |
$ | — |
$ | 651 |
$ | — |
$ | — |
||||||||||||||
GBP |
$ | 1,574,946 |
Income |
$ | 2,489 |
$ | 5,271 |
$ | (2,338 |
) | $ | (4,341 |
) | |||||||||||
(1,085,655 |
) | Expense |
(2,171 |
) | (4,343 |
) | 2,171 |
4,343 |
||||||||||||||||
$ | 489,291 |
Net interest |
$ | 318 |
$ | 928 |
$ | (167 |
) | $ | 2 |
|||||||||||||
AUD |
$ | 320,514 |
Income |
$ | — |
$ | — |
$ | — |
$ | — |
|||||||||||||
(237,945 |
) | Expense |
(476 |
) | (952 |
) | 476 |
799 |
||||||||||||||||
$ | 82,569 |
Net interest |
$ | (476 |
) | $ | (952 |
) | $ | 476 |
$ | 799 |
||||||||||||
CAD (3) |
$ | 38,926 |
Income |
$ | 3 |
$ | 6 |
$ | (3 |
) | $ | (6 |
) | |||||||||||
(42,658 |
) | Expense |
(85 |
) | (171 |
) | 85 |
171 |
||||||||||||||||
$ | (3,732 |
) | Net interest |
$ | (82 |
) | $ | (165 |
) | $ | 82 |
$ | 165 |
|||||||||||
Total net interest |
$ | (6,546 |
) | $ | (9,203 |
) | $ | 9,598 |
$ | 19,388 |
||||||||||||||
|
(1) |
Our floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. Increases (decreases) in interest income and expense are presented net of incentive fees. Refer to Note 11 to our consolidated financial statements for additional details of our incentive fee calculation. In addition, $11.4 billion of our loans earned interest based on floors that are above the applicable index as of March 31, 2020. | |
(2) |
Includes amounts outstanding under secured debt agreements, non-consolidated senior interests, securitized debt obligations, and secured term loans. | |
(3) |
Liabilities balance includes two interest rate swaps totaling C$17.3 million ($12.3 million as of March 31, 2020) that are used to hedge a portion of our fixed rate debt. |
March 31, 2020 |
||||||||||||||||
Foreign currency assets (1) |
€ |
2,805,782 |
£ | 1,641,964 |
A$ | 527,876 |
C$ | 105,396 |
||||||||
Foreign currency liabilities (1) |
(2,176,218 |
) | (1,179,198 |
) | (389,686 |
) | (77,348 |
) | ||||||||
Net exposure to exchange rate fluctuations |
€ |
629,564 |
£ | 462,766 |
A$ | 138,190 |
C$ | 28,048 |
||||||||
____________ |
(1) |
Balances include non-consolidated senior interests of £302.0 million |
ITEM 4. |
CONTROLS AND PROCEDURES |
ITEM 1. |
LEGAL PROCEEDINGS |
ITEM 1A. |
RISK FACTORS |
• | COVID-19 could have a significant long-term impact on the broader economy and the commercial real estate market generally, which would negatively impact the value of the assets collateralizing our loans. Our portfolio includes loans collateralized by hotel, retail, and other asset classes which are particularly negatively impacted by the pandemic. While we believe the principal amount of our loans are generally adequately protected by underlying value, there can be no assurance that we will realize the entire principal value of certain investments. |
• | We are actively engaged in discussions with our borrowers, some of whom have indicated that, due to the impact of the COVID-19 pandemic, they have been unable to timely execute their business plans, have had to temporarily close their businesses or have experienced other negative business consequences and have requested or indicated that they will be requesting interest deferral or forbearance or other modifications of their loans. We therefore anticipate more frequent modifications of our loans and potentially instances of default or foreclosure on assets underlying our loans, which will adversely affect the credit profile of our assets and our results of operations and financial condition. |
• | We have reverse purchase agreements with numerous lenders and are actively engaged in discussions around the value of pledged assets as defined in our agreements with such lenders, potential deleveraging, the application of certain provisions of such agreements to these circumstances and other structural elements under the agreements. If we do not have the funds available to make required payments, it would likely result in defaults and potential loss of assets to the lenders unless we are able to raise the funds from alternative sources, including by selling or financing assets or raising capital (“liquidity sources”), each of |
which we may be required to do under adverse market conditions or at an inopportune time or on unfavorable terms, or may be unable to do at all. COVID-19 has made it very difficult for businesses generally, including us, to access liquidity sources at terms commensurate with those prior to this pandemic, or at all. Pledging additional collateral or otherwise paying down facilities to satisfy our lenders and avoid potential margin calls and loan defaults would reduce our cash available to meet subsequent margin calls and/or future funding requests as well as make other, higher yielding investments, thereby decreasing our liquidity, return on equity, available cash, net income and ability to implement our investment strategy. If we cannot meet lender requirements related to margin calls or other terms of our credit agreements, the lender or counterparty could accelerate our indebtedness, increase the interest rate on advanced funds and terminate our ability to borrow additional funds, which would materially and adversely affect our financial condition and ability to implement our investment strategy. |
• | COVID-19 likely will reduce the availability of liquidity sources, but our requirements for liquidity, including future loan funding obligations and margin calls, likely will not be commensurately reduced. If we did not have funds available to meet our obligations, we would have to raise funds from alternative sources, which may be at unfavorable terms or may not be available to us due to the impacts of COVID-19. We expect that the adverse impact of the COVID-19 pandemic will likely adversely affect our liquidity position and could limit our ability to grow our business and fully execute our business strategy. We expect to preserve and build our liquidity to best position the Company to weather near-term market uncertainty, satisfy our loan future funding and financing obligations and to potentially make opportunistic new investments, which will cause us to take some or all of the following actions: raise capital from offerings of securities, borrow additional capital, sell assets, pay our management and incentive fees in shares of our class A common stock (as will be done for the quarter ended March 31, 2020) and /or change our dividend practice, including by reducing the amount of, or temporarily suspending, our future dividends or paying our future dividends in kind for some period of time. |
• | Interest rates and credit spreads have been significantly impacted since the outbreak of COVID-19. This can result in volatile changes to the fair value of our floating rate loans and also the interest obligations on our floating-rate debt and fair value of our fixed-rate liabilities, which could result in an increase to our interest expense. |
• | lack of liquidity in certain of our assets; |
• | the greater risk of loss to which we are exposed in connection with B-notes, mezzanine loans, and other investments that are subordinated or otherwise junior in an issuer’s capital structure and that involve privately negotiated structures; |
• | risks associated with loans on properties in transition or construction; |
• | risks associated with loans or investments involving assets in foreign jurisdictions, especially those experiencing difficulty; |
• | impairment of our investments and harm to our operations from a prolonged economic slowdown, a lengthy or severe recession or declining real estate values; |
• | foreign currency risks; |
• | the concentration of our loans and investments in terms of geography, asset types and sponsors; |
• | losses resulting from foreclosing on certain of the loans we originate or acquire; |
• | risks associated with our investments in CMBS, CLOs, and other similar structured finance investments, including those we structure, sponsor or arrange; |
• | downgrades in credit ratings assigned to our investments; |
• | investments in non-conforming and non-investment grade rated loans or securities; |
• | investments in interest rate- and foreign currency-related derivative instruments; |
• | the difficulty of estimating provisions for loan losses; |
• | our debt under our credit facilities and our corporate debt; |
• | risks associated with non-recourse securitizations which we use to finance our assets; |
• | losses arising from current and future guarantees of debt and contingent obligations of our subsidiaries or joint venture or co-investment partners; |
• | borrower and counterparty risks; |
• | risks associated with our hedging strategies; |
• | if the market value or income potential of our real estate-related investments declines, we may need to increase our real estate investments and income and/or liquidate our non-qualifying assets in order to maintain our REIT qualification or exclusion from regulation under the Investment Company Act of 1940, as amended; |
• | operational impacts on ourselves and our third-party advisors, service providers, vendors and counterparties, including operating partners, property managers, other independent third-party appraisal firms that provide appraisals of properties collateralizing our loans, our lenders and other providers of financing, brokers and other counterparties that we purchase and sell assets to and from, derivative counterparties, and legal and diligence professionals that we rely on for acquiring our investments; |
• | limitations on our ability to ensure business continuity in the event our, or our third-party advisors’ and service providers’, continuity of operations plan is not effective or improperly implemented or deployed during a disruption; |
• | the availability of key personnel of the Manager and our service providers as they face changed circumstances and potential illness during the pandemic; and |
• | other risks described in our Annual Report as they may be amended by our periodic filings with the SEC. |
ITEM 2. |
UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS |
ITEM 3. |
DEFAULTS UPON SENIOR SECURITIES |
ITEM 4. |
MINE SAFETY DISCLOSURES |
ITEM 5. |
OTHER INFORMATION |
ITEM 6. |
EXHIBITS |
10.1 |
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10.2 |
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10.3 |
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10.4 |
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10.5 |
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31.1 |
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31.2 |
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32.1 + |
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32.2 + |
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101.INS |
Inline XBRL Instance Document– the instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document |
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101.SCH |
Inline XBRL Taxonomy Extension Schema Document |
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101.CAL |
Inline XBRL Taxonomy Extension Calculation Linkbase Document |
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101.LAB |
Inline XBRL Taxonomy Extension Label Linkbase Document |
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101.PRE |
Inline XBRL Taxonomy Extension Presentation Linkbase Document |
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101.DEF |
Inline XBRL Taxonomy Extension Definition Linkbase Document |
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104 |
Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101) |
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|
+ | This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”) or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933, as amended (the “Securities Act”), or the Exchange Act. |
BLACKSTONE MORTGAGE TRUST, INC. | ||||
April 28, 2020 |
/s/ Stephen D. Plavin | |||
Date |
Stephen D. Plavin | |||
Chief Executive Officer | ||||
(Principal Executive Officer) | ||||
April 28, 2020 |
/s/ Anthony F. Marone, Jr. | |||
Date |
Anthony F. Marone, Jr. | |||
Chief Financial Officer | ||||
(Principal Financial Officer and | ||||
Principal Accounting Officer) |