What changed in this filing

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Item 1. Financial Statements

2023-07-26 compared with 2023-04-26 · 342 added, 282 removed, 1125 unchanged (36% of the section changed)

3 unchanged sentences

(in thousands, except share data)

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Cash and cash equivalents $ 482,856 $ 291,340

15 unchanged sentences

Commitments and contingencies — —

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

Class A common stock, $ 0.01 par value, 400,000,000 shares authorized, 172,310,062 and 171,695,985 shares issued and outstanding as of June 30, 2023 and December 31, 2022, respectively

Additional paid-in capital 5,491,640 5,475,804

6 unchanged sentences

Total Liabilities and Equity $ 24,862,636 $ 25,353,985

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.

The consolidated balance sheets as of June 30, 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 June 30, 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

June 30, Six Months Ended

2023 2022 2023 2022

Income from loans and other investments

6 unchanged sentences

Total other expenses 45,837 39,474 89,752 75,320

(Increase) decrease in current expected credit loss reserve ( 9,823 ) 2,537

Increase in current expected credit loss reserve ( 27,807 ) ( 12,983 ) ( 37,630 ) ( 10,446 )

Income before income taxes 103,699 94,611 224,148 195,020

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Three Months Ended

June 30, Six Months Ended

2023 2022 2023 2022

Net income $ 102,497 $ 93,865 $ 221,053 $ 194,128

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Realized and unrealized (loss) gain on derivative financial instruments ( 25,557 ) 128,685 ( 49,609 ) 174,199

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

Other comprehensive income (loss) 2,912 ( 1,522 ) 719 ( 1,230 )

Comprehensive income 105,409 92,343 221,772 192,898

4 unchanged sentences

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Changes in Equity

(in thousands) (Unaudited)

Consolidated Statements of Changes in Equity (Unaudited)

(in thousands)

Blackstone Mortgage Trust, Inc.

5 unchanged sentences

Balance at December 31, 2022

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

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

Dividends reinvested — 287 — — 287 — 287

Deferred directors’ compensation — 163 — — 163 — 163

Net income — — — 117,757 117,757 799 118,556

Other comprehensive loss — — ( 2,194 ) — ( 2,194 ) — ( 2,194 )

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

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

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

Balance at March 31, 2023

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

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

Dividends reinvested — 235 — — 235 — 235

Deferred directors’ compensation — 173 — — 173 — 173

Net income — — — 101,651 101,651 846 102,497

Other comprehensive income — — 2,912 — 2,912 — 2,912

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

— — — ( 107,028 ) ( 107,028 ) — ( 107,028 )

Distributions to non-controlling interests — — — — — ( 791 ) ( 791 )

Balance at June 30, 2023

$ 1,723 $ 5,491,640 $ 10,740 $ ( 963,441 ) $ 4,540,662 $ 25,527 $ 4,566,189

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, 2021

$ 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

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Balance at March 31, 2022

Balance at December 31, 2022

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

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

Other comprehensive income — — ( 2,194 ) — ( 2,194 ) — ( 2,194 )

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

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

1 unchanged sentence

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

Balance at March 31, 2023

Balance at June 30, 2022

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

3 unchanged sentences

(in thousands)

Three Months Ended March 31,

Six Months Ended June 30,

Cash flows from operating activities

4 unchanged sentences

Amortization of deferred financing costs and premiums/discounts on debt obligations 29,605 22,059

Increase (decrease) in current expected credit loss reserve 9,823 ( 2,537 )

Increase in current expected credit loss reserve 37,630 10,446

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

Unrealized loss on derivative financial instruments, net 541 684

Unrealized loss (gain) on derivative financial instruments, net 1,366 ( 713 )

Realized gain on derivative financial instruments, net ( 16,926 ) ( 4,326 )

6 unchanged sentences

Principal collections and sales proceeds from loans receivable and debt securities 1,491,158 2,004,323

Origination and exit fees received on loans receivable 2,850 29,775

Origination and other fees received on loans receivable 8,088 58,716

Receipts under derivative financial instruments 25,176 129,010

7 unchanged sentences

(in thousands)

Three Months Ended March 31,

Six Months Ended June 30,

Cash flows from financing activities

5 unchanged sentences

Proceeds from sale of loan participations — 245,278

Net proceeds from term loan borrowings — 492,500

Repayments of term loans ( 10,998 ) ( 6,869 )

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to originate, hold, and finance multifamily bridge loans.

Pursuant to the terms of the agreements governing the joint venture, Walker & Dunlop contributed 15 % of the venture’s equity capital and we contributed 85 %.

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

The non-controlling interests included on our consolidated balance

Pursuant to the terms of the agreements governing the joint venture, Walker &

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.

Dunlop contributed 15 % of the venture’s equity capital and we contributed 85 %.

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.

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

Interest received is then recorded as a reduction in the outstanding principal balance until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed.

Interest received is then recorded as income or as a reduction in the outstanding principal balance, based on the specific facts and circumstances, until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed.

In addition, for loans we originate, the related origination expenses are deferred and recognized as a component of interest income, however expenses related to loans we acquire are included in general and administrative expenses as incurred.

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

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.

As of both June 30, 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 $ 505.9 million and $ 459.6 million as of June 30, 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.

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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 included in our consolidated balance sheets.

The current expected credit loss, or CECL, reserve required under the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, Topic 326 “Financial Instruments – Credit Losses,” or ASC 326, reflects our current estimate of potential credit losses related to our loans 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 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

While ASC 326 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, ASC 326 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.

We apply the WARM method for the majority of our loan portfolio, which loans share similar risk characteristics.

We apply the WARM method for the majority of our loan portfolio, which consists of loans that share similar risk characteristics.

In certain instances, for loans with unique risk characteristics, we may instead use a probability-weighted model that considers the likelihood of default and expected loss given default for each such individual loan.

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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 February 28, 2023.

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

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

Our loans typically include commitments to fund incremental proceeds to our borrowers over the life of the loan, which future funding commitments are also subject to the CECL model.

Our loans typically include commitments to fund incremental proceeds to our borrowers over the life of the loan.

These future funding commitments are also subject to the CECL model.

The CECL reserve related to future loan fundings is recorded as a component of Other Liabilities on our consolidated balance sheets.

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Actual losses, if any, could ultimately differ materially from these estimates.

We only expect to realize the impairment losses if and when such amounts are deemed nonrecoverable upon a realization event.

This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected.

We only expect to charge-off the impairment losses if and when such amounts are deemed nonrecoverable.

This is generally at the time a loan is repaid or foreclosed.

However, non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected.

Contractual Term and Unfunded Loan Commitments

Expected credit losses are estimated over the contractual term of each loan, adjusted for expected prepayments.

Expected credit losses are estimated over the contractual term of each loan, adjusted for expected repayments.

As part of our quarterly review of our loan portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for purposes of computing our CECL reserve.

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

This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of March 31, 2023.

Derivative Financial Instruments

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

Proceeds or payments from periodic settlements of derivative instruments are classified on our consolidated statement of cash flows in the same section as the underlying hedged item.

Secured Debt and Asset-Specific Debt

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Senior Loan Participations

In certain instances, we finance our loans through the non-recourse syndication of a senior loan interest to a third-party.

In certain instances, we have executed a syndication of a non-recourse senior loan interest to a third-party.

Depending on the particular structure of the syndication, the senior loan interest may remain on our GAAP balance sheet or, in other cases, the sale will be recognized and the senior loan interest will no longer be included in our consolidated financial statements.

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

Fair Value of Financial Instruments

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)

Fair Value of Financial Instruments

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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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 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.

As of June 30, 2023, we had an aggregate $ 214.4 million asset-specific CECL reserve related to seven of our loans receivable with an aggregate outstanding principal balance of $ 1.1 billion, 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 June 30, 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.

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• Loans receivable, net:

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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors.

• Derivative financial instruments:

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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.

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.

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

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Recent Accounting Pronouncements

In March 2022, the FASB issued ASU 2022-02 “Financial Instruments-Credit Losses (Topic 326):

In March 2022, the FASB issued Accounting Standards Update, or ASU, 2022-02 “Financial Instruments-Credit Losses (Topic 326):

Troubled Debt Restructurings and Vintage Disclosures,” or ASU 2022-02.

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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 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.

In January 2021, the FASB issued ASU 2021-01 “Reference Rate Reform (Topic 848):

Scope,” or ASU 2021-01.

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.

Once ASU 2020-04 is elected, the guidance must be applied prospectively for all eligible contract modifications.

In the first quarter of 2020, we have elected to apply the hedge accounting expedients, related to probability and the assessments of effectiveness, for future IBOR-indexed cash flows, to assume that the index upon which future hedged transactions will be based matches the index on the corresponding derivatives.

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

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, 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;

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.

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.

LIBOR and certain other floating rate benchmark indices have been the subject of national, international and regulatory guidance and proposals for reform or replacement.

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

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

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

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 %.

As of June 30, 2023, one-month term SOFR is utilized as the floating benchmark rate on substantially all of our floating rate U.S.

dollar loans and related financings.

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.

As of June 30, 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 June 30, 2023, substantially all of our floating rate loans and related financings have transitioned to the applicable replacement benchmark rate, or reference a benchmark rate that is not expected to be replaced.

Blackstone Mortgage Trust, Inc.

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

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Number of loans 191 203

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

As of June 30, 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.

Floating rate exposure includes an interest rate swap with a notional amount of $ 229.9 million that effectively converts our fixed rate loan exposure to floating rate exposure.

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.

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

As of 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 June 30, 2023, 28 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 72 % 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.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

The following table details the index rate floors for our loans receivable portfolio as of June 30, 2023 ($ in thousands):

Loans Receivable Principal Balance

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0.00% or no floor (2)

4,519,901 7,137,346 11,657,247

0.01% to 1.00% floor 7,927,710 827,534 8,755,244

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$ 16,151,171 $ 8,439,734 $ 24,590,905

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

(2) As of March 31, 2023, the weighted-average index rate floor of our loan portfolio was 0.34 %.

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

(2) Includes an interest rate swap with a notional amount of $ 229.9 million that effectively converts our fixed rate loan exposure to floating rate exposure.

(3) As of June 30, 2023, the weighted-average index rate floor of our loan portfolio was 0.43 %.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.79 %.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

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Amortization of fees and other items — 43,697 43,697

Loans Receivable, as of March 31, 2023

Loans Receivable, as of June 30, 2023

$ 24,590,905 $ ( 108,156 ) $ 24,482,749

CECL reserve ( 363,875 )

Loans Receivable, net, as of March 31, 2023

Loans Receivable, net, as of June 30, 2023

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

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

March 31, 2023

June 30, 2023

Property Type Number of

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Sweden 1 456,280 459,022 458,668 2

Canada 1 49,571 49,571 49,535 —

Other Europe 5 613,853 616,034 613,499 3

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Loans receivable, net $ 24,118,874

(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.

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

Total loan exposure encompasses the entire loan we originated and sold, including $ 1.2 billion of such non-consolidated senior interests as of June 30, 2023.

See Note 2 for further discussion.

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.

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of June 30, 2023, which is our total loan exposure net of (i) $ 1.2 billion of non-consolidated senior interests, (ii) $ 875.6 million of asset-specific debt, (iii) $ 236.3 million of loan participations sold, and (iv) our aggregate CECL reserve of $ 363.9 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 .

35 unchanged sentences

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.

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

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

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 December 31, 2022.

(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.

(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 (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.

7 unchanged sentences

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

June 30, 2023

1 14 $ 1,079,927 $ 1,129,034 $ 1,080,883

15 unchanged sentences

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.

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

Total loan exposure encompasses the entire loan we originated and sold, including $ 1.2 billion and $ 1.6 billion of such non-consolidated senior interests as of June 30, 2023 and December 31, 2022, respectively.

See Note 2 for further discussion.

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 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 (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.

Our loan portfolio had a weighted-average risk rating of 2.9 as of both June 30, 2023 and December 31, 2022.

Blackstone Mortgage Trust, Inc.

3 unchanged sentences

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 year ended March 31, 2023 and 2022 ($ in thousands):

The following table presents the activity in our loans receivable CECL reserve by investment pool for the three and six months ended June 30, 2023 and 2022 ($ in thousands):

Loans Receivable, Net

4 unchanged sentences

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

Increase (decrease) in CECL reserve 1,199 9,296 ( 354 ) 17,143 27,284

CECL reserve as of June 30, 2023

$ 74,393 $ 28,992 $ 46,089 $ 214,401 $ 363,875

CECL reserve as of December 31, 2021

3 unchanged sentences

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

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

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

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.

During the three months ended June 30, 2023, we recorded an increase of $ 27.3 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to $ 363.9 million as of June 30, 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.

During the three months ended June 30, 2023, we recorded an aggregate net increase of $ 17.1 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 June 30, 2023.

As of June 30, 2023, the income accrual was suspended on this loan as recovery of income and principal was doubtful.

During the three months ended June 30, 2023, we recorded $ 2.1 million of interest income on this loan.

As of June 30, 2023, we had an aggregate $ 214.4 million asset-specific CECL reserve related to seven of our loans receivable, with an aggregate amortized cost basis of $ 1.1 billion.

This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of June 30, 2023.

No income was recorded on each of our impaired loans subsequent to determining that they were impaired.

As of June 30, 2023, all borrowers were compliant with all contractual terms of each respective loan, including payment of interest.

During the three months ended June 30, 2023, we received an aggregate $ 12.3 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 and CECL reserve policies.

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

As of June 30, 2023

2023 2022 2021 2020 2019 Prior Total

36 unchanged sentences

Origination dates are subsequently updated to reflect material loan modifications.

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

Blackstone Mortgage Trust, Inc.

41 unchanged sentences

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Loan Modifications Pursuant to ASC 326

In the second quarter of 2023, we entered into three loan modifications, which require disclosure pursuant to ASC 326.

All such loans were collateralized by office assets.

Two of the loan modifications included other-than-insignificant payment delays, specifically the option to pay interest in-kind.

For one of the loans the maximum maturity date was extended by six months , the borrower contributed $ 2.0 million of additional reserves, and the interest rate increased by 5.11 %.

The other modification included an additional 4.00 % exit fee.

As of June 30, 2023, the aggregate amortized cost basis of the loans was $ 286.7 million, or 1.2 % of our aggregate loans receivable portfolio, and they had an aggregate $ 10.0 million of unfunded commitments.

The loans paid all contractual interest due as of June 30, 2023, had risk ratings of 5 as of June 30, 2023, and have asset-specific CECL reserves.

The third loan modification included a term extension of nineteen months , a rate reduction of 2.74 % and conversion to fixed rate, with a portion of the interest paid in-kind.

The borrower repaid $ 4.9 million of the loan at the time of modification, with an additional $ 2.5 million of repayment due during the initial maturity period.

As of June 30, 2023, the amortized cost basis of the loan was $ 229.9 million, or 0.9 % of our aggregate loans receivable portfolio, and it had no unfunded commitment.

The loan has paid all contractual interest due as of June 30, 2023, had a risk rating of 4 as of June 30, 2023, and its modified terms were included in the determination of our general CECL reserve .

Multifamily Joint Venture

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

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.

As of June 30, 2023 and December 31, 2022, our Multifamily Joint Venture held $ 798.6 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):

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Accrued interest receivable $ 188,844 $ 189,569

3 unchanged sentences

Collateral deposited under derivative agreements 9,020 103,110

Prepaid expenses 1,063 1,067

Accounts receivable and other assets 674 1,318

Prepaid expenses 592 1,067

Total $ 260,906 $ 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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Other Liabilities

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

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Accrued dividends payable $ 106,832 $ 106,455

3 unchanged sentences

Accrued management and incentive fees payable 32,815 33,830

Derivative liabilities 19,962 119,665

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

16,272 16,380

Derivative liabilities 13,550 119,665

Accounts payable and other liabilities 8,717 9,726

3 unchanged sentences

See Note 2 for further discussion of the CECL reserve.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Current Expected Credit Loss Reserve for Unfunded Loan Commitments

As of March 31, 2023, we had unfunded commitments of $ 3.4 billion related to 112 loans receivable.

As of June 30, 2023, we had unfunded commitments of $ 3.0 billion related to 105 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 months ended March 31, 2023 and 2022 ($ in thousands):

The following table presents the activity in the CECL reserve related to our unfunded loan commitments by investment pool for the three and six months ended June 30, 2023 and 2022 ($ in thousands):

Loans Non-U.S.

4 unchanged sentences

$ 11,600 $ 4,149 $ — $ — $ 15,749

(Decrease) increase in CECL reserve ( 404 ) 927 — — 523

CECL reserve as of June 30, 2023

$ 11,196 $ 5,076 $ — $ — $ 16,272

CECL reserve as of December 31, 2021

3 unchanged sentences

$ 4,281 $ 1,973 $ — $ — $ 6,254

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

CECL reserve as of June 30, 2022

$ 6,323 $ 2,111 $ — $ — $ 8,434

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

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

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.

During the six months ended June 30, 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

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Secured credit facilities $ 13,451,427 $ 13,549,748

9 unchanged sentences

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

The following table details our secured credit facilities by spread over the applicable base rates as of June 30, 2023 ($ in thousands):

June 30, 2023

Recourse Limitation

Currency Lenders (1)

Borrowings Wtd Avg.

Borrowings Wtd.

Loan Count Collateral (3)

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 %

USD 14 $ 7,269,836 April 2026 138 $ 11,207,372 April 2026 36 % 25 % - 100 %

GBP 7 2,486,823 June 2026 22 3,306,552 July 2026 27 % 25 % - 50 %

EUR 7 2,092,802 August 2025 11 2,813,367 August 2025 41 % 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 %

4 1,601,966 July 2027 7 2,022,823 July 2027 25 % 25 %

Total 15 $ 13,451,427 May 2026 178 $ 19,350,114 May 2026 34 % 25 % - 100 %

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

4 unchanged sentences

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

(5) Includes Australian Dollar, Canadian Dollar, Danish Krone, Swedish Krona, and Swiss Franc currencies.

(5) Includes Australian Dollar, Danish Krone, Swedish Krona, and Swiss Franc currencies.

The availability of funding under our secured credit facilities is based on the amount of approved collateral, which collateral is proposed by us in our discretion and approved by the respective counterparty in its discretion, resulting in a mutually agreed collateral portfolio construction.

2 unchanged sentences

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

The following tables detail the spread of our secured debt as of June 30, 2023 and December 31, 2022 ($ in thousands):

Six Months Ended June 30, 2023 June 30, 2023

New Financings (2)

18 unchanged sentences

(1) The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include 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.

(2) Represents borrowings outstanding as of June 30, 2023 and December 31, 2022 for new financings closed during the six months ended June 30, 2023 and year ended December 31, 2022, respectively.

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

1 unchanged sentence

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.

(4) Represents the weighted-average all-in cost as of June 30, 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 March 31, 2023, there was an aggregate $ 1.0 billion available to be drawn at our discretion under our credit facilities.

As of June 30, 2023, there was an aggregate $ 1.3 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 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 six months ended June 30, 2023, we had no borrowings under the acquisition facility and we recorded interest expense of $ 447,000 , including $ 136,000 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.

4 unchanged sentences

(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 March 31, 2023;

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

As of June 30, 2023 and December 31, 2022, we were in compliance with these covenants.

Blackstone Mortgage Trust, Inc.

5 unchanged sentences

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

March 31, 2023

June 30, 2023

Securitized Debt Obligations Count Principal

2 unchanged sentences

Senior CLO Securities Outstanding 1 $ 803,750 $ 800,779 + 1.69 % May 2038

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

Underlying Collateral Assets 28 1,000,000 1,000,000 + 3.46 % August 2025

2020 FL3 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 808,750 808,171 + 2.15 % November 2037

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

Underlying Collateral Assets 16 1,000,000 1,000,000 + 3.07 % January 2025

2020 FL2 Collateralized Loan Obligation

5 unchanged sentences

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

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

(2) The weighted-average all-in yield and cost are expressed as a spread over SOFR, which is the relevant floating benchmark rate for each securitized debt obligation.

Excludes loans accounted for under the cost recovery method.

2 unchanged sentences

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

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

(4) During the three and six months ended June 30, 2023, we recorded $ 43.3 million and $ 83.1 million, respectively, of interest expense related to our securitized debt obligations.

Blackstone Mortgage Trust, Inc.

18 unchanged sentences

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 %.

Excludes loans accounted for under the cost recovery method.

2 unchanged sentences

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

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

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

ASSET-SPECIFIC DEBT, NET

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

March 31, 2023

June 30, 2023

Asset-Specific Debt Count Principal

16 unchanged sentences

LOAN PARTICIPATIONS SOLD, NET

The financing of a loan by the non-recourse sale of a senior interest in the loan through a participation agreement generally does not qualify as a sale under GAAP.

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

The sale of a non-recourse senior interest in a loan through a participation agreement generally does not qualify for sale accounting under GAAP.

For such transactions, we therefore present the whole loan as an asset and the loan participation sold as a liability on our consolidated balance sheet until the loan is repaid.

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

1 unchanged sentence

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

March 31, 2023

June 30, 2023

Loan Participations Sold Count Principal

15 unchanged sentences

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.

(3) During the three and six months ended June 30, 2023, we recorded $ 4.2 million and $ 8.0 million, respectively, of interest expense related to our loan participations sold.

During the three and six months ended June 30, 2022 we recorded $ 2.2 million and $ 2.4 million, respectively, of interest expense related to our loan participations sold.

TERM LOANS, NET

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

As of June 30, 2023, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans Face Value Interest Rate (1)

5 unchanged sentences

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

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

The Term Loans are indexed to one-month SOFR.

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

4 unchanged sentences

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.

During the three and six months ended June 30, 2023, we recorded $ 44.9 million and $ 86.8 million, respectively, of interest expense related to our Term Loans, including $ 2.3 million and $ 4.6 million, respectively, of amortization of deferred fees and expenses.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

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

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Face value $ 2,146,220 $ 2,157,218

1 unchanged sentence

Net book value $ 2,108,015 $ 2,114,549

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

As of March 31, 2023 and December 31, 2022, we were in compliance with this covenant.

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

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

As of June 30, 2023, the following Senior Secured Notes, were outstanding ($ in thousands):

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

2 unchanged sentences

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.

During the three and six months ended June 30, 2023, we recorded $ 4.0 million and $ 8.1 million, respectively, of interest expense related to our Senior Secured Notes, including $ 299,000 and $ 594,000 , respectively, 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):

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Face value $ 400,000 $ 400,000

1 unchanged sentence

Net book value $ 395,760 $ 395,166

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

The Senior Secured Notes contain the financial covenant that our indebtedness shall not exceed 83.33 % of our total assets.

As of June 30, 2023 and December 31, 2022, we were in compliance with this covenant.

Under certain circumstances, we may, at our option, release all of the collateral securing our Senior Secured Notes, in which case we would also be required to maintain a total unencumbered assets to total unsecured indebtedness ratio of 1.20 or greater.

This covenant is not currently in effect as the collateral securing our Senior Secured Notes has not been released.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

CONVERTIBLE NOTES, NET

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):

During the six months ended June 30, 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 June 30, 2023, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

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

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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 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)

The cumulative dividend threshold as defined in the March 2022 convertible notes supplemental indenture has not been exceeded as of June 30, 2023.

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.

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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 last reported sale price of our class A common stock of $ 20.81 on June 30, 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):

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Face value $ 300,000 $ 520,000

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

Three Months Ended March 31,

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

2023 2022 2023 2022

Cash coupon $ 4,125 $ 8,132 $ 10,389 $ 15,384

1 unchanged sentence

Total interest expense $ 4,444 $ 8,922 $ 11,339 $ 16,962

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

Accrued interest payable for the Convertible Notes was $ 4.9 million and $ 7.9 million as of June 30, 2023 and December 31, 2022, respectively.

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

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The use of derivative financial instruments involves certain risks, including the risk that the counterparties to these contractual arrangements do not perform as agreed.

To mitigate this risk, we only enter into derivative financial instruments with counterparties that have appropriate credit ratings and are major financial institutions with which we and our affiliates may also have other financial relationships.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Net Investment Hedges of Foreign Currency Risk

2 unchanged sentences

We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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 amounts in thousands):

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Foreign Currency Derivatives Number of

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Buy USD / Sell SEK Forward 2 kr 1,004,507 Buy USD / Sell SEK Forward 2 kr 1,003,626

Buy USD / Sell EUR Forward 9 € 708,691 Buy USD / Sell EUR Forward 8 € 722,311

Buy USD / Sell GBP Forward 5 £ 706,195 Buy USD / Sell GBP Forward 6 £ 690,912

Buy USD / Sell EUR Forward 7 € 684,078 Buy USD / Sell EUR Forward 8 € 722,311

Buy USD / Sell AUD Forward 5 A$ 452,074 Buy USD / Sell AUD Forward 8 A$ 541,813

5 unchanged sentences

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

June 30, 2023 December 31, 2022

Non-designated Hedges Number of

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 GBP / Sell USD Forward 2 £ 24,400 Buy GBP / Sell USD Forward 2 £ 109,076

Buy USD / Sell GBP Forward 2 £ 24,400 Buy USD / Sell GBP Forward 2 £ 109,076

Buy EUR / Sell USD Forward 2 € 17,500 Buy AUD / Sell USD Forward 1 A$ 23,600

Buy USD / Sell EUR Forward 2 € 17,500 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

Cash Flow Hedges of Interest Rate Risk

Certain of our financing transactions expose us to a fixed versus floating rate mismatch between our assets and liabilities.

We use derivative financial instruments, which include interest rate swaps, and may also include interest rate caps, interest rate options, floors, and other interest rate derivative contracts, to hedge interest rate risk associated with our borrowings where there is potential for an index mismatch.

The following table details our outstanding interest rate derivatives that were designated as cash flow hedges of interest rate risk (notional amount in thousands):

June 30, 2023

Interest Rate Derivatives Number of Instruments Notional Amount Fixed Rate Index Wtd.

Maturity (Years)

Interest Rate Swaps 1 $ 229,858 4.60 % SOFR 1.4

No cash flow hedges of interest rate risk were outstanding as of December 31, 2022.

Amounts reported in accumulated other comprehensive income (loss) related to derivatives will be reclassified to interest expense as interest payments are made on our floating rate debt.

During the twelve months following June 30, 2023, we estimate that an additional $ 1.4 million will be reclassified from accumulated other comprehensive income (loss) as a decrease to interest expense.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Financial Statement Impact of Hedges of Foreign Currency Risk

Financial Statement Impact of Hedges of Foreign Currency and Interest Rate Risks

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

Increase (Decrease) to Net Interest Income Recognized from Foreign

Exchange Contracts

Three Months Ended March 31,

Foreign Exchange Contracts

Increase (Decrease) to Net Interest Income Recognized from Derivatives

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

in Hedging Relationships

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(Expense) Recognized

2023 2022 2023 2022

Designated Hedges Interest Income (1)

$ 7,072 $ 3,238 $ 15,479 $ 4,982

Designated Hedges Interest Expense (2)

Non-Designated Hedges Interest Income (1)

51 ( 7 ) 68 ( 8 )

Non-Designated Hedges Interest Expense (3)

( 43 ) 55 ( 62 ) 65

Total $ 7,155 $ 3,286 $ 15,560 $ 5,039

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

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

(2) Represents the financial statement impact of proceeds (payments) from periodic settlements related to our interest rate swap, which is designated as a cash flow hedge.

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

Valuation and Other Comprehensive Income

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Position (1) as of

Fair Value of Derivatives in a Liability

Position (2) as of

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

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

Non-Designated Hedges 3,860 6,848 262 8,092

Fair Value of Derivatives in a Liability Position (2) as of

June 30, 2023 December 31, 2022 June 30, 2023 December 31, 2022

Derivatives designated as hedging instruments:

Foreign exchange contracts $ 11,060 $ 501 $ 19,087 $ 111,573

Interest rate derivatives 1,388 — — —

Total derivatives designated as hedging instruments $ 12,448 $ 501 $ 19,087 $ 111,573

Derivatives not designated as hedging instruments:

Foreign exchange contracts $ 241 $ 6,848 $ 875 $ 8,092

Interest rate derivatives — — — —

Total derivatives not designated as hedging instruments $ 241 $ 6,848 $ 875 $ 8,092

Total Derivatives $ 12,689 $ 7,349 $ 19,962 $ 119,665

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Accumulated OCI into Income

Three Months Ended

March 31, Three Months Ended

2023 2022 2023 2022

Three Months Ended June 30, 2023 Six Months Ended June 30, 2023 Three Months Ended June 30, 2023 Six Months Ended June 30, 2023

Net Investment Hedges

4 unchanged sentences

Total $ ( 25,557 ) $ ( 49,609 ) $ — $ —

(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.

(1) During the three and six months ended June 30, 2023, we paid net cash settlements of $ 7.8 million and $ 139.2 million, respectively, 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 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 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 June 30, 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 June 30, 2023, we had collateral posted with our counterparties of $ 9.0 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.

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

Stock and Stock Equivalents

Authorized Capital

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.

As of June 30, 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 March 31, 2023 and December 31, 2022.

We did no t have any shares of preferred stock issued and outstanding as of June 30, 2023 and December 31, 2022.

Class A Common Stock and Deferred Stock Units

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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:

Three Months Ended March 31,

Six Months Ended June 30,

Common Stock Outstanding (1)

2 unchanged sentences

3,613 1,678,420

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

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

505,432 436,831

Issuance of deferred stock units 34,126 27,455

Ending balance 172,649,764 170,686,076

(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.

(1) Includes 339,702 and 391,027 deferred stock units held by members of our board of directors as of June 30, 2023 and 2022, respectively.

(2) Includes 3,613 and 3,420 shares issued under our dividend reinvestment program during the six months ended June 30, 2023 and 2022, respectively.

(3) Includes 25,482 and 13,197 restricted shares issued to our board of directors during the six months ended June 30, 2023 and 2022, respectively.

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

No shares were forfeited during the six months ended June 30, 2023.

Dividend Reinvestment and Direct Stock Purchase Plan

2 unchanged sentences

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 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.

During the six months ended June 30, 2023 and 2022, we issued 3,613 shares and 3,420 shares, respectively, of class A common stock under the dividend reinvestment component of the plan.

As of June 30, 2023, a total of 9,977,935 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 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.

As of June 30, 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 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.

During the six months ended June 30, 2023, we did no t issue any shares of our class A common stock under ATM Agreements.

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

As of June 30, 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 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.

On June 15, 2023, we declared a dividend of $ 0.62 per share, or $ 106.8 million in aggregate, that was paid on July 14, 2023 to stockholders of record as of June 30, 2023.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

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

Three Months Ended March 31,

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

2023 2022 2023 2022

Dividends declared per share of common stock $ 0.62 $ 0.62 $ 1.24 $ 1.24

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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 March 31,

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

2023 2022 2023 2022

Basic Earnings

7 unchanged sentences

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

3,556 5,913 7,111 8,313

Diluted earnings $ 105,207 $ 99,163 $ 226,519 $ 201,250

6 unchanged sentences

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

(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.

(3) For the three and six months ended June 30, 2023, represents 8.3 million of weighted average shares, using the if-converted method, related to our March 2022 Convertible Notes.

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

Our March 2018 Convertible Notes were repaid during the six months ended June 30, 2023.

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

1 unchanged sentence

Accumulated Other Comprehensive Income

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 June 30, 2023, total accumulated other comprehensive income was $ 10.7 million, primarily representing $ 210.1 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $ 199.4 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 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 June 30, 2023, our Multifamily Joint Venture’s total equity was $ 170.2 million, of which $ 144.7 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)

OTHER EXPENSES

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

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 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.

During the three and six months ended June 30, 2023, we incurred $ 18.6 million and $ 37.2 million, respectively, of management fees payable to our manager, compared with $ 18.2 million and $ 36.3 million, respectively, during the same period in 2022.

In addition, during the three and six months ended June 30, 2023, we incurred $ 14.2 million and $ 26.7 million, respectively, of incentive fees payable to our Manager, compared with $ 8.8 million and $ 14.3 million, respectively, during the same period in 2022.

As of June 30, 2023 and December 31, 2022 we had accrued management and incentive fees payable to our Manager of $ 32.8 million and $ 33.8 million, respectively.

General and Administrative Expenses

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

Three Months Ended March 31,

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

2023 2022 2023 2022

Professional services $ 3,291 $ 2,693 $ 6,570 $ 5,390

Operating and other costs 2,066 1,298 3,997 2,311

5,357 3,991 10,567 7,701

Non-cash compensation expenses

3 unchanged sentences

Total general and administrative expenses $ 13,022 $ 12,409 $ 25,887 $ 24,769

(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.

(1) During the three and six months ended June 30, 2023, we recognized an aggregate $ 288,000 and $ 596,000 , respectively, of expenses related to our Multifamily Joint Venture.

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

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

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federal tax laws.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to the nature of our assets and the sources of our income.

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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 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)

As of June 30, 2023 and December 31, 2022, we were in compliance with all REIT requirements.

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

2 unchanged sentences

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 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.

During the three and six months ended June 30, 2023, we recorded a current income tax provision of $ 1.2 million and $ 3.1 million, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

During the three and six months ended June 30, 2022, we recorded a current income tax provision of $ 746,000 and $ 892,000 , respectively.

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

As of June 30, 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.

2 unchanged sentences

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

As of March 31, 2023, tax years 2019 through 2022 remain subject to examination by taxing authorities.

As of June 30, 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 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.

However, as of June 30, 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 March 31, 2023, there were 8,718,238 shares available under our current stock incentive plans.

As of June 30, 2023, there were 8,671,307 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.

In connection with the adoption of our new stock incentive plans, we consolidated all outstanding deferred stock units, or 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.

8 unchanged sentences

Vested ( 562,645 ) 27.32

Balance as of March 31, 2023

Balance as of June 30, 2023

1,826,571 $ 26.27

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

The 1,826,571 shares of restricted class A common stock outstanding as of June 30, 2023 will vest as follows:

547,626 shares will vest in 2023;

851,201 shares will vest in 2024;

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)

and 427,744 shares will vest in 2025.

As of June 30, 2023, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 46.3 million based on the grant date fair value of shares granted.

This cost is expected to be recognized over a weighted-average period of 1.1 years from June 30, 2023.

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):

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

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

5 unchanged sentences

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

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Financial assets

13 unchanged sentences

See Note 2 for further discussion regarding fair value measurement of certain of our assets and liabilities.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

VARIABLE INTEREST ENTITIES

1 unchanged sentence

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):

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Loans receivable $ 3,316,109 $ 3,317,316

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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 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.

As of June 30, 2023 and December 31, 2022, our consolidated balance sheets included $ 32.8 million and $ 33.8 million of accrued management and incentive fees payable to our Manager, respectively.

During the three and six months ended June 30, 2023, we paid aggregate management and incentive fees of $ 31.1 million and $ 64.9 million, respectively, to our Manager, compared to $ 23.5 million and $ 51.9 million, respectively, during the same period of 2022.

In addition, during the three and six months ended June 30, 2023, we incurred expenses of $ 1.5 million and $ 1.9 million, respectively, that were paid by our Manager and will be reimbursed by us, compared to $ 367,000 and $ 560,000 of such expenses during the same period of 2022.

As of June 30, 2023, our Manager held 901,515 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 24.5 million, and vest in installments over three years from the date of issuance.

During the three and six months ended June 30, 2023 and 2022, we recorded non-cash expenses related to shares held by our Manager of $ 3.9 million and $ 7.8 million, respectively, compared to $ 4.2 million and $ 8.4 million during the same period in 2022.

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 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.

This affiliate did not earn any special servicing fees related to the CLOs during the years ended June 30, 2023 and 2022.

During the three and six months ended June 30, 2023, we incurred $ 242,000 and $ 480,000 , respectively, of expenses for various administrative and operations services to third-party service providers that are affiliates of our Manager, compared to $ 95,000 and $ 192,000 , respectively, during the same period of 2022.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

In the first quarter of 2019, we originated £ 240.1 million of a total £ 490.0 million senior loan to a borrower that is wholly owned by a Blackstone-advised investment vehicle.

The loan terms were negotiated by our third-party co-lender, and we forgo all non-economic rights under the loan, including voting rights, so long as a Blackstone-advised investment vehicle controls the borrower.

In the second quarter of 2023, the loan was modified to include, among other changes, an extension of the loan's maturity date, an additional borrower equity contribution and partial repayment, and an increase in the loan’s contractual interest rate (a portion of which is paid-in-kind).

The terms of the modification were negotiated by our third-party co-lender, and we agreed to the modification on such terms.

COMMITMENTS AND CONTINGENCIES

Unfunded Commitments Under Loans Receivable

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.

As of June 30, 2023, we had aggregate unfunded commitments of $ 3.0 billion across 105 loans receivable, and $ 1.8 billion of committed or identified financings for those commitments, resulting in net unfunded commitments of $ 1.2 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

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.

We expect to fund our loan commitments over the remaining term of the related loans, which have a weighted-average future funding period of 2.8 years.

Principal Debt Repayments

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

Our contractual principal debt repayments as of June 30, 2023 were as follows ($ in thousands):

Asset-Specific Debt (1)

16 unchanged sentences

Board of Directors’ Compensation

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.

As of June 30, 2023, of the ten 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 four board members, including our chairman and our chief executive officer, are not compensated by us for their service as directors.

In addition, (i) the chairs of our audit, compensation, and corporate governance committees receive additional annual cash compensation of $ 20,000 , $ 15,000 , and $ 10,000 , respectively and (ii) the members of our audit and investment risk management committees receive additional annual cash compensation of $ 10,000 and $ 7,500 , respectively.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

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

As of June 30, 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