BLACKSTONE MORTGAGE TRUST, INC. 10-Q

ITEM 1. FINANCIAL STATEMENTS Blackstone Mortgage Trust, Inc. Consolidated Balance Sheets (Unaudited) (in thousands, except share data) March 31, 2024 December 31, 2023 Assets Cash and cash equivalents $ 413,986 $ 350,014 Loans receivable 23,189,312 23,787,012 Current expected credit loss reserve ( 751,370 ) ( 576,936 ) Loans receivable, net 22,437,942 23,210,076 Real estate owned, net 60,203 — Other assets 353,732 476,088 Total Assets $ 23,265,863 $ 24,036,178 Liabilities and Equity Secured debt, net $ 12,387,289 $ 12,683,095 Securitized debt obligations, net 2,328,073 2,505,417 Asset-specific debt, net 1,061,380 1,000,210 Loan participations sold, net 334,909 337,179 Term loans, net 2,098,415 2,101,632 Senior secured notes, net 337,083 362,763 Convertible notes, net 296,166 295,847 Other liabilities 257,961 362,531 Total Liabilities 19,101,276 19,648,674 Commitments and contingencies — — Equity 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 1,736 1,732 Additional paid-in capital 5,515,820 5,507,459 Accumulated other comprehensive income 9,870 9,454 Accumulated deficit ( 1,382,673 ) ( 1,150,934 ) Total Blackstone Mortgage Trust, Inc. stockholders’ equity 4,144,753 4,367,711 Non-controlling interests 19,834 19,793 Total Equity 4,164,587 4,387,504 Total Liabilities and Equity $ 23,265,863 $ 24,036,178 Note: 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. See accompanying notes to consolidated financial statements. 3 Blackstone Mortgage Trust, Inc. Consolidated Statements of Operations (Unaudited) (in thousands, except share and per share data) Three Months Ended March 31, 2024 2023 Income from loans and other investments Interest and related income $ 486,122 $ 491,384 Less: Interest and related expenses 343,730 317,197 Income from loans and other investments, net 142,392 174,187 Other expenses Management and incentive fees 18,927 31,050 General and administrative expenses 13,728 12,865 Total other expenses 32,655 43,915 Increase in current expected credit loss reserve ( 234,868 ) ( 9,823 ) Gain on extinguishment of debt 2,963 — (Loss) income before income taxes ( 122,168 ) 120,449 Income tax provision 1,002 1,893 Net (loss) income ( 123,170 ) 118,556 Net income attributable to non-controlling interests ( 668 ) ( 799 ) Net (loss) income attributable to Blackstone Mortgage Trust, Inc. $ ( 123,838 ) $ 117,757 Net (loss) income per share of common stock Basic $ ( 0.71 ) $ 0.68 Diluted $ ( 0.71 ) $ 0.67 Weighted-average shares of common stock outstanding Basic 174,041,630 172,598,349 Diluted 174,041,630 180,869,409 See accompanying notes to consolidated financial statements. 4 Blackstone Mortgage Trust, Inc. Consolidated Statements of Comprehensive Income (Unaudited) (in thousands) Three Months Ended March 31, 2024 2023 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 (loss) income attributable to Blackstone Mortgage Trust, Inc. $ ( 123,422 ) $ 115,563 See accompanying notes to consolidated financial statements. 5 Blackstone Mortgage Trust, Inc. Consolidated Statements of Changes in Equity (Unaudited) (in thousands) Blackstone Mortgage Trust, Inc. Class A Common Stock Additional Paid- In Capital Accumulated Other Comprehensive Income (Loss) Accumulated Deficit Stockholders’ Equity Non-Controlling Interests Total Equity Balance at December 31, 2022 $ 1,717 $ 5,475,804 $ 10,022 $ ( 968,749 ) $ 4,518,794 $ 25,406 $ 4,544,200 Restricted class A common stock earned 6 7,486 — — 7,492 — 7,492 Dividends reinvested — 287 — — 287 — 287 Deferred directors’ compensation — 163 — — 163 — 163 Net income — — — 117,757 117,757 799 118,556 Other comprehensive loss — — ( 2,194 ) — ( 2,194 ) — ( 2,194 ) Dividends declared on common stock and deferred stock units, $ 0.62 per share — — — ( 107,072 ) ( 107,072 ) — ( 107,072 ) Distributions to non-controlling interests — — — — — ( 733 ) ( 733 ) Balance at March 31, 2023 $ 1,723 $ 5,483,740 $ 7,828 $ ( 958,064 ) $ 4,535,227 $ 25,472 $ 4,560,699 Balance at December 31, 2023 $ 1,732 $ 5,507,459 $ 9,454 $ ( 1,150,934 ) $ 4,367,711 $ 19,793 $ 4,387,504 Restricted class A common stock earned 4 7,907 — — 7,911 — 7,911 Dividends reinvested — 253 — — 253 — 253 Deferred directors’ compensation — 201 — — 201 — 201 Net (loss) income — — — ( 123,838 ) ( 123,838 ) 668 ( 123,170 ) Other comprehensive income — — 416 — 416 — 416 Dividends declared on common stock and deferred stock units, $ 0.62 per share — — — ( 107,901 ) ( 107,901 ) — ( 107,901 ) Distributions to non-controlling interests — — — — — ( 627 ) ( 627 ) Balance at March 31, 2024 $ 1,736 $ 5,515,820 $ 9,870 $ ( 1,382,673 ) $ 4,144,753 $ 19,834 $ 4,164,587 See accompanying notes to consolidated financial statements. 6 Blackstone Mortgage Trust, Inc. Consolidated Statements of Cash Flows (Unaudited) (in thousands) Three Months Ended March 31, 2024 2023 Cash flows from 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 ( 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 loss on derivative financial instruments, net 482 541 Realized gain on derivative financial instruments, net ( 4,895 ) ( 8,948 ) Changes in assets and liabilities, net Other assets 8,334 10,422 Other liabilities ( 17,946 ) ( 20,932 ) Net cash provided by operating activities 94,610 109,617 Cash flows from investing activities Principal fundings of loans receivable ( 301,678 ) ( 369,256 ) 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 Payments under derivative financial instruments ( 72,113 ) ( 136,689 ) Receipts under derivative financial instruments 4,815 5,370 Collateral deposited under derivative agreements ( 16,990 ) ( 79,970 ) Return of collateral deposited under derivative agreements 120,490 172,710 Net cash provided by investing activities 376,316 157,087 continued… See accompanying notes to consolidated financial statements. 7 Blackstone Mortgage Trust, Inc. Consolidated Statements of Cash Flows (Unaudited) (in thousands) Three Months Ended March 31, 2024 2023 Cash flows from financing activities Borrowings under secured debt $ 529,753 $ 947,245 Repayments under secured debt ( 671,610 ) ( 521,407 ) Repayments of securitized debt obligations ( 178,058 ) ( 1,807 ) Borrowings under asset-specific debt 60,387 78,496 Repayments under asset-specific debt — ( 206,300 ) Repayments of term loans ( 5,499 ) ( 5,499 ) Repurchases of senior secured notes ( 22,984 ) — Repayment of convertible notes — ( 220,000 ) Payment of deferred financing costs ( 8,315 ) ( 7,265 ) Distributions to non-controlling interests ( 627 ) ( 733 ) Dividends paid on class A common stock ( 107,390 ) ( 106,455 ) 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 Effects of currency translation on cash and cash equivalents ( 2,611 ) 1,489 Cash and cash equivalents at end of period $ 413,986 $ 515,808 Supplemental disclosure of cash flows information Payments of interest $ ( 343,609 ) $ ( 318,185 ) Payments of income taxes $ ( 1,161 ) $ ( 900 ) Supplemental disclosure of non-cash investing and financing activities Dividends declared, not paid $ ( 107,678 ) $ ( 106,816 ) 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. 8 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (Unaudited) 1. ORGANIZATION References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us” or “our” refer to Blackstone Mortgage Trust, Inc., a Maryland corporation, and its subsidiaries unless the context specifically requires otherwise. Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate in North America, Europe, and Australia. 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 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. We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of Blackstone Inc., or Blackstone, and are a real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.” Our principal executive offices are located at 345 Park Avenue, 24th Floor, New York, New York 10154. We conduct our operations as a REIT for U.S. federal income tax purposes. We generally will not be subject to U.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, for interim financial information and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. The consolidated financial statements, including the notes thereto, are unaudited and exclude some of the disclosures required in audited financial statements. We believe we have made all necessary adjustments, consisting of only normal recurring items, so that the consolidated financial statements are presented fairly and that estimates made in preparing our consolidated financial statements are reasonable and prudent. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. The accompanying unaudited consolidated interim financial statements should be read in conjunction with the audited consolidated financial statements included in our Annual Report on Form 10-K for the fiscal year ended December 31, 2023 filed with the Securities and Exchange Commission, or the SEC. Basis of Presentation The accompanying consolidated financial statements include, on a consolidated basis, our accounts, the accounts of our wholly-owned subsidiaries, majority-owned subsidiaries, and variable interest entities, or VIEs, of which we are the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. 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 We consolidate all entities that we control through either majority ownership or voting rights. In addition, we consolidate all VIEs of which we are considered the primary beneficiary. VIEs are defined as entities in which equity investors (i) do not have an interest with the characteristics of a controlling financial interest and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. In 2017, we entered into a joint venture, or our Multifamily Joint Venture, with Walker & Dunlop Inc. to originate, hold, and finance multifamily bridge loans. Pursuant to the terms of the agreements governing the joint venture, Walker & 9 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Dunlop contributed 15 % of the venture’s equity capital and we contributed 85 %. We consolidate the Multifamily Joint Venture as we have a controlling financial interest. The non-controlling interests included on our consolidated balance sheets represent the equity interests in our Multifamily Joint Venture that are owned by Walker & Dunlop. A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these non-controlling interests based on Walker & Dunlop’s pro rata ownership of our Multifamily Joint Venture. Use of Estimates The preparation of consolidated financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results may ultimately differ materially from those estimates. Revenue Recognition Interest income from our loans receivable portfolio is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis. Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan as an adjustment to yield. Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in our opinion, recovery of income and principal becomes doubtful. Interest received is then recorded as income or as a reduction in the amortized cost basis, based on the specific facts and circumstances, until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. In addition, for loans we originate, the related origination expenses are deferred and recognized as a reduction to interest income, however expenses related to loans we acquire are included in general and administrative expenses as incurred. Cash and Cash Equivalents Cash and cash equivalents represent cash held in banks and liquid investments with original maturities of three months or less. We may have bank balances in excess of federally insured amounts; however, we deposit our cash and cash equivalents with high credit-quality institutions to minimize credit risk exposure. We have not experienced, and do not expect, any losses on our cash or cash equivalents. 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. Cash in these Servicing Accounts will be transferred by the respective third-party servicer to the borrower or us under the terms of the applicable loan agreement upon occurrence of certain future events. We do not generate any revenue or incur any expenses as a result of these Servicing Accounts. Loans Receivable We originate and purchase commercial real estate debt and related instruments generally to be held as long-term investments at amortized cost. 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 and notes receivable included in our consolidated balance sheets. 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. 10 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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. 1. The WARM method requires us to reference historic loan loss data across a comparable data set and apply such loss rate to each of our loans over their expected remaining term, taking into consideration expected economic conditions over the relevant timeframe. We apply the WARM method for the majority of our loan portfolio, which consists of loans that share similar risk characteristics. In certain instances, for loans with unique risk characteristics, we may instead use a probability-weighted model that considers the likelihood of default and expected loss given default for each such individual loan. 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 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. We believe this CMBS data, which includes month-over-month loan and property performance, is the most relevant, available, and comparable dataset to our portfolio. Our loans typically include commitments to fund incremental proceeds to our borrowers over the life of the loan. These future funding commitments are also subject to the CECL model. The CECL reserve related to future loan fundings is recorded as a component of other liabilities on our consolidated balance sheets. This CECL reserve is estimated using the same process outlined above for our outstanding loan balances, and changes in this component of the CECL reserve will similarly impact our consolidated net income. 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 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: • U.S. Loans : WARM method that incorporates a subset of historical loss data, expected weighted-average remaining maturity of our loan pool, and an economic view. • Non-U.S. Loans : WARM method that incorporates a subset of historical loss data, expected weighted-average remaining maturity of our loan pool, and an economic view. • Unique Loans : a probability of default and loss given default model, assessed on an individual basis. • Impaired Loans : impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan. 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 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. 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 deemed relevant by us. Actual losses, if any, could ultimately differ materially from these estimates. 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. However, non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected. Contractual Term and Unfunded Loan Commitments Expected credit losses are estimated over the contractual term of each loan, adjusted for expected 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 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, 11 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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 Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve. We perform a quarterly risk review of our portfolio of loans, and assign each loan a risk rating based on a variety of factors, including, without limitation, origination LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship. Based on a 5-point scale, our loans are rated “l” through “5,” from less risk to greater risk, relative to our loan portfolio in the aggregate, which ratings are defined as follows: 1 - Very Low Risk 2 - Low Risk 3 - Medium Risk 4 - High Risk/Potential for Loss: A loan that has a risk of realizing a principal loss. 5 - Impaired/Loss Likely: A loan that has a very high risk of realizing a principal loss or has otherwise incurred a principal loss. Estimation of Economic Conditions 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. In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance. We 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 March 31, 2024. 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 12 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 We classify all derivative financial instruments as either other assets or other liabilities on our consolidated balance sheets at fair value. On the date we enter into a derivative contract, we designate each contract as (i) a hedge of a net investment in a foreign operation, or net investment hedge, (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability, or cash flow hedge, (iii) a hedge of a recognized asset or liability, or fair value hedge, or (iv) a derivative instrument not to be designated as a hedging derivative, or non-designated hedge. For all derivatives other than those designated as non-designated hedges, we formally document our hedge relationships and designation at the contract’s inception. This documentation includes the identification of the hedging instruments and the hedged items, its risk management objectives, strategy for undertaking the hedge transaction and our evaluation of the effectiveness of its hedged transaction. On a quarterly basis, we also formally assess whether the derivative we designated in each hedging relationship is expected to be, and has been, highly effective in offsetting changes in the value or cash flows of the hedged items. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued and the changes in fair value of the instrument are included in net income prospectively. Our net investment hedges are assessed using a method based on changes in spot exchange rates. Gains and losses, representing hedge components excluded from the assessment of effectiveness, are recognized in interest income on our consolidated statements of operations over the contractual term of our net investment hedges on a systematic and rational basis, as documented at hedge inception in accordance with our accounting policy election. All other changes in the fair value of our derivative instruments that qualify as hedges are reported as a component of accumulated other comprehensive income (loss) on our consolidated financial statements. Deferred gains and losses are reclassified out of accumulated other comprehensive income (loss) and into net income in the same period or periods during which the hedged transaction affects earnings, and are presented in the same line item as the earnings effect of the hedged item. 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. To the extent a derivative does not qualify for hedge accounting and is deemed a non-designated hedge, the changes in its fair value are included in net income concurrently. Proceeds or payments from periodic settlements of derivative instruments are classified on our consolidated statement of cash flows in the same section as the underlying hedged item. Secured Debt and Asset-Specific Debt We record investments financed with secured debt or asset-specific debt as separate assets and the related borrowings under any secured debt or asset-specific debt are recorded as separate liabilities on our consolidated balance sheets. Interest income earned on the investments and interest expense incurred on the secured debt or asset-specific debt are reported separately on our consolidated statements of operations. Loan Participations Sold In certain instances, we have executed a syndication of a non-recourse loan interest to a third-party. Depending on the particular structure of the syndication, the loan interest may remain on our GAAP balance sheet or, in other cases, the sale will be recognized and the loan interest will no longer be included in our consolidated financial statements. When these sales are not recognized under GAAP we reflect the transaction by recording a loan participation sold liability on our consolidated balance sheet, however this gross presentation does not impact stockholders’ equity or net income. When the sales are recognized, our balance sheet only includes our remaining loan interest, and excludes the interest in the loan that we sold. 13 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Term Loans We record our term loans as liabilities on our consolidated balance sheets. Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the term loans as additional non-cash interest expense. Senior Secured Notes We record our senior secured notes as liabilities on our consolidated balance sheets. Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the senior secured notes as additional non-cash interest expense. Convertible Notes Convertible note proceeds, unless issued with a substantial premium or an embedded conversion feature, are classified as debt. Additionally, shares issuable under our convertible notes are included in diluted earnings per share in our consolidated financial statements, if the effect is dilutive, using the if-converted method, regardless of settlement intent. Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the convertible notes as additional non-cash interest expense. Deferred Financing Costs The deferred financing costs that are included as a reduction in the net book value of the related liability on our consolidated balance sheets include issuance and other costs related to our debt obligations. These costs are amortized as interest expense using the effective interest method over the life of the related obligations. Underwriting Commissions and Offering Costs Underwriting commissions and offering costs incurred in connection with common stock offerings are reflected as a reduction of additional paid-in capital. Costs incurred that are not directly associated with the completion of a common stock offering are expensed when incurred. Fair Value of Financial Instruments The “Fair Value Measurements and Disclosures” Topic o f the FASB, or ASC 820, defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements under GAAP. Specifically, this guidance defines fair value based on exit price, or the price that would be received upon the sale of an asset or the transfer of a liability in an orderly transaction between market participants at the measurement date. ASC 820 also establishes a fair value hierarchy that prioritizes and ranks the level of market price observability used in measuring financial instruments. Market price observability is affected by a number of factors, including the type of financial instrument, the characteristics specific to the financial instrument, and the state of the marketplace, including the existence and transparency of transactions between market participants. Financial instruments with readily available quoted prices in active markets generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Financial instruments measured and reported at fair value are classified and disclosed based on the observability of inputs used in the determination, as follows: • Level 1: Generally includes only unadjusted quoted prices that are available in active markets for identical financial instruments as of the reporting date. • Level 2: Pricing inputs include quoted prices in active markets for similar instruments, quoted prices in less active or inactive markets for identical or similar instruments where multiple price quotes can be obtained, and other observable inputs, such as interest rates, yield curves, credit risks, and default rates. • Level 3: Pricing inputs are unobservable for the financial instruments and include situations where there is little, if any, market activity for the financial instrument. These inputs require significant judgment or estimation by management of third-parties when determining fair value and generally represent anything that does not meet the criteria of Levels 1 and 2. 14 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. Our assets that are recorded at fair value are discussed further in Note 18. We generally value our assets recorded at fair value by either (i) discounting expected cash flows based on assumptions regarding the collection of principal and interest and estimated market rates, or (ii) obtaining assessments from third-parties. For collateral-dependent loans that are identified as impaired, we measure impairment by comparing our estimation of the fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors. As of 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. We estimated the fair value of these loans receivable by considering a variety of inputs including property performance, market data, and comparable sales, as applicable. The significant unobservable inputs used include the exit capitalization rate assumption used to forecast the future sale price of the underlying real estate collateral, which ranged from 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. These disclosure requirements exclude certain financial instruments and all non-financial instruments. The following methods and assumptions are used to estimate the fair value of each class of financial instruments, for which it is practicable to estimate that value: • Cash and cash equivalents: The carrying amount of cash and cash equivalents approximates fair value. • Loans receivable, net: The fair values of these loans were estimated 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: The fair value of our foreign currency and interest rate contracts was estimated using advice from a third-party derivative specialist, based on contractual cash flows and observable inputs comprising foreign currency rates and credit spreads. • Secured debt, net: The fair value of these instruments was estimated based on the rate at which a similar credit facility would currently be priced. • Securitized debt obligations, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price. • Asset-specific debt, net: The fair value of these instruments was estimated based on the rate at which a similar agreement would currently be priced. 15 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) • Loan participations sold, net: The fair value of these instruments was estimated based on the value of the related loan receivable asset. • Term loans, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price. • Senior secured notes, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price. • Convertible notes, net: Each series of the convertible notes is actively traded and their fair values were obtained using quoted market prices. Income Taxes Our financial results generally do not reflect provisions for current or deferred income taxes on our REIT taxable income. We believe that we operate in a manner that will continue to allow us to be taxed as a REIT and, as a result, we generally do not expect to pay substantial corporate level taxes other than those payable by our taxable REIT subsidiaries. If we were to fail to meet these requirements, we may be subject to federal, state, and local income tax on current and past income, and penalties. Refer to Note 16 for additional information. Stock-Based Compensation Our stock-based compensation consists of awards issued to our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors that vest over the life of the awards, as well as deferred stock units issued to certain members of our board of directors. Stock-based compensation expense is recognized for these awards in net income on a variable basis over the applicable vesting period of the awards, based on the value of our class A common stock. Refer to Note 17 for additional information. Earnings per Share Basic earnings per share, or Basic EPS, is computed in accordance with the two-class method and is based on (i) the net earnings 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 and deferred stock units outstanding during the period. Our restricted class A common stock is considered a participating security, as defined by GAAP, and has been included in our Basic EPS under the two-class method as these restricted shares have the same rights as our other shares of class A common stock, including participating in any gains or losses. Diluted earnings per share, or Diluted EPS, is determined using the if-converted method, and is based on (i) the net earnings, adjusted for interest expense incurred on our convertible notes during the relevant period, net of incentive fees, allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by (ii) the weighted-average number of shares of our class A common stock, including restricted class A common stock, deferred stock units, and shares of class A common stock issuable under our convertible notes. Refer to Note 14 for additional discussion of earnings per share. Foreign Currency In the normal course of business, we enter into transactions not denominated in United States, or U.S., dollars. Foreign exchange gains and losses arising on such transactions are recorded as a gain or loss in our consolidated statements of operations. In addition, we consolidate entities that have a non-U.S. dollar functional currency. Non-U.S. dollar denominated assets and liabilities are translated to U.S. dollars at the exchange rate prevailing at the reporting date and income, expenses, gains, and losses are translated at the average exchange rate over the applicable period. Cumulative translation adjustments arising from the translation of non-U.S. dollar denominated subsidiaries are recorded in other comprehensive income (loss). 16 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. 3. LOANS RECEIVABLE, NET The following table details overall statistics for our loans receivable portfolio ($ in thousands): March 31, 2024 December 31, 2023 Number of loans 173 178 Principal balance $ 23,317,882 $ 23,923,719 Net book value $ 22,437,942 $ 23,210,076 Unfunded loan commitments (1) $ 2,089,678 $ 2,430,664 Weighted-average cash coupon (2) + 3.36 % + 3.37 % Weighted-average all-in yield (2) + 3.68 % + 3.71 % Weighted-average maximum maturity (years) (3) 2.2 2.4 (1) Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date. (2) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include 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. Excludes loans accounted for under the cost-recovery method. (3) Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date. As of 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. 17 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table details the index rate floors for our loans receivable portfolio as of March 31, 2024 ($ in thousands): Loans Receivable Principal Balance Index Rate Floors USD Non-USD (1) Total Fixed Rate $ 3,056 $ — $ 3,056 0.00% or no floor (2)(3) 4,696,417 6,576,621 11,273,038 0.01% to 1.00% floor 5,462,854 796,480 6,259,334 1.01% to 2.00% floor 2,140,690 297,798 2,438,488 2.01% to 3.00% floor 2,021,299 302,252 2,323,551 3.01% or more floor 811,712 208,703 1,020,415 Total (4) $ 15,136,028 $ 8,181,854 $ 23,317,882 (1) Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, Swiss Franc, and Danish Krone currencies. (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 %. Activity relating to our loans receivable portfolio was as follows ($ in thousands): Principal Balance Deferred Fees / Other Items (1) Net Book Value Loans Receivable, as of December 31, 2023 $ 23,923,719 $ ( 136,707 ) $ 23,787,012 Loan fundings 301,678 — 301,678 Loan repayments, sales, and cost-recovery proceeds ( 582,248 ) ( 16,818 ) ( 599,066 ) 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 March 31, 2024 $ 23,317,882 $ ( 128,570 ) $ 23,189,312 CECL reserve ( 751,370 ) Loans Receivable, net, as of March 31, 2024 $ 22,437,942 (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. 18 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The tables below detail the property type and geographic distribution of the properties securing the loans in our portfolio ($ in thousands): March 31, 2024 Property Type Number of Loans Net Book Value Total Loan Exposure (1) Net Loan Exposure (2) Net Loan Exposure Percentage of Portfolio Office 52 $ 9,015,982 $ 9,386,225 $ 7,506,985 36 % Multifamily 72 5,914,046 6,056,082 5,786,137 27 Hospitality 22 4,039,811 4,074,078 3,679,394 18 Industrial 12 2,206,047 2,218,051 2,183,685 10 Retail 6 710,899 734,077 682,268 3 Life Sciences / Studio 4 384,230 572,064 383,073 2 Other 5 918,297 919,390 887,326 4 Total loans receivable 173 $ 23,189,312 $ 23,959,967 $ 21,108,868 100 % CECL reserve ( 751,370 ) Loans receivable, net $ 22,437,942 Geographic Location Number of Loans Net Book Value Total Loan Exposure (1) Net Loan Exposure (2) Net Loan Exposure Percentage of Portfolio United States Sunbelt 64 $ 5,538,223 $ 5,673,573 $ 5,193,296 24 % Northeast 29 5,281,002 5,323,035 4,202,278 20 West 29 2,886,106 3,487,130 2,703,588 13 Midwest 9 932,127 934,675 780,034 4 Northwest 6 407,043 410,193 407,341 2 Subtotal 137 15,044,501 15,828,606 13,286,537 63 International United Kingdom 19 3,432,167 3,400,320 3,145,930 15 Australia 5 1,375,690 1,383,254 1,380,532 6 Ireland 3 1,178,065 1,182,682 1,174,101 6 Spain 3 1,081,016 1,083,096 1,043,111 5 Sweden 1 445,621 447,711 447,305 2 Other Europe 5 632,252 634,298 631,352 3 Subtotal 36 8,144,811 8,131,361 7,822,331 37 Total loans receivable 173 $ 23,189,312 $ 23,959,967 $ 21,108,868 100 % CECL reserve ( 751,370 ) Loans receivable, net $ 22,437,942 (1) Total loan exposure reflects our aggregate exposure to each loan investment. 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 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. 19 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) December 31, 2023 Property Type Number of Loans Net Book Value Total Loan Exposure (1) Net Loan Exposure (2) Net Loan Exposure Percentage of Portfolio Office 54 $ 9,253,609 $ 10,072,963 $ 7,956,472 36 % Multifamily 73 5,876,128 5,997,886 5,756,192 26 Hospitality 23 4,161,525 4,194,588 3,804,091 17 Industrial 12 2,189,808 2,201,497 2,190,914 10 Retail 6 814,241 834,825 785,573 4 Life Sciences/Studio 4 385,098 561,517 384,219 2 Other 6 1,106,603 1,107,752 1,074,527 5 Total loans receivable 178 $ 23,787,012 $ 24,971,028 $ 21,951,988 100 % CECL reserve ( 576,936 ) Loans receivable, net $ 23,210,076 Geographic Location Number of Loans Net Book Value Total Loan Exposure (1) Net Loan Exposure (2) Net Loan Exposure Percentage of Portfolio United States Sunbelt 65 $ 5,658,172 $ 5,786,395 $ 5,402,732 25 % Northeast 30 5,386,940 5,426,951 4,340,660 20 West 31 3,088,644 4,108,074 2,910,559 13 Midwest 9 944,132 945,222 913,973 4 Northwest 6 382,591 385,978 383,382 2 Subtotal 141 15,460,479 16,652,620 13,951,306 64 International United Kingdom 20 3,470,120 3,439,678 3,181,489 14 Australia 5 1,429,144 1,437,870 1,432,146 7 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 Other Europe 5 644,149 646,430 643,401 3 Subtotal 37 8,326,533 8,318,408 8,000,682 36 Total loans receivable 178 $ 23,787,012 $ 24,971,028 $ 21,951,988 100 % CECL reserve ( 576,936 ) Loans receivable, net $ 23,210,076 (1) Total loan exposure reflects our aggregate exposure to each loan investment. 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, 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. 20 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Loan Risk Ratings As further described in Note 2, we evaluate our loan portfolio on a quarterly basis. In conjunction with our quarterly loan portfolio review, we assess the risk factors of each loan, and assign a risk rating based on several factors. Factors considered in the assessment include, but are not limited to, risk of loss, origination LTV, debt yield, collateral performance, structure, exit plan, and sponsorship. Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined in Note 2. The following table allocates the net book value, total loan exposure, and net loan exposure balances based on our internal risk ratings ($ in thousands): March 31, 2024 Risk Rating Number of Loans Net Book Value Total Loan Exposure (1) Net Loan Exposure (2) 1 18 $ 791,251 $ 839,963 $ 791,925 2 34 5,889,271 5,904,694 4,816,066 3 88 11,425,297 11,750,476 11,075,625 4 16 2,692,813 3,013,626 2,634,523 5 17 2,390,680 2,451,208 1,790,729 Total loans receivable 173 $ 23,189,312 $ 23,959,967 $ 21,108,868 CECL reserve ( 751,370 ) Loans receivable, net $ 22,437,942 December 31, 2023 Risk Rating Number of Loans Net Book Value Total Loan Exposure (1) Net Loan Exposure (2) 1 15 $ 763,101 $ 811,217 $ 763,223 2 36 6,143,184 6,618,319 5,095,395 3 99 12,277,518 12,573,282 11,964,620 4 15 2,725,930 3,036,837 2,668,025 5 13 1,877,279 1,931,373 1,460,725 Total loans receivable 178 $ 23,787,012 $ 24,971,028 $ 21,951,988 CECL reserve ( 576,936 ) Loans receivable, net $ 23,210,076 (1) Total loan exposure reflects our aggregate exposure to each loan investment. 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. 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 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 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 3.0 as of both March 31, 2024 and December 31, 2023, respectively. 21 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Current Expected Credit Loss Reserve 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): U.S. Loans (1) Non-U.S. Loans Unique Loans Impaired Loans Total Loans Receivable, Net CECL reserves as of December 31, 2023 $ 78,335 $ 31,560 $ 49,371 $ 417,670 $ 576,936 (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 CECL reserves as of December 31, 2022 $ 67,880 $ 22,519 $ 45,960 $ 189,778 $ 326,137 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 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. 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. 22 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Our primary credit quality indicator is our risk ratings, which are further discussed above. The following tables present the net book value of our loan portfolio as of March 31, 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 March 31, 2024 Risk Rating 2024 2023 2022 2021 2020 Prior Total U.S. loans 1 $ — $ — $ 172,638 $ 355,295 $ 72,105 $ 106,843 $ 706,881 2 — — 196,555 1,899,702 — 1,552,428 3,648,685 3 — — 1,539,991 3,434,609 580,897 633,740 6,189,237 4 — — 413,313 664,662 — 1,031,042 2,109,017 5 — — — — — — — Total U.S. loans $ — $ — $ 2,322,497 $ 6,354,268 $ 653,002 $ 3,324,053 $ 12,653,820 Non-U.S. loans 1 $ — $ — $ — $ 84,370 $ — $ — $ 84,370 2 — — 1,017,187 1,098,418 91,147 33,834 2,240,586 3 — — 676,148 1,035,810 — 2,219,300 3,931,258 4 — — — — — — — 5 — — — — — — — Total Non-U.S. loans $ — $ — $ 1,693,335 $ 2,218,598 $ 91,147 $ 2,253,134 $ 6,256,214 Unique loans 1 $ — $ — $ — $ — $ — $ — $ — 2 — — — — — — — 3 — — 856,787 — — 448,015 1,304,802 4 — — — — — 583,796 583,796 5 — — — — — — — Total unique loans $ — $ — $ 856,787 $ — $ — $ 1,031,811 $ 1,888,598 Impaired loans 1 $ — $ — $ — $ — $ — $ — $ — 2 — — — — — — — 3 — — — — — — — 4 — — — — — — — 5 — — 319,969 889,086 138,840 1,042,785 2,390,680 Total impaired loans $ — $ — $ 319,969 $ 889,086 $ 138,840 $ 1,042,785 $ 2,390,680 Total loans receivable 1 $ — $ — $ 172,638 $ 439,665 $ 72,105 $ 106,843 $ 791,251 2 — — 1,213,742 2,998,120 91,147 1,586,262 5,889,271 3 — — 3,072,926 4,470,419 580,897 3,301,055 11,425,297 4 — — 413,313 664,662 — 1,614,838 2,692,813 5 — — 319,969 889,086 138,840 1,042,785 2,390,680 Total loans receivable $ — $ — $ 5,192,588 $ 9,461,952 $ 882,989 $ 7,651,783 $ 23,189,312 CECL reserve ( 751,370 ) 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. 23 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Net Book Value of Loans Receivable by Year of Origination (1) As of December 31, 2023 Risk Rating 2023 2022 2021 2020 2019 Prior Total U.S. loans 1 $ — $ 172,575 $ 443,739 $ 39,877 $ 52,939 $ 53,971 $ 763,101 2 — 195,755 1,883,162 32,179 200,917 1,438,175 3,750,188 3 — 1,870,610 3,730,842 613,688 380,726 359,257 6,955,123 4 — 317,665 924,070 — 193,168 679,885 2,114,788 5 — — — — — — — Total U.S. loans $ — $ 2,556,605 $ 6,981,813 $ 685,744 $ 827,750 $ 2,531,288 $ 13,583,200 Non-U.S. loans 1 $ — $ — $ — $ — $ — $ — $ — 2 — 1,034,196 1,230,762 93,423 34,615 — 2,392,996 3 — 643,018 1,084,137 — 2,249,931 — 3,977,086 4 — — — — — — — 5 — — — — — — — Total Non-U.S. loans $ — $ 1,677,214 $ 2,314,899 $ 93,423 $ 2,284,546 $ — $ 6,370,082 Unique loans 1 $ — $ — $ — $ — $ — $ — $ — 2 — — — — — — — 3 — 894,599 — — 264,457 186,253 1,345,309 4 — — — — — 611,142 611,142 5 — — — — — — — Total unique loans $ — $ 894,599 $ — $ — $ 264,457 $ 797,395 $ 1,956,451 Impaired loans 1 $ — $ — $ — $ — $ — $ — $ — 2 — — — — — — — 3 — — — — — — — 4 — — — — — — — 5 — — 508,264 140,000 — 1,229,015 1,877,279 Total impaired loans $ — $ — $ 508,264 $ 140,000 $ — $ 1,229,015 $ 1,877,279 Total loans receivable 1 $ — $ 172,575 $ 443,739 $ 39,877 $ 52,939 $ 53,971 $ 763,101 2 — 1,229,951 3,113,924 125,602 235,532 1,438,175 6,143,184 3 — 3,408,227 4,814,979 613,688 2,895,114 545,510 12,277,518 4 — 317,665 924,070 — 193,168 1,291,027 2,725,930 5 — — 508,264 140,000 — 1,229,015 1,877,279 Total loans receivable $ — $ 5,128,418 $ 9,804,976 $ 919,167 $ 3,376,753 $ 4,557,698 $ 23,787,012 CECL reserve ( 576,936 ) Loans receivable, net $ 23,210,076 (1) Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications. 24 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Loan Modifications Pursuant to ASC 326 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. 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 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. 4. 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 Assets 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. 25 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 5. OTHER ASSETS AND LIABILITIES Other Assets The following table details the components of our other assets ($ in thousands): March 31, 2024 December 31, 2023 Accrued interest receivable $ 206,227 $ 214,835 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 Prepaid expenses 1,257 1,020 Collateral deposited under derivative agreements — 103,500 Total $ 353,732 $ 476,088 (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. Other Liabilities The following table details the components of our other liabilities ($ in thousands): March 31, 2024 December 31, 2023 Accrued dividends payable $ 107,678 $ 107,390 Accrued interest payable 86,643 97,820 Secured debt repayments pending servicer remittance (1) 24,240 13,526 Accrued management and incentive fees payable 18,927 26,342 Current expected credit loss reserves for unfunded loan commitments (2) 12,644 15,371 Accounts payable and other liabilities 6,839 7,265 Derivative liabilities 990 94,817 Total $ 257,961 $ 362,531 (1) Represents pending transfers from our third-party loan servicer that were remitted to our banking counterparties during the subsequent remittance cycle. (2) Represents the CECL reserve related to our unfunded loan commitments. See Note 2 for further discussion of the CECL 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 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. 26 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 6. SECURED DEBT, NET Our secured debt includes our secured credit facilities and our acquisition facility. 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): Secured Debt Borrowings Outstanding March 31, 2024 December 31, 2023 Secured credit facilities $ 12,403,449 $ 12,697,058 Acquisition facility — — Total secured debt $ 12,403,449 $ 12,697,058 Deferred financing costs (1) ( 16,160 ) ( 13,963 ) Net book value of secured debt $ 12,387,289 $ 12,683,095 (1) Costs incurred in connection with our secured debt are recorded on our consolidated balance sheets when incurred and recognized as a component of interest expense over the life of each related facility. Secured Credit Facilities Our secured credit facilities are bilateral agreements we use to finance diversified pools of senior loan collateral with sufficient flexibility to accommodate our investment and asset management strategy. The facilities are uniformly structured to provide currency, index, and term-matched financing without capital markets based mark-to-market provisions. Our credit facilities are diversified across 15 counterparties, primarily consisting of top global financial institutions to minimize our counterparty risk exposure. The following table details our secured credit facilities by spread over the applicable base rates as of March 31, 2024 ($ in thousands): March 31, 2024 Recourse Limitation Currency Lenders (1) Borrowings Wtd. Avg. Maturity (2) Loan Count Collateral (3) Wtd. Avg. Maturity (4) Wtd. Avg. Range 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 % Others (5) 4 1,571,844 July 2027 7 1,984,069 July 2027 25 % 25 % 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) Our secured debt agreements are generally term-matched to their underlying collateral. Therefore, the weighted-average maturity is generally allocated based on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower. In limited instances, the maturity date of the respective secured credit facility is used. (3) Represents the principal balance of the collateral assets 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. (5) Includes Australian Dollar, Danish Krone, Swedish Krona, and Swiss Franc currencies. The availability of funding under our secured credit facilities is based on the amount of approved collateral, which collateral is proposed by us in our discretion and approved by the respective counterparty in its discretion, resulting in a mutually agreed collateral portfolio construction. Certain structural elements of our secured credit facilities, including the 27 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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 Spread (1) New Financings (2) Total Borrowings Wtd. Avg. All-in Cost (1)(3)(4) Collateral (5) Wtd. Avg. All-in Yield (1)(3) Net Interest Margin (6) + 1.50% or less $ 23,000 $ 5,632,133 + 1.52 % $ 8,305,372 + 3.24 % + 1.72 % + 1.51% to + 1.75% — 2,496,771 + 1.81 % 3,471,486 + 3.52 % + 1.71 % + 1.76% to + 2.00% — 1,649,419 + 2.10 % 2,582,739 + 3.86 % + 1.76 % + 2.01% or more 384,616 2,625,126 + 2.62 % 3,772,869 + 4.25 % + 1.63 % Total $ 407,616 $ 12,403,449 + 1.89 % $ 18,132,466 + 3.58 % + 1.69 % Year Ended December 31, 2023 December 31, 2023 Spread (1) New Financings (2) Total Borrowings Wtd. Avg. All-in Cost (1)(3)(4) Collateral (5) Wtd. Avg. All-in Yield (1)(3) Net Interest Margin (7) + 1.50% or less $ — $ 5,647,848 + 1.53 % $ 8,341,383 + 3.24 % + 1.71 % + 1.51% to + 1.75% — 2,679,699 + 1.82 % 3,723,365 + 3.49 % + 1.67 % + 1.76% to + 2.00% 42,908 1,850,809 + 2.11 % 2,913,067 + 3.92 % + 1.81 % + 2.01% or more 69,170 2,518,702 + 2.64 % 3,616,503 + 4.30 % + 1.66 % 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, 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. 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 March 31, 2024, there was an aggregate $ 1.2 billion available to be drawn at our discretion under our credit facilities. Acquisition Facility 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. 28 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 We are subject to the following financial covenants related to our secured debt: (i) our ratio of earnings before interest, taxes, depreciation, and amortization, or EBITDA, to fixed charges, as defined in the agreements, shall be not less than 1.4 to 1.0; (ii) our tangible net worth, as defined in the agreements, shall not be less than $ 3.6 billion as of each measurement date plus 75 % to 85 % of the net cash proceeds of future equity issuances subsequent to March 31, 2024; (iii) cash liquidity shall not be less than the greater of (x) $ 10.0 million or (y) no more than 5 % of our recourse indebtedness; and (iv) our indebtedness shall not exceed 83.33 % of our total assets. As of March 31, 2024 and December 31, 2023, we were in compliance with these covenants. 7. SECURITIZED DEBT OBLIGATIONS, NET We have financed certain pools of our loans through collateralized loan obligations, or CLOs. The CLOs are consolidated in our financial statements and have issued securitized debt obligations that are non-recourse to us. Refer to Note 19 for further discussion of our CLOs. The following tables detail our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands): March 31, 2024 Securitized Debt Obligations Count Principal Balance Book Value (1) Wtd. Avg. Yield/Cost (2)(3) Term (4) 2021 FL4 Collateralized Loan Obligation Senior CLO Securities Outstanding 1 $ 785,452 $ 784,138 + 1.70 % May 2038 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 15 880,634 880,634 + 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 15 1,111,495 1,111,495 + 2.85 % February 2026 Total Senior CLO Securities Outstanding (5) 3 $ 2,329,456 $ 2,328,073 + 1.82 % 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. 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. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations. (5) During the three months ended March 31, 2024, we recorded $ 41.5 million of interest expense related to our securitized debt obligations. 29 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) December 31, 2023 Securitized Debt Obligations Count Principal Balance Book Value (1) Wtd. Avg. Yield/Cost (2)(3) Term (4) 2021 FL4 Collateralized Loan Obligation Senior CLO Securities Outstanding 1 $ 803,750 $ 801,800 + 1.70 % May 2038 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 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 15 1,246,287 1,246,287 + 2.85 % October 2025 Total Senior CLO Securities Outstanding (4) 3 $ 2,507,514 $ 2,505,417 + 1.79 % 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. 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. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations. (5) During the year ended December 31, 2023, we recorded $ 171.4 million of interest expense related to our securitized debt obligations. 8. ASSET-SPECIFIC DEBT, NET The following table details our asset-specific debt ($ in thousands): March 31, 2024 Asset-Specific Debt Count Principal Balance Book Value (1) Wtd. Avg. Yield/Cost (2) Wtd. Avg. Term (3) 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 Balance Book Value (1) Wtd. Avg. Yield/Cost (22) Wtd. Avg. Term (3) 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. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees and financing costs. (3) The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Our non-recourse, asset-specific debt is term-matched in each case to the corresponding collateral loans. 30 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 9. LOAN PARTICIPATIONS SOLD, NET The sale of a non-recourse interest in a loan through a participation agreement generally does not qualify for sale accounting under GAAP. For such transactions, we therefore present the whole loan as an asset and the loan participation sold as a liability on our consolidated balance sheet until the loan is repaid. We generally have no obligation to pay principal and interest under these liabilities, and the gross presentation of loan participations sold does not impact our stockholders’ equity or net income. The following table details our loan participations sold ($ in thousands): March 31, 2024 Loan Participations Sold Count Principal Balance Book Value (1) Wtd. Avg. Yield/Cost (2) Term (3) Senior Participations Loan Participation 1 $ 234,788 $ 234,552 + 3.22 % March 2027 Total Loan 1 293,485 292,526 + 4.86 % March 2027 Junior Participations Loan Participation 2 $ 100,492 $ 100,357 + 7.42 % February 2026 Total Loan 2 416,177 415,004 + 4.73 % February 2026 Total Loan Participation (4) 3 $ 335,280 $ 334,909 Total Loan 3 $ 709,662 $ 707,530 December 31, 2023 Loan Participations Sold Count Principal Balance Book Value (1) Wtd. Avg. Yield/Cost (2) Term (3) Senior Participations Loan Participation 1 $ 236,797 $ 236,499 + 3.22 % March 2027 Total Loan 1 295,996 294,783 + 4.86 % March 2027 Junior Participations Loan Participation 2 $ 100,924 $ 100,680 + 7.50 % February 2026 Total Loan 2 401,569 399,603 + 4.75 % February 2026 Total Loan Participation (4) 3 $ 337,721 $ 337,179 Total Loan 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. In addition to cash coupon, yield/cost includes the amortization of deferred fees and financing costs. (3) The term is determined based on the maximum maturity of the loan, assuming all extension options are exercised by the borrower. Our loan participations sold are inherently non-recourse and term-matched to the corresponding loan. (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. 31 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 10. TERM LOANS, NET 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) All-in Cost (1)(2) Maturity B-1 Term Loan $ 908,474 + 2.36 % + 2.65 % April 23, 2026 B-3 Term Loan 409,886 + 2.86 % + 3.54 % April 23, 2026 B-4 Term Loan 811,363 + 3.50 % + 4.11 % May 9, 2029 Total face value $ 2,129,723 (1) The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of 0.50 %. The Term Loans are indexed to one-month SOFR. (2) Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Term Loans. The Term Loans are partially amortizing, with an amount equal to 1.0 % per annum of the aggregate initial principal balance due in quarterly installments. The issue discount and transaction expenses on the B-1 Term Loan were $ 3.1 million and $ 12.6 million, respectively. The issue discount and transaction expenses of the B-3 Term Loan were $ 9.6 million and $ 5.4 million, respectively. The issue discount and transaction expenses of the B-4 Term Loan were $ 17.3 million and $ 10.3 million, respectively. These discounts and expenses are amortized into interest expense over the life of each Term Loan. 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): March 31, 2024 December 31, 2023 Face value $ 2,129,723 $ 2,135,221 Deferred financing costs and unamortized discount ( 31,308 ) ( 33,589 ) Net book value $ 2,098,415 $ 2,101,632 The Term Loans contain the financial covenant that our indebtedness shall not exceed 83.33 % of our total assets. 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. 11. SENIOR SECURED NOTES, NET 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) Maturity Senior Secured Notes $ 339,918 3.75 % 4.02 % January 15, 2027 (1) Includes transaction expenses that are amortized through interest expense over the life of the Senior Secured Notes. The transaction expenses on the Senior Secured Notes were $ 6.3 million, which are amortized into interest expense over the life of the Senior Secured Notes. 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. 32 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table details the net book value of our Senior Secured Notes on our consolidated balance sheets ($ in thousands): March 31, 2024 December 31, 2023 Face value $ 339,918 $ 366,090 Deferred financing costs ( 2,835 ) ( 3,327 ) Net book value $ 337,083 $ 362,763 The Senior Secured Notes contain the financial covenant that our indebtedness shall not exceed 83.33 % of our total assets. 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. This covenant is not currently in effect as the collateral securing our Senior Secured Notes has not been released. 12. CONVERTIBLE NOTES, NET 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) Maturity 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 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 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): March 31, 2024 December 31, 2023 Face value $ 300,000 $ 300,000 Deferred financing costs and unamortized discount ( 3,834 ) ( 4,153 ) Net book value $ 296,166 $ 295,847 33 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table details our interest expense related to the Convertible Notes ($ in thousands): Three Months Ended March 31, 2024 2023 Cash coupon $ 4,125 $ 6,264 Discount and issuance cost amortization 319 631 Total interest expense $ 4,444 $ 6,895 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. 13. DERIVATIVE FINANCIAL INSTRUMENTS The objective of our use of derivative financial instruments is to minimize the risks and/or costs associated with our investments and/or financing transactions. These derivatives may or may not qualify as net investment, cash flow, or fair value hedges under the hedge accounting requirements of ASC 815 – “Derivatives and Hedging.” Derivatives not designated as hedges are not speculative and are used to manage our exposure to interest rate movements and other identified risks. Refer to Note 2 for additional discussion of the accounting for designated and non-designated hedges. The use of derivative financial instruments involves certain risks, including the risk that the counterparties to these contractual arrangements do not perform as agreed. To mitigate this risk, we only enter into derivative financial instruments with counterparties that have appropriate credit ratings and are major financial institutions with which we and our affiliates also have other financial relationships. Net Investment Hedges of Foreign Currency Risk Certain of our international investments expose us to fluctuations in foreign interest rates and currency exchange rates. These fluctuations may impact the value of our cash receipts and payments in terms of our functional currency, the U.S. dollar. We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S. dollar. Designated Hedges of Foreign Currency Risk The following table details our outstanding foreign exchange derivatives that were designated as net investment hedges of foreign currency risk (notional amounts in thousands): March 31, 2024 December 31, 2023 Foreign Currency Derivatives Number of Instruments Notional Amount Foreign Currency Derivatives Number of Instruments Notional Amount Buy USD / Sell SEK Forward 2 kr 972,981 Buy USD / Sell SEK Forward 2 kr 973,246 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 Buy USD / Sell DKK Forward 2 kr. 195,565 Buy USD / Sell DKK Forward 2 kr. 195,674 Buy USD / Sell CHF Forward 1 CHF 7,352 Buy USD / Sell CHF Forward 4 CHF 8,352 34 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Non-designated Hedges of Foreign Currency Risk The following table details our outstanding foreign exchange derivatives that were non-designated hedges of foreign currency risk (notional amounts in thousands): March 31, 2024 December 31, 2023 Non-designated Hedges Number of Instruments Notional Amount Non-designated Hedges Number of Instruments Notional Amount 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 Buy USD / Sell AUD Forward 1 A$ 7,600 Cash Flow Hedges of Interest Rate Risk Certain of our financing transactions expose us to a fixed versus floating rate mismatch between our assets and liabilities. We use derivative financial instruments, which include interest rate swaps, and may also include interest rate caps, interest rate options, floors, and other interest rate derivative contracts, to hedge interest rate risk associated with our borrowings where there is potential for an index mismatch. The following table details our outstanding interest rate derivatives that were designated as cash flow hedges of interest rate risk (notional amount in thousands): March 31, 2024 Interest Rate Derivatives Number of Instruments Notional Amount Fixed Rate Index Wtd. Avg. Maturity (Years) Interest Rate Swaps 1 $ 229,858 4.60 % SOFR 0.6 December 31, 2023 Interest Rate Derivatives Number of Instruments Notional Amount Fixed Rate Index Wtd. Avg. 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 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. 35 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Financial Statement Impact of Hedges of Foreign Currency and Interest Rate Risks The following table presents the effect of our derivative financial instruments on our consolidated statements of operations ($ in thousands): Increase (Decrease) to Net Interest Income Recognized from Derivatives Three Months Ended March 31, Derivatives in Hedging Relationships Location of Income (Expense) Recognized 2024 2023 Designated Hedges Interest Income (1) $ 4,412 $ 8,407 Designated Hedges Interest Expense (2) 425 — Non-Designated Hedges Interest Income (1) ( 6 ) 17 Non-Designated Hedges Interest Expense (3) 7 19 Total $ 4,838 $ 8,443 (1) Represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and prevailing US interest rates. These forward contracts effectively convert the foreign currency rate exposure for such investments to USD-equivalent interest rates. (2) Represents the financial statement impact of proceeds (payments) from periodic settlements related to our interest rate swap, which is designated as a cash flow hedge. (3) Represents the spot rate movement in our non-designated foreign currency hedges, which are marked-to-market and recognized in interest expense. Valuation and Other Comprehensive Income The following table summarizes the fair value of our derivative financial instruments ($ in thousands): Fair Value of Derivatives in an Asset Position (1) as of Fair Value of Derivatives in a Liability Position (2) as of March 31, 2024 December 31, 2023 March 31, 2024 December 31, 2023 Derivatives designated as hedging instruments: Foreign exchange contracts $ 24,638 $ 30 $ 868 $ 92,922 Interest rate derivatives 724 317 — — Total derivatives designated as hedging instruments $ 25,362 $ 347 $ 868 $ 92,922 Derivatives not designated as hedging instruments: Foreign exchange contracts $ 560 $ 1,543 $ 122 $ 1,895 Interest rate derivatives — — — — Total derivatives not designated as hedging instruments $ 560 $ 1,543 $ 122 $ 1,895 Total Derivatives $ 25,922 $ 1,890 $ 990 $ 94,817 (1) Included in other assets in our consolidated balance sheets. (2) Included in other liabilities in our consolidated balance sheets. 36 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table presents the effect of our derivative financial instruments on our consolidated statements of comprehensive income and operations ($ in thousands): Derivatives in Hedging Relationships Amount of (Loss) Gain Recognized in OCI on Derivatives Location of Gain (Loss) Reclassified from Accumulated OCI into Income Amount of Gain (Loss) Reclassified from Accumulated OCI into Income Three Months Ended March 31, Three Months Ended March 31, 2024 2023 2024 2023 Net Investment Hedges Foreign exchange contracts (1) $ 45,741 $ ( 24,052 ) Interest Expense $ — $ — Cash Flow Hedges Interest rate derivatives 832 — Interest Expense (2) 425 — Total $ 46,573 $ ( 24,052 ) $ 425 $ — (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 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 We have entered into agreements with certain of our derivative counterparties that contain provisions where if we were to default on any of our indebtedness, including default where repayment of the indebtedness has not been accelerated by the lender, we may also be declared in default on our derivative obligations. In addition, certain of our agreements with our derivative counterparties require that we post collateral to secure net liability positions. 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. 14. EQUITY Stock and Stock Equivalents Authorized Capital 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 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 Holders of shares of our class A common stock are entitled to vote on all matters submitted to a vote of stockholders and are entitled to receive dividends authorized by our board of directors and declared by us, in all cases subject to the rights of the holders of shares of outstanding preferred stock, if any. We also issue restricted class A common stock under our stock-based incentive plans. Refer to Note 17 for additional discussion of these long-term incentive plans. In addition to our class A common stock, we also issue deferred stock units to certain members of our board of directors for services rendered. These deferred stock units are non-voting, but carry the right to receive dividends in the form of additional deferred stock units in an amount equivalent to the cash dividends paid to holders of shares of class A common stock. Vested deferred stock units will be settled for shares of class A common stock when the recipient ceases to be a director. 37 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table details the movement in our outstanding shares of class A common stock, including restricted class A common stock and deferred stock units: Three Months Ended March 31, Common Stock Outstanding (1) 2024 2023 Beginning balance 173,569,397 172,106,593 Issuance of class A common stock (2) 1,436 1,377 Issuance of restricted class A common stock, net (3)(4) 370,936 481,724 Issuance of deferred stock units 10,709 10,903 Ending balance 173,952,478 172,600,597 (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 We have adopted a dividend reinvestment and direct stock purchase plan under which we registered and reserved for issuance, in the aggregate, 10,000,000 shares of class A common stock. Under the dividend reinvestment component of this plan, our class A common stockholders can designate all or a portion of their cash dividends to be reinvested in additional shares of class A common stock. The direct stock purchase component allows stockholders and new investors, subject to our approval, to purchase shares of class A common stock directly from us. During the three months ended March 31, 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 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 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. Dividends 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. Our dividend policy remains subject to revision at the discretion of our board of directors. All distributions will be made at the discretion of our board of directors and will depend upon our taxable income, our financial condition, our maintenance of REIT status, applicable law, and other factors as our board of directors deems relevant. On March 15, 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. 38 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table details our dividend activity ($ in thousands, except per share data): Three Months Ended March 31, 2024 2023 Dividends declared per share of common stock $ 0.62 $ 0.62 Class A common stock dividends declared $ 107,678 $ 106,816 Deferred stock unit dividends declared 223 256 Total dividends declared $ 107,901 $ 107,072 Earnings Per Share We calculate our basic and diluted earnings per share using the two-class method for all periods presented as the unvested shares of our restricted class A common stock qualify as participating securities, as defined by GAAP. These restricted shares have the same rights as our other shares of class A common stock, including participating in any dividends, and therefore have been included in our basic and diluted net income per share calculation. The shares issuable under our Convertible Notes are included in dilutive earnings per share using the if-converted method. The following table sets forth the calculation of basic and diluted net income per share of class A common stock based on the weighted-average of both restricted and unrestricted class A common stock outstanding ($ in thousands, except per share data): Three Months Ended March 31, 2024 2023 Basic Earnings Net (loss) income (1) $ ( 123,838 ) $ 117,757 Weighted-average shares outstanding, basic 174,041,630 172,598,349 Per share amount, basic $ ( 0.71 ) $ 0.68 Diluted Earnings Net (loss) income (1) $ ( 123,838 ) $ 117,757 Add back: Interest expense on Convertible Notes, net (2)(3) — 3,556 Diluted earnings $ ( 123,838 ) $ 121,313 Weighted-average shares outstanding, basic 174,041,630 172,598,349 Effect of dilutive securities - Convertible Notes (3) — 8,271,060 Weighted-average common shares outstanding, diluted 174,041,630 180,869,409 Per share amount, diluted $ ( 0.71 ) $ 0.67 (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 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. 39 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Other Balance Sheet Items Accumulated Other Comprehensive Income 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. Non-Controlling Interests The non-controlling interests included on our consolidated balance sheets represent the equity interests in our Multifamily Joint Venture that are not owned by us. A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these non-controlling interests based on their pro rata ownership of our Multifamily Joint Venture. As of March 31, 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. 15. OTHER EXPENSES Our other expenses consist of the management and incentive fees we pay to our Manager and our general and administrative expenses. Management and Incentive Fees 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 Equity, 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 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 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. 40 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 March 31, 2024 2023 Professional services $ 4,140 $ 3,279 Operating and other costs 1,476 1,931 Subtotal (1) 5,616 5,210 Non-cash compensation expenses Restricted class A common stock earned 7,911 7,492 Director stock-based compensation 201 163 Subtotal 8,112 7,655 Total general and administrative expenses $ 13,728 $ 12,865 (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. 16. INCOME TAXES We have elected to be taxed as a REIT under the Internal Revenue Code for U.S. federal income tax purposes. We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S. federal income tax not to apply to our earnings. To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S. federal income tax on our undistributed taxable income. In addition, we will be subject to a 4% nondeductible excise tax if the actual amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal tax laws. 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. Even if we qualify as a REIT, we may be subject to certain U.S. federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state, and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of March 31, 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. As a REIT, so long as we own 100% of the equity interests in a taxable mortgage pool, we generally would not be adversely affected by the characterization of the securitization as a taxable mortgage pool. Certain categories of stockholders, however, such as foreign stockholders eligible for treaty or other benefits, stockholders with net operating losses, and certain tax-exempt stockholders that are subject to unrelated business income tax, or UBTI, could be subject to increased taxes on a portion of their dividend income from us that is attributable to the taxable mortgage pool. We have not made UBTI distributions to our common stockholders and do not intend to make such UBTI distributions in the future. During the three months ended March 31, 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 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. However, although uncertain, we may utilize a portion of NOLs prior to expiration. We do not expect the utilization of NOLs to have a material impact on our consolidated financial statements. We have recorded a full valuation allowance against such NOLs as it is probable that they will expire unutilized. 41 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. 17. STOCK-BASED INCENTIVE PLANS We are externally managed by our Manager and do not currently have any employees. 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 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. In connection with the adoption of our new stock incentive plans, we consolidated all outstanding deferred stock units, or DSUs, under the new plans and retired the seven remaining historical plans. As such, no new awards may be issued under these expired plans, although our 2018 plans will continue to govern outstanding awards, other than DSUs, previously issued thereunder until such awards become vested or expire. 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: Restricted Class A Common Stock Weighted-Average Grant Date Fair Value Per Share Balance as of December 31, 2023 2,180,181 $ 24.41 Granted 463,103 21.41 Vested ( 205,121 ) 27.21 Forfeited ( 92,167 ) 24.40 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 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; 848,837 shares will vest in 2025; and 441,800 shares will vest in 2026. 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. 18. FAIR VALUES Assets and Liabilities Measured at Fair Value The following table summarizes our assets and liabilities measured at fair value on a recurring basis ($ in thousands): March 31, 2024 December 31, 2023 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Assets Derivatives $ — $ 25,922 $ — $ 25,922 $ — $ 1,890 $ — $ 1,890 Liabilities Derivatives $ — $ 990 $ — $ 990 $ — $ 94,817 $ — $ 94,817 Refer to Note 2 for further discussion regarding fair value measurement. Fair Value of Financial Instruments As discussed in Note 2, GAAP requires disclosure of fair value information about financial instruments, whether or not recognized at fair value in the statement of financial position, for which it is practicable to estimate that value. 42 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table details the book value, face amount, and fair value of the financial instruments described in Note 2 ($ in thousands): March 31, 2024 December 31, 2023 Book Value Face Amount Fair Value Book Value Face Amount Fair Value Financial assets Cash and cash equivalents $ 413,986 $ 413,986 $ 413,986 $ 350,014 $ 350,014 $ 350,014 Loans receivable, net 22,437,942 23,317,882 22,275,189 23,210,076 23,923,719 23,015,737 Financial liabilities Secured debt, net 12,387,289 12,403,449 12,162,645 12,683,095 12,697,058 12,425,609 Securitized debt obligations, net 2,328,073 2,329,456 2,161,784 2,505,417 2,507,514 2,323,441 Asset-specific debt, net 1,061,380 1,064,484 1,051,739 1,000,210 1,004,097 992,357 Loan participations sold, net 334,909 335,280 331,626 337,179 337,721 333,745 Secured term loans, net 2,098,415 2,129,723 2,102,411 2,101,632 2,135,221 2,102,950 Senior secured notes, net 337,083 339,918 302,283 362,763 366,090 327,081 Convertible notes, net 296,166 300,000 273,521 295,847 300,000 272,076 Estimates of fair value for cash and cash equivalents and convