What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2024-04-24 compared with 2023-10-25 · 411 added, 442 removed, 1089 unchanged (44% of the section changed)

3 unchanged sentences

(in thousands, except share data)

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Cash and cash equivalents $ 413,986 $ 350,014

2 unchanged sentences

Loans receivable, net 22,437,942 23,210,076

Real estate owned, net 60,203 —

Other assets 353,732 476,088

11 unchanged sentences

Commitments and contingencies — —

Class A common stock, $ 0.01 par value, 400,000,000 shares authorized, 172,296,051 and 171,695,985 shares issued and outstanding as of September 30, 2023 and December 31, 2022, respectively

Class A common stock, $ 0.01 par value, 400,000,000 shares authorized, 173,582,305 and 173,209,933 shares issued and outstanding as of March 31, 2024 and December 31, 2023, respectively

Additional paid-in capital 5,515,820 5,507,459

6 unchanged sentences

Total Liabilities and Equity $ 23,265,863 $ 24,036,178

The consolidated balance sheets as of September 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 September 30, 2023 and December 31, 2022, assets of the consolidated VIEs totaled $ 3.0 billion and $ 3.2 billion, respectively and liabilities of the consolidated VIEs totaled $ 2.5 billion and $ 2.7 billion, respectively.

The consolidated balance sheets as of March 31, 2024 and December 31, 2023 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 March 31, 2024 and December 31, 2023, assets of the consolidated VIEs totaled $ 2.8 billion and $ 3.0 billion, respectively, and liabilities of the consolidated VIEs totaled $ 2.3 billion and $ 2.5 billion, respectively.

Refer to Note 19 for additional discussion of the VIEs.

4 unchanged sentences

Three Months Ended

September 30, Nine Months Ended

September 30,

2023 2022 2023 2022

Income from loans and other investments

8 unchanged sentences

Gain on extinguishment of debt 2,963 —

Income before income taxes 32,128 105,091 256,276 300,111

(Loss) income before income taxes ( 122,168 ) 120,449

Income tax provision 1,002 1,893

Net income 30,560 103,919 251,613 298,047

Net (loss) income ( 123,170 ) 118,556

Net income attributable to non-controlling interests ( 668 ) ( 799 )

Net income attributable to Blackstone Mortgage Trust, Inc.

Net (loss) income attributable to Blackstone Mortgage Trust, Inc.

$ ( 123,838 ) $ 117,757

Net income per share of common stock

Net (loss) income per share of common stock

Basic $ ( 0.71 ) $ 0.68

8 unchanged sentences

Three Months Ended

September 30, Nine Months Ended

September 30,

2023 2022 2023 2022

Net income $ 30,560 $ 103,919 $ 251,613 $ 298,047

Other comprehensive (loss) income

Unrealized loss on foreign currency translation

( 71,782 ) ( 158,097 ) ( 21,455 ) ( 333,526 )

Realized and unrealized gain on derivative financial instruments

71,648 154,849 22,039 329,048

Other comprehensive (loss) income

( 134 ) ( 3,248 ) 584 ( 4,478 )

Comprehensive income 30,426 100,671 252,197 293,569

Net (loss) income $ ( 123,170 ) $ 118,556

Other comprehensive income (loss)

Unrealized (loss) gain on foreign currency translation ( 45,732 ) 21,858

Realized and unrealized gain (loss) on derivative financial instruments 46,148 ( 24,052 )

Other comprehensive income (loss) 416 ( 2,194 )

Comprehensive (loss) income ( 122,754 ) 116,362

Comprehensive income attributable to non-controlling interests ( 668 ) ( 799 )

Comprehensive income attributable to Blackstone Mortgage Trust, Inc.

Comprehensive (loss) income attributable to Blackstone Mortgage Trust, Inc.

$ ( 123,422 ) $ 115,563

21 unchanged sentences

$ 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

Restricted class A common stock earned — 7,434 — — 7,434 — 7,434

Dividends reinvested — 245 — — 245 — 245

Deferred directors’ compensation — 172 — — 172 — 172

Net income — — — 29,524 29,524 1,036 30,560

Other comprehensive loss — — ( 134 ) — ( 134 ) — ( 134 )

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

— — — ( 107,033 ) ( 107,033 ) — ( 107,033 )

Distributions to non-controlling interests — — — — — ( 3,912 ) ( 3,912 )

Balance at September 30, 2023

$ 1,723 $ 5,499,491 $ 10,606 $ ( 1,040,950 ) $ 4,470,870 $ 22,651 $ 4,493,521

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, 2023

$ 1,732 $ 5,507,459 $ 9,454 $ ( 1,150,934 ) $ 4,367,711 $ 19,793 $ 4,387,504

Adoption of ASU 2020-06, See Note 2 — ( 2,431 ) — 1,954 ( 477 ) — ( 477 )

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

Restricted class A common stock earned 4 7,907 — — 7,911 — 7,911

1 unchanged sentence

Deferred directors’ compensation — 201 — — 201 — 201

Net income — — — 99,687 99,687 576 100,263

Net (loss) income — — — ( 123,838 ) ( 123,838 ) 668 ( 123,170 )

Other comprehensive income — — 416 — 416 — 416

1 unchanged sentence

— — — ( 107,901 ) ( 107,901 ) — ( 107,901 )

Contributions from non-controlling interests — — — — — 5,040 5,040

Distributions to non-controlling interests — — — — — ( 627 ) ( 627 )

1 unchanged sentence

$ 1,736 $ 5,515,820 $ 9,870 $ ( 1,382,673 ) $ 4,144,753 $ 19,834 $ 4,164,587

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

Dividends reinvested — 319 — — 319 — 319

Deferred directors’ compensation — 173 — — 173 — 173

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

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

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

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

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

Balance at June 30, 2022

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

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

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

Dividends reinvested — 299 — — 299 — 299

Deferred directors’ compensation — 173 — — 173 — 173

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

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

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

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

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

Balance at September 30, 2022

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

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in thousands)

Nine Months Ended September 30,

Three Months Ended March 31,

Cash flows from operating activities

Net income $ 251,613 $ 298,047

Adjustments to reconcile net income to net cash provided by operating activities

Net (loss) income $ ( 123,170 ) $ 118,556

Adjustments to reconcile net (loss) income to net cash provided by operating activities

Non-cash compensation expense 8,112 7,655

Amortization of deferred fees on loans and debt securities ( 60,333 ) ( 59,285 )

Amortization of deferred fees on loans ( 16,433 ) ( 21,755 )

Amortization of deferred financing costs and premiums/discounts on debt obligations 10,550 14,811

Payment-in-kind interest ( 2,329 ) ( 556 )

Increase in current expected credit loss reserve 234,868 9,823

Gain on extinguishment of debt ( 2,963 ) —

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

Unrealized loss (gain) on derivative financial instruments, net 3,195 ( 3,227 )

Unrealized loss on derivative financial instruments, net 482 541

Realized gain on derivative financial instruments, net ( 4,895 ) ( 8,948 )

5 unchanged sentences

Principal fundings of loans receivable ( 301,678 ) ( 369,256 )

Principal collections, sales proceeds, and cost-recovery proceeds from loans receivable and debt securities 2,325,690 2,670,902

Principal collections, sales proceeds, and cost-recovery proceeds from loans receivable 637,242 562,072

Origination and other fees received on loans receivable 4,550 2,850

3 unchanged sentences

Return of collateral deposited under derivative agreements 120,490 172,710

Net cash provided by (used in) investing activities 1,187,092 ( 3,200,070 )

Net cash provided by investing activities 376,316 157,087

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in thousands)

Nine Months Ended September 30,

Three Months Ended March 31,

Cash flows from financing activities

5 unchanged sentences

Repayments under asset-specific debt — ( 206,300 )

Proceeds from sale of loan participations 50,692 245,278

Net proceeds from term loan borrowings — 492,500

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

Repurchases of senior secured notes

Net proceeds from issuance of convertible notes — 294,000

Repayment of convertible notes — ( 220,000 )

Payment of deferred financing costs ( 8,315 ) ( 7,265 )

Contributions from non-controlling interests — 5,040

Distributions to non-controlling interests ( 627 ) ( 733 )

Net proceeds from issuance of class A common stock — 70,651

Dividends paid on class A common stock ( 107,390 ) ( 106,455 )

Net cash (used in) provided by financing activities ( 1,407,463 ) 2,671,630

Net increase (decrease) in cash and cash equivalents 128,682 ( 261,830 )

Net cash used in financing activities ( 404,343 ) ( 43,725 )

Net increase in cash and cash equivalents 66,583 222,979

Cash and cash equivalents at beginning of period 350,014 291,340

7 unchanged sentences

Loan principal payments held by servicer, net $ 90,006 $ 19,756

Transfer of senior loan to real estate owned $ 60,203 $ —

See accompanying notes to consolidated financial statements.

4 unchanged sentences

Our portfolio is composed primarily of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators.

These senior loans are capitalized by accessing a variety of financing options, including borrowing under our credit facilities, issuing CLOs or single-asset securitizations, and syndicating senior loan participations, depending on our view of the most prudent financing option available for each of our investments.

These senior loans are capitalized by accessing a variety of financing options, including borrowing under our credit facilities, issuing CLOs or single-asset securitizations, and corporate financing, depending on our view of the most prudent financing option available for each of our investments.

