What changed in this filing

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Item 1. Financial Statements

2022-10-26 compared with 2022-07-27 · 301 added, 264 removed, 1285 unchanged (31% of the section changed)

3 unchanged sentences

(in thousands, except share data)

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Cash and cash equivalents $ 271,899 $ 551,154

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Commitments and contingencies — —

Class A common stock, $ 0.01 par value, 400,000,000 shares authorized, 170,295,049 and 168,179,798 shares issued and outstanding as of June 30, 2022 and December 31, 2021, respectively

Class A common stock, $ 0.01 par value, 400,000,000 shares authorized, 170,896,268 and 168,179,798 shares issued and outstanding as of September 30, 2022 and December 31, 2021, respectively

Additional paid-in capital 5,467,372 5,373,029

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Total Liabilities and Equity $ 24,798,629 $ 22,703,289

The consolidated balance sheets as of June 30, 2022 and December 31, 2021 include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of each respective VIE, and liabilities of consolidated VIEs for which creditors do not have recourse to Blackstone Mortgage Trust, Inc.

As of both June 30, 2022 and December 31, 2021, assets of the consolidated VIEs totaled $ 3.5 billion, and liabilities of the consolidated VIEs totaled $ 2.8 billion.

The consolidated balance sheets as of September 30, 2022 and December 31, 2021 include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of each respective VIE, and liabilities of consolidated VIEs for which creditors do not have recourse to Blackstone Mortgage Trust, Inc.

As of both September 30, 2022 and December 31, 2021, assets of the consolidated VIEs totaled $ 3.5 billion, and liabilities of the consolidated VIEs totaled $ 2.8 billion.

Refer to Note 18 for additional discussion of the VIEs.

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Three Months Ended

June 30, Six Months Ended

September 30, Nine Months Ended

September 30,

2022 2021 2022 2021

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Three Months Ended

June 30, Six Months Ended

September 30, Nine Months Ended

September 30,

2022 2021 2022 2021

Net income $ 103,919 $ 84,404 $ 298,047 $ 297,412

Other comprehensive (loss) income

Unrealized (loss) gain on foreign currency translation ( 130,207 ) 15,553 ( 175,429 ) ( 19,404 )

Realized and unrealized gain (loss) on derivative financial instruments 128,685 ( 16,094 ) 174,199 18,977

Other comprehensive loss

Unrealized loss on foreign currency translation ( 158,097 ) ( 46,952 ) ( 333,526 ) ( 66,356 )

Realized and unrealized gain on derivative financial instruments 154,849 46,083 329,048 65,059

Other comprehensive loss ( 3,248 ) ( 869 ) ( 4,478 ) ( 1,297 )

Comprehensive income 100,671 83,535 293,569 296,115

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$ 1,703 $ 5,440,364 $ 7,078 $ ( 811,554 ) $ 4,637,591 $ 25,396 $ 4,662,987

Shares of class A common stock issued, net 6 18,490 18,496 18,496

Restricted class A common stock earned — 8,046 — — 8,046 — 8,046

Dividends reinvested — 299 — — 299 — 299

Deferred directors’ compensation — 173 — — 173 — 173

Net income — — — 103,246 103,246 673 103,919

Other comprehensive loss — — ( 3,248 ) — ( 3,248 ) — ( 3,248 )

Dividends declared on common stock and deferred stock units, $ 0.62 per share

— — — ( 106,197 ) ( 106,197 ) — ( 106,197 )

Distributions to non-controlling interests — — — — — ( 568 ) ( 568 )

Balance at September 30, 2022

$ 1,709 $ 5,467,372 $ 3,830 $ ( 814,505 ) $ 4,658,406 $ 25,501 $ 4,683,907

See accompanying notes to consolidated financial statements.

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$ 1,470 $ 4,719,231 $ 10,743 $ ( 800,483 ) $ 3,930,961 $ 25,994 $ 3,956,955

Shares of class A common stock issued, net 100 311,855 — — 311,955 — 311,955

Restricted class A common stock earned — 7,907 — — 7,907 — 7,907

Dividends reinvested — 218 — — 218 — 218

Deferred directors’ compensation — 173 — — 173 — 173

Net income — — — 83,757 83,757 647 84,404

Other comprehensive loss — — ( 869 ) — ( 869 ) — ( 869 )

Dividends declared on common stock and deferred stock units, $ 0.62 per share

— — — ( 97,552 ) ( 97,552 ) — ( 97,552 )

Contributions from non-controlling interests — — — — — 19,068 19,068

Distributions to non-controlling interests — — — — — ( 11,707 ) ( 11,707 )

Balance at September 30, 2021

$ 1,570 $ 5,039,384 $ 9,874 $ ( 814,278 ) $ 4,236,550 $ 34,002 $ 4,270,552

See accompanying notes to consolidated financial statements.

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(in thousands)

Six Months Ended June 30,

Nine Months Ended September 30,

Cash flows from operating activities

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Amortization of deferred fees on loans and debt securities ( 59,285 ) ( 43,299 )

Amortization of deferred financing costs and premiums/ discount on debt obligations 22,059 19,277

Amortization of deferred financing costs and premiums/discounts on debt obligations 35,455 29,698

Increase (decrease) in current expected credit loss reserve 22,694 ( 49,432 )

Unrealized gain on assets denominated in foreign currencies, net ( 31 ) ( 7,088 )

Unrealized (gain) loss on derivative financial instruments, net ( 713 ) 635

Unrealized gain on derivative financial instruments, net ( 3,227 ) ( 3,298 )

Realized (gain) loss on derivative financial instruments, net ( 8,418 ) 5,483

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(in thousands)

Six Months Ended June 30,

Nine Months Ended September 30,

Cash flows from financing activities

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Net cash provided by financing activities 2,671,630 3,616,649

Net (decrease) increase in cash, cash equivalents, and restricted cash ( 256,629 ) 46,519

Net decrease in cash, cash equivalents, and restricted cash ( 261,830 ) ( 54,369 )

Cash, cash equivalents, and restricted cash at beginning of period 551,154 289,970

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Notes to Consolidated Financial Statements (Unaudited)

References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us” or “our” refer to Blackstone Mortgage Trust, Inc.

and its subsidiaries unless the context specifically requires otherwise.

References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us” or “our” refer to Blackstone Mortgage Trust, Inc., a Maryland corporation, and its subsidiaries unless the context specifically requires otherwise.

Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate in North America, Europe, and Australia.

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We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of Blackstone Inc., or Blackstone, and are a real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.” Our principal executive offices are located at 345 Park Avenue, 24th Floor, New York, New York 10154.

We were incorporated in Maryland in 1998, when we reorganized from a California common law business trust into a Maryland corporation.

We conduct our operations as a REIT for U.S.

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All intercompany balances and transactions have been eliminated in consolidation.

Certain reclassifications have been made in the presentation of the prior period statements of changes in equity to conform to the current period presentation.

Principles of Consolidation

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The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

In the third quarter of 2018, we contributed a loan to a single asset securitization vehicle, or the 2018 Single Asset Securitization, which is a VIE, and invested in the related subordinate position.

We were not the primary beneficiary of the VIE because we did not have the power to direct the activities that most significantly affected the VIE’s economic performance and, therefore, did not consolidate the 2018 Single Asset Securitization on our balance sheet.

We classified the subordinate position we owned as a held-to-maturity debt security that is included in other assets on our consolidated balance sheets.

During the six months ended June 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

We classified the subordinate position we owned as a held-to-maturity debt security that is included in other assets on our consolidated

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

balance sheets.

During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

Refer to Note 18 for additional discussion of our VIEs.

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The preparation of consolidated financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period.

As the novel coronavirus, or COVID-19, pandemic has evolved from its emergence in early 2020, so has its global impact.

During the course of the pandemic, many countries have re-instituted, or strongly encouraged, varying levels of quarantines and restrictions on travel and in some cases have at times limited operations of certain businesses and taken other restrictive measures designed to help slow the spread of COVID-19 and its variants.

Governments and businesses have also instituted vaccine mandates and testing requirements for employees.

While vaccine availability and uptake has increased, the longer-term macro-economic effects on global supply chains, inflation, labor shortages and wage increases continue to impact many industries, including the collateral underlying certain of our loans.

Moreover, with the potential for new strains of COVID-19 or outbreaks of other infectious diseases, governments and businesses may re-impose aggressive measures to help slow the spread of infectious diseases in the future.

For this reason, among others, as the COVID-19 pandemic continues, the potential global impacts are uncertain and difficult to assess.

We believe the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of June 30, 2022, however uncertainty over the ultimate impact of COVID-19, rising inflation and increases in interest rates on the global economy generally, and our business in particular, makes any estimates and assumptions as of June 30, 2022 inherently less certain than they would be absent the current and potential impacts of COVID-19, macroeconomic changes, and geopolitical events.

Actual results may ultimately differ materially from those estimates.

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See Note 6 for further discussion of the 2021 FL4 collateralized loan obligation.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

The following table provides a reconciliation of cash, cash equivalents, and restricted cash on our consolidated balance sheets to the total amount shown on our consolidated statements of cash flows ($ in thousands):

June 30, 2022 June 30, 2021

September 30, 2022 September 30, 2021

Cash and cash equivalents $ 271,899 $ 211,180

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Total cash, cash equivalents, and restricted cash shown in our consolidated statements of cash flows $ 271,899 $ 236,180

Through our subsidiaries, we have oversight of certain servicing accounts held with third-party servicers, or Servicing Accounts, which relate to borrower escrows and other cash balances aggregating $ 623.3 million and $ 531.2 million as of June 30, 2022 and December 31, 2021, respectively.

Through our subsidiaries, we have oversight of certain servicing accounts held with third-party servicers, or Servicing Accounts, which relate to borrower escrows and other cash balances aggregating $ 498.8 million and $ 531.2 million as of September 30, 2022 and December 31, 2021, respectively.

This cash is maintained in segregated bank accounts, and these amounts are not included in the assets and liabilities presented in our consolidated balance sheets.

Cash in these Servicing Accounts will be transferred by the respective third-party servicer to the borrower or us under the terms of the applicable loan agreement upon occurrence of certain future events.

Cash in these Servicing Accounts will be transferred by the respective third-party servicer to the borrower or us under the terms of the applicable

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

loan agreement upon occurrence of certain future events.

We do not generate any revenue or incur any expenses as a result of these Servicing Accounts.

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To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance, with market loan loss data licensed from Trepp LLC.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through May 31, 2022.

Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

our loan portfolio including asset type, geography, and origination loan-to-value, or LTV.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through August 31, 2022.

Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and origination loan-to-value, or LTV.

We believe this CMBS data, which includes month-over-month loan and property performance, is the most relevant, available, and comparable dataset to our portfolio.

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WARM method that incorporates a subset of historical loss data, expected weighted-average remaining maturity of our loan pool, and an economic view.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

WARM method that incorporates a subset of historical loss data, expected weighted average remaining maturity of our loan pool, and an economic view.

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The considerations in estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loan receivables.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Credit Quality Indicator

Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve.

We perform a quarterly risk review of our portfolio of loans, and assigns each loan a risk rating based on a variety of factors, including, without limitation, LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship.

We perform a quarterly risk review of our portfolio of loans, and assign each loan a risk rating based on a variety of factors, including, without limitation, LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship.

Based on a 5-point scale, our loans are rated “l” through “5,” from less risk to greater risk, relative to our loan portfolio in the aggregate, which ratings are defined as follows:

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In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance.

These estimations require significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of June 30, 2022.

We may also incorporate information from other

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

sources, including information and opinions available to our Manager, to further inform these estimations.

This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of September 30, 2022.

Derivative Financial Instruments

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To the extent a derivative does not qualify for hedge accounting and is deemed a non-designated hedge, the changes in its fair value are included in net income concurrently.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Secured Debt and Asset-Specific Debt

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When these sales are not recognized under GAAP we reflect the transaction by recording a loan participations sold liability on our consolidated balance sheet, however this gross presentation does not impact stockholders’ equity or net income.

When the sales are recognized, our balance sheet only includes our remaining subordinate loan and not the non-consolidated senior interest we sold.

When the sales are recognized, our balance sheet only includes our remaining subordinate loan, and excludes the non-consolidated senior interest in the loan that we sold.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

We record our term loans as liabilities on our consolidated balance sheets.

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Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity,” or ASU 2020-06.

ASU 2020-06 simplifies the accounting for convertible debt by eliminating the beneficial conversion and cash conversion accounting models.

ASU 2020-06 also updates the earnings per share calculation and requires entities to assume share settlement when the convertible debt can be settled in cash or shares.

ASU 2020-06 is effective for fiscal years beginning after December 15, 2021 and is to be adopted through a cumulative-effect adjustment to the opening balance of retained earnings either at the date of adoption or in the first comparative period presented.

We adopted ASU 2020-06 on January 1, 2022, using the modified retrospective method of transition.

ASU 2020-06 simplified the accounting for convertible debt by eliminating the beneficial conversion and cash conversion accounting models.

ASU 2020-06 also updated the earnings per share calculation and required entities to assume share settlement when the convertible debt can be settled in cash or shares.

ASU 2020-06 was effective for fiscal years beginning after December 15, 2021, and we adopted ASU 2020-06 on January 1, 2022 using the modified retrospective method of transition.

Subsequent to adoption of ASU 2020-06, convertible debt proceeds, unless issued with a substantial premium or an embedded conversion feature, will no longer be allocated between debt and equity components.

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These costs are amortized as interest expense using the effective interest method over the life of the related obligations.

Underwriting Commissions and Offering Costs

Underwriting commissions and offering costs incurred in connection with common stock offerings are reflected as a reduction of additional paid-in capital.

Costs incurred that are not directly associated with the completion of a common stock offering are expensed when incurred.

Fair Value of Financial Instruments

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Specifically, this guidance defines fair value based on exit price, or the price that would be received upon the sale of an asset or the transfer of a liability in an orderly transaction between market participants at the measurement date.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

ASC 820 also establishes a fair value hierarchy that prioritizes and ranks the level of market price observability used in measuring financial instruments.

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Generally includes only unadjusted quoted prices that are available in active markets for identical financial instruments as of the reporting date.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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.

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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.

The estimated value of each asset reported at fair value using Level 3 inputs is determined by an internal committee composed of members of our senior management, including our Chief Executive Officer, Chief Financial Officer, and other senior officers.

Certain of our other assets are reported at fair value, as of quarter-end, either (i) on a recurring basis or (ii) on a nonrecurring basis, as a result of impairment or other events.

Our assets that are recorded at fair value are discussed further in Note 17.

We generally value our assets recorded at fair value by either (i) discounting expected cash flows based on assumptions regarding the collection of principal and interest and estimated market rates, or (ii) obtaining assessments from third-party dealers.

For collateral-dependent loans that are identified as impaired, we measure impairment by comparing our estimation of the fair value of the underlying collateral, less costs to sell, to the book value of the respective loan.

These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors.

As of June 30, 2022, we had a $ 54.9 million CECL reserve specifically related to one of our loans receivable with an outstanding principal balance of $ 286.3 million, net of cost-recovery proceeds.

The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of June 30, 2022.

As of September 30, 2022, we had a $ 54.9 million CECL reserve specifically related to one of our loans receivable with an outstanding principal balance of $ 286.3 million, net of cost-recovery proceeds.

The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of September 30, 2022.

This loan receivable is therefore measured at fair value on a nonrecurring basis using significant unobservable inputs, and is classified as a Level 3 asset in the fair value hierarchy.

The significant unobservable inputs used to estimate the fair value of this loan receivable include the exit capitalization rate assumption of 4.80 % used to forecast the future sale price of the underlying real estate collateral and the unlevered discount rate of 8.30 %, in addition to reviewing comparable sales on a per-key basis.

We estimated the fair value of this loan receivable by reviewing comparable sales on a per-key basis, and the significant unobservable inputs used include the exit capitalization rate assumption of 4.50 % used to forecast the future sale price of the underlying real estate collateral and the unlevered discount rate of 7.50 %.

We are also required by GAAP to disclose fair value information about financial instruments, which are not otherwise reported at fair value in our consolidated balance sheet, to the extent it is practicable to estimate a fair value for those instruments.

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The fair value of these instruments was estimated by utilizing third-party pricing service providers assuming the securities are not sold prior to maturity.

In determining the value of a particular

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price.

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:

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

• Asset-specific debt, net:

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Stock-Based Compensation

Our stock-based compensation consists of awards issued to our Manager and certain individuals employed by an affiliate of our Manager that vest over the life of the awards, as well as deferred stock units issued to certain members of our board of directors.

Our stock-based compensation consists of awards issued to our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors that vest over the life of the awards, as well as deferred stock units issued to certain members of our board of directors.

Stock-based compensation expense is recognized for these awards in net income on a variable basis over the applicable vesting period of the awards, based on the value of our class A common stock.

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Our restricted class A common stock is considered a participating security, as defined by GAAP, and has been included in our Basic EPS under the two-class method as these restricted shares have the same rights as our other shares of class A common stock, including participating in any gains or losses.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Diluted earnings per share, or Diluted EPS, is determined using the if-converted method, and is based on (i) the net earnings, adjusted for interest expense incurred on our convertible notes during the relevant period, net of incentive fees, allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by (ii) the weighted-average number of shares of our class A common stock, including restricted class A common stock, deferred stock units, and shares of class A common stock issuable under our convertible notes.

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dollars at the exchange rate prevailing at the reporting date and income, expenses, gains, and losses are translated at the average exchange rate over the applicable period.

Cumulative translation adjustments arising from the translation of non-U.S.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

translation adjustments arising from the translation of non-U.S.

dollar denominated subsidiaries are recorded in other comprehensive income (loss).

Underwriting Commissions and Offering Costs

Underwriting commissions and offering costs incurred in connection with common stock offerings are reflected as a reduction of additional paid-in capital.

Costs incurred that are not directly associated with the completion of a common stock offering are expensed when incurred.

Recent Accounting Pronouncements

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In August 2020, the FASB issued ASU 2020-06, described above under “Convertible Notes.” We adopted ASU 2020-06 on January 1, 2022, using the modified retrospective method of transition, which resulted in an aggregate decrease to our additional paid-in capital of $ 2.4 million, an aggregate decrease to our accumulated deficit of $ 2.0 million, and an aggregate increase to our convertible notes, net, of $ 476,000 , as of January 1, 2022.

In addition, the adoption of ASU 2020-06 decreased our diluted earnings per share by $ 0.02 for the six months ended June 30, 2022.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

In addition, the adoption of ASU 2020-06 decreased our diluted earnings per share by $ 0.03 for the nine months ended September 30, 2022.

Reference Rate Reform

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Treasury securities, as its preferred alternative rate for USD LIBOR.

As of June 30, 2022, one-month SOFR is utilized as the floating benchmark rate on 43 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, and certain borrowings under eight of our credit facilities.

As of June 30, 2022, the one-month SOFR was 1.69 % and one-month USD LIBOR was 1.79 %.

Additionally, market participants have started to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K.

As of June 30, 2022, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings.

As of September 30, 2022, one-month SOFR is utilized as the floating benchmark rate on 49 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

nine of our credit facilities, and our B-4 Term Loan.

As of September 30, 2022, the one-month SOFR was 3.04 % and one-month USD LIBOR was 3.14 %.

Additionally, market participants have transitioned from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K.

As of September 30, 2022, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings.

At this time, it is not possible to predict how markets will respond to SOFR, SONIA, or other alternative reference rates as the transition away from USD LIBOR and GBP LIBOR proceeds.

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However, multi-rate environments may persist in these markets as regulators and working groups have suggested market participants adopt alternative reference rates.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

LOANS RECEIVABLE, NET

The following table details overall statistics for our loans receivable portfolio ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Number of loans 205 188

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(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, SOFR, SONIA, GBP LIBOR, EURIBOR, and other indices, as applicable to each loan.

As of June 30, 2022, substantially all of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR.

As of December 31, 2021, 99.5 % of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR.

As of September 30, 2022, substantially all of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR.

As of December 31, 2021, 99.5 % of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR.

The other 0.5 % of our loans earned a fixed rate of interest.

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(3) Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date.

As of June 30, 2022, 58 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 42 % were open to repayment by the borrower without penalty.

As of September 30, 2022, 61 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 39 % were open to repayment by the borrower without penalty.

As of December 31, 2021, 56 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 44 % were open to repayment by the borrower without penalty.

The following table details the index rate floors for our loans receivable portfolio as of June 30, 2022 ($ in thousands):

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

The following table details the index rate floors for our loans receivable portfolio as of September 30, 2022 ($ in thousands):

Loans Receivable Principal Balance

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(2) Includes a $ 286.3 million loan accounted for under the cost-recovery method.

(3) As of June 30, 2022, the weighted-average index rate floor of our loan portfolio was 0.32 %.

(3) As of September 30, 2022, the weighted-average index rate floor of our loan portfolio was 0.34 %.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.60 %.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Activity relating to our loans receivable portfolio was as follows ($ in thousands):

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Amortization of fees and other items — 58,169 58,169

Loans Receivable, as of June 30, 2022

Loans Receivable, as of September 30, 2022

$ 24,576,601 $ ( 153,468 ) $ 24,423,133

CECL reserve ( 144,431 )

Loans Receivable, net, as of June 30, 2022

Loans Receivable, net, as of September 30, 2022

(1) Other items primarily consist of purchase and sale discounts or premiums, exit fees, and deferred origination expenses.

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The tables below detail the property type and geographic distribution of the properties securing the loans in our portfolio ($ in thousands):

June 30, 2022

September 30, 2022

Property Type Number of

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See Note 2 for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $ 1.5 billion of such non-consolidated senior interests as of June 30, 2022.

Total loan exposure encompasses the entire loan we originated and financed, including $ 1.6 billion of such non-consolidated senior interests as of September 30, 2022.

Blackstone Mortgage Trust, Inc.

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The following table allocates the principal balance and net book value of our loans receivable based on our internal risk ratings ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Exposure (1)(2)

9 unchanged sentences

See Note 2 for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $ 1.5 billion of such non-consolidated senior interests as of both June 30, 2022 and December 31, 2021, respectively.

Total loan exposure encompasses the entire loan we originated and financed, including $ 1.6 billion and $ 1.5 billion of such non-consolidated senior interests as of September 30, 2022 and December 31, 2021, respectively.

(2) Excludes investment exposure to the 2018 Single Asset Securitization of $ 379.3 million as of December 31, 2021.

See Note 4 for details of the subordinate position we own in the 2018 Single Asset Securitization.

The weighted-average risk rating of our total loan exposure was 2.8 as of both June 30, 2022 and December 31, 2021.

The weighted-average risk rating of our total loan exposure was 2.8 as of both September 30, 2022 and December 31, 2021.

Current Expected Credit Loss Reserve

1 unchanged sentence

Refer to Note 2 for further discussion of our CECL reserve.

The following table presents the activity in our loans receivable CECL reserve by investment pool for the three and six months ended June 30, 2022 and 2021 ($ in thousands):

Loans Non-U.S.

Loans Receivable, Net

The following table presents the activity in our loans receivable CECL reserve by investment pool for the three and nine months ended September 30, 2022 and 2021 ($ in thousands):

CECL reserve as of December 31, 2021

6 unchanged sentences

$ 33,311 $ 11,344 $ 33,495 $ 54,874 $ 133,024

Increase in CECL reserve 8,280 45 3,082 — 11,407

CECL reserve as of September 30, 2022

$ 41,591 $ 11,389 $ 36,577 $ 54,874 $ 144,431

CECL reserve as of December 31, 2020

6 unchanged sentences

$ 17,673 $ 8,829 $ 32,782 $ 69,661 $ 128,945

Increase (decrease) in CECL reserve 3,253 ( 283 ) ( 1,527 ) — 1,443

CECL reserve as of September 30, 2021

$ 20,926 $ 8,546 $ 31,255 $ 69,661 $ 130,388

(1) Includes Canadian loans, which have similar risk characteristics as U.S.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

Previously, we entered into loan modifications related to a multifamily asset in New York City, which were classified as troubled debt restructurings under GAAP.

During the three months ended December 31, 2021, the borrower committed significant additional capital to the property and engaged new management to oversee property operations, and we reduced the loan's outstanding principal balance to $ 37.5 million, which remains unchanged as of June 30, 2022.

As a result of the modification, during the three months ended December 31, 2021, we charged-off $ 14.4 million of the $ 14.8 million asset-specific CECL reserve we recorded on this loan, and reversed the remaining $ 360,000 CECL reserve.

We have no remaining asset-specific CECL reserve against this loan as of June 30, 2022.

We have no remaining asset-specific CECL reserve against this loan as of September 30, 2022.

The loan is paying interest income current and we resumed income accrual for this loan as of December 31, 2021.

No income was recorded on this loan during the six months ended June 30, 2021.

No income was recorded on this loan during the nine months ended September 30, 2021.

Previously, we entered into a loan modification related to a hospitality asset in New York City, which is classified as a troubled debt restructuring under GAAP.

As of June 30, 2022, this loan has an outstanding principal balance of $ 286.3 million, net of cost-recovery proceeds, and a CECL reserve of $ 54.9 million, which was recorded based on our estimation of the fair value of the loan’s underlying collateral as of June 30, 2022.

No income was recorded on this loan during both the six months ended June 30, 2022 and 2021.

As of September 30, 2022, this loan has an outstanding principal balance of $ 286.3 million, net of cost-recovery proceeds, and a CECL reserve of $ 54.9 million, which was recorded based on our estimation of the fair value of the loan’s underlying collateral as of September 30, 2022.

No income was recorded on this loan during both the nine months ended September 30, 2022 and 2021.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

Our primary credit quality indicator is our risk ratings, which are further discussed above.

The following tables present the net book value of our loan portfolio as of June 30, 2022 and December 31, 2021, respectively, by year of origination, investment pool, and risk rating ($ in thousands):

The following tables present the net book value of our loan portfolio as of September 30, 2022 and December 31, 2021, respectively, by year of origination, investment pool, and risk rating ($ in thousands):

Net Book Value of Loans Receivable by Year of Origination (1)

As of June 30, 2022

As of September 30, 2022

2022 2021 2020 2019 2018 Prior Total

36 unchanged sentences

Origination dates are subsequently updated to reflect material loan modifications.

(2) Includes Canadian loans, which have similar risk characteristics as U.S.

Blackstone Mortgage Trust, Inc.

42 unchanged sentences

See Note 4 for details of the subordinate position we own in the 2018 Single Asset Securitization.

(3) Includes Canadian loans, which have similar risk characteristics as U.S.

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

As discussed in Note 2, we entered into a Multifamily Joint Venture in April 2017.

As of June 30, 2022 and December 31, 2021, our Multifamily Joint Venture held $ 802.2 million and $ 746.9 million of loans, respectively, which are included in the loan disclosures above.

As of September 30, 2022 and December 31, 2021, our Multifamily Joint Venture held $ 802.9 million and $ 746.9 million of loans, respectively, which are included in the loan disclosures above.

Refer to Note 2 for additional discussion of our Multifamily Joint Venture.

1 unchanged sentence

The following table details the components of our other assets ($ in thousands):

June 30, 2022 December 31, 2021

Loan portfolio payments held by servicer (1)

$ 252,401 $ 77,624

September 30, 2022 December 31, 2021

Accrued interest receivable $ 146,882 $ 86,101

Derivative assets 94,352 30,531

Loan portfolio payments held by servicer (1)

Accounts receivable and other assets 2,529 572

6 unchanged sentences

(2) Represents the subordinate position we own in the 2018 Single Asset Securitization, which held aggregate loan assets of $ 379.3 million as of December 31, 2021, with a yield to full maturity of L+10.0% and a maximum maturity date of June 9, 2025, assuming all extension options are exercised by the borrower.

During the six months ended June 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

Refer to Note 18 for additional discussion.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Current Expected Credit Loss Reserve

1 unchanged sentence

Refer to Note 2 for further discussion of our CECL reserve.

The following table presents the activity in our debt securities CECL reserve for the three and six months ended June 30, 2022 and 2021 ($ in thousands):

The following table presents the activity in our debt securities CECL reserve for the three and nine months ended September 30, 2022 and 2021 ($ in thousands):

Debt Securities Held-To-Maturity Total

4 unchanged sentences

CECL reserve as of June 30, 2022

Decrease in CECL reserve —

CECL reserve as of September 30, 2022

CECL reserve as of December 31, 2020

3 unchanged sentences

CECL reserve as of June 30, 2021

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Increase in CECL reserve 158

CECL reserve as of September 30, 2021

Other Liabilities

The following table details the components of our other liabilities ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Accrued dividends payable $ 105,956 $ 104,271

1 unchanged sentence

Accrued management and incentive fees payable 25,911 28,373

Secured debt repayments pending servicer remittance (1)

22,117 47,664

Current expected credit loss reserve for unfunded loan commitments (1)

Accounts payable and other liabilities 7,272 9,046

Secured debt repayments pending servicer remittance (2)

Derivative liabilities 979 5,890

Total $ 209,375 $ 231,358

(1) Represents pending transfers from our third-party loan servicer that were remitted to our banking counterparties during the subsequent remittance cycle.

(1) Represents the CECL reserve related to our unfunded loan commitments.

See Note 2 for further discussion of the CECL reserve.

(2) Represents pending transfers from our third-party loan servicer that were remitted to our banking counterparties during the subsequent remittance cycle.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Current Expected Credit Loss Reserve for Unfunded Loan Commitments

As of June 30, 2022, we had unfunded commitments of $ 4.6 billion related to 125 loans receivable.

The expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments.

As of September 30, 2022, we had unfunded commitments of $ 4.1 billion related to 122 loans receivable.

The expected credit losses over the contractual period of our loans is impacted by our obligation to extend further credit through our unfunded loan commitments.

See Note 2 for further discussion of the CECL reserve related to our unfunded loan commitments, and Note 20 for further discussion of our unfunded loan commitments.

The following table presents the activity in the CECL reserve related to our unfunded loan commitments by investment pool for the three and six months ended June 30, 2022 and 2021 ($ in thousands):

The following table presents the activity in the CECL reserve related to our unfunded loan commitments by investment pool for the three and nine months ended September 30, 2022 and 2021 ($ in thousands):

Loans Non-U.S.

Unfunded Loan Commitments

CECL reserve as of December 31, 2021

6 unchanged sentences

$ 6,323 $ 2,111 $ — $ — $ 8,434

Increase in CECL reserve 527 314 — — 841

CECL reserve as of September 30, 2022

$ 6,850 $ 2,425 $ — $ — $ 9,275

CECL reserve as of December 31, 2020

6 unchanged sentences

$ 2,854 $ 1,140 $ 43 $ — $ 4,037

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Increase (decrease) in CECL reserve 566 643 ( 43 ) — 1,166

CECL reserve as of September 30, 2021

$ 3,420 $ 1,783 $ — $ — $ 5,203

SECURED DEBT, NET

Our secured debt includes our secured credit facilities and acquisition facility.

During the six months ended June 30, 2022, we obtained approval for $ 3.7 billion of new borrowings against $ 4.7 billion of collateral assets.

Additionally, during the six months ended June 30, 2022, we (i) entered into one new secured credit facility providing $ 1.0 billion of credit capacity and (ii) we increased the size of six existing secured credit facilities providing an aggregate $ 1.4 billion of additional credit capacity.

Our secured debt includes our secured credit facilities and our acquisition facility.

During the nine months ended September 30, 2022, we obtained approval for $ 4.4 billion of new borrowings against $ 5.6 billion of collateral assets.

Additionally, during the nine months ended September 30, 2022, we (i) entered into two new secured credit facilities providing an aggregate $ 2.1 billion of credit capacity and (ii) we increased the size of six existing secured credit facilities providing an aggregate $ 1.4 billion of additional credit capacity.

The following table details our secured debt ($ in thousands):

Borrowings Outstanding

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Secured credit facilities $ 13,213,212 $ 12,299,580

5 unchanged sentences

(1) Costs incurred in connection with our secured debt are recorded on our consolidated balance sheets when incurred and recognized as a component of interest expense over the life of each related facility.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Secured Credit Facilities

1 unchanged sentence

The facilities are uniformly structured to provide currency, index, and term-matched financing without capital markets based mark-to-market provisions.

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

June 30, 2022

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

September 30, 2022

Recourse Limitation

3 unchanged sentences

USD 14 $ 7,627,832 2/6/2026 149 $ 11,656,788 2/24/2026 36 % 25 % - 100 %

EUR 6 2,119,463 7/9/2025 10 2,818,786 7/17/2025 45 % 25 % - 100 %

GBP 7 2,074,791 1/21/2026 21 2,729,052 4/6/2026 27 % 25 % - 50 %

EUR 7 1,977,876 8/1/2025 11 2,631,862 8/6/2025 42 % 25 % - 100 %

4 1,532,713 5/23/2027 8 1,944,598 5/7/2027 25 % 25 %

9 unchanged sentences

Notes to Consolidated Financial Statements (continued) (Unaudited)

The following tables detail the spread of our secured debt as of June 30, 2022 and December 31, 2021 ($ in thousands):

Six Months Ended June 30, 2022 June 30, 2022

The following tables detail the spread of our secured debt as of September 30, 2022 and December 31, 2021 ($ in thousands):

Nine Months Ended September 30, 2022 September 30, 2022

New Financings (2)

18 unchanged sentences

(1) The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, GBP LIBOR, EURIBOR, and other indices as applicable.

(2) Represents borrowings outstanding as of June 30, 2022 and December 31, 2021, respectively, for new financings during the six months ended June 30, 2022 and year ended December 31, 2021, respectively, based on the date collateral was initially pledged to each credit facility.

(2) Represents borrowings outstanding as of September 30, 2022 and December 31, 2021, respectively, for new financings during the nine months ended September 30, 2022 and year ended December 31, 2021, respectively, based on the date collateral was initially pledged to each credit facility.

(3) In addition to spread, the cost includes the associated deferred fees and expenses related to the respective borrowings.

In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

(4) Represents the weighted-average all-in cost as of June 30, 2022 and December 31, 2021, respectively, and is not necessarily indicative of the spread applicable to recent or future borrowings.

(4) Represents the weighted-average all-in cost as of September 30, 2022 and December 31, 2021, respectively, and is not necessarily indicative of the spread applicable to recent or future borrowings.

(5) Represents the principal balance of the collateral assets.

1 unchanged sentence

Our secured credit facilities generally permit us to increase or decrease the amount advanced against the pledged collateral in our discretion within certain maximum/minimum amounts and frequency limitations.

As of June 30, 2022, there was an aggregate $ 1.0 billion available to be drawn at our discretion under our credit facilities.

As of September 30, 2022, there was an aggregate $ 1.4 billion available to be drawn at our discretion under our credit facilities.

Acquisition Facility

1 unchanged sentence

The cost of borrowing under the facility is variable, dependent on the type of loan collateral, and its maturity date is April 4, 2023.

During the six months ended June 30, 2022, we had no borrowings under the acquisition facility.

During the three months ended June 30, 2022, we recorded interest expense of $ 303,000 , including $ 81,000 of amortization of deferred fees and expenses.

During the six months ended June 30, 2022, we recorded interest expense of $ 608,000 , including $ 168,000 of amortization of deferred fees and expenses.

During the nine months ended September 30, 2022, we had no borrowings under the acquisition facility.

During the three months ended September 30, 2022, we recorded interest expense of $ 306,000 , including $ 82,000 of amortization of deferred fees and expenses.

During the nine months ended September 30, 2022, we recorded interest expense of $ 914,000 , including $ 250,000 of amortization of deferred fees and expenses.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

During the year ended December 31, 2021, we had no borrowings under the acquisition facility.

During the three months ended June 30, 2021, we recorded interest expense of $ 221,000 including $ 96,000 of amortization of deferred fees and expenses.

During the six months ended June 30, 2021 we recorded interest expense of $ 618,000 , including $ 178,000 of amortization of deferred fees and expenses.

During the three months ended September 30, 2021, we recorded interest expense of $ 307,000 including $ 84,000 of amortization of deferred fees and expenses.

During the nine months ended September 30, 2021 we recorded interest expense of $ 925,000 , including $ 262,000 of amortization of deferred fees and expenses.

Financial Covenants

1 unchanged sentence

(i) our ratio of earnings before interest, taxes, depreciation, and amortization, or EBITDA, to fixed charges, as defined in the agreements, shall be not less than 1.4 to 1.0;

(ii) our tangible net worth, as defined in the agreements, shall not be less than $ 3.5 billion as of each measurement date plus 75 % to 85 % of the net cash proceeds of future equity issuances subsequent to June 30, 2022;

(ii) our tangible net worth, as defined in the agreements, shall not be less than $ 3.6 billion as of each measurement date plus 75 % to 85 % of the net cash proceeds of future equity issuances subsequent to September 30, 2022;

(iii) cash liquidity shall not be less than the greater of (x) $ 10.0 million or (y) no more than 5 % of our recourse indebtedness;

and (iv) our indebtedness shall not exceed 83.33 % of our total assets.

As of June 30, 2022 and December 31, 2021, we were in compliance with these covenants.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

As of September 30, 2022 and December 31, 2021, we were in compliance with these covenants.

SECURITIZED DEBT OBLIGATIONS, NET

3 unchanged sentences

The following tables detail our securitized debt obligations ($ in thousands):

June 30, 2022

September 30, 2022

Securitized Debt Obligations Count Principal

1 unchanged sentence

2021 FL4 Collateralized Loan Obligation

Collateral assets 32 $ 1,000,000 $ 1,000,000 + 3.51 % April 2025

Collateral assets 31 $ 1,000,000 $ 1,000,000 + 3.51 % May 2025

Financing provided 1 803,750 799,063 + 1.57 % May 2038

9 unchanged sentences

(1) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees.

(2) The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and one-month SOFR, as applicable to each securitized debt obligation.

As of June 30, 2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11 %.

As of June 30, 2022, one-month SOFR was 1.69 % and one-month USD LIBOR was 1.79 %.

(2) The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and SOFR, as applicable to each securitized debt obligation.

As of September 30, 2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11 %.

As of September 30, 2022, one-month SOFR was 3.04 % and one-month USD LIBOR was 3.14 %.

(3) Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower.

1 unchanged sentence

The term of these obligations represents the rated final distribution date of the securitizations.

(4) During the three and six months ended June 30, 2022, we recorded $ 15.5 million and $ 26.5 million, respectively, of interest expense related to our securitized debt obligations.

(4) During the three and nine months ended September 30, 2022, we recorded $ 26.1 million and $ 52.6 million, respectively, of interest expense related to our securitized debt obligations.

Blackstone Mortgage Trust, Inc.

17 unchanged sentences

(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.

As of December 31, 2021, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11 %.

3 unchanged sentences

The term of these obligations represents the rated final distribution date of the securitizations.

(4) During the three and six months ended June 30, 2021, we recorded $ 12.4 million and $ 24.5 million, respectively, of interest expense related to our securitized debt obligations.

(4) During the three and nine months ended September 30, 2021, we recorded $ 10.7 million and $ 35.2 million, respectively, of interest expense related to our securitized debt obligations.

ASSET-SPECIFIC DEBT, NET

The following tables detail our asset-specific debt ($ in thousands):

June 30, 2022

September 30, 2022

Asset-Specific Debt Count Principal

10 unchanged sentences

(1) These floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement.

In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.

In addition to cash coupon, yield/cost includes the amortization of deferred origination fees and financing costs.

(2) The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower.

5 unchanged sentences

Therefore, in the instance of such sales, we present the whole loan as an asset and the loan participation sold as a liability on our consolidated balance sheet until the loan is repaid.

The obligation to pay principal and interest on these liabilities is generally based on the performance of the related loan obligation.

The obligation to pay principal and interest on these liabilities is generally based on the performance of the related loan obligation, and does not require an actual cash outlay from us.

The gross presentation of loan participations sold does not impact stockholders’ equity or net income.

The following tables detail our loan participations sold ($ in thousands):

June 30, 2022

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

September 30, 2022

Loan Participations Sold Count Principal

4 unchanged sentences

(1) This non-debt participation sold structure is inherently matched in terms of currency and interest rate.

In addition to cash coupon, yield/cost includes the amortization of deferred fees / financing costs.

In addition to cash coupon, yield/cost includes the amortization of deferred fees and financing costs.

(2) The term is determined based on the on maximum maturity of the loan, assuming all extension options are exercised by the borrower.

1 unchanged sentence

TERM LOANS, NET

During the six months ended June 30, 2022, we entered into a $ 500.0 million term loan facility, or the B-4 Term Loan.

During the nine months ended September 30, 2022, we entered into a $ 500.0 million term loan facility, or the B-4 Term Loan.

The B-4 Term Loan bears interest at SOFR plus 3.50 % and matures in May 2029.

As of June 30, 2022, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

As of September 30, 2022, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans Face Value Interest Rate (1)

4 unchanged sentences

(1) The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of 0.50 %.

The B-1 Term Loan and B-3 Term Loan are indexed to one-month USD LIBOR and the B-4 Term Loan is indexed to one-month SOFR.

(2) Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Term Loans.

5 unchanged sentences

The following table details the net book value of our Term Loans on our consolidated balance sheets ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Face value $ 1,837,717 $ 1,349,271

2 unchanged sentences

Net book value $ 1,807,017 $ 1,327,406

The guarantee under our Term Loans contains the financial covenant that our indebtedness shall not exceed 83.33 % of our total assets.

As of June 30, 2022 and December 31, 2021, we were in compliance with this covenant.

Refer to Note 2 for additional discussion of our accounting policies for the Term Loans.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

The guarantee under our Term Loans contains the financial covenant that our indebtedness shall not exceed 83.33 % of our total assets.

As of September 30, 2022 and December 31, 2021, we were in compliance with this covenant.

Refer to Note 2 for additional discussion of our accounting policies for the Term Loans.

SENIOR SECURED NOTES, NET

As of June 30, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):

As of September 30, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):

Senior Secured Notes Face Value Interest Rate All-in Cost (1)

3 unchanged sentences

The following table details the net book value of our Senior Secured Notes on our consolidated balance sheets ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Face value $ 400,000 $ 400,000

2 unchanged sentences

The covenants under our Senior Secured Notes require us to maintain a total debt to total assets ratio, as defined in the agreements, of not greater than 83.33 % and, in certain circumstances, a total unencumbered assets to total unsecured indebtedness ratio, as defined in the agreements, of 1.20 or greater.

As of June 30, 2022 and December 31, 2021, we were in compliance with these covenants.

As of September 30, 2022 and December 31, 2021, we were in compliance with these covenants.

CONVERTIBLE NOTES, NET

During the six months ended June 30, 2022, we issued $ 300.0 million aggregate principal amount of 5.50 % convertible senior notes due 2027, or the March 2022 convertible notes.

During the nine months ended September 30, 2022, we issued $ 300.0 million aggregate principal amount of 5.50 % convertible senior notes due 2027, or the March 2022 convertible notes.

In connection with this offering, we repurchased $ 64.7 million aggregate principal amount of our May 2017 convertible senior notes at a price of 100.25 % per $1,000 principal amount.

We repaid the remaining $ 337.9 million aggregate principal amount of our May 2017 convertible senior notes at maturity on May 5, 2022.

As of June 30, 2022, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

As of September 30, 2022, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes Issuance Face Value Interest Rate All-in Cost (1)

5 unchanged sentences

The conversion rate represents the number of shares of class A common stock issuable per $ 1,000 principal amount of Convertible Notes.

The cumulative dividend threshold as defined in the respective March 2018 and March 2022 convertible notes supplemental indentures have not been exceeded as of June 30, 2022.

The cumulative dividend threshold as defined in the respective March 2018 and March 2022 convertible notes supplemental indentures have not been exceeded as of September 30, 2022.

Other than as provided by the optional redemption provisions with respect to our March 2022 convertible notes, we may not redeem the Convertible Notes prior to maturity.

The Convertible Notes are convertible at the holders’ option into shares of our class A common stock, only under specific circumstances, prior to the close of business on December 14, 2022 and December 14, 2026 for the March 2018 and March 2022 convertible notes, respectively, at the applicable conversion rate in effect on the conversion date.

Thereafter, the Convertible Notes are convertible at the option of the holder at any time until the second scheduled trading day immediately preceding the maturity date.

The last reported sale price of our class A common stock of $ 27.67 on June 30, 2022 was less than the per share conversion price of the March 2018 and March 2022 convertible notes.

Thereafter, the Convertible Notes are convertible at the option of the holder at any time

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

until the second scheduled trading day immediately preceding the maturity date.

The last reported sale price of our class A common stock of $ 23.34 on September 30, 2022 was less than the per share conversion price of the March 2018 and March 2022 convertible notes.

We adopted ASU 2020-06 on January 1, 2022, using the modified retrospective method of transition, which resulted in an aggregate decrease to our additional paid-in capital of $ 2.4 million, an aggregate decrease to our accumulated deficit of $ 2.0 million, and an aggregate increase to our convertible notes, net, balance of $ 476,000 , as of January 1, 2022.

4 unchanged sentences

The following table details the net book value of our Convertible Notes on our consolidated balance sheets ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Face value $ 520,000 $ 622,500

3 unchanged sentences

The following table details our interest expense related to the Convertible Notes ($ in thousands):

Three Months Ended June 30, Six Months Ended June 30,

Three Months Ended September 30, Nine Months Ended September 30,

2022 2021 2022 2021

2 unchanged sentences

Total interest expense $ 7,381 $ 7,888 $ 24,344 $ 23,640

Accrued interest payable for the Convertible Notes was $ 7.3 million and $ 6.0 million as of June 30, 2022 and December 31, 2021, respectively.

Accrued interest payable for the Convertible Notes was $ 1.2 million and $ 6.0 million as of September 30, 2022 and December 31, 2021, respectively.

Refer to Note 2 for additional discussion of our accounting policies for the Convertible Notes.

13 unchanged sentences

The following table details our outstanding foreign exchange derivatives that were designated as net investment hedges of foreign currency risk (notional amount in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Foreign Currency Derivatives Number of

10 unchanged sentences

The following table details our outstanding foreign exchange derivatives that were non-designated hedges of foreign currency risk (notional amount in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Non-designated Hedges Number of

2 unchanged sentences

Buy USD / Sell EUR Forward 2 € 25,700 Buy USD / Sell GBP Forward 3 £ 170,600

Buy GBP / Sell EUR 1 £ 8,410 Buy EUR / Sell USD Forward 2 € 165,560

Buy EUR / Sell GBP 1 € 8,410 Buy USD / Sell EUR Forward 3 € 165,560

Buy GBP / Sell USD Forward 1 £ 7,026 Buy CHF / Sell USD Forward 1 CHF 20,300

Buy USD / Sell GBP Forward 1 £ 7,026 Buy USD / Sell CHF Forward 1 CHF 20,300

Buy GBP / Sell USD Forward 1 £ 13,000 Buy EUR / Sell USD Forward 2 € 165,560

Buy USD / Sell GBP Forward 1 £ 13,000 Buy USD / Sell EUR Forward 3 € 165,560

Buy CHF / Sell USD Forward 1 CHF 20,300

Buy USD / Sell CHF Forward 1 CHF 20,300

Buy GBP / Sell EUR Forward 1 € 8,410

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Exchange Contracts

Three Months Ended June 30, Six Months Ended June 30,

Three Months Ended September 30, Nine Months Ended September 30,

Foreign Exchange Contracts

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Total $ 6,606 $ 1,568 $ 11,645 $ ( 2,185 )

(1) 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 forward contracts effectively convert the foreign currency rate exposure for such investments to USD-equivalent interest rates.

(2) Represents the spot rate movement in our non-designated hedges, which are marked-to-market and recognized in interest expense.

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Position (2) as of

Foreign Exchange Contracts June 30, 2022 December 31, 2021 June 30, 2022 December 31, 2021

Foreign Exchange Contracts September 30, 2022 December 31, 2021 September 30, 2022 December 31, 2021

Designated Hedges $ 92,815 $ 23,423 $ — $ 1,383

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The following table presents the effect of our derivative financial instruments on our consolidated statements of operations ($ in thousands):

Derivatives in

Relationships

Derivatives in Hedging Relationships

Amount of Gain (Loss) Recognized in

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Accumulated OCI into Income

Three Months Ended June 30, 2022 Six Months Ended June 30, 2022 Three Months Ended June 30, 2022 Six Months Ended June 30, 2022

Three Months Ended September 30, 2022 Nine Months Ended September 30, 2022 Three Months Ended September 30, 2022 Nine Months Ended September 30, 2022

Net Investment Hedges

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Total $ 154,849 $ 329,044 $ — $ ( 4 )

(1) During the three and six months ended June 30, 2022, we received net cash settlements of $ 96.2 million and $ 122.5 million on our foreign currency forward contracts, respectively.

(1) During the three and nine months ended September 30, 2022, we received net cash settlements of $ 149.5 million and $ 272.0 million on our foreign currency forward contracts, respectively.

Those amounts are included as a component of accumulated other comprehensive income on our consolidated balance sheets.

(2) During the six months ended June 30, 2022, we recorded total interest and related expenses of $ 237.3 million, which included $ 4,000 related to our cash flow hedges.

(2) During the nine months ended September 30, 2022, we recorded total interest and related expenses of $ 439.7 million, which included $ 4,000 related to our cash flow hedges.

Credit-Risk Related Contingent Features

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In addition, certain of our agreements with our derivative counterparties require that we post collateral to secure net liability positions.

As of June 30, 2022, we were in a net asset position with both of our derivative counterparties and did not have any collateral posted under these derivative contracts.

As of December 31, 2021, we were in a net asset position with both of our derivative counterparties and did not have any collateral posted under these derivative contracts.

As of both September 30, 2022 and December 31, 2021, we were in a net asset position with both of our derivative counterparties and did not have any collateral posted under these derivative contracts.

Stock and Stock Equivalents

Authorized Capital

As of June 30, 2022, we had the authority to issue up to 500,000,000 shares of stock, consisting of 400,000,000 shares of class A common stock and 100,000,000 shares of preferred stock.

As of September 30, 2022, we had the authority to issue up to 500,000,000 shares of stock, consisting of 400,000,000 shares of class A common stock and 100,000,000 shares of preferred stock.

Subject to applicable NYSE listing requirements, our board of directors is authorized to cause us to issue additional shares of authorized stock without stockholder approval.

In addition, to the extent not issued, currently authorized stock may be reclassified between class A common stock and preferred stock.

We did no t have any shares of preferred stock issued and outstanding as of June 30, 2022 and December 31, 2021.

We did no t have any shares of preferred stock issued and outstanding as of September 30, 2022 and December 31, 2021.

Class A Common Stock and Deferred Stock Units

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Notes to Consolidated Financial Statements (continued) (Unaudited)

The following table details our issuance of class A common stock during the six months ended June 30, 2022 ($ in thousands, except share and per share data):

The following table details our issuance of class A common stock during the nine months ended September 30, 2022 ($ in thousands, except per share data):

Class A Common Stock Offerings

June 30, 2022

September 30, 2022

Shares issued (1)

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Net proceeds (3)

(1) Issuance represents shares issued under our at-the-market program.

(1) Represents shares issued under our at-the-market program.

(2) Represents the gross price per share issued, as well as the net proceeds per share after underwriting or sales discounts and commissions.

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Refer to Note 16 for additional discussion of these long-term incentive plans.

In addition to our class A common stock, we also issue deferred stock units to certain members of our board of directors in lieu of cash compensation for services rendered.

In addition to our class A common stock, we also issue deferred stock units to certain members of our board of directors for services rendered.

These deferred stock units are non-voting, but carry the right to receive dividends in the form of additional deferred stock units in an amount equivalent to the cash dividends paid to holders of shares of class A common stock.

The following table details the movement in our outstanding shares of class A common stock, including restricted class A common stock and deferred stock units:

Six Months Ended June 30,

Nine Months Ended September 30,

Common Stock Outstanding (1)

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Ending balance 171,295,780 157,372,389

(1) Includes 391,027 and 328,065 deferred stock units held by members of our board of directors as of June 30, 2022 and 2021, respectively.

(2) Includes 3,420 and 949 shares issued under our dividend reinvestment program during the six months ended June 30, 2022 and 2021, respectively.

(3) Includes 13,197 restricted shares issued to our board of directors during the six months ended June 30, 2022.

(4) Net of 4,000 and 28,971 shares of restricted class A common stock forfeited under our stock-based incentive plans during the six months ended June 30, 2022 and 2021, respectively.

(1) Includes 399,512 and 356,700 deferred stock units held by members of our board of directors as of September 30, 2022 and 2021, respectively.

(2) Includes 5,420 and 1,429 shares issued under our dividend reinvestment program during the nine months ended September 30, 2022 and 2021, respectively.

(3) Includes 13,197 restricted shares issued to our board of directors during the nine months ended September 30, 2022.

(4) Net of 33,250 and 29,580 shares of restricted class A common stock forfeited under our stock-based incentive plans during the nine months ended September 30, 2022 and 2021, respectively.

See Note 16 for further discussion of our stock-based incentive plans.

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The direct stock purchase component allows stockholders and new investors, subject to our approval, to purchase shares of class A common stock directly from us.

During the three and six months ended June 30, 2022 we issued 2,781 shares and 3,420 shares, respectively, of class A common stock under the dividend reinvestment component of the plan compared to 434 shares and 949 shares, respectively, for the same periods in 2021.

As of June 30, 2022, a total of 9,986,370 shares of class A common stock remained available for issuance under the dividend reinvestment and direct stock purchase plan.

During the three and nine months ended September 30, 2022 we issued 2,000 shares and 5,420 shares, respectively, of class A common stock under the dividend reinvestment component of the plan compared to 480 shares and 1,429 shares, respectively, for the same periods in 2021.

As of September 30, 2022, a total of 9,984,370 shares of class A common stock remained available for issuance under the dividend reinvestment and direct stock purchase plan.

At the Market Stock Offering Program

As of June 30, 2022, we are party to seven equity distribution agreements, or ATM Agreements, pursuant to which we may sell, from time to time, up to an aggregate sales price of $ 500.0 million of our class A common stock.

Sales of class A

As of September 30, 2022, we are party to seven equity distribution agreements, or ATM Agreements, pursuant to which we may sell, from time to time, up to an aggregate sales price of $ 699.1 million of our class A common stock.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

common stock made pursuant to our ATM Agreements may be made in negotiated transactions or transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, as amended.

class A common stock made pursuant to our ATM Agreements may be made in negotiated transactions or transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, as amended.

Actual sales depend on a variety of factors including market conditions, the trading price of our class A common stock, our capital needs, and our determination of the appropriate sources of funding to meet such needs.

During the six months June 30, 2022, we issued and sold 1,675,000 shares of class A common stock under ATM Agreements, generating net proceeds totaling $ 52.2 million.

During the six months ended June 30, 2021, we did no t issue any shares of our class A common stock under ATM Agreements.

As of June 30, 2022, sales of our class A common stock with an aggregate sales price of $ 300.9 million remained available for issuance under our ATM Agreements.

During the nine months ended September 30, 2022, we issued and sold 2,303,469 shares of class A common stock under ATM Agreements, generating net proceeds totaling $ 70.7 million.

During the nine months ended September 30, 2021, we did no t issue any shares of our class A common stock under ATM Agreements.

As of September 30, 2022, sales of our class A common stock with an aggregate sales price of $ 480.9 million remained available for issuance under our ATM Agreements.

We generally intend to distribute substantially all of our taxable income, which does not necessarily equal net income as calculated in accordance with GAAP, to our stockholders each year to comply with the REIT provisions of the Internal Revenue Code of 1986, as amended, or the Internal Revenue Code.

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All distributions will be made at the discretion of our board of directors and will depend upon our taxable income, our financial condition, our maintenance of REIT status, applicable law, and other factors as our board of directors deems relevant.

On June 15, 2022, we declared a dividend of $ 0.62 per share, or $ 105.6 million in aggregate, that was paid on July 15, 2022 to stockholders of record as of June 30, 2022.

On September 15, 2022, we declared a dividend of $ 0.62 per share, or $ 106.0 million in aggregate, that was paid on October 14, 2022 to stockholders of record as of September 30, 2022.

The following table details our dividend activity ($ in thousands, except per share data):

Three Months Ended June 30, Six Months Ended June 30,

Three Months Ended September 30, Nine Months Ended September 30,

2022 2021 2022 2021

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The following table sets forth the calculation of basic and diluted net income per share of class A common stock based on the weighted-average of both restricted and unrestricted class A common stock outstanding ($ in thousands, except per share data):

Three Months Ended June 30, Six Months Ended June 30,

Three Months Ended September 30, Nine Months Ended September 30,

2022 2021 2022 2021

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(2) Represents the interest expense on our convertible notes, net of incentive fees.

(3) For the three and six months ended June 30, 2021, prior to the adoption of ASU 2020-06, our convertible notes were not assessed for dilution as we had the intent and ability to settle the convertible notes in cash.

(3) For the three and nine months ended September 30, 2021, prior to the adoption of ASU 2020-06, our convertible notes were not assessed for dilution as we had the intent and ability to settle the convertible notes in cash.

Refer to Note 2 and Note 11 for further discussion of ASU 2020-06 and our convertible notes, respectively.

(4) For the three months ended June 30, 2022, represents 8.3 million and 6.1 million of weighted-average shares, using the if-converted method, related to our March 2022 and March 2018 Convertible Notes, respectively.

For the six months ended June 30, 2022, represents 4.3 million and 6.1 million of weighted-average shares, using the in-converted method, related to our March 2022 convertible notes, which were issued on March 29, 2022, and our March 2018 convertible notes, respectively.

Our May 2017 convertible notes were elected to be settled in cash and were repaid during the six months ended June 30, 2022.

(4) For the three months ended September 30, 2022, represents 8.3 million and 6.1 million of weighted-average shares, using the if-converted method, related to our March 2022 and March 2018 Convertible Notes, respectively.

For the nine months ended September 30, 2022, represents 5.6 million and 6.1 million of weighted-average shares, using the in-converted method, related to our March 2022 convertible notes, which were issued on March 29, 2022, and our March 2018 convertible notes, respectively.

Our May 2017 convertible notes were elected to be settled in cash and were repaid during the nine months ended September 30, 2022.

Therefore, the May 2017 convertible notes do not have any impact on our diluted earnings per share.

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Accumulated Other Comprehensive Income

As of June 30, 2022, total accumulated other comprehensive income was $ 7.1 million, primarily representing $ 260.6 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $ 253.5 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.

As of September 30, 2022, total accumulated other comprehensive income was $ 3.8 million, primarily representing $ 415.4 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $ 411.6 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.

As of December 31, 2021, total accumulated other comprehensive income was $ 8.3 million, primarily representing $ 86.4 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $ 78.1 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.

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A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these non-controlling interests based on their pro rata ownership of our Multifamily Joint Venture.

As of June 30, 2022, our Multifamily Joint Venture’s total equity was $ 169.3 million, of which $ 143.9 million was owned by us, and $ 25.4 million was allocated to non-controlling interests.

As of December 31, 2021, our Multifamily

As of September 30, 2022, our Multifamily Joint Venture’s total equity was $ 170.0 million, of which $ 144.5 million was owned by us, and $ 25.5 million was allocated to non-controlling interests.

As of December 31, 2021,

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Joint Venture’s total equity was $ 203.5 million, of which $ 173.0 million was owned by us, and $ 30.5 million was allocated to non-controlling interests.

our Multifamily Joint Venture’s total equity was $ 203.5 million, of which $ 173.0 million was owned by us, and $ 30.5 million was allocated to non-controlling interests.

OTHER EXPENSES

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Core Earnings, as defined in our Management Agreement, is generally equal to our GAAP net income (loss), including realized gains and losses not otherwise recognized in current period GAAP net income (loss), and excluding (i) non-cash equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), (iv) net income (loss) attributable to our legacy portfolio, (v) certain non-cash items, and (vi) incentive management fees.

During the three and six months ended June 30, 2022, we incurred $ 18.2 million and $ 36.3 million, respectively, of management fees payable to our manager, compared with $ 15.6 million and $ 31.1 million during the same period in 2021.

In addition, during the three and six months ended June 30, 2022, we incurred $ 8.8 million and $ 14.3 million respectively, of incentive fees payable to our Manager, compared to $ 6.0 million and $ 9.6 million during the same period in 2021.

As of June 30, 2022 and December 31, 2021 we had accrued management and incentive fees payable to our Manager of $ 27.1 million and $ 28.4 million, respectively.

During the three and nine months ended September 30, 2022, we incurred $ 18.3 million and $ 54.6 million, respectively, of management fees payable to our manager, compared with $ 15.8 million and $ 46.9 million during the same period in 2021.

In addition, during the three and nine months ended September 30, 2022, we incurred $ 7.6 million and $ 21.9 million respectively, of incentive fees payable to our Manager, compared to $ 3.6 million and $ 13.2 million during the same period in 2021.

As of September 30, 2022 and December 31, 2021 we had accrued management and incentive fees payable to our Manager of $ 25.9 million and $ 28.4 million, respectively.

General and Administrative Expenses

General and administrative expenses consisted of the following ($ in thousands):

Three Months Ended June 30, Six Months Ended June 30,

Three Months Ended September 30, Nine Months Ended September 30,

2022 2021 2022 2021

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Total general and administrative expenses $ 12,932 $ 10,841 $ 37,701 $ 32,108

(1) During the three and six months ended June 30, 2022, we recognized an aggregate $ 227,000 and $ 544,000 , respectively, of expenses related to our Multifamily Joint Venture.

During the three and six months ended June 30, 2021, we recognized an aggregate $ 197,000 and $ 433,000 , respectively, of expenses related to our Multifamily Joint Venture.

(1) During the three and nine months ended September 30, 2022, we recognized an aggregate $ 239,000 and $ 783,000 , respectively, of expenses related to our Multifamily Joint Venture.

During the three and nine months ended September 30, 2021, we recognized an aggregate $ 110,000 and $ 543,000 , respectively, of expenses related to our Multifamily Joint Venture.

We have elected to be taxed as a REIT under the Internal Revenue Code for U.S.

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federal income tax not to apply to our earnings that we distribute.

To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S.

To the extent that we

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S.

federal income tax on our undistributed taxable income.

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If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state, and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years.

As of June 30, 2022 and December 31, 2021, we were in compliance with all REIT requirements.

As of September 30, 2022 and December 31, 2021, we were in compliance with all REIT requirements.

Securitization transactions could result in the creation of taxable mortgage pools for federal income tax purposes.

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We have not made UBTI distributions to our common stockholders and do not intend to make such UBTI distributions in the future.

During the three and six months ended June 30, 2022, we recorded a current income tax provision of $ 746,000 and $ 892,000 respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

During the three and six months ended June 30, 2021, we recorded a current income tax provision of $ 175,000 and $ 276,000 , respectively.

We did not have any deferred tax assets or liabilities as of June 30, 2022 or December 31, 2021.

During the three and nine months ended September 30, 2022, we recorded a current income tax provision of $ 1.2 million and $ 2.1 million respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

During the three and nine months ended September 30, 2021, we recorded a current income tax provision of $ 70,000 and $ 346,000 , respectively.

We did not have any deferred tax assets or liabilities as of September 30, 2022 or December 31, 2021.

We have net operating losses, or NOLs, generated by our predecessor business that may be carried forward and utilized in current or future periods.

As a result of our issuance of 25,875,000 shares of class A common stock in May 2013, the availability of our NOLs is generally limited to $ 2.0 million per annum by change of control provisions promulgated by the Internal Revenue Service with respect to the ownership of Blackstone Mortgage Trust.

As of June 30, 2022, we had estimated NOLs of $ 159.0 million that will expire in 2029, unless they are utilized by us prior to expiration.

We have a full valuation allowance against such NOLs as it is probable that they will expire unutilized.

As of June 30, 2022, tax years 2018 through 2021 remain subject to examination by taxing authorities.

As of September 30, 2022, we had estimated NOLs of $ 159.0 million that will expire in 2029, unless they are utilized by us prior to expiration.

We have recorded a full valuation allowance against such NOLs as it is probable that they will expire unutilized.

As of September 30, 2022, tax years 2018 through 2021 remain subject to examination by taxing authorities.

STOCK-BASED INCENTIVE PLANS

We are externally managed by our Manager and do not currently have any employees.

However, as of June 30, 2022, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through our issuance of stock-based instruments.

However, as of September 30, 2022, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through our issuance of stock-based instruments.

Under our two current stock incentive plans, a maximum of 10,400,000 shares of our class A common stock may be issued to our Manager, our directors and officers, and certain employees of affiliates of our Manager.

As of September 30, 2022, there were 10,018,856 shares available under our current stock incentive plans.

Prior to the adoption and shareholder approval of our new stock incentive plans, we had stock-based incentive awards outstanding under nine stock incentive plans.

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As such, no new awards may be issued under these expired plans, although our 2018 plans will continue to govern outstanding awards, other than DSUs, previously issued thereunder until such awards become vested or expire.

As of June 30, 2022, there were 10,011,288 shares available under our current stock incentive plans.

Blackstone Mortgage Trust, Inc.

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Forfeited ( 33,250 ) 30.95

Balance as of June 30, 2022

Balance as of September 30, 2022

1,339,445 $ 30.62

These shares generally vest in installments over a period of three years , pursuant to the terms of the respective award agreements and the terms of our current benefit plans.

The 1,621,260 shares of restricted class A common stock outstanding as of June 30, 2022 will vest as follows:

The 1,339,445 shares of restricted class A common stock outstanding as of September 30, 2022 will vest as follows:

252,556 shares will vest in 2022;

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and 402,092 shares will vest in 2024.

As of June 30, 2022, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 48.1 million based on the grant date fair value of shares granted.

This cost is expected to be recognized over a weighted-average period of 1.1 years from June 30, 2022.

As of September 30, 2022, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 39.1 million based on the grant date fair value of shares granted.

This cost is expected to be recognized over a weighted-average period of 1.0 years from September 30, 2022.

Assets and Liabilities Measured at Fair Value

The following table summarizes our assets and liabilities measured at fair value on a recurring basis ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total

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The following table details the book value, face amount, and fair value of the financial instruments described in Note 2 ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Financial assets

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The following table details the assets and liabilities of our consolidated VIEs ($ in thousands):

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Loans receivable $ 3,500,000 $ 3,486,750

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Total liabilities $ 2,849,579 $ 2,839,862

Assets held by these VIEs are restricted and can be used only to settle obligations of the VIEs, including the subordinate interests owned by us.

The liabilities of these VIEs are non-recourse to us and can only be satisfied from the assets of the

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Assets held by these VIEs are restricted and can be used only to settle obligations of the VIEs, including the subordinate interests owned by us.

The liabilities of these VIEs are non-recourse to us and can only be satisfied from the assets of the VIEs.

The consolidation of these VIEs results in an increase in our gross assets, liabilities, interest income and interest expense, however it does not affect our stockholders’ equity or net income.

Non-Consolidated Variable Interest Entities

During the six months ended June 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding.

In the third quarter of 2018, we contributed a $ 517.5 million loan to the $ 1.0 billion 2018 Single Asset Securitization, which is a VIE, and invested in the related $ 99.0 million subordinate position.

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We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2022, and will be automatically renewed for a one year term upon such date and each anniversary thereafter unless earlier terminated.

As of June 30, 2022 and December 31, 2021, our consolidated balance sheets included $ 27.1 million and $ 28.4 million of accrued management and incentive fees payable to our Manager, respectively.

During the three and six months ended June 30, 2022, we paid aggregate management and incentive fees of $ 23.5 million and $ 51.9 million, respectively, to our Manager, compared to $ 19.2 million and $ 38.4 million during the same period of 2021.

In addition, during the three and six months ended June 30, 2022, we incurred expenses of $ 367,000 and $ 560,000 , respectively, that were paid by our Manager and will be reimbursed by us, compared to $ 145,000 and $ 185,000 of such expenses during the same period of 2021.

As of June 30, 2022, our Manager held 807,636 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 25.1 million, and vest in installments over three years from the date of issuance.

During the three and six months ended June 30, 2022, we recorded non-cash expenses related to shares held by our Manager of $ 4.2 million and $ 8.4 million, respectively, compared to $ 4.1 million and $ 8.1 million during the same period of 2021.

As of September 30, 2022 and December 31, 2021, our consolidated balance sheets included $ 25.9 million and $ 28.4 million of accrued management and incentive fees payable to our Manager, respectively.

During the three and nine months ended September 30, 2022, we paid aggregate management and incentive fees of $ 27.1 million and $ 78.9 million, respectively, to our Manager, compared to $ 21.5 million and $ 59.9 million during the same periods of 2021.

In addition, during the three and nine months ended September 30, 2022, we incurred expenses of $ 163,000 and $ 723,000 , respectively, that were paid by our Manager and will be reimbursed by us, compared to $ 141,000 and $ 325,000 of such expenses during the same periods of 2021.

As of September 30, 2022, our Manager held 677,582 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 20.9 million, and vest in installments over three years from the date of issuance.

During the three and nine months ended September 30, 2022, we recorded non-cash expenses related to shares held by our Manager of $ 4.1 million and $ 12.5 million, respectively, compared to $ 4.1 million and $ 12.2 million during the same periods of 2021.

Refer to Note 16 for further details on our restricted class A common stock.

An affiliate of our Manager is the special servicer of the CLOs.

This affiliate did not earn any special servicing fees related to the CLOs during the six months ended June 30, 2022 or 2021.

During the three and six months ended June 30, 2022, we incurred $ 95,000 and $ 192,000 , respectively, of expenses for various administrative and operations services to third-party service providers that are affiliates of our Manager, compared to $ 92,000 and $ 192,000 during the same period of 2021.

This affiliate did not earn any special servicing fees related to the CLOs during the nine months ended September 30, 2022 or 2021.

During the three and nine months ended September 30, 2022, we incurred $ 88,000 and $ 280,000 , respectively, of expenses for various administrative and operations services to third-party service providers that are affiliates of our Manager, compared to $ 100,000 and $ 291,000 during the same periods of 2021.

Affiliates of our Manager own interests in the controlling entity of BTIG, LLC.

We engaged BTIG, LLC as a sales agent to sell shares of our class A common stock under our ATM Agreements.

During the three months ended September 30, 2022, BTIG, LLC received aggregate fees of $ 191,000 in such capacity.

The fees paid were on terms equivalent to those of other sales agents engaged to sell shares under our ATM Agreements.

In the second quarter of 2022, we participated in AUD 1.3 billion, or 24.5 %, of an aggregate AUD 5.4 billion senior loan that was originated by an unaffiliated third party to a borrower that is wholly-owned by Blackstone-advised investment vehicles.

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A Blackstone-advised investment vehicle co-originated the additional pari passu £ 250.0 million of the loan.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

In the second quarter of 2022, a Blackstone-advised investment vehicle acquired an aggregate $ 15.0 million participation, or 3 %, of the aggregate $ 500.0 million B-4 Term Loan as a part of a broad syndication lead-arranged by JP Morgan.

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Both of these transactions were on terms equivalent to those of unaffiliated parties.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

In the third quarter of 2021, we participated in $ 246.6 million, or 49.0 %, of a total $ 503.3 million senior loan that was originated by an unaffiliated third party, which was part of a total financing that included a mezzanine loan originated by a Blackstone-advised investment vehicle.

We will forgo all non-economic rights under our loan, including voting rights, so long as any Blackstone-advised investment vehicle controls the mezzanine loan.

The senior loan terms, with respect to the mezzanine lender, were negotiated by a third party without our involvement and our 49.0 % interest in the senior loan was made on such market terms.

The borrower is an unaffiliated third party.

In the third quarter of 2021, we acquired an aggregate £ 186.0 million, or 49.0 %, of a total £ 379.6 million senior loan to a borrower that is majority owned by a Blackstone-advised investment vehicle.

We will forgo all non-economic rights under the loan, including voting rights, so long as the Blackstone-advised investment vehicle controls the borrower.

The senior loan terms were negotiated by the original lender prior to our acquisition of the loan without our involvement, and we acquired the loan on such market terms.

In the third quarter of 2021, we participated in $ 243.6 million, or 25.0 %, of an aggregate $ 974.5 million senior loan that was originated by an unaffiliated third party as part of a broadly marketed process.

A Blackstone-advised investment vehicle participated in an additional $ 243.6 million, or 25.0 %, of the loan.

The loan proceeds were used by the borrower to repay an existing loan previously owned by us.

In the second quarter of 2021, we acquired an aggregate € 50.0 million of a total € 491.0 million senior loan to a borrower that is majority owned by a Blackstone-advised investment vehicle.

11 unchanged sentences

COMMITMENTS AND CONTINGENCIES

Impact of COVID-19

As further discussed in Note 2, the full extent of the impact of COVID-19 on the global economy generally, and our business in particular, is uncertain.

As of June 30, 2022, no contingencies have been recorded on our consolidated balance sheet as a result of COVID-19, however as the global pandemic continues and the economic implications worsen, it may have long-term impacts on our financial condition, results of operations, and cash flows.

Refer to Note 2 for further discussion of COVID-19.

Unfunded Commitments Under Loans Receivable

As of June 30, 2022, we had aggregate unfunded commitments of $ 4.6 billion across 125 loans receivable, and $ 2.7 billion of committed or identified financings for those commitments, resulting in net unfunded commitments of $ 1.9 billion.

As of September 30, 2022, we had aggregate unfunded commitments of $ 4.1 billion across 122 loans receivable, and $ 2.7 billion of committed or identified financings for those commitments, resulting in net unfunded commitments of $ 1.4 billion.

The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability varies depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans.

4 unchanged sentences

Principal Debt Repayments

Our contractual principal debt repayments as of June 30, 2022 were as follows ($ in thousands):

Our contractual principal debt repayments as of September 30, 2022 were as follows ($ in thousands):

Asset-Specific Debt (1)

15 unchanged sentences

Board of Directors’ Compensation

As of June 30, 2022, of the nine members of our board of directors, our six independent directors are entitled to annual compensation of $ 210,000 each, of which $ 95,000 will be paid in the form of cash and $ 115,000 will be paid in the form of deferred stock units or, beginning in 2022, at their election, shares of restricted common stock.

As of September 30, 2022, of the nine members of our board of directors, our six independent directors are entitled to annual compensation of $ 210,000 each, of which $ 95,000 is paid in cash and $ 115,000 is paid in the form of deferred stock units or, at their election, shares of restricted common stock.

The other three board members, including our chairman and our chief executive officer, are not compensated by us for their service as directors.

1 unchanged sentence

From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business.

As of June 30, 2022, we were not involved in any material legal proceedings.

As of September 30, 2022, we were not involved in any material legal proceedings.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements