What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2023-04-26 compared with 2022-10-26 · 389 added, 568 removed, 1018 unchanged (48% of the section changed)

3 unchanged sentences

(in thousands, except share data)

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Cash and cash equivalents $ 515,808 $ 291,340

15 unchanged sentences

Commitments and contingencies — —

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

Class A common stock, $ 0.01 par value, 400,000,000 shares authorized, 172,284,118 and 171,695,985 shares issued and outstanding as of March 31, 2023 and December 31, 2022, respectively

Additional paid-in capital 5,483,740 5,475,804

6 unchanged sentences

Total Liabilities and Equity $ 25,385,667 $ 25,353,985

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.

The consolidated balance sheets as of March 31, 2023 and December 31, 2022 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 March 31, 2023 and December 31, 2022, assets of the consolidated VIEs totaled $ 3.2 billion, and liabilities of the consolidated VIEs totaled $ 2.7 billion.

Refer to Note 18 for additional discussion of the VIEs.

4 unchanged sentences

Three Months Ended

September 30, Nine Months Ended

September 30,

2022 2021 2022 2021

Income from loans and other investments

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Three Months Ended

September 30, Nine Months Ended

September 30,

2022 2021 2022 2021

Net income $ 118,556 $ 100,263

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 )

Other comprehensive income

Unrealized gain (loss) on foreign currency translation 21,858 ( 45,222 )

Realized and unrealized (loss) gain on derivative financial instruments ( 24,052 ) 45,514

Other comprehensive (loss) income ( 2,194 ) 292

Comprehensive income 116,362 100,555

4 unchanged sentences

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Changes in Equity (Unaudited)

(in thousands)

Consolidated Statements of Changes in Equity

(in thousands) (Unaudited)

Blackstone Mortgage Trust, Inc.

5 unchanged sentences

Balance at December 31, 2021 $ 1,682 $ 5,373,029 $ 8,308 $ ( 794,832 ) $ 4,588,187 $ 30,524 $ 4,618,711

$ 1,682 $ 5,373,029 $ 8,308 $ ( 794,832 ) $ 4,588,187 $ 30,524 $ 4,618,711

Adoption of ASU 2020-06, See Note 2

— ( 2,431 ) 1,954 ( 477 ) — ( 477 )

Shares of class A common stock issued, net 16 52,138 — — 52,154 — 52,154

9 unchanged sentences

Balance at March 31, 2022 $ 1,703 $ 5,431,627 $ 8,600 $ ( 798,992 ) $ 4,642,938 $ 26,899 $ 4,669,837

$ 1,703 $ 5,431,627 $ 8,600 $ ( 798,992 ) $ 4,642,938 $ 26,899 $ 4,669,837

Restricted class A common stock earned — 8,245 — — 8,245 — 8,245

Dividends reinvested — 319 — — 319 — 319

Deferred directors’ compensation — 173 — — 173 — 173

Net income — — — 93,250 93,250 615 93,865

Other comprehensive loss — — ( 1,522 ) — ( 1,522 ) — ( 1,522 )

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

— — — ( 105,812 ) ( 105,812 ) — ( 105,812 )

Distributions to non-controlling interests — — — — — ( 2,118 ) ( 2,118 )

Balance at June 30, 2022

$ 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.

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Changes in Equity (Unaudited)

(in thousands)

Blackstone Mortgage Trust, Inc.

Stock Additional Paid-

Accumulated Other

Comprehensive Income (Loss) Accumulated

Stockholders’

Non-Controlling

Balance at December 31, 2022

$ 1,717 $ 5,475,804 $ 10,022 $ ( 968,749 ) $ 4,518,794 $ 25,406 $ 4,544,200

Shares of class A common stock issued, net 2 — — — 2 — 2

Restricted class A common stock earned 6 7,486 — — 7,492 — 7,492

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— — — ( 107,072 ) ( 107,072 ) — ( 107,072 )

Contributions from non-controlling interests — — — — — 13,448 13,448

Distributions to non-controlling interests — — — — — ( 733 ) ( 733 )

1 unchanged sentence

$ 1,723 $ 5,483,740 $ 7,828 $ ( 958,064 ) $ 4,535,227 $ 25,472 $ 4,560,699

Restricted class A common stock earned — 7,895 — — 7,895 — 7,895

Dividends reinvested — 211 — — 211 — 211

Deferred directors’ compensation — 125 — — 125 — 125

Net income — — — 131,595 131,595 873 132,468

Other comprehensive loss — — ( 541 ) — ( 541 ) — ( 541 )

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

— — — ( 91,347 ) ( 91,347 ) — ( 91,347 )

Contributions from non-controlling interests — — — — — 14,745 14,745

Distributions to non-controlling interests — — — — — ( 10,694 ) ( 10,694 )

Balance at June 30, 2021

$ 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.

2 unchanged sentences

(in thousands)

Nine Months Ended September 30,

Three Months Ended March 31,

Cash flows from operating activities

6 unchanged sentences

Unrealized gain on assets denominated in foreign currencies, net — ( 21 )

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

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

Unrealized loss on derivative financial instruments, net 541 684

Realized gain on derivative financial instruments, net ( 8,948 ) ( 2,437 )

Changes in assets and liabilities, net

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Return of collateral deposited under derivative agreements 172,710 —

Net cash used in investing activities ( 3,200,070 ) ( 3,926,040 )

Net cash provided by (used in) investing activities 156,531 ( 1,688,750 )

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in thousands)

Nine Months Ended September 30,

Three Months Ended March 31,

Cash flows from financing activities

1 unchanged sentence

Repayments under secured debt ( 521,407 ) ( 1,205,929 )

Proceeds from issuance of securitized debt obligations — 803,750

Repayment of securitized debt obligations ( 1,807 ) —

2 unchanged sentences

Proceeds from sale of loan participations — 245,278

Net proceeds from issuance of term loans 492,500 298,500

Repayments of term loans ( 5,499 ) ( 3,435 )

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Dividends paid on class A common stock ( 106,455 ) ( 104,271 )

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

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

Effects of currency translation on cash, cash equivalents, and restricted cash ( 17,425 ) 579

Cash, cash equivalents, and restricted cash at end of period $ 271,899 $ 236,180

Net cash (used in) provided by financing activities ( 43,725 ) 1,360,093

Net increase (decrease) in cash and cash equivalents 222,979 ( 238,559 )

Cash and cash equivalents at beginning of period 291,340 551,154

Effects of currency translation on cash and cash equivalents 1,489 ( 3,170 )

Cash and cash equivalents at end of period $ 515,808 $ 309,425

Supplemental disclosure of cash flows information

Payments of interest $ ( 318,185 ) $ ( 81,984 )

(Payments) receipts of income taxes $ ( 730 ) $ 107

Payments of income taxes $ ( 900 ) $ ( 161 )

Supplemental disclosure of non-cash investing and financing activities

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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 related to restricted class A common stock and in the loans receivable disclosures related to risk ratings, property type, and geography in Note 3 to conform to the current period presentation.

Principles of Consolidation

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In addition, we consolidate all VIEs of which we are considered the primary beneficiary.

VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.

VIEs are defined as entities in which equity investors (i) do not have an interest with the characteristics of a controlling financial interest and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties.

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.

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

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.

In April 2017, we entered into a joint venture, or our Multifamily Joint Venture, with Walker & Dunlop Inc.

In 2017, we entered into a joint venture, or our Multifamily Joint Venture, with Walker & Dunlop Inc.

to originate, hold, and finance multifamily bridge loans.

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We consolidate the Multifamily Joint Venture as we have a controlling financial interest.

The non-controlling interests included on our consolidated balance sheets represent the equity interests in our Multifamily Joint Venture that are owned by Walker & Dunlop.

The non-controlling interests included on our consolidated balance

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

sheets represent the equity interests in our Multifamily Joint Venture that are owned by Walker & Dunlop.

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

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Revenue Recognition

Interest income from our loans receivable portfolio and debt securities is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis.

Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan or debt security as an adjustment to yield.

Interest income from our loans receivable portfolio is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis.

Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan as an adjustment to yield.

Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in our opinion, recovery of income and principal becomes doubtful.

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We have not experienced, and do not expect, any losses on our cash or cash equivalents.

Restricted cash represents cash collateral held within our 2021 FL4 collateralized loan obligation.

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

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):

September 30, 2022 September 30, 2021

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

2021 FL4 CLO restricted cash — 25,000

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 $ 498.8 million and $ 531.2 million as of September 30, 2022 and December 31, 2021, respectively.

As of both March 31, 2023 and December 31, 2022, we had no restricted cash on our consolidated balance sheets.

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 $ 446.7 million and $ 459.6 million as of March 31, 2023 and December 31, 2022, 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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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 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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We originate and purchase commercial real estate debt and related instruments generally to be held as long-term investments at amortized cost.

Debt Securities Held-to-Maturity

We classify our debt securities as held-to-maturity, as we have the intent and ability to hold these securities until maturity.

We include our debt securities in other assets on our consolidated balance sheets at amortized cost.

Current Expected Credit Losses Reserve

The current expected credit loss, or CECL, reserve required under Accounting Standard Update, or ASU, 2016-13 “Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic 326),” or ASU 2016-13, reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets.

Changes to the CECL reserve are recognized through net income on our consolidated statements of operations.

While ASU 2016-13 does not require any particular method for determining the CECL reserve, it does specify the reserve should be based on relevant information about past events, including historical loss experience, current portfolio and market conditions, and reasonable and supportable forecasts for the duration of each respective loan.

In addition, other than a few narrow exceptions, ASU 2016-13 requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principal underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

We estimate our CECL reserve primarily using the Weighted Average Remaining Maturity, or WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board, or FASB, Staff Q&A Topic 326, No.

In addition, other than a few narrow exceptions, ASU 2016-13 requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principal underlying the CECL model that all loans and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Board, or FASB, Staff Q&A Topic 326, No.

The WARM method requires us to reference historic loan loss data across a comparable data set and apply such loss rate to each of our loans over their expected remaining term, taking into consideration expected economic conditions over the relevant timeframe.

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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 August 31, 2022.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through February 28, 2023.

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

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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 CECL reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future funding obligations over the estimated life of the loan.

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

The considerations in

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loans receivable.

Credit Quality Indicator

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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.

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.

We may also incorporate information from other sources, including information and opinions available to our Manager, to further inform these estimations.

Derivative Financial Instruments

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All other changes in the fair value of our derivative instruments that qualify as hedges are reported as a component of accumulated other comprehensive income (loss) on our consolidated financial statements.

Deferred gains and losses are reclassified out of accumulated other comprehensive income (loss) and into net income in the same period or periods during which the hedged transaction affects earnings, and are presented in the same line item as the earnings effect of the hedged item.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

same line item as the earnings effect of the hedged item.

For cash flow hedges, this is typically when the periodic swap settlements are made, while for net investment hedges, this occurs when the hedged item is sold or substantially liquidated.

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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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Convertible Notes

In August 2020, the FASB issued ASU 2020-06 “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40):

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

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.

This reduces the issue discount and results in less non-cash interest expense in our consolidated financial statements.

Additionally, subsequent to adoption of ASU 2020-06, shares issuable under our convertible notes are included in diluted earnings per share in our consolidated financial statements, if the effect is dilutive, using the if-converted method, regardless of settlement intent.

Convertible note proceeds, unless issued with a substantial premium or an embedded conversion feature, are classified as debt.

Additionally, shares issuable under our convertible notes are included in diluted earnings per share in our consolidated financial statements, if the effect is dilutive, using the if-converted method, regardless of settlement intent.

Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the convertible notes as additional non-cash interest expense.

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The “Fair Value Measurements and Disclosures” Topic o f the FASB, or ASC 820, defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements under GAAP.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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.

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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 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 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.

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 %.

As of March 31, 2023, we had an aggregate $ 197.3 million asset-specific CECL reserve related to six of our loans receivable with an aggregate outstanding principal balance of $ 998.1 million, net of cost-recovery proceeds.

The CECL reserve was recorded based on our estimation of the fair value of the loans' aggregate underlying collateral as of March 31, 2023.

These loans receivable are therefore measured at fair value on a nonrecurring basis using significant unobservable inputs, and are classified as Level 3 assets in the fair value hierarchy.

We estimated the fair value of these loans receivable by considering a variety of inputs including property performance, market data, and comparable sales, as applicable.

The significant unobservable inputs used include the exit capitalization rate assumption used to forecast the future sale price of the underlying real estate collateral, which ranged from 5.25 % to 7.50 %, and the unlevered discount rate, which ranged from 7.50 % to 9.75 %.

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 values of these loans were estimated using a discounted cash flow methodology, taking into consideration various factors including capitalization rates, discount rates, leasing, credit worthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors.

• Debt securities held-to-maturity:

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

• 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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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.

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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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.

Refer to Note 13 for additional discussion of earnings per share.

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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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

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

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

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The amendments should be applied prospectively, however for the recognition and measurement of troubled debt restructurings, the entity has the option to apply a modified retrospective transition method, resulting in a cumulative-effect adjustment to retained earnings in the period of adoption.

We are currently evaluating the impact ASU 2022-02 will have on our consolidated financial statements.

The adoption of ASU 2022-02 on January 1, 2023 did not have a material impact on our consolidated financial statements.

In March 2020, the FASB issued ASU 2020-04 “Reference Rate Reform (Topic 848):

Facilitation of the Effects of Reference Rate Reform on Financial Reporting,” or ASU 2020-04.

ASU 2020-04 provides optional expedients and exceptions to GAAP requirements for modifications on debt instruments, leases, derivatives, and other contracts, related to the expected market transition from LIBOR, and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates.

ASU 2020-04 provides optional expedients and exceptions to GAAP requirements for modifications on debt instruments, leases, derivatives, and other contracts, related to the market transition from LIBOR, and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates.

ASU 2020-04 generally considers contract modifications related to reference rate reform to be an event that does not require contract remeasurement at the modification date nor a reassessment of a previous accounting determination.

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ASU 2021-01 clarifies that the practical expedients in ASU 2020-04 apply to derivatives impacted by changes in the interest rate used for margining, discounting, or contract price alignment.

In December 2022, the FASB issued ASU 2022-06 "Reference Rate Reform (Topic 848):

Deferral of the Sunset Date of Topic 848", or ASU 2022-06.

ASU 2022-06 deferred the sunset date of ASU 2020-04 to December 31, 2024.

The guidance in ASU 2020-04 is optional and may be elected over time, through December 31, 2024, as reference rate reform activities occur.

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Application of these expedients preserves the presentation of derivatives consistent with our past presentation.

We continue to evaluate the impact of ASU 2020-04 and may apply other elections, as applicable, as the market transition from IBORs to alternative reference rates continues to develop.

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 $ 0.03 for the nine months ended September 30, 2022.

We plan to apply the contract modification expedients for our applicable loan and debt modifications that relate to the market transition from IBORs.

Therefore, our loan and debt modifications that are in accordance with ASU 2020-04 do not require a remeasurement at the modification date nor a reassessment of a previous accounting determination.

The application of the ASU 2020-04 expedients have not had a material impact on our consolidated financial statements.

Reference Rate Reform

LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, are the subject of recent national, international and regulatory guidance and proposals for reform.

As of December 31, 2021, the ICE Benchmark Association, or IBA, ceased publication of all non-USD LIBOR and the one-week and two-month USD LIBOR and, as and previously announced, intends to cease publication of remaining U.S.

LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, have been the subject of national, international and regulatory guidance and proposals for reform.

As of December 31, 2021, the ICE Benchmark Association, or IBA, ceased publication of most non-USD LIBOR settings.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

previously announced its intention to cease publication of remaining U.S.

dollar LIBOR settings immediately after June 30, 2023;

Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, was signed into law in the U.S.

however, in November 2022 the U.K.

Financial Conduct Authority, which regulates IBA, announced a public consultation regarding whether it should compel IBA to continue publishing “synthetic” USD LIBOR settings from June 2023 to the end of September 2024.

Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, or LIBOR Act, was signed into law in the U.S.

This legislation establishes a uniform benchmark replacement process for financial contracts maturing after June 30, 2023 that do not contain clearly defined or practicable fallback provisions.

The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Board of Governors of the Federal Reserve.

Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee composed of large U.S.

financial institutions, has identified the Secured Overnight Financing Rate, or SOFR, a new index calculated using short-term repurchase agreements backed by U.S.

Under the LIBOR Act, such contracts will automatically transition as a matter of law to a Secured Overnight Financing Rate, or SOFR, based replacement rate identified by the Board of Governors of the Federal Reserve System, or Federal Reserve.

The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Federal Reserve.

In December 2022, the Federal Reserve adopted a final rule to implement the LIBOR Act.

The Federal Reserve, in conjunction with the Alternative Reference Rates Committee, or ARRC, a steering committee composed of large U.S.

financial institutions, identified SOFR, a new index calculated using short-term repurchase agreements backed by U.S.

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

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

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.

According to the ARRC, data from the cash and derivatives markets show continued momentum in the transition from LIBOR to SOFR, and SOFR is currently predominant across cash and derivatives markets.

As of March 31, 2023, one-month term SOFR is utilized as the floating benchmark rate on 118 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under 14 of our credit facilities, and our B-4 Term Loan.

As of March 31, 2023, one-month term SOFR was 4.80 % and one-month USD LIBOR was 4.86 %.

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

As of March 31, 2023, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings.

As of March 31, 2023, 80 % of our aggregate loan principal balance has either transitioned to the applicable replacement benchmark rate, or its existing benchmark rate is not expected to be replaced, and we expect to transition the remaining 20 % in 2023.

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

Despite the LIBOR transition in other markets, benchmark rate methodologies in Europe, Australia, Canada, Switzerland and Denmark have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, SARON and CIBOR may persist as International Organization of Securities Commissions, or IOSCO, compliant reference rates moving forward.

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

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):

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Number of loans 199 203

10 unchanged sentences

These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date.

(2) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, GBP LIBOR, EURIBOR, and other indices, as applicable to each loan.

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.

(2) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SONIA, EURIBOR, and other indices, as applicable to each loan.

As of March 31, 2023 and December 31, 2022, substantially all of our loans by principal balance earned a floating rate of interest, primarily indexed to SOFR and USD LIBOR.

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

Excludes one loan accounted for under the cost-recovery method.

Excludes loans accounted for under the cost-recovery method.

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

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 March 31, 2023, 36 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 64 % were open to repayment by the borrower without penalty.

As of December 31, 2022, 50 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 50 % were open to repayment by the borrower without penalty.

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):

The following table details the index rate floors for our loans receivable portfolio as of March 31, 2023 ($ in thousands):

Loans Receivable Principal Balance

2 unchanged sentences

0.00% or no floor 4,592,757 7,031,512 11,624,269

3,759,111 7,072,364 10,831,475

0.01% to 1.00% floor 8,987,071 868,032 9,855,103

4 unchanged sentences

(1) Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies.

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

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

(2) As of March 31, 2023, 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 0.61 %.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

5 unchanged sentences

Loan repayments and sales ( 592,361 ) — ( 592,361 )

Unrealized (loss) gain on foreign currency translation ( 1,270,541 ) 9,733 ( 1,260,808 )

Unrealized gain (loss) on foreign currency translation 82,695 ( 567 ) 82,128

Deferred fees and other items — ( 2,850 ) ( 2,850 )

Amortization of fees and other items — 21,755 21,755

Loans Receivable, as of September 30, 2022

Loans Receivable, as of March 31, 2023

$ 25,020,489 $ ( 124,125 ) $ 24,896,364

CECL reserve ( 336,591 )

Loans Receivable, net, as of September 30, 2022

Loans Receivable, net, as of March 31, 2023

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

2 unchanged sentences

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

September 30, 2022

March 31, 2023

Property Type Number of

Percentage of

Net Loan Exposure Percentage of

Office 58 $ 9,044,537 $ 9,993,785 $ 8,160,735 34 %

3 unchanged sentences

Retail 8 958,158 1,003,736 948,243 4

Life Sciences / Studio 4 373,001 620,980 374,199 2

Other 8 1,247,426 1,602,218 1,218,616 5

3 unchanged sentences

Geographic Location Number of

Percentage of

Net Loan Exposure Percentage of

United States

8 unchanged sentences

Australia 5 1,388,484 1,399,171 1,392,851 6

Spain 4 1,147,064 1,151,521 5

Ireland 3 1,205,717 1,212,182 1,210,638 5

Spain 3 1,129,574 1,133,120 1,095,200 5

Sweden 1 474,690 477,768 477,465 2

7 unchanged sentences

See Note 2 for further discussion.

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

Total loan exposure encompasses the entire loan we originated and financed, including $ 1.7 billion of such non-consolidated senior interests as of March 31, 2023.

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of March 31, 2023, which is our total loan exposure net of (i) $ 1.7 billion of non-consolidated senior interests, (ii) $ 822.9 million of asset-specific debt, (iii) $ 229.5 million of loan participations sold, and (iv) our aggregate CECL reserve of $ 336.6 million.

Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans .

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

Property Type Number of

Exposure (1)(2)

Percentage of

Net Loan Exposure Percentage of

Office 60 $ 9,082,946 $ 10,023,495 $ 8,099,334 34 %

3 unchanged sentences

Retail 9 1,098,315 1,141,932 1,090,238 5

Life Sciences/Studio 4 358,676 570,089 359,830 2

Other 8 1,243,870 1,599,313 1,217,578 5

3 unchanged sentences

Geographic Location Number of

Exposure (1)(2)

Percentage of

Net Loan Exposure Percentage of

United States

7 unchanged sentences

United Kingdom 23 3,362,629 3,393,126 3,123,925 13

Australia 5 1,405,601 1,417,318 1,408,565 6

Spain 4 1,237,446 1,241,808 1,204,218 5

1 unchanged sentence

Sweden 1 473,374 476,673 476,367 2

Australia 4 504,668 509,885 2

Canada 1 49,409 49,432 49,398 —

7 unchanged sentences

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

(2) Excludes investment exposure to the $ 379.3 million 2018 Single Asset Securitization.

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

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of December 31, 2022, which is our total loan exposure net of (i) $ 1.6 billion of non-consolidated senior interests, (ii) $ 950.3 million of asset-specific debt, (iii) $ 224.7 million of loan participations sold, and and (iv) our aggregate CECL reserve of $ 326.1 million.

Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Loan Risk Ratings

3 unchanged sentences

Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined in Note 2.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

September 30, 2022 December 31, 2021

Exposure (1)(2)

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

March 31, 2023

1 17 $ 1,158,445 $ 1,182,278 $ 1,128,313

6 unchanged sentences

Loans receivable, net $ 24,559,773

December 31, 2022

1 17 $ 1,403,185 $ 1,428,232 $ 1,170,725

2 36 5,880,424 6,562,852 5,292,933

3 134 14,128,133 15,209,018 13,826,730

4 11 2,677,027 2,680,145 2,628,539

5 5 929,111 930,034 740,256

Total loans receivable 203 $ 25,017,880 $ 26,810,281 $ 23,659,183

CECL reserve ( 326,137 )

Loans receivable, net $ 24,691,743

(1) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

See Note 2 for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $ 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 September 30, 2022 and December 31, 2021.

Total loan exposure encompasses the entire loan we originated and financed, including $ 1.7 billion and $ 1.6 billion of such non-consolidated senior interests as of March 31, 2023 and December 31, 2022, respectively.

Our net loan exposure as of December 31, 2022 is our total loan exposure net of (i) $ 1.6 billion of non-consolidated senior interests, (ii) $ 950.3 million of asset-specific debt, (iii) $ 224.7 million of loan participations sold, and and (iv) our aggregate CECL reserve of $ 326.1 million.

Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.

Our loan portfolio had a weighted-average risk rating of 2.9 as of both March 31, 2023 and December 31, 2022.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Current Expected Credit Loss Reserve

The CECL reserve required under GAAP reflects our current estimate of potential credit losses related to the loans and debt securities included in our consolidated balance sheets.

The CECL reserve required under GAAP reflects our current estimate of potential credit losses related to the loans included in our consolidated balance sheets.

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 nine months ended September 30, 2022 and 2021 ($ in thousands):

The following table presents the activity in our loans receivable CECL reserve by investment pool for the year ended March 31, 2023 and 2022 ($ in thousands):

Loans Receivable, Net

CECL reserve as of December 31, 2022

$ 67,880 $ 22,519 $ 45,960 $ 189,778 $ 326,137

Decrease in CECL reserve ( 644 ) ( 54 ) ( 1,760 ) — ( 2,458 )

Increase (decrease) in CECL reserve 5,314 ( 2,823 ) 483 7,480 10,454

CECL reserve as of March 31, 2023

$ 73,194 $ 19,696 $ 46,443 $ 197,258 $ 336,591

Increase in CECL reserve 7,070 1,135 2,598 — 10,803

CECL reserve as of June 30, 2022

$ 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, 2021

$ 26,885 $ 10,263 $ 32,657 $ 54,874 $ 124,679

Increase (decrease) in CECL reserve 1,539 ( 3,134 ) 146 — ( 1,449 )

CECL reserve as of March 31, 2021

$ 44,534 $ 24,600 $ 33,305 $ 69,661 $ 172,100

Decrease in CECL reserve ( 644 ) ( 54 ) ( 1,760 ) — ( 2,458 )

CECL reserve as of June 30, 2021

$ 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

CECL reserve as of March 31, 2022

$ 26,241 $ 10,209 $ 30,897 $ 54,874 $ 122,221

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

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

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

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

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

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 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.

During the three months ended March 31, 2023, we recorded an increase of $ 10.5 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to $ 336.6 million as of March 31, 2023.

This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions.

During the three months ended March 31, 2023, we recorded an aggregate net increase of $ 7.5 million in the asset-specific CECL reserve related to our impaired loans.

The increase was primarily driven by one additional loan that was impaired during the three months ended March 31, 2023.

As of March 31, 2023, the income accrual was suspended on this loan as recovery of income and principal was doubtful.

During the three months ended March 31, 2023, we recorded $ 1.8 million of interest income on this loan.

As of March 31, 2023, we had an aggregate $ 197.3 million asset-specific CECL reserve related to six of our loans receivable, with an aggregate net book value of $ 997.7 million.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of March 31, 2023.

No income was recorded during the three months ended March 31, 2023 on our loans that were deemed impaired as of December 31, 2022.

As of March 31, 2023, all borrowers were current with all contractual terms of each respective loan, including payments of interest.

During the three months ended March 31, 2023, we received an aggregate $ 18.3 million of cash proceeds from such loans that were applied as a reduction to the principal balance of each respective loan.

Refer to Note 2 for further discussion of our revenue recognition policy and CECL reserve.

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 September 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 March 31, 2023 and December 31, 2022, 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 September 30, 2022

As of March 31, 2023

2023 2022 2021 2020 2019 Prior Total

79 unchanged sentences

Origination dates are subsequently updated to reflect material loan modifications.

(2) Excludes the $ 78.0 million net book value of our held-to-maturity debt securities which represents our subordinate position we own in the 2018 Single Asset Securitization, and is included in other assets on our consolidated balance sheets.

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

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Multifamily Joint Venture

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

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.

As of March 31, 2023 and December 31, 2022, our Multifamily Joint Venture held $ 797.7 million and $ 795.6 million of loans, respectively, which are included in the loan disclosures above.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

OTHER ASSETS AND LIABILITIES

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

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Accrued interest receivable $ 181,951 $ 189,569

Derivative assets 94,352 30,531

Loan portfolio payments held by servicer (1)

Accounts receivable and other assets 2,529 572

98,778 68,489

Derivative assets 16,907 7,349

Collateral deposited under derivative agreements 10,370 103,110

Prepaid expenses 1,063 1,067

Debt securities held-to-maturity (2)

CECL reserve — ( 70 )

Debt securities held-to-maturity, net — 78,013

Accounts receivable and other assets 1,017 1,318

Total $ 310,086 $ 370,902

(1) Primarily represents loan principal held by our third-party loan servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle.

(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 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

The CECL reserve required under GAAP reflects our current estimate of potential credit losses related to the loans and debt securities included in our consolidated balance sheets.

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 nine months ended September 30, 2022 and 2021 ($ in thousands):

Debt Securities Held-To-Maturity Total

CECL reserve as of December 31, 2021

Decrease in CECL reserve ( 70 )

CECL reserve as March 31, 2022

Decrease in CECL reserve —

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

Decrease in CECL reserve ( 834 )

CECL reserve as of March 31, 2021

Decrease in CECL reserve ( 767 )

CECL reserve as of June 30, 2021

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):

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Accrued dividends payable $ 106,816 $ 106,455

Accrued interest payable 63,991 80,263

Secured debt repayments pending servicer remittance (1)

43,502 60,585

Accrued management and incentive fees payable 31,050 33,830

Current expected credit loss reserve for unfunded loan commitments (2)

Accounts payable and other liabilities 7,272 9,046

Secured debt repayments pending servicer remittance (2)

15,749 16,380

Derivative liabilities 13,550 119,665

Accounts payable and other liabilities 8,588 9,726

Total $ 283,246 $ 426,904

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

(2) 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.

1 unchanged sentence

Current Expected Credit Loss Reserve for Unfunded Loan Commitments

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

As of March 31, 2023, we had unfunded commitments of $ 3.4 billion related to 112 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 nine months ended September 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 months ended March 31, 2023 and 2022 ($ in thousands):

Loans Non-U.S.

1 unchanged sentence

$ 11,748 $ 4,632 $ — $ — $ 16,380

Increase (decrease) in CECL reserve 209 ( 218 ) — — ( 9 )

Decrease in CECL reserve ( 148 ) ( 483 ) — — ( 631 )

CECL reserve as of March 31, 2023

$ 11,600 $ 4,149 $ — $ — $ 15,749

Increase in CECL reserve 2,042 138 — — 2,180

CECL reserve as of June 30, 2022

$ 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, 2021

3 unchanged sentences

$ 4,281 $ 1,973 $ — $ — $ 6,254

Decrease in CECL reserve ( 4,315 ) ( 2,632 ) ( 37 ) — ( 6,984 )

CECL reserve as of June 30, 2021

$ 2,854 $ 1,140 $ 43 $ — $ 4,037

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

CECL reserve as of September 30, 2021

$ 3,420 $ 1,783 $ — $ — $ 5,203

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

SECURED DEBT, NET

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.

During the three months ended March 31, 2023, we obtained approval for $ 73.9 million of new borrowings against $ 92.4 million of collateral assets.

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

Borrowings Outstanding

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Secured credit facilities $ 14,051,435 $ 13,549,748

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 September 30, 2022 ($ in thousands):

September 30, 2022

Our credit facilities are diversified across 15 counterparties, primarily consisting of top global financial institutions to minimize our counterparty risk exposure.

The following table details our secured credit facilities by spread over the applicable base rates as of March 31, 2023 ($ in thousands):

March 31, 2023

Recourse Limitation

2 unchanged sentences

Loan Count Collateral (3)

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

Total 15 $ 13,213,212 3/2/2026 188 $ 18,962,300 3/19/2026 34 % 25 % - 100 %

USD 14 $ 7,924,192 February 2026 132 $ 11,686,034 March 2026 35 % 25 % - 100 %

GBP 7 2,413,082 March 2026 22 3,213,057 May 2026 27 % 25 % - 50 %

EUR 7 2,059,273 August 2025 11 2,783,712 August 2025 42 % 25 % - 100 %

4 1,654,888 June 2027 8 2,091,735 June 2027 25 % 25 %

Total 15 $ 14,051,435 March 2026 173 $ 19,774,538 April 2026 33 % 25 % - 100 %

(1) Represents the number of lenders with fundings advanced in each respective currency, as well as the total number of facility lenders.

(2) Based on the earlier of (i) the maximum maturity date of each secured credit facility, or (ii) the maximum maturity date of the collateral loans.

(2) Our secured debt agreements are generally term-matched to their underlying collateral.

Therefore, the weighted average maturity is generally allocated based on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

In limited instances, the maturity date of the respective secured credit facility is used.

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

5 unchanged sentences

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

The following tables detail the spread of our secured debt as of March 31, 2023 and December 31, 2022 ($ in thousands):

Three Months Ended March 31, 2023 March 31, 2023

New Financings (2)

17 unchanged sentences

Total $ 3,350,146 $ 13,549,748 + 1.85 % $ 19,694,790 + 3.70 % + 1.85 %

(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 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.

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

(2) Represents borrowings outstanding as of March 31, 2023 and December 31, 2022, respectively, for new financings during the three months ended March 31, 2023 and year ended December 31, 2022, 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 September 30, 2022 and December 31, 2021, respectively, and is not necessarily indicative of the spread applicable to recent or future borrowings.

Excludes loans accounted for under the cost recovery method.

(4) Represents the weighted-average all-in cost as of March 31, 2023 and December 31, 2022, 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 September 30, 2022, there was an aggregate $ 1.4 billion available to be drawn at our discretion under our credit facilities.

As of March 31, 2023, there was an aggregate $ 1.0 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 3, 2024.

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.

During the three months ended March 31, 2023, we had no borrowings under the acquisition facility and we recorded interest expense of $ 299,000 , including $ 81,000 of amortization of deferred fees and expenses.

During the year ended December 31, 2022, we had no borrowings under the acquisition facility and we recorded interest expense of $ 1.2 million, including $ 333,000 of amortization of deferred fees and expenses.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

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 $ 3.6 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 September 30, 2022 and December 31, 2021, we were in compliance with these covenants.

As of March 31, 2023 and December 31, 2022, we were in compliance with these covenants.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

SECURITIZED DEBT OBLIGATIONS, NET

We have financed certain pools of our loans through collateralized loan obligations, which include the 2021 FL4 CLO, 2020 FL3 CLO, and 2020 FL2 CLO or collectively, the CLOs.

We have financed certain pools of our loans through collateralized loan obligations, or CLOs.

The CLOs are consolidated in our financial statements and have issued securitized debt obligations that are non-recourse to us.

Refer to Note 18 for further discussion of our CLOs.

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

September 30, 2022

The following tables detail our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands):

March 31, 2023

Securitized Debt Obligations Count Principal

1 unchanged sentence

2021 FL4 Collateralized Loan Obligation

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

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

Senior CLO Securities Outstanding 1 $ 803,750 $ 800,192 + 1.57 % May 2038

Underlying Collateral Assets 29 1,000,000 1,000,000 + 3.51 % June 2025

2020 FL3 Collateralized Loan Obligation

Collateral assets 16 1,000,000 1,000,000 + 3.21 % October 2024

Financing provided 1 808,750 806,068 + 2.03 % November 2037

Senior CLO Securities Outstanding 1 808,750 807,428 + 2.15 % November 2037

Underlying Collateral Assets 16 1,000,000 1,000,000 + 3.24 % November 2024

2020 FL2 Collateralized Loan Obligation

Collateral assets 18 1,500,000 1,500,000 + 3.39 % September 2024

Financing provided 1 1,243,125 1,238,901 + 1.39 % February 2038

Collateral assets 65 $ 3,500,000 $ 3,500,000 + 3.37 %

Financing provided (4)

Senior CLO Securities Outstanding 1 1,059,234 1,056,588 + 1.55 % February 2038

Underlying Collateral Assets 17 1,316,109 1,316,109 + 3.41 % November 2024

Senior CLO Securities Outstanding (4)

3 $ 2,671,734 $ 2,664,208 + 1.74 %

Underlying Collateral Assets 62 $ 3,316,109 $ 3,316,109 + 3.39 %

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

(2) The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include 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.

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

As of March 31, 2023, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR.

As of March 31, 2023, one-month SOFR was 4.80 % and one-month USD LIBOR was 4.86 %.

Excludes loans accounted for under the cost recovery method.

(3) Underlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower.

Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments.

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

(4) During the three 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.

(4) During the three months ended March 31, 2023, we recorded $ 39.8 million of interest expense related to our securitized debt obligations.

Blackstone Mortgage Trust, Inc.

5 unchanged sentences

2021 FL4 Collateralized Loan Obligation

Collateral assets 34 $ 1,000,000 $ 1,000,000 + 3.42 % October 2024

Financing provided 1 803,750 797,373 + 1.66 % May 2038

Senior CLO Securities Outstanding 1 $ 803,750 $ 799,626 + 1.57 % May 2038

Underlying Collateral Assets 30 1,000,000 1,000,000 + 3.47 % May 2025

2020 FL3 Collateralized Loan Obligation

Collateral assets 18 1,000,000 1,000,000 + 3.06 % May 2024

Financing provided 1 808,750 804,096 + 2.10 % November 2037

Senior CLO Securities Outstanding 1 808,750 806,757 + 2.14 % November 2037

Underlying Collateral Assets 16 1,000,000 1,000,000 + 3.25 % November 2024

2020 FL2 Collateralized Loan Obligation

Collateral assets 21 1,500,000 1,500,000 + 3.15 % March 2024

Financing provided 1 1,243,125 1,236,593 + 1.45 % February 2038

Collateral assets 73 $ 3,500,000 $ 3,500,000 + 3.20 %

Financing provided (4)

Senior CLO Securities Outstanding 1 1,061,041 1,057,627 + 1.55 % February 2038

Underlying Collateral Assets 17 1,317,916 1,317,916 + 3.42 % November 2024

Senior CLO Securities Outstanding (4)

3 $ 2,673,541 $ 2,664,010 + 1.73 %

Underlying Collateral Assets 63 $ 3,317,916 $ 3,317,916 + 3.38 %

(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 %.

As of December 31, 2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR.

As of December 31, 2022, one-month SOFR was 4.36 % and one-month USD LIBOR was 4.39 %.

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

Excludes loans accounted for under the cost recovery method.

(3) Underlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower.

Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments.

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

(4) During the three 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.

(4) During the year ended December 31, 2022, we recorded $ 87.6 million of interest expense related to our securitized debt obligations.

ASSET-SPECIFIC DEBT, NET

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

September 30, 2022

The following table details our asset-specific debt ($ in thousands):

March 31, 2023

Asset-Specific Debt Count Principal

1 unchanged sentence

Yield/Cost (1)

Collateral assets 4 $ 1,125,108 $ 1,108,063 + 4.56 % March 2026

Financing provided 4 $ 959,762 $ 949,891 + 3.09 % March 2026

Financing provided 3 $ 822,873 $ 817,444 + 3.66 % February 2026

Collateral assets 3 $ 981,538 $ 971,397 + 4.85 % February 2026

December 31, 2022

2 unchanged sentences

Yield/Cost (1)

Collateral assets 4 $ 446,276 $ 435,727 + 4.04 % March 2025

Financing provided 4 $ 400,699 $ 393,824 + 2.78 % March 2025

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

Financing provided 4 $ 950,278 $ 942,503 + 3.29 % January 2026

Collateral assets 4 $ 1,094,450 $ 1,081,035 + 4.73 % January 2026

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

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

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

Our asset-specific debt is term-matched in each case to the corresponding collateral loans.

Our non-recourse, asset-specific debt is term-matched in each case to the corresponding collateral loans.

Blackstone Mortgage Trust, Inc.

6 unchanged sentences

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

September 30, 2022

March 31, 2023

Loan Participations Sold Count Principal

1 unchanged sentence

Yield/Cost (1)

Senior Participation (3)

1 $ 229,468 $ 229,003 + 3.22 % March 2027

Total Loan 1 $ 286,835 $ 284,940 + 4.86 % March 2027

Senior Participation 1 $ 207,762 $ 207,225 + 3.20 % March 2027

December 31, 2022

Loan Participations Sold Count Principal

Book Value Wtd.

Yield/Cost (1)

Senior Participation (3)

1 $ 224,744 $ 224,232 + 3.22 % March 2027

Total Loan 1 $ 280,930 $ 278,843 + 4.86 % March 2027

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

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

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

We did not have any loan participations sold as of December 31, 2021.

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

Our loan participation sold is inherently non-recourse and term-matched to the corresponding collateral loan.

(3) During the three months ended March 31, 2023, we recorded $ 3.7 million of interest expense related to our loan participations sold.

During the year ended December 31, 2022, we recorded $ 7.9 million of interest expense related to our loan participations sold.

TERM LOANS, NET

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

As of March 31, 2023, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans Face Value Interest Rate (1)

3 unchanged sentences

B-4 Term Loan 819,621 + 3.50 % + 4.11 % May 9, 2029

Total face value $ 2,151,719

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

5 unchanged sentences

The issue discount and transaction expenses of the B-4 Term Loan were $ 17.3 million and $ 10.3 million, respectively.

These discounts and expenses will be amortized into interest expense over the life of each Term Loan.

These discounts and expenses are amortized into interest expense over the life of each Term Loan.

During the three months ended March 31, 2023, we recorded $ 41.9 million of interest expense related to our Term Loans, including $ 2.3 million of amortization of deferred fees and expenses.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Face value $ 2,151,719 $ 2,157,218

Unamortized discount ( 14,686 ) ( 9,209 )

Deferred financing costs ( 16,014 ) ( 12,656 )

Deferred financing costs and unamortized discount ( 40,487 ) ( 42,669 )

Net book value $ 2,111,232 $ 2,114,549

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.

As of March 31, 2023 and December 31, 2022, 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 September 30, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):

As of March 31, 2023, the following Senior Secured Notes, were outstanding ($ in thousands):

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

1 unchanged sentence

(1) Includes transaction expenses that are amortized through interest expense over the life of the Senior Secured Notes.

The transaction expenses on the Senior Secured Notes were $ 6.3 million, which will be amortized into interest expense over the life of the Senior Secured Notes.

The transaction expenses on the Senior Secured Notes were $ 6.3 million, which are amortized into interest expense over the life of the Senior Secured Notes.

During the three months ended March 31, 2023, we recorded $ 4.0 million of interest expense related to our Senior Secured Notes, including $ 295,000 of amortization of deferred fees and expenses.

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

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

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

As of March 31, 2023 and December 31, 2022, we were in compliance with these covenants.

CONVERTIBLE NOTES, NET

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

During the three months ended March 31, 2023, we repaid the aggregate $ 220.0 million principal amount of our March 2018 convertible senior notes at maturity on March 15, 2023.

As of March 31, 2023, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

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

1 unchanged sentence

March 2022 $ 300,000 5.50 % 5.94 % $ 36.27 March 15, 2027

(1) Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.

(2) Represents the price of class A common stock per share based on a conversion rate of 27.6052 and 27.5702 , respectively, for the March 2018 and March 2022 convertible notes.

(2) Represents the price of class A common stock per share based on a conversion rate of 27.5702 for the March 2022 convertible notes.

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

The cumulative dividend threshold as defined in the 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

The cumulative dividend threshold as defined in the March 2022 convertible notes supplemental indenture has not been exceeded as of March 31, 2023.

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.

This reduces the issue discount and results in less non-cash interest expense in our consolidated financial statements.

Additionally, ASU 2020-06 results in the reporting of diluted earnings per share for shares issuable under our convertible notes in our consolidated financial statements, if the effect is dilutive, regardless of our settlement intent.

Refer to Note 2 and Note 13 for additional discussion of ASU 2020-06 and our earnings per share calculation, respectively.

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 March 2022 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, 2026 at the applicable conversion rate in effect on the conversion date.

Thereafter, the March 2022 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 $ 17.85 on March 31, 2023 was less than the per share conversion price of the March 2022 convertible notes.

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

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Face value $ 300,000 $ 520,000

Unamortized discount ( 6,336 ) ( 2,472 )

Deferred financing costs ( 38 ) ( 152 )

Deferred financing costs and unamortized discount ( 5,112 ) ( 5,743 )

Net book value $ 294,888 $ 514,257

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

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

2022 2021 2022 2021

Three Months Ended March 31,

Cash coupon $ 6,264 $ 7,252

1 unchanged sentence

Total interest expense $ 6,895 $ 8,040

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.

Accrued interest payable for the Convertible Notes was $ 733,000 and $ 7.9 million as of March 31, 2023 and December 31, 2022, respectively.

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

12 unchanged sentences

Designated Hedges of Foreign Currency Risk

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

September 30, 2022 December 31, 2021

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

March 31, 2023 December 31, 2022

Foreign Currency Derivatives Number of

5 unchanged sentences

Buy USD / Sell DKK Forward 2 kr.

167,200 Buy USD / Sell CAD Forward 2 C$ 22,100

Buy USD / Sell CAD Forward 2 C$ 22,000 Buy USD / Sell CHF Forward 1 CHF 5,200

Buy USD / Sell CHF Forward 1 CHF 5,200

197,975 Buy USD / Sell DKK Forward 3 kr.

Buy USD / Sell CAD Forward 2 C$ 22,183 Buy USD / Sell CAD Forward 2 C$ 22,187

Buy USD / Sell CHF Forward 3 CHF 5,547 Buy USD / Sell CHF Forward 2 CHF 5,263

Non-designated Hedges of Foreign Currency Risk

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

September 30, 2022 December 31, 2021

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

March 31, 2023 December 31, 2022

Non-designated Hedges Number of

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

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

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

Buy AUD / Sell USD Forward 1 A$ 104,000 Buy GBP / Sell USD Forward 2 £ 109,076

Buy USD / Sell AUD Forward 1 A$ 104,000 Buy USD / Sell GBP Forward 2 £ 109,076

Buy EUR / Sell USD Forward 4 € 78,000 Buy AUD / Sell USD Forward 1 A$ 23,600

Buy USD / Sell EUR Forward 4 € 78,000 Buy USD / Sell AUD Forward 1 A$ 23,600

Buy GBP / Sell USD Forward 2 £ 19,600

Buy USD / Sell GBP Forward 2 £ 19,600

Blackstone Mortgage Trust, Inc.

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Exchange Contracts

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

Three Months Ended March 31,

Foreign Exchange Contracts

2 unchanged sentences

(Expense) Recognized

2022 2021 2022 2021

Designated Hedges Interest Income (1)

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Non-Designated Hedges Interest Income (1)

( 8 ) 34 ( 15 ) ( 340 )

Non-Designated Hedges Interest Expense (2)

11 ( 8 ) 75 ( 7,139 )

Total $ 8,443 $ 1,753

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Position (2) as of

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

Foreign Exchange Contracts March 31, 2023 December 31, 2022 March 31, 2023 December 31, 2022

Designated Hedges $ 13,047 $ 501 $ 13,288 $ 111,573

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Accumulated OCI into Income

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

Three Months Ended

March 31, Three Months Ended

2023 2022 2023 2022

Net Investment Hedges

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Total $ ( 24,052 ) $ 45,510 $ — $ ( 4 )

(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.

(1) During the three months ended March 31, 2023 and 2022, we paid net cash settlements of $ 131.3 million and received net cash settlements of $ 26.3 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 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.

(2) During the three months ended March 31, 2022, we recorded total interest and related expenses of $ 100.7 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 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.

As of March 31, 2023, we were in a net liability position with one of our counterparties and in a net asset position with our other counterparty.

As of March 31, 2023, we had collateral posted of $ 10.4 million.

As of December 31, 2022, we were in a net liability position with one of our counterparties and in a net asset position with our other counterparty.

As of December 31, 2022 we had collateral posted of $ 103.1 million.

Stock and Stock Equivalents

Authorized Capital

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.

As of March 31, 2023, 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 September 30, 2022 and December 31, 2021.

We did no t have any shares of preferred stock issued and outstanding as of March 31, 2023 and December 31, 2022.

Class A Common Stock and Deferred Stock Units

Holders of shares of our class A common stock are entitled to vote on all matters submitted to a vote of stockholders and are entitled to receive dividends authorized by our board of directors and declared by us, in all cases subject to the rights of the holders of shares of outstanding preferred stock, if any.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

September 30, 2022

Shares issued (1)

Gross / net issue price per share (2)

$ 31.23 / $ 30.92

Net proceeds (3)

(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.

(3) Net proceeds represent proceeds received from the underwriters less applicable transaction costs.

We also issue restricted class A common stock under our stock-based incentive plans.

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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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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:

Nine Months Ended September 30,

Three Months Ended March 31,

Common Stock Outstanding (1)

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1,377 1,675,639

Issuance of restricted class A common stock, net (3)(4)

407,581 234,229

Issuance of restricted class A common stock 481,724 427,634

Issuance of deferred stock units 10,903 7,063

Ending balance 172,600,597 170,653,706

(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.

(1) Includes 316,479 and 370,635 deferred stock units held by members of our board of directors as of March 31, 2023 and 2022, respectively.

(2) Includes 1,377 and 639 shares issued under our dividend reinvestment program during the three months ended March 31, 2023 and 2022, respectively.

Dividend Reinvestment and Direct Stock Purchase Plan

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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 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.

During the three months ended March 31, 2023 and 2022, we issued 1,377 shares and 639 shares, respectively, of class A common stock under the dividend reinvestment component of the plan.

As of March 31, 2023, a total of 9,980,171 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 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)

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.

As of March 31, 2023, 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.

Sales of 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 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.

During the three months ended March 31, 2023, we did no t issue any shares of our class A common stock under ATM Agreements.

During the three months ended March 31, 2022, we issued and sold 1,675,000 shares of class A common stock under ATM Agreements, generating net proceeds totaling $ 52.2 million.

As of March 31, 2023, 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 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.

On March 15, 2023, we declared a dividend of $ 0.62 per share, or $ 106.8 million in aggregate, that was paid on April 14, 2023 to stockholders of record as of March 31, 2023.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

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

2022 2021 2022 2021

Three Months Ended March 31,

Dividends declared per share of common stock $ 0.62 $ 0.62

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These restricted shares have the same rights as our other shares of class A common stock, including participating in any dividends, and therefore have been included in our basic and diluted net income per share calculation.

The shares issuable under our Convertible Notes, other than the May 2017 convertible notes, are included in dilutive earnings per share using the if-converted method.

The shares issuable under our Convertible Notes are included in dilutive earnings per share using the if-converted method.

Blackstone Mortgage Trust, Inc.

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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 September 30, Nine Months Ended September 30,

2022 2021 2022 2021

Three Months Ended March 31,

Basic Earnings

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Interest expense on Convertible Notes, net (2)(3)

5,905 — 14,218 —

Diluted earnings $ 121,313 $ 102,087

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(2) Represents the interest expense on our Convertible Notes, net of incentive fees.

(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 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.

(3) For the three months ended March 31, 2023, represents 8.3 million of weighted average shares, using the if-converted method, related to our March 2022 Convertible Notes.

For the three months ended March 31, 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.

Our March 2018 Convertible Notes were repaid during the three months ended March 31, 2023.

Refer to Note 11 for additional discussion on our Convertible Notes.

Other Balance Sheet Items

Accumulated Other Comprehensive Income

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 March 31, 2023, total accumulated other comprehensive income was $ 7.8 million, primarily representing $ 235.7 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $ 227.9 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.

As of December 31, 2022, total accumulated other comprehensive income was $ 10.0 million, primarily representing $ 259.8 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $ 249.8 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 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)

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.

As of March 31, 2023, our Multifamily Joint Venture’s total equity was $ 169.8 million, of which $ 144.3 million was owned by us, and $ 25.5 million was allocated to non-controlling interests.

As of December 31, 2022, our Multifamily Joint Venture’s total equity was $ 169.4 million, of which $ 144.0 million was owned by us, and $ 25.4 million was allocated to non-controlling interests.

OTHER EXPENSES

Our other expenses consist of the management and incentive fees we pay to our Manager and our general and administrative expenses.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Management and Incentive Fees

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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 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.

During the three months ended March 31, 2023 and 2022, we incurred $ 18.6 million and $ 18.1 million, respectively, of management fees payable to our manager.

In addition, during the three months ended March 31, 2023 and 2022, we incurred $ 12.5 million and $ 5.4 million, respectively, of incentive fees payable to our Manager.

As of March 31, 2023 and December 31, 2022 we had accrued management and incentive fees payable to our Manager of $ 31.1 million and $ 33.8 million, respectively.

General and Administrative Expenses

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

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

2022 2021 2022 2021

Three Months Ended March 31,

Professional services $ 3,279 $ 2,698

Operating and other costs 1,931 1,012

4,713 2,761 12,415 7,924

Non-cash compensation expenses

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Total general and administrative expenses $ 12,865 $ 12,360

(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.

(1) During the three months ended March 31, 2023 and 2022, we recognized an aggregate $ 308,000 and $ 317,000 , 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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We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S.

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

To the extent that we

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 not to apply to our earnings.

To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject 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 September 30, 2022 and December 31, 2021, we were in compliance with all REIT requirements.

As of March 31, 2023 and December 31, 2022, we were in compliance with all REIT requirements.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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 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.

During the three months ended March 31, 2023 and 2022, we recorded a current income tax provision of $ 1.9 million and $ 146,000 , respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

We did not have any deferred tax assets or liabilities as of March 31, 2023 or December 31, 2022.

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 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.

As of March 31, 2023, we had estimated NOLs of $ 159.0 million that will expire in 2029, unless they are utilized by us prior to expiration.

Previously, we recorded a full valuation allowance against such NOLs as we expected that they would expire unutilized.

However, although uncertain, we may utilize a portion of NOLs prior to expiration.

We do not expect the utilization of NOLs to have a material impact on our consolidated financial statements.

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.

As of March 31, 2023, tax years 2019 through 2022 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 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.

However, as of March 31, 2023, 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.

As of March 31, 2023, there were 8,718,238 shares available under our current stock incentive plans.

Prior to the adoption and shareholder approval of our new stock incentive plans in June 2022, we had stock-based incentive awards outstanding under nine stock incentive plans.

In connection with the adoption of our new stock incentive plans, we consolidated all outstanding DSUs under the new plans and retired the seven remaining historical plans.

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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

The following table details the movement in our outstanding shares of restricted class A common stock and the weighted-average grant date fair value per share:

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Vested ( 166,881 ) 29.83

Forfeited ( 33,250 ) 30.95

Balance as of September 30, 2022

Balance as of March 31, 2023

2,198,627 $ 26.35

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

The 2,198,627 shares of restricted class A common stock outstanding as of March 31, 2023 will vest as follows:

943,390 shares will vest in 2023;

827,493 shares will vest in 2024;

and 402,092 shares will vest in 2024.

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.

and 427,744 will vest in 2025.

As of March 31, 2023, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 53.4 million based on the grant date fair value of shares granted.

This cost is expected to be recognized over a weighted-average period of 1.2 years from March 31, 2023.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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):

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

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

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As discussed in Note 2, GAAP requires disclosure of fair value information about financial instruments, whether or not recognized at fair value in the statement of financial position, for which it is practicable to estimate that value.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Financial assets

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Loans receivable, net 24,559,773 25,020,489 24,314,435 24,691,743 25,160,343 24,445,042

Debt securities held-to-maturity, net (1)

— — — 78,013 79,200 77,229

Financial liabilities

6 unchanged sentences

Convertible notes, net 294,888 300,000 240,711 514,257 520,000 478,232

(1) Included in other assets on our consolidated balance sheets.

Estimates of fair value for cash and cash equivalents and convertible notes are measured using observable, quoted market prices, or Level 1 inputs.

Estimates of fair value for debt securities held-to-maturity, securitized debt obligations, the term loans, and the senior secured notes are measured using observable, quoted market prices, in inactive markets, or Level 2 inputs.

Estimates of fair value for securitized debt obligations, the term loans, and the senior secured notes are measured using observable, quoted market prices, in inactive markets, or Level 2 inputs.

All other fair value significant estimates are measured using unobservable inputs, or Level 3 inputs.

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VARIABLE INTEREST ENTITIES

Consolidated Variable Interest Entities

We have financed a portion of our loans through the CLOs, all of which are VIEs.

We are the primary beneficiary of, and therefore consolidate, the CLOs on our balance sheet as we (i) control the relevant interests of the CLOs that give us power to direct the activities that most significantly affect the CLOs, and (ii) have the right to receive benefits and obligation to absorb losses of the CLOs through the subordinate interests we own.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

September 30, 2022 December 31, 2021

March 31, 2023 December 31, 2022

Loans receivable $ 3,271,709 $ 3,317,316

6 unchanged sentences

Total liabilities $ 2,671,644 $ 2,671,244

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.

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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 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.

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

We are not obligated to provide, have not provided, and do not intend to provide financial support to these consolidated and non-consolidated VIEs.

We are not obligated to provide, have not provided, and do not intend to provide financial support to these consolidated VIEs.

TRANSACTIONS WITH RELATED PARTIES

We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2023, and will be automatically renewed for a one year term upon such date and each anniversary thereafter unless earlier terminated.

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.

As of March 31, 2023 and December 31, 2022, our consolidated balance sheets included $ 31.1 million and $ 33.8 million of accrued management and incentive fees payable to our Manager, respectively.

During the three months ended March 31, 2023, we paid aggregate management and incentive fees of $ 33.8 million, to our Manager, compared to $ 28.4 million during the same period of 2022.

In addition, during the three months ended March 31, 2023, we incurred expenses of $ 382,000 , that were paid by our Manager and will be reimbursed by us, compared to $ 193,000 of such expenses during the same period of 2022.

As of March 31, 2023, our Manager held 1,092,795 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 29.7 million, and vest in installments over three years from the date of issuance.

During the three months ended March 31, 2023 and 2022, we recorded non-cash expenses related to shares held by our Manager of $ 3.9 million and $ 4.2 million, respectively.

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 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.

Another Blackstone-advised investment vehicle participated in an additional AUD 1.3 billion, or 24.5 %, of the loan.

We will forgo all non-economic rights under the loan, including voting rights, so long as we are an affiliate of the borrower.

The senior loan terms were negotiated by a third-party without our involvement and our 24.5 % interest in the senior loan was made on such market terms.

In the second quarter of 2022, we co-originated £ 250.0 million of an aggregate £ 500.0 million senior loan to an unaffiliated third-party.

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.

Blackstone Securities Partners L.P., an affiliate of our Manager, was engaged as a book-runner for the transaction and received aggregate fees of $ 500,000 in such capacity.

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

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.

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 lenders prior to our acquisition of the loan without our involvement.

In the second quarter of 2021, a Blackstone-advised investment vehicle acquired an aggregate $ 15.0 million participation, or 15 %, of the $ 100.0 million increase to our B-3 Term Loan as a part of a broad syndication lead-arranged by JP Morgan.

Blackstone Securities Partners L.P., an affiliate of our Manager, was engaged as a book-runner for the transaction and received aggregate fees of $ 100,000 in such capacity.

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

In the first quarter of 2021, we acquired an SEK 5.0 billion interest in a total SEK 10.2 billion senior loan to a borrower that is wholly owned by a Blackstone-advised investment vehicle.

We will forgo all non-economic rights under the loan, including voting rights, so long as we are an affiliate of the borrower.

The senior loan terms were negotiated by a third party without our involvement and our 49 % interest in the senior loan was made on such market terms.

In the first quarter of 2021, a Blackstone-advised investment vehicle acquired an aggregate $ 5.5 million participation, or 3 %, of the $ 200 million increase to our B-1 Term Loan as a part of a broad syndication lead-arranged by JP Morgan.

Blackstone Securities Partners L.P., an affiliate of our Manager, was engaged as a book-runner for the transaction and received aggregate fees of $ 200,000 in such capacity.

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

This affiliate did not earn any special servicing fees related to the CLOs during the years ended March 31, 2023 and 2022.

During the three months ended March 31, 2023 and 2022, we incurred $ 238,000 and $ 97,000 , respectively, of expenses for various administrative and operations services to third-party service providers that are affiliates of our Manager.

COMMITMENTS AND CONTINGENCIES

Unfunded Commitments Under Loans Receivable

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.

As of March 31, 2023, we had aggregate unfunded commitments of $ 3.4 billion across 112 loans receivable, and $ 2.1 billion of committed or identified financings for those commitments, resulting in net unfunded commitments of $ 1.3 billion.

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

Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets.

We expect to fund our loan commitments over the remaining term of the related loans, which have a weighted-average future funding period of 3.9 years.

We expect to fund our loan

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

commitments over the remaining term of the related loans, which have a weighted-average future funding period of 3.0 years.

Principal Debt Repayments

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

Our contractual principal debt repayments as of March 31, 2023 were as follows ($ in thousands):

Asset-Specific Debt (1)

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2027 3,343,409 32,299 8,258 400,000 300,000 4,083,966

2027 2,979,756 157,471 5,000 400,000 300,000 3,842,227

Thereafter 847,807 114,054 780,395 — — 1,742,256

Total obligation $ 14,051,435 $ 822,873 $ 2,151,719 $ 400,000 $ 300,000 $ 17,726,027

(1) The allocation of repayments under our secured debt and asset-specific debt is based on the earlier of (i) the maturity date of each agreement, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

(1) Our secured debt and asset-specific debt agreements are generally term-matched to their underlying collateral.

Therefore, the allocation of payments under such agreements is generally allocated based on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

In limited instances, the maturity date of the respective debt agreement is used.

(2) The Term Loans are partially amortizing, with an amount equal to 1.0 % per annum of the initial principal balance due in quarterly installments.

4 unchanged sentences

Board of Directors’ Compensation

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.

As of March 31, 2023, 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 September 30, 2022, we were not involved in any material legal proceedings.

As of March 31, 2023, 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