We are not in the business of buying or trading securities, and the only securities we own are the retained interests from our securitization financing transactions, which we have not financed.

15 unchanged sentences

All intercompany balances and transactions have been eliminated in consolidation.

Certain reclassifications have been made in the presentation of the prior period statements of changes in equity related to restricted class A common stock and in the loans receivable disclosures related to risk ratings, property type, and geography in Note 3 to conform to the current period presentation.

Certain reclassifications have been made in the presentation of the prior period statement of cash flows related to payment-in-kind interest and principal fundings of loans receivable and in new financings by spread in Note 6 to conform to the current period presentation.

Principles of Consolidation

26 unchanged sentences

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

As of both September 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 $ 634.7 million and $ 459.6 million as of September 30, 2023 and December 31, 2022, respectively.

As of both March 31, 2024 and December 31, 2023, 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 $ 582.3 million and $ 640.6 million as of March 31, 2024 and December 31, 2023, 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.

4 unchanged sentences

Current Expected Credit Losses Reserve

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 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.

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

While ASC 326 does not require any particular method for determining the CECL reserves, it does specify the reserves 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 principle 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)

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 FASB Staff Q&A Topic 326, No.

We estimate our CECL reserves 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 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.

1 unchanged sentence

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.

Application of the WARM method to estimate a CECL reserve requires judgment, including (i) the appropriate historical loan loss reference data, (ii) the expected timing and amount of future loan fundings and repayments, and (iii) the current credit quality of our portfolio and our expectations of performance and market conditions over the relevant time period.

Application of the WARM method to estimate CECL reserves requires judgment, including (i) the appropriate historical loan loss reference data, (ii) the expected timing and amount of future loan fundings and repayments, and (iii) the current credit quality of our portfolio and our expectations of performance and market conditions over the relevant time period.

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

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through August 31, 2023.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through February 29, 2024.

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.

5 unchanged sentences

For both the funded and unfunded portions of our loans, we consider our internal risk rating of each loan as the primary credit quality indicator underlying our assessment.

The CECL reserve is measured on a collective basis wherever similar risk characteristics exist within a pool of similar assets.

The CECL reserves are measured on a collective basis wherever similar risk characteristics exist within a pool of similar assets.

We have identified the following pools and measure the reserve for credit losses using the following methods:

6 unchanged sentences

Determining that a loan is impaired requires significant judgment from management and is based on several factors including (i) the underlying collateral performance, (ii) discussions with the borrower, (iii) borrower events of default, and (iv) other facts that impact the borrower’s ability to pay the contractual amounts due under the terms of the loan.

If a loan is determined to be impaired, we record the impairment as a component of our CECL reserve by applying the practical expedient for collateral dependent loans.

The CECL reserve is assessed on an individual basis for these loans by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan.

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

If a loan is determined to be impaired, we record the impairment as a component of our CECL reserves by applying the practical expedient for collateral dependent loans.

The CECL reserves are assessed on an individual basis for these loans by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan.

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

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

We only expect to charge-off the impairment losses in our consolidated financial statements prepared in accordance with GAAP if and when such amounts are deemed non-recoverable.

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

2 unchanged sentences

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.

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 reserves.

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

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

The considerations in

The CECL reserve for unfunded loan commitments is adjusted quarterly,

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

as we consider the expected timing of future funding obligations over the estimated life of the loan.

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

Credit Quality Indicator

9 unchanged sentences

Estimation of Economic Conditions

In addition to the WARM method computations and probability-weighted models described above, our CECL reserve is also adjusted to reflect our estimation of the current and future economic conditions that impact the performance of the commercial real estate assets securing our loans.

In addition to the WARM method computations and probability-weighted models described above, our CECL reserves are also adjusted to reflect our estimation of the current and future economic conditions that impact the performance of the commercial real estate assets securing our loans.

These estimations include unemployment rates, interest rates, expectations of inflation and/or recession, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term.

1 unchanged sentence

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

This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of September 30, 2023.

Real Estate Owned

We may assume legal title or physical possession of the collateral underlying a loan through a foreclosure or the execution of a deed-in-lieu of foreclosure.

These real estate acquisitions are classified as real estate owned, or REO, on our consolidated balance sheet and are initially recognized at fair value on the acquisition date in accordance with the ASC Topic 805, “Business Combinations.”

Upon acquisition of REO, we assess the fair value of acquired tangible and intangible assets, which may include land, buildings, tenant improvements, “above-market” and “below-market” leases, acquired in-place leases, other identified intangible assets and assumed liabilities, as applicable, and allocate the fair value to the acquired assets and assumed liabilities.

We assess and consider fair value based on estimated cash flow projections that utilize discount and/or capitalization rates that we deem appropriate, as well as other available market information.

Estimates of future cash flows are based on a number of factors including the historical operating results, known and anticipated trends, and market and economic conditions.

We capitalize acquisition-related costs associated with asset acquisitions.

Real estate assets held for investment, except for land, are depreciated using the straight-line method over the assets’ estimated useful lives of up to 40 years for buildings and 10 years for tenant improvements.

Renovations and/or replacements that improve or extend the life of the asset are capitalized and depreciated over their estimated useful lives.

The cost of ordinary repairs and maintenance are expensed as incurred.

Real estate assets held for investment are assessed for impairment on a quarterly basis.

If the depreciated cost basis of the asset exceeds the undiscounted cash flows, the asset is considered impaired and the depreciated cost basis is reduced to the fair value.

The impairment loss is recognized based on the excess of the carrying amount of the asset over its fair value.

The evaluation of anticipated future cash flows is highly subjective and is based in part on assumptions regarding future

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

occupancy, rental rates, capital requirements and anticipated holding periods that could differ materially from actual results.

Real estate assets are classified as held for sale in the period when they meet the criteria under ASC Topic 360 “Property, Plant, and Equipment.” Once a real estate asset is classified as held for sale, depreciation is suspended and the asset is reported at the lower of its carrying value or fair value less cost to sell.

As of March 31, 2024, we had one REO asset which was vacant and classified as held for investment.

Derivative Financial Instruments

8 unchanged sentences

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

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

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

9 unchanged sentences

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

13 unchanged sentences

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Fair Value of Financial Instruments

9 unchanged sentences

These inputs require significant judgment or estimation by management of third-parties when determining fair value and generally represent anything that does not meet the criteria of Levels 1 and 2.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

3 unchanged sentences

As of September 30, 2023, we had an aggregate $ 322.6 million asset-specific CECL reserve related to ten of our loans receivable with an aggregate amortized cost basis of $ 1.4 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 September 30, 2023.

As of March 31, 2024, we had an aggregate $ 602.6 million asset-specific CECL reserve related to 17 of our loans receivable with an aggregate amortized cost basis of $ 2.4 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 March 31, 2024.

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.

1 unchanged sentence

The significant unobservable inputs used include the exit capitalization rate assumption used to forecast the future sale price of the underlying real estate collateral, which ranged from 6.00 % to 8.55 %, and the unlevered discount rate, which ranged from 7.28 % to 11.00 %.

On March 19, 2024, we acquired legal title to an office property located in Mountain View, CA through a deed-in-lieu of foreclosure.

At the time of acquisition, we determined the fair value of the real estate assets to be $ 60.2 million based on a variety of inputs including, but not limited to, estimated cash flow projections, leasing assumptions, required capital expenditures, market data, and comparable sales.

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

The significant unobservable inputs used include the exit capitalization rate assumption used to forecast the future sale price of the asset of 7.00 % and a discount rate of 9.50 %.

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

4 unchanged sentences

• Loans receivable, net:

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.

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.

• Derivative financial instruments:

7 unchanged sentences

The fair value of these instruments was estimated based on the rate at which a similar agreement would currently be priced.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

• Loan participations sold, net:

19 unchanged sentences

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

9 unchanged sentences

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

Recent Accounting Pronouncements

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.

ASU 2022-02 eliminates the accounting guidance for troubled debt restructurings and requires disclosure of current-period gross write-offs by year of loan origination.

Additionally, ASU 2022-02 updates the accounting for credit losses under ASC 326 and adds enhanced disclosures with respect to loan refinancings and restructurings in the form of principal forgiveness, interest rate concessions, other-than-insignificant payment delays, or term extensions when the borrower is experiencing financial difficulties.

ASU 2022-02 is effective for fiscal years beginning after December 15, 2022 and early adoption is permitted.

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

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

Reference Rate Reform

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.

As of September 30, 2023, one-month term SOFR is utilized as the floating benchmark rate on 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 September 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 September 30, 2023, 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.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Recent Accounting Pronouncements

In December 2023, the FASB issued Accounting Standards Update, or ASU, 2023-09 “Income Taxes (Topic 740):

Improvements to Income Tax Disclosures,” or ASU 2023-09.

ASU 2023-09 requires additional disaggregated disclosures on an entity’s effective tax rate reconciliation and additional details on income taxes paid.

ASU 2023-09 is effective on a prospective basis, with the option for retrospective application, for annual periods beginning after December 15, 2024 and early adoption is permitted.

We do not expect the adoption of ASU 2023-09 to have a material impact on our consolidated financial statements.

In November 2023, the FASB issued ASU 2023-07 “Segment Reporting (Topic 280):

Improvements to Reportable Segment Disclosures,” or ASU 2023-07.

ASU 2023-07 enhances the disclosures required for reportable segments on an annual and interim basis.

ASU 2023-07 is effective on a retrospective basis for annual periods beginning after December 15, 2023, for interim periods within fiscal years beginning after December 15, 2024, and early adoption is permitted.

We do not expect the adoption of ASU 2023-07 to have a material impact on our consolidated financial statements.

LOANS RECEIVABLE, NET

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Number of loans 173 178

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

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

As of September 30, 2023 99 % of our loans by principal balance earned a floating rate of interest, primarily indexed to SOFR, and the remaining 1 % of our loans earned a fixed rate of interest.

As of 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.

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

As of both March 31, 2024 and December 31, 2023, substantially all of our loans by principal balance earned a floating rate of interest, primarily indexed to SOFR.

Floating rate exposure as of March 31, 2024 and December 31, 2023 includes an interest rate swap we entered into with a notional amount of $ 229.9 million that effectively converts certain of 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 September 30, 2023, 18 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 82 % were open to repayment by the borrower without penalty.

As of March 31, 2024, 13 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 87 % were open to repayment by the borrower without penalty.

As of December 31, 2023, 14 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 86 % were open to repayment by the borrower without penalty.

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Notes to Consolidated Financial Statements (continued) (Unaudited)

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

The following table details the index rate floors for our loans receivable portfolio as of March 31, 2024 ($ in thousands):

Loans Receivable Principal Balance

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(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 September 30, 2023, the weighted-average index rate floor of our loans receivable principal balance was 0.42 %.

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

(3) Includes all floating rate impaired loans.

(4) As of March 31, 2024, the weighted-average index rate floor of our loans receivable principal balance was 0.75 %.

Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 1.30 %.

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Loan repayments, sales, and cost-recovery proceeds ( 582,248 ) ( 16,818 ) ( 599,066 )

Unrealized (loss) gain on foreign currency translation

Charge-offs ( 73,176 ) 12,163 ( 61,013 )

Transfer to real estate owned ( 60,203 ) — ( 60,203 )

Transfer to other assets (2)

( 8,800 ) — ( 8,800 )

Payment-in-kind interest 2,329 — 2,329

Unrealized (loss) gain on foreign currency translation ( 185,417 ) 909 ( 184,508 )

Deferred fees and other items — ( 4,550 ) ( 4,550 )

Amortization of fees and other items — 16,433 16,433

Loans Receivable, as of September 30, 2023

Loans Receivable, as of March 31, 2024

$ 23,317,882 $ ( 128,570 ) $ 23,189,312

CECL reserve ( 751,370 )

Loans Receivable, net, as of September 30, 2023

Loans Receivable, net, as of March 31, 2024

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

(2) This amount relates to a loan that was partially satisfied through the issuance of a note receivable, which is included within other assets in our consolidated balance sheets.

See Note 5 for further information.

Blackstone Mortgage Trust, Inc.

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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):

September 30, 2023

Property Type Number of

March 31, 2024

Property Type Number of Loans Net

Net Loan Exposure Percentage of

9 unchanged sentences

Loans receivable, net $ 22,437,942

Geographic Location Number of

Geographic Location Number of Loans Net

Net Loan Exposure Percentage of

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(1) Total loan exposure reflects our aggregate exposure to each loan investment.

As of September 30, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $ 23.8 billion that are included in our consolidated financial statements, (ii) $ 1.1 billion of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements, and excludes (iii) $ 48.8 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements.

As of March 31, 2024, total loan exposure, includes (i) loans with an outstanding principal balance of $ 23.3 billion that are included in our consolidated financial statements, (ii) $ 742.6 million of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements, and excludes (iii) $ 100.5 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements.

See Note 2 for further discussion of loan participations sold.

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of September 30, 2023, which is our total loan exposure net of (i) $ 1.1 billion of non-consolidated senior interests, (ii) $ 935.4 million of asset-specific debt, (iii) $ 226.9 million of senior loan participations sold, (iv) $ 40.7 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $ 463.4 million.

(2) Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of March 31, 2024, which is our total loan exposure net of (i) $ 742.6 million of non-consolidated senior interests, (ii) $ 1.1 billion of asset-specific debt, (iii) $ 234.8 million of senior loan participations sold, (iv) $ 57.9 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $ 751.4 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.

3 unchanged sentences

Property Type Number of

Book Value Total Loan

Net Loan Exposure Percentage of

10 unchanged sentences

Geographic Location Number of

Book Value Total Loan

Net Loan Exposure Percentage of

9 unchanged sentences

Australia 5 1,429,144 1,437,870 1,432,146 7

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

Ireland 3 1,191,068 1,197,337 1,188,554 5

Spain 3 1,117,790 1,120,375 1,078,811 5

Sweden 1 474,262 476,718 476,281 2

Canada 1 49,409 49,432 49,398 —

Other Europe 5 644,149 646,430 643,401 3

4 unchanged sentences

(1) Total loan exposure reflects our aggregate exposure to each loan investment.

As of December 31, 2022, total loan exposure, includes (i) loans with an outstanding principal balance of $ 25.2 billion that are included in our consolidated financial statements and (ii) $ 1.6 billion of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements.

As of December 31, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $ 23.9 billion that are included in our consolidated financial statements, (ii) $ 1.1 billion of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements, and excludes (iii) $ 100.9 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements.

See Note 2 for further discussion of loan participations sold.

(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 senior loan participations sold, and (iv) our total loans receivable 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, 2023, which is our total loan exposure net of (i) $ 1.1 billion of non-consolidated senior interests, (ii) $ 1.0 billion of asset-specific debt, (iii) $ 236.8 million of senior loan participations sold, (iv) $ 53.0 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $ 576.9 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.

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

September 30, 2023

March 31, 2024

1 18 $ 791,251 $ 839,963 $ 791,925

16 unchanged sentences

(1) Total loan exposure reflects our aggregate exposure to each loan investment.

See Note 2 for further discussion of loan participations sold.

As of December 31, 2023, total loan exposure, includes (i) loans with an outstanding principal balance of $ 23.9 billion that are included in our consolidated financial statements (ii) $ 1.1 billion of non-consolidated senior interests in loans we have sold, which are not included in our consolidated financial statements, and excludes (iii) $ 100.9 million of junior loan interests that we have sold, but that remain included in our consolidated financial statements.

See Note 2 for further discussion of loan participations sold.

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 senior loan participations sold, and (iv) our total loans receivable CECL reserve of $ 326.1 million.

Our net loan exposure as of December 31, 2023 is our total loan exposure net of (i) $ 1.1 billion of non-consolidated senior interests, (ii) $ 1.0 billion of asset-specific debt, (iii) $ 236.8 million of senior loan participations sold, and (iv) $ 53.0 million of cost-recovery proceeds, and (v) our total loans receivable CECL reserve of $ 576.9 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.

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

Our loan portfolio had a weighted-average risk rating of 3.0 as of both March 31, 2024 and December 31, 2023, respectively.

Blackstone Mortgage Trust, Inc.

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Current Expected Credit Loss Reserve

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

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

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

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

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

The following table presents the activity in our loans receivable CECL reserve by investment pool for the three months ended March 31, 2024 and 2023 ($ in thousands):

Loans Impaired

Loans Receivable, Net

CECL reserve as of December 31, 2022

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

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

CECL reserve as of March 31, 2023

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

Increase (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

(Decrease) increase in CECL reserve ( 5,639 ) ( 2,336 ) ( 627 ) 108,150 99,548

CECL reserve as of September 30, 2023

$ 68,754 $ 26,656 $ 45,462 $ 322,551 $ 463,423

CECL reserve as of December 31, 2021

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

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

CECL reserve as of March 31, 2022

CECL reserves as of December 31, 2023

$ 78,335 $ 31,560 $ 49,371 $ 417,670 $ 576,936

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

CECL reserve as of June 30, 2022

(Decrease) increase in CECL reserves ( 3,807 ) ( 770 ) ( 5,918 ) 245,942 235,447

Charge-offs of CECL reserves — — — ( 61,013 ) ( 61,013 )

CECL reserves as of March 31, 2024

$ 74,528 $ 30,790 $ 43,453 $ 602,599 $ 751,370

Increase in CECL reserve

CECL reserves as of December 31, 2022

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

CECL reserve as of September 30, 2022

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

CECL reserves as of March 31, 2023

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

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

During the three months ended September 30, 2023, we recorded an increase of $ 99.5 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to $ 463.4 million as of September 30, 2023.

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

During the three months ended September 30, 2023, we recorded an aggregate net increase of $ 108.2 million in the asset-specific CECL reserve related to our impaired loans.

The increase was primarily driven by three additional loans that were impaired during the three months ended September 30, 2023.

As of September 30, 2023, the income accrual was suspended on these loans as recovery of income and principal was doubtful.

During the three months ended September 30, 2023, we recorded $ 7.2 million of interest income on these three loans.

As of September 30, 2023, we had an aggregate $ 322.6 million asset-specific CECL reserve related to ten of our loans receivable, with an aggregate amortized cost basis of $ 1.4 billion, net of cost-recovery proceeds.

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

During the three months ended March 31, 2024, we recorded an increase of $ 235.4 million in the CECL reserves against our loans receivable portfolio, primarily related to seven new impaired loans, offset by charge-offs of our CECL reserves of $ 61.0 million, bringing our total loans receivable CECL reserve to $ 751.4 million as of March 31, 2024.

These charge-offs related to three previously impaired loans that were resolved during the three months ended March 31, 2024.

The resolutions were the result of (i) a deed-in-lieu of foreclosure related to an office asset in Mountain View, CA, which is now included on our consolidated balance sheet as an REO asset, (ii) the sale of an office asset in Miami, FL to a new borrower, resulting in a repayment of $ 9.5 million and a reduction to the outstanding principal balance of the loan, and (iii) a repayment of a multifamily asset in New York, NY.

As of March 31, 2024, the income accrual was suspended on the seven additional loans that were impaired as the recovery of income and principal was doubtful.

During the three months ended March 31, 2024, we recorded $ 16.8 million of interest income on these seven loans.

As of March 31, 2024, we had an aggregate $ 602.6 million asset-specific CECL reserve related to 17 of our loans receivable, with an aggregate amortized cost basis of $ 2.4 billion, net of cost-recovery proceeds.

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, 2024.

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

As of September 30, 2023, all such borrowers were compliant with the contractual terms of each respective loan, including any required payment of interest.

During the three months ended September 30, 2023, we received an aggregate $ 10.2 million of cash proceeds from such loans that were applied as a reduction to the amortized cost basis of each respective loan.

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

During the three months ended March 31, 2024, we received an aggregate $ 16.8 million of cash proceeds from such loans that were applied as a reduction to the amortized cost basis of each respective loan.

As of March 31, 2024, one of our impaired loans with an amortized cost basis of $ 138.8 million was past its current maturity date.

This loan was also more than 90 days past due on its interest payment and had a risk rating of “5.” Additionally, as of March 31, 2024, one other impaired loan with an amortized cost basis of $ 223.4 million was less than 30 days past due on its interest payment and had a risk rating of “5.” As of March 31, 2024, all other borrowers were compliant with the contractual terms of each respective loan, including any required payment of interest.

Refer to Note 2 for further discussion of our policies on revenue recognition and our CECL reserves.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

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

The following tables present the net book value of our loan portfolio as of September 30, 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 March 31, 2024 and December 31, 2023, respectively, by year of origination, investment pool, and risk rating ($ in thousands):

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

As of September 30, 2023

As of March 31, 2024

2024 2023 2022 2021 2020 Prior Total

34 unchanged sentences

Loans receivable, net $ 22,437,942

Gross charge-offs (2)

— — — ( 54,313 ) — ( 6,700 ) $ ( 61,013 )

(1) Date loan was originated or acquired by us.

Origination dates are subsequently updated to reflect material loan modifications.

(2) Represents charge-offs by year of origination during the three months ended March 31, 2024.

Blackstone Mortgage Trust, Inc.

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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.

1 unchanged sentence

Loan Modifications Pursuant to ASC 326

During the nine months ended September 30, 2023, we entered into four loan modifications that 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 September 30, 2023, the aggregate amortized cost basis of these loans was $ 286.7 million, or 1.2 % of our aggregate loans receivable portfolio, with an aggregate $ 10.0 million of unfunded commitments.

The loans were performing pursuant to their contractual terms as of September 30, 2023, had risk ratings of 5 as of September 30, 2023, and have asset-specific CECL reserves.

The other two loan modifications included a combination of changes to the contractual terms of the loans, including term extensions, other-than-insignificant payment delays, and/or interest rate reductions.

The first 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.

During the twelve months ended March 31, 2024, we entered into seven loan modifications that require disclosure pursuant to ASC 326.

Five of these loans were collateralized by office assets and two were collateralized by hospitality assets.

Four 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 one year , the borrower contributed $ 2.0 million of additional reserves, and the interest rate increased by 5.11 %.

The second modification included an additional 4.00 % exit fee.

The third modification included an additional 2.00 % exit fee and the interest rate increased by 2.00 %.

The fourth modification included an additional 3.00 % exit fee and the interest rate increased by 4.00 %.

As of March 31, 2024, the aggregate amortized cost basis of these loans was $ 634.2 million, or 2.7 % of our aggregate loans receivable portfolio, with an aggregate $ 10.0 million of unfunded commitments.

The loans were performing pursuant to their contractual terms as of March 31, 2024, had risk ratings of “5” as of March 31, 2024, and have asset-specific CECL reserves.

The other three loan modifications included a combination of changes to the contractual terms of the loans, including term extensions, other-than-insignificant payment delays, and/or interest rate reductions.

The first loan modification included a term extension of 19 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.

The second loan modification included a term extension of 4.5 years, a rate increase of 8.50 % with interest paid in-kind, a borrower contribution of $ 2.0 million of additional reserves, and a $ 50.0 million increase in our total loan commitment.

As of September 30, 2023, the aggregate amortized cost basis of these loans was $ 435.1 million, or 1.8 % of our aggregate loans receivable portfolio, with an aggregate $ 40.0 million of unfunded commitments.

The loans were performing pursuant to their contractual terms as of September 30, 2023.

As of September 30, 2023, one of these loans had a risk rating of 4, and its modified terms were included in the determination of our general CECL reserve, and the other loan had a risk rating of 5 and has an asset-specific CECL reserve .

The third modification included a term extension of 2.5 years, and the loan was bifurcated into a separate senior loan and mezzanine loan.

The senior loan is paying interest current while the mezzanine loan is paying interest in-kind.

As of March 31, 2024, the aggregate amortized cost basis of these loans was $ 632.8 million, or 2.7 % of our aggregate loans receivable portfolio, with an aggregate $ 39.3 million of unfunded commitments.

The loans were performing pursuant to their contractual terms as of March 31, 2024.

As of March 31, 2024, two of these loans had a risk rating of “4” and two loans had a risk rating of “5.”

Loans with a risk rating of “4” are included in the determination of our general CECL reserve and loans with a risk rating of “5” have an asset-specific CECL reserve.

Loan modifications that allow the option to pay interest in-kind increase our potential economics and the size of our secured claim, as interest is capitalized and added to the outstanding principal balance for applicable loans.

As of March 31, 2024, no income was recorded on our loans subsequent to determining that they were impaired and risk rated “5.”

Multifamily Joint Venture

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

As of September 30, 2023 and December 31, 2022, our Multifamily Joint Venture held $ 639.2 million and $ 795.6 million of loans, respectively, which are included in the loan disclosures above.

As of March 31, 2024 and December 31, 2023, our Multifamily Joint Venture held $ 614.4 million and $ 612.9 million of loans, respectively, which are included in the loan disclosures above.

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

REAL ESTATE OWNED

On March 19, 2024, we acquired legal title to an office property located in Mountain View, CA through a deed-in-lieu of foreclosure transaction.

The office property previously collateralized a senior mortgage loan with an amortized cost basis of $ 90.2 million that was risk rated a “5” with a CECL reserve of $ 29.1 million at the time of the transaction.

The acquisition was accounted for as an asset acquisition under ASC Topic 805 “Business Combinations,” and upon acquisition we recognized the office property as an REO asset held for investment.

The REO asset was recorded on our consolidated balance sheet at $ 60.2 million based on its estimated fair value at acquisition.

This resulted in a CECL reserve charge-off of $ 29.1 million during the three months ended March 31, 2024.

See Note 2 for additional information on REO.

The following table presents the REO asset included in our consolidated balance sheets ($ in thousands):

March 31, 2024

Land and land improvements $ 40,824

Building 19,379

Real estate owned, net $ 60,203

As of March 31, 2024, we had no REO liabilities and no impairment charges have been recognized for our REO asset.

No income or expenses were recognized during the three months ended March 31, 2024.

As of December 31, 2023, we did not have any REO assets or liabilities.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

OTHER ASSETS AND LIABILITIES

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Accrued interest receivable $ 206,227 $ 214,835

Derivative assets 114,558 7,349

Loan portfolio payments held by servicer (1)

114,247 152,423

Derivative assets 25,922 1,890

Accounts receivable and other assets 6,079 2,420

3 unchanged sentences

(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):

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Accrued dividends payable $ 107,678 $ 107,390

3 unchanged sentences

Accrued management and incentive fees payable 18,927 26,342

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

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

12,644 15,371

4 unchanged sentences

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

See Note 2 for further discussion of the CECL reserve.

Current Expected Credit Loss Reserve for Unfunded Loan Commitments

As of September 30, 2023, we had unfunded commitments of $ 2.7 billion related to 101 loans receivable.

See Note 2 for further discussion of the CECL reserves.

Current Expected Credit Loss Reserves for Unfunded Loan Commitments

As of March 31, 2024, we had aggregate unfunded commitments of $ 2.1 billion related to 90 loans receivable.

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

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

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

Loans Non-U.S.

CECL reserve as of December 31, 2022

$ 11,748 $ 4,632 $ — $ — $ 16,380

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

CECL reserve as of March 31, 2023

$ 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

Decrease in CECL reserve ( 1,614 ) ( 1,034 ) — — ( 2,648 )

CECL reserve as of September 30, 2023

$ 9,582 $ 4,042 $ — $ — $ 13,624

CECL reserve as of December 31, 2021

$ 4,072 $ 2,191 $ — $ — $ 6,263

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

CECL reserve as of March 31, 2022

$ 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

Increase in CECL reserve 527 314 — — 841

CECL reserve as of September 30, 2022

$ 6,850 $ 2,425 $ — $ — $ 9,275

See Note 2 for further discussion of the CECL reserves related to our unfunded loan commitments, and Note 21 for further discussion of our unfunded loan commitments.

During the three months ended March 31, 2024, we recorded a decrease in the CECL reserves related to our unfunded loan commitments of $ 2.7 million, bringing our total unfunded loan commitments CECL reserve to $ 12.6 million as of March 31, 2024.

During the three months ended March 31, 2023, we recorded a decrease in the CECL reserves related to our unfunded loan commitments of $ 631,000 , bringing our total unfunded loan commitments CECL reserve to $ 15.7 million as of March 31, 2023.

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

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

During the nine months ended September 30, 2023, we obtained approval for $ 73.9 million of new borrowings against $ 92.4 million of collateral assets.

During the three months ended March 31, 2024, we obtained approval for $ 407.6 million of new borrowings against $ 545.9 million of collateral assets.

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

Borrowings Outstanding

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Secured credit facilities $ 12,403,449 $ 12,697,058

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 September 30, 2023 ($ in thousands):

September 30, 2023

The following table details our secured credit facilities by spread over the applicable base rates as of March 31, 2024 ($ in thousands):

March 31, 2024

Recourse Limitation

2 unchanged sentences

Loan Count Collateral (3)

USD 14 $ 6,876,591 May 2026 131 $ 10,791,188 May 2026 36 % 25 % - 100 %

GBP 7 2,391,449 June 2026 22 3,193,290 July 2026 27 % 25 % - 50 %

USD 14 $ 6,465,606 July 2026 123 $ 10,312,999 July 2026 35 % 25 % - 100 %

GBP 7 2,340,817 September 2026 18 3,106,835 September 2026 26 % 25 % - 50 %

EUR 7 2,025,182 September 2025 11 2,728,563 September 2025 40 % 25 % - 100 %

4 1,571,844 July 2027 7 1,984,069 July 2027 25 % 25 %

Total 15 $ 12,809,913 May 2026 171 $ 18,613,231 June 2026 34 % 25 % - 100 %

Total 15 $ 12,403,449 July 2026 159 $ 18,132,466 July 2026 33 % 25 % - 100 %

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

2 unchanged sentences

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

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

(3) Represents the principal balance of the collateral assets and the book value of the REO asset.

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

1 unchanged sentence

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.

Certain structural elements of our secured credit facilities, including the limitation on recourse to us and facility economics are influenced by the specific collateral portfolio construction of each facility, and therefore vary within and among the facilities.

Certain structural elements of our secured credit facilities, including the

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

Nine Months Ended September 30, 2023 September 30, 2023

limitation on recourse to us and facility economics, are influenced by the specific collateral portfolio construction of each facility, and therefore vary within and among the facilities.

The following tables detail the spread of our secured debt as of March 31, 2024 and December 31, 2023 ($ in thousands):

Three Months Ended March 31, 2024 March 31, 2024

New Financings (2)

17 unchanged sentences

Total $ 112,078 $ 12,697,058 + 1.89 % $ 18,594,318 + 3.58 % + 1.69 %

(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 September 30, 2023 and December 31, 2022 for new financings closed during the nine months ended September 30, 2023 and year ended December 31, 2022, respectively.

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

(2) Represents the amount of new borrowings we obtained approval for during the three months ended March 31, 2024 and year ended December 31, 2023, respectively.

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

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

Excludes loans accounted for under the cost-recovery method.

(4) Represents the weighted-average all-in cost as of September 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.

All-in yield excludes loans accounted for under the cost-recovery method and the REO asset.

(4) Represents the weighted-average all-in cost as of March 31, 2024 and December 31, 2023, respectively, and is not necessarily indicative of the spread applicable to recent or future borrowings.

(5) Represents the principal balance of the collateral assets and the book value of the REO asset.

(6) Represents the difference between the weighted-average all-in yield and weighted-average all-in cost.

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

As of September 30, 2023, there was an aggregate $ 1.3 billion available to be drawn at our discretion under our credit facilities.

As of March 31, 2024, there was an aggregate $ 1.2 billion available to be drawn at our discretion under our credit facilities.

Acquisition Facility

We have a $ 100.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval.

The cost of borrowing under the facility is variable, dependent on the type of loan collateral, and its maturity date is April 3, 2024.

During the nine months ended September 30, 2023, we had no borrowings under the acquisition facility and we recorded interest expense of $ 599,000 , including $ 199,000 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.

As of March 31, 2024, we had a $ 100.0 million full recourse secured credit facility that was designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval.

The cost of borrowing under the facility was variable, dependent on the type of loan collateral.

This facility matured on April 3, 2024.

During the three months ended March 31, 2024, we had no borrowings under the acquisition facility and we recorded interest expense of $ 122,000 , including $ 33,000 of amortization of deferred fees and expenses.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

During the year ended December 31, 2023, we had no borrowings under the acquisition facility and we recorded interest expense of $ 722,000 including $ 233,000 of amortization of deferred fees and expenses.

Financial Covenants

1 unchanged sentence

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

(ii) our tangible net worth, as defined in the agreements, shall not be less than $ 3.6 billion as of each measurement date plus 75 % to 85 % of the net cash proceeds of future equity issuances subsequent to September 30, 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 September 30, 2023 and December 31, 2022, we were in compliance with these covenants.

As of March 31, 2024 and December 31, 2023, we were in compliance with these covenants.

SECURITIZED DEBT OBLIGATIONS, NET

3 unchanged sentences

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

September 30, 2023

March 31, 2024

Securitized Debt Obligations Count Principal

2 unchanged sentences

Senior CLO Securities Outstanding 1 $ 785,452 $ 784,138 + 1.70 % May 2038

Underlying Collateral Assets 27 1,000,000 1,000,000 + 3.35 % December 2025

Underlying Collateral Assets 26 981,703 981,703 + 3.16 % March 2026

2020 FL3 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 689,384 689,384 + 2.19 % November 2037

Underlying Collateral Assets 15 907,592 907,592 + 3.04 % May 2025

Underlying Collateral Assets 15 880,634 880,634 + 2.86 % January 2026

2020 FL2 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 854,620 854,551 + 1.62 % February 2038

Underlying Collateral Assets 16 1,249,294 1,249,294 + 3.25 % May 2025

Underlying Collateral Assets 15 1,111,495 1,111,495 + 2.85 % February 2026

Senior CLO Securities Outstanding (5)

1 unchanged sentence

Underlying Collateral Assets 56 $ 2,973,832 $ 2,973,832 + 2.94 %

(1) The book value of underlying collateral assets excludes any applicable CECL reserves.

(2) 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.

(3) 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.

All-in yield excludes loans accounted for under the cost-recovery method.

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

1 unchanged sentence

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

(4) During the three and nine months ended September 30, 2023, we recorded $ 44.5 million and $ 127.6 million, respectively, of interest expense related to our securitized debt obligations.

(5) During the three months ended March 31, 2024, we recorded $ 41.5 million of interest expense related to our securitized debt obligations.

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

Securitized Debt Obligations Count Principal

Book Value Wtd.

Book Value (1)

Yield/Cost (2)(3)

1 unchanged sentence

Senior CLO Securities Outstanding 1 $ 803,750 $ 801,800 + 1.70 % May 2038

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

Underlying Collateral Assets 26 1,000,000 1,000,000 + 3.28 % December 2025

2020 FL3 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 714,352 714,352 + 2.18 % November 2037

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

Underlying Collateral Assets 15 905,602 905,602 + 2.87 % September 2025

2020 FL2 Collateralized Loan Obligation

Senior CLO Securities Outstanding 1 989,412 989,265 + 1.57 % February 2038

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

Underlying Collateral Assets 15 1,246,287 1,246,287 + 2.85 % October 2025

Senior CLO Securities Outstanding (4)

1 unchanged sentence

Underlying Collateral Assets 56 $ 3,151,889 $ 3,151,889 + 2.99 %

(1) The book value of underlying collateral assets excludes any applicable CECL reserves.

(2) 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.

(3) 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.

Excludes loans accounted for under the cost-recovery method.

All-in yield excludes loans accounted for under the cost-recovery method.

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

1 unchanged sentence

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

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

(5) During the year ended December 31, 2023, we recorded $ 171.4 million of interest expense related to our securitized debt obligations.

ASSET-SPECIFIC DEBT, NET

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

September 30, 2023

March 31, 2024

Asset-Specific Debt Count Principal

Book Value Wtd.

Book Value (1)

Yield/Cost (2)

Financing provided 2 $ 935,435 $ 930,757 + 3.13 % February 2026

Collateral assets 2 $ 1,111,453 $ 1,102,848 + 3.95 % February 2026

Financing provided 2 $ 1,064,484 $ 1,061,380 + 3.16 % April 2026

Collateral assets 2 $ 1,268,225 $ 1,261,171 + 3.90 % April 2026

December 31, 2023

Asset-Specific Debt Count Principal

Book Value Wtd.

Book Value (1)

Yield/Cost (22)

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

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

Financing provided 2 $ 1,004,097 $ 1,000,210 + 3.14 % March 2026

Collateral assets 2 $ 1,194,408 $ 1,186,559 + 3.98 % March 2026

(1) The book value of underlying collateral assets excludes any applicable CECL reserves.

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

9 unchanged sentences

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

September 30, 2023

March 31, 2024

Loan Participations Sold Count Principal

Book Value Wtd.

Book Value (1)

Yield/Cost (2)

5 unchanged sentences

Loan Participation

1 $ 48,796 $ 48,627 + 8.35 % June 2025

1 174,690 172,890 + 5.23 % June 2025

2 $ 100,492 $ 100,357 + 7.42 % February 2026

2 416,177 415,004 + 4.73 % February 2026

Loan Participation (4)

3 unchanged sentences

Loan Participations Sold Count Principal

Balance Book Value Wtd.

Balance Book Value (1)

Yield/Cost (2)

3 unchanged sentences

Total Loan 1 295,996 294,783 + 4.86 % March 2027

Junior Participations

Loan Participation

2 $ 100,924 $ 100,680 + 7.50 % February 2026

2 401,569 399,603 + 4.75 % February 2026

Loan Participation (4)

3 $ 337,721 $ 337,179

3 $ 697,565 $ 694,386

(1) The book value of underlying collateral assets excludes any applicable CECL reserves.

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

2 unchanged sentences

Our loan participations sold are inherently non-recourse and term-matched to the corresponding loan.

(3) During the three and nine months ended September 30, 2023, we recorded $ 5.3 million and $ 13.3 million, respectively, of interest expense related to our loan participations sold.

During the three and nine months ended September 30, 2022 we recorded $ 2.4 million and $ 4.8 million, respectively, of interest expense related to our loan participations sold.

(4) During the three months ended March 31, 2024, we recorded $ 8.0 million of interest expense related to our loan participations sold.

During the year ended December 31, 2023, we recorded $ 20.6 million of interest expense related to our loan participations sold.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

TERM LOANS, NET

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

As of March 31, 2024, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans Face Value Interest Rate (1)

12 unchanged sentences

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

During the three and nine months ended September 30, 2023, we recorded $ 47.0 million and $ 133.8 million, respectively, of interest expense related to our Term Loans, including $ 2.3 million and $ 6.9 million, respectively, of amortization of deferred fees and expenses.

During the three months ended March 31, 2024, we recorded $ 46.7 million of interest expense related to our Term Loans, including $ 2.3 million of amortization of deferred fees and expenses.

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Face value $ 2,129,723 $ 2,135,221

2 unchanged sentences

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

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

As of March 31, 2024 and December 31, 2023, we were in compliance with this covenant.

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

SENIOR SECURED NOTES, NET

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

As of March 31, 2024, the following senior secured notes, or 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 and nine months ended September 30, 2023, we recorded $ 3.9 million and $ 12.0 million, respectively, of interest expense related to our Senior Secured Notes, including $ 288,000 and $ 882,000 , respectively, of amortization of deferred fees and expenses.

During the three months ended September 30, 2023, we repurchased an aggregate principal amount of $ 33.4 million of the Senior Secured Notes at a weighted-average price of 85 %.

This resulted in a gain on extinguishment of debt of $ 4.5 million during both the three and nine months ended September 30, 2023.

There was no repurchase activity in the three and nine months ended September 30, 2022.

During the three months ended March 31, 2024, we recorded $ 3.6 million of interest expense related to our Senior Secured Notes, including $ 267,000 of amortization of deferred fees and expenses.

During the three months ended March 31, 2024, we repurchased an aggregate principal amount of $ 26.2 million of the Senior Secured Notes at a weighted-average price of 88 %.

This resulted in a gain on extinguishment of debt of $ 3.0 million during the three months ended March 31, 2024.

There was no repurchase activity during the three months ended March 31, 2023.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Face value $ 339,918 $ 366,090

2 unchanged sentences

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

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

As of March 31, 2024 and December 31, 2023, 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.

1 unchanged sentence

CONVERTIBLE NOTES, NET

During the nine months ended September 30, 2023, we repaid the aggregate $ 220.0 million principal amount of our March 2018 convertible notes at maturity on March 15, 2023.

As of September 30, 2023, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

As of March 31, 2024, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

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

Conversion Price (2)

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

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

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

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

(2) Represents the price of class A common stock per share based on a conversion rate of 27.5702 for the Convertible Notes.

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

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

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

Thereafter, the March 2022 convertible notes are convertible at the option of the holder at any time until the second scheduled trading day immediately preceding the maturity date.

The last reported sale price of our class A common stock of $ 21.75 on September 29, 2023, the last trading day in the quarter ended September 30, 2023, was less than the per share conversion price of the March 2022 convertible notes.

The cumulative dividend threshold has not been exceeded as of March 31, 2024.

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

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

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

The last reported sale price of our class A common stock of $ 19.91 on March 28, 2024, the last trading day in the three months ended March 31, 2024, was less than the per share conversion price of the Convertible Notes.

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Face value $ 300,000 $ 300,000

4 unchanged sentences

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

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

2023 2022 2023 2022

Three Months Ended March 31,

Cash coupon $ 4,125 $ 6,264

1 unchanged sentence

Total interest expense $ 4,444 $ 6,895

Accrued interest payable for the Convertible Notes was $ 733,000 and $ 7.9 million as of September 30, 2023 and December 31, 2022, respectively.

Accrued interest payable for the Convertible Notes was $ 733,000 and $ 4.9 million as of March 31, 2024 and December 31, 2023, respectively.

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

11 unchanged sentences

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Foreign Currency Derivatives Number of

1 unchanged sentence

Buy USD / Sell SEK Forward 2 kr 972,981 Buy USD / Sell SEK Forward 2 kr 973,246

Buy USD / Sell GBP Forward 8 £ 722,576 Buy USD / Sell EUR Forward 8 € 722,311

Buy USD / Sell EUR Forward 9 € 674,926 Buy USD / Sell GBP Forward 7 £ 696,919

Buy USD / Sell GBP Forward 8 £ 668,465 Buy USD / Sell EUR Forward 8 € 673,644

Buy USD / Sell AUD Forward 8 A$ 483,758 Buy USD / Sell AUD Forward 10 A$ 471,989

1 unchanged sentence

195,565 Buy USD / Sell DKK Forward 2 kr.

Buy USD / Sell CHF Forward 3 CHF 7,873 Buy USD / Sell CAD Forward 2 C$ 22,187

Buy USD / Sell CHF Forward 2 CHF 5,263

Buy USD / Sell CHF Forward 1 CHF 7,352 Buy USD / Sell CHF Forward 4 CHF 8,352

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Non-designated Hedges Number of

Buy GBP / Sell USD Forward 1 £ 14,300 Buy GBP / Sell USD Forward 2 £ 109,076

Buy USD / Sell GBP Forward 1 £ 14,300 Buy USD / Sell GBP Forward 2 £ 109,076

Buy GBP / Sell USD Forward 4 £ 48,700 Buy SEK / Sell USD Forward 1 kr 30,800

Buy USD / Sell GBP Forward 4 £ 48,700 Buy USD / Sell SEK Forward 1 kr 30,800

Buy GBP / Sell USD Forward 2 £ 26,900

Buy USD / Sell GBP Forward 2 £ 26,900

Buy AUD / Sell USD Forward 1 A$ 7,600

4 unchanged sentences

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

September 30, 2023

March 31, 2024

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

1 unchanged sentence

Interest Rate Swaps 1 $ 229,858 4.60 % SOFR 0.6

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

December 31, 2023

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

Maturity (Years)

Interest Rate Swaps 1 $ 229,858 4.60 % SOFR 0.9

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 September 30, 2023, we estimate that an additional $ 1.6 million will be reclassified from accumulated other comprehensive income (loss) as a decrease to interest expense.

During the twelve months following March 31, 2024, we estimate that an additional $ 723,000 will be reclassified from accumulated other comprehensive income (loss) as a decrease to interest expense.

Blackstone Mortgage Trust, Inc.

3 unchanged sentences

Increase (Decrease) to Net Interest Income Recognized from Derivatives

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

in Hedging Relationships

Location of Income

Three Months Ended March 31,

Derivatives in Hedging Relationships Location of Income

(Expense) Recognized

2023 2022 2023 2022

Designated Hedges Interest Income (1)

2 unchanged sentences

Non-Designated Hedges Interest Income (1)

2 ( 8 ) 70 ( 15 )

Non-Designated Hedges Interest Expense (3)

( 2 ) 11 ( 64 ) 75

Total $ 4,838 $ 8,443

8 unchanged sentences

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

September 30, 2023 December 31, 2022 September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023 March 31, 2024 December 31, 2023

Derivatives designated as hedging instruments:

13 unchanged sentences

Derivatives in Hedging Relationships

Amount of Gain (Loss) Recognized in

OCI on Derivatives

Amount of (Loss) Gain Recognized in

OCI on Derivatives Location of

from Accumulated OCI into Income Amount of

Gain Reclassified from

Gain (Loss) Reclassified from

Accumulated OCI into Income

Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023 Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023

Three Months Ended March 31, Three Months Ended March 31,

2024 2023 2024 2023

Net Investment Hedges

4 unchanged sentences

Total $ 46,573 $ ( 24,052 ) $ 425 $ —

(1) During the three and nine months ended September 30, 2023, we paid net cash settlements of $ 44.7 million and $ 183.9 million, respectively, on our foreign currency forward contracts.

(1) During the three months ended March 31, 2024 and 2023, we paid net cash settlements of $ 67.3 million and $ 131.3 million on our foreign currency forward contracts, respectively.

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

(2) During the three and nine months ended September 30, 2023, we recorded total interest and related expenses of $ 354.0 million and $ 1.0 billion, respectively, which were reduced by $ 384,000 and $ 459,000 , respectively, related to income generated by our cash flow hedges.

(2) During the three months ended March 31, 2024, we recorded total interest and related expenses of $ 343.7 million which was reduced by $ 425,000 related to income generated by 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 September 30, 2023, we were in a net asset position with our counterparties.

As of September 30, 2023, we had no collateral posted with our counterparties.

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 with our counterparties of $ 103.1 million.

As of March 31, 2024, we were in a net asset position with our counterparties.

As of March 31, 2024, we had no collateral posted with our counterparties.

As of December 31, 2023, we were in a net liability position with our counterparties.

As of December 31, 2023, we had $ 103.5 million of collateral posted with our counterparties.

Stock and Stock Equivalents

Authorized Capital

As of September 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.

As of March 31, 2024, we had the authority to issue up to 500,000,000 shares of stock, consisting of 400,000,000 shares of class A common stock and 100,000,000 shares of preferred stock.

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

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

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

We did not have any shares of preferred stock issued and outstanding as of March 31, 2024 and December 31, 2023.

Class A Common Stock and Deferred Stock Units

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

Vested deferred stock units will be settled for shares of class A common stock when the recipient ceases to be a director.

Blackstone Mortgage Trust, Inc.

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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:

Nine Months Ended September 30,

Three Months Ended March 31,

Common Stock Outstanding (1)

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Issuance of class A common stock (2)

5,079 2,308,889

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

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Ending balance 173,952,478 172,600,597

(1) Includes 349,232 and 399,512 deferred stock units held by members of our board of directors as of September 30, 2023 and 2022, respectively.

(2) Includes 5,079 and 5,420 shares issued under our dividend reinvestment program during the nine months ended September 30, 2023 and 2022, respectively.

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

(4) Net of 15,477 and 33,250 shares of restricted class A common stock forfeited under our stock-based incentive plans during the nine months ended September 30, 2023 and 2022, respectively.

(1) Includes 370,173 and 316,479 deferred stock units held by members of our board of directors as of March 31, 2024 and 2023, respectively.

(2) Represents shares issued under our dividend reinvestment program during the three months ended March 31, 2024 and 2023, respectively.

(3) Includes 1,774 restricted shares issued to our board of directors during the three months ended March 31, 2023.

No restricted shares were issued to our board of directors during the three months ended March 31, 2024.

(4) Net of 92,167 shares of restricted class A common stock forfeited under our stock-based incentive plans during the three months ended March 31, 2024.

There were no forfeitures during the three months ended March 31, 2023.

Dividend Reinvestment and Direct Stock Purchase Plan

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

During the nine months ended September 30, 2023 and 2022, we issued 5,079 shares and 5,420 shares, respectively, of class A common stock under the dividend reinvestment component of the plan.

As of September 30, 2023, a total of 9,976,469 shares of class A common stock remained available for issuance under the dividend reinvestment and direct stock purchase plan.

During the three months ended March 31, 2024 and 2023, we issued 1,436 shares and 1,377 shares, respectively, of class A common stock under the dividend reinvestment component of the plan.

As of March 31, 2024, a total of 9,973,525 shares of class A common stock remained available for issuance under the dividend reinvestment and direct stock purchase plan.

At the Market Stock Offering Program

As of September 30, 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 March 31, 2024, we are party to seven equity distribution agreements, or ATM Agreements, pursuant to which we may sell, from time to time, up to an aggregate sales price of $ 699.1 million of our class A common stock.

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

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

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

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

As of September 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.

During the three months ended March 31, 2024 or March 31, 2023, we did no t issue any shares of our class A common stock under ATM Agreements.

As of March 31, 2024, sales of our class A common stock with an aggregate sales price of $ 480.9 million remained available for issuance under our ATM Agreements.

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

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

On September 15, 2023, we declared a dividend of $ 0.62 per share, or $ 106.8 million in aggregate, that was paid on October 13, 2023 to stockholders of record as of September 29, 2023.

On March 15, 2024, we declared a dividend of $ 0.62 per share, or $ 107.7 million in aggregate, that was paid on April 15, 2024 to stockholders of record as of March 28, 2024.

Blackstone Mortgage Trust, Inc.

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

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

2023 2022 2023 2022

Three Months Ended March 31,

Dividends declared per share of common stock $ 0.62 $ 0.62

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

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

2023 2022 2023 2022

Three Months Ended March 31,

Basic Earnings

Net income (1)

Net (loss) income (1)

$ ( 123,838 ) $ 117,757

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Diluted Earnings

Net income (1)

Net (loss) income (1)

$ ( 123,838 ) $ 117,757

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

— 5,905 10,667 14,218

Diluted earnings $ ( 123,838 ) $ 121,313

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Effect of dilutive securities - Convertible Notes (3)

— 14,344,204 8,271,060 11,708,372

Weighted-average common shares outstanding, diluted 174,041,630 180,869,409

Per share amount, diluted $ ( 0.71 ) $ 0.67

(1) Represents net income attributable to Blackstone Mortgage Trust.

(1) Represents net (loss) income attributable to Blackstone Mortgage Trust.

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

(3) For the three months ended September 30, 2023, our Convertible Notes were not included in the calculation of diluted earnings per share, as the impact is antidilutive.

For the nine months ended September 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 nine months ended September 30, 2022, represents 8.3 million and 6.1 million of weighted-average shares, using the if-converted method, related to our March 2022 and March 2018 convertible notes, respectively.

Our March 2018 convertible notes were repaid during the nine months ended September 30, 2023.

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

(3) For the three months ended March 31, 2024, our Convertible Notes were no t included in the calculation of diluted earnings per share, as the impact is antidilutive.

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.

Refer to Note 12 for further discussion of our convertible notes.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Other Balance Sheet Items

Accumulated Other Comprehensive Income

As of September 30, 2023, total accumulated other comprehensive income was $ 10.6 million, primarily representing $ 281.8 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $ 271.2 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.

As of March 31, 2024, total accumulated other comprehensive income was $ 9.9 million, primarily representing $ 230.0 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $ 220.1 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.

As of December 31, 2023, total accumulated other comprehensive income was $ 9.5 million, primarily representing $ 183.9 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $ 174.4 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.

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

As of September 30, 2023, our Multifamily Joint Venture’s total equity was $ 151.0 million, of which $ 128.3 million was owned by us, and $ 22.7 million was allocated to non-controlling interests.

As of March 31, 2024, our Multifamily Joint Venture’s total equity was $ 132.2 million, of which $ 112.4 million was owned by us, and $ 19.8 million was allocated to non-controlling interests.

As of December 31, 2023, our Multifamily Joint Venture’s total equity was $ 132.0 million, of which $ 112.2 million was owned by us, and $ 19.8 million was allocated to non-controlling interests.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

OTHER EXPENSES

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Management and Incentive Fees

Pursuant to a management agreement between our Manager and us, or our Management Agreement, our Manager earns a base management fee in an amount equal to 1.50 % per annum multiplied by our outstanding equity balance, as defined in the Management Agreement.

In addition, our Manager is entitled to an incentive fee in an amount equal to the product of (i) 20 % and (ii) the excess of (a) our Core Earnings (as defined in our Management Agreement) for the previous 12-month period over (b) an amount equal to 7.00 % per annum multiplied by our outstanding Equity, provided that our Core Earnings over the prior three-year period is greater than zero .

In addition, our Manager is entitled to an incentive fee in an amount equal to the product of (i) 20 % and (ii) the excess of (a) our Core Earnings (as defined in our Management Agreement) for the previous 12-month period over (b) an amount equal to 7.00 % per annum multiplied by our Equity, provided that our Core Earnings over the prior three-year period is greater than zero .

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

During the three and nine months ended September 30, 2023, we incurred $ 18.8 million and $ 56.0 million, respectively, of management fees payable to our manager, compared with $ 18.3 million and $ 54.6 million, respectively, during the same periods in 2022.

In addition, during the three and nine months ended September 30, 2023, we incurred $ 10.1 million and $ 36.8 million, respectively, of incentive fees payable to our Manager, compared with $ 7.6 million and $ 21.9 million, respectively, during the same periods in 2022.

As of September 30, 2023 and December 31, 2022 we had accrued management and incentive fees payable to our Manager of $ 28.9 million and $ 33.8 million, respectively.

During the three months ended March 31, 2024 and 2023, we incurred $ 18.9 million and $ 18.6 million, respectively, of management fees payable to our manager.

During the three months ended March 31, 2024, we did not incur incentive fees payable to our Manager.

During the three months ended March 31, 2023, we incurred $ 12.5 million of incentive fees payable to our Manager.

As of March 31, 2024 and December 31, 2023 we had accrued management and incentive fees payable to our Manager of $ 18.9 million and $ 26.3 million, respectively.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

General and Administrative Expenses

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

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

2023 2022 2023 2022

Three Months Ended March 31,

Professional services $ 4,140 $ 3,279

Operating and other costs 1,476 1,931

4,395 4,713 14,962 12,415

Non-cash compensation expenses

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Total general and administrative expenses $ 13,728 $ 12,865

(1) During the three and nine months ended September 30, 2023, we recognized an aggregate $ 230,000 and $ 826,000 , respectively, of expenses related to our Multifamily Joint Venture.

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

(1) During the three months ended March 31, 2024 and 2023, we recognized an aggregate $ 223,000 and $ 308,000 , 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 September 30, 2023 and December 31, 2022, we were in compliance with all REIT requirements.

As of March 31, 2024 and December 31, 2023, we were in compliance with all REIT requirements.

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

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

During the three and nine months ended September 30, 2023, we recorded a current income tax provision of $ 1.6 million and $ 4.7 million, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

During the three and nine months ended September 30, 2022, we recorded a current income tax provision of $ 1.2 million and $ 2.1 million, respectively.

We did not have any deferred tax assets or liabilities as of September 30, 2023 or December 31, 2022.

During the three months ended March 31, 2024 and 2023, we recorded a current income tax provision of $ 1.0 million, and $ 1.9 million, respectively, primarily related to activities of our U.S.

and foreign taxable subsidiaries and various state and local taxes.

We did not have any deferred tax assets or liabilities as of March 31, 2024 or December 31, 2023.

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

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

As of September 30, 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 March 31, 2024, 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.

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

As of September 30, 2023, tax years 2019 through 2022 remain subject to examination by taxing authorities.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

As of March 31, 2024, tax years 2020 through 2023 remain subject to examination by taxing authorities.

STOCK-BASED INCENTIVE PLANS

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

However, as of September 30, 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 March 31, 2024, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through our issuance of stock-based instruments.

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

As of September 30, 2023, there were 8,677,254 shares available under our current stock incentive plans.

As of March 31, 2024, there were 7,373,003 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.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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

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Forfeited ( 92,167 ) 24.40

Balance as of September 30, 2023

Balance as of March 31, 2024

2,345,996 $ 23.57

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

The 1,539,475 shares of restricted class A common stock outstanding as of September 30, 2023 will vest as follows:

The 2,345,996 shares of restricted class A common stock outstanding as of March 31, 2024 will vest as follows:

1,055,359 shares will vest in 2024;

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and 441,800 shares will vest in 2026.

As of September 30, 2023, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 38.4 million based on the grant date fair value of shares granted.

This cost is expected to be recognized over a weighted-average period of 1.0 years from September 30, 2023.

As of March 31, 2024, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 50.8 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 March 31, 2024.

Assets and Liabilities Measured at Fair Value

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

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

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Financial assets

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

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Loans receivable $ 2,973,831 $ 3,061,278

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

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

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

Blackstone Mortgage Trust, Inc.

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We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2024, and will be automatically renewed for a one-year term upon such date and each anniversary thereafter unless earlier terminated.

As of September 30, 2023 and December 31, 2022, our consolidated balance sheets included $ 28.9 million and $ 33.8 million of accrued management and incentive fees payable to our Manager, respectively.

During the three and nine months ended September 30, 2023, we paid aggregate management and incentive fees of $ 32.8 million and $ 97.7 million, respectively, to our Manager, compared to $ 27.1 million and $ 78.9 million, respectively, during the same period of 2022.

In addition, during the three and nine months ended September 30, 2023, we incurred expenses of $ 325,000 and $ 2.3 million, respectively, that were paid by our Manager and will be reimbursed by us, compared to $ 163,000 and $ 723,000 , respectively, of such expenses during the same period of 2022.

As of September 30, 2023, our Manager held 762,845 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 20.6 million, and vest in installments over three years from the date of issuance.

During the three and nine months ended September 30, 2023, we recorded non-cash expenses related to shares held by our Manager of $ 3.9 million and $ 11.7 million, respectively, compared to $ 4.1 million and $ 12.5 million during the same period in 2022.

As of March 31, 2024, our consolidated balance sheet included $ 18.9 million of accrued management fees payable to our Manager and no accrued incentive fees.

As of December 31, 2023, our consolidated balance sheet included $ 26.3 million of accrued management and incentive fees payable to our Manager.

During the three months ended March 31, 2024, we paid aggregate management and incentive fees of $ 26.3 million, compared to $ 33.8 million during the same period of 2023.

In addition, during the three months ended March 31, 2024, we incurred expenses of $ 221,000 that were paid by our Manager and will be reimbursed by us, compared to $ 382,000 of such expenses during the same period of 2023.

As of March 31, 2024, our Manager held 1,207,623 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 29.3 million, and vest in installments over three years from the date of issuance.

During the three months ended March 31, 2024 and 2023, we recorded non-cash expenses related to shares held by our Manager of $ 4.3 million and $ 3.9 million, respectively.

Refer to Note 17 for further details on our restricted class A common stock.

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

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

During the three and nine months ended September 30, 2023, we incurred $ 320,000 and $ 800,000 , respectively, of expenses for various administrative and operations services to third-party service providers that are affiliates of our Manager, compared to $ 88,000 and $ 280,000 , respectively, during the same period of 2022.

As of March 31, 2024, our Manager, its affiliates, Blackstone employees, and our directors held an aggregate 12,848,779 shares, or 7.4 %, of our class A common stock, of which 7,582,044 shares, or 4.4 %, were held by subsidiaries of Blackstone, including our Manager.

Additionally, our directors held 370,173 of deferred stock units as of March 31, 2024.

CT Investment Management Co., LLC, or CTIMCO, an affiliate of our Manager, is the special servicer of the CLOs.

CTIMCO did not earn any special servicing fees related to the CLOs during the during the three months ended March 31, 2024 and 2023.

We have engaged EQ Management, LLC, a portfolio company owned by a Blackstone-advised investment vehicle, to provide management services and operational services, as well as a limited scope of corporate support services, to our REO asset.

During the three months ended March 31, 2024, we did not incur any expenses for these services.

In the first quarter of 2024, in order to provide insurance for our REO asset, we became a member of Gryphon Mutual Property Americas IC, or Gryphon, a captive insurance company owned by us and other Blackstone-advised investment vehicles.

A Blackstone affiliate provides oversight and advisory services to Gryphon and receives fees based on a percentage of premiums paid for such policies.

The fees and expenses of Gryphon, including insurance premiums and fees paid to its manager, are paid annually and borne by us and the other Blackstone-advised investment vehicles that are members of Gryphon pro rata based on insurance premiums paid for each party’s respective properties.

During the three months ended March 31, 2024, we paid $ 109,000 to Gryphon for insurance costs, inclusive of premiums, capital surplus contributions, taxes, and our pro rata share of other expenses.

This amount covers the period starting on the date we became a member of Gryphon and ending in July, when the annual payment for the upcoming policy period will be due for us and the other Blackstone-advised investment vehicles that are members of Gryphon.

Of this amount, $ 2,000 was attributable to the fee paid to a Blackstone affiliate to provide oversight and management services to Gryphon.

We have engaged Revantage Corporate Services, LLC and Revantage Global Services Europe S.à r.l., portfolio companies owned by Blackstone-advised investment vehicles, to provide, as applicable, corporate support services, operational services, and management services.

These services are provided on an allocated cost basis.

During the three months ended March 31, 2024 and 2023, we incurred $ 251,000 and $ 214,000 , respectively, of expenses to this service provider.

Additionally, we have engaged an affiliate of our Manager to provide internal audit services.

During both the three months ended March 31, 2024 and 2023, we incurred $ 24,000 of expenses to this service provider.

Affiliates of our Manager own an interest in the controlling entity of BTIG, LLC, or BTIG.

We utilized BTIG as a broker to engage third-parties to facilitate our repurchase of our Senior Secured Notes.

During the three months ended March 31, 2024, we repurchased $ 26.2 million of our Senior Secured Notes utilizing BTIG as a broker.

BTIG received aggregate fees of $ 40,000 in such capacity.

The fees were on terms equivalent to those of other brokers under similar arrangements.

BTIG did not act as a broker to engage third parties to repurchase our Senior Secured Notes during the three months ended March 31, 2023.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

In the first quarter of 2024, a Blackstone-advised investment vehicle originated a loan to one of our unaffiliated third-party borrowers, the proceeds of which repaid a $ 98.6 million performing senior loan owned by us.

The transaction was initiated by the third-party borrower with the loan terms and pricing on market terms.

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.

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Unfunded Commitments Under Loans Receivable

As of September 30, 2023, we had aggregate unfunded commitments of $ 2.7 billion across 101 loans receivable, and $ 1.5 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.

As of March 31, 2024, we had aggregate unfunded commitments of $ 2.1 billion across 90 loans receivable, and $ 1.0 billion of committed or identified financings for those commitments, resulting in net unfunded commitments of $ 1.0 billion.

The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs.

Loan funding commitments are generally subject to certain conditions, including, without limitation, the progress of capital projects, leasing, and cash flows at the properties securing our loans.

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

We expect to fund our loan commitments over the remaining term of the related loans, which have a weighted-average future funding period of 2.2 years.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Principal Debt Repayments

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

Our contractual principal debt repayments as of March 31, 2024 were as follows ($ in thousands):

Asset-Specific Debt (1)

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Refer to Note 12 for further details on our Convertible Notes.

(4) Total does not include $ 2.5 billion of consolidated securitized debt obligations, $ 1.1 billion of non-consolidated senior interests, and $ 275.7 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.

(4) Total does not include $ 2.3 billion of consolidated securitized debt obligations, $ 742.6 million of non-consolidated senior interests, and $ 335.3 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Board of Directors’ Compensation

As of September 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.

As of March 31, 2024, of the nine members of our board of directors, our seven non-employee directors are entitled to annual compensation of $ 210,000 each, of which $ 95,000 is paid in cash and $ 115,000 is paid in the form of deferred stock units or, at their election, shares of restricted common stock.

As of March 31, 2024, the other two board members, the chair of the board 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.

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

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

As of March 31, 2024, 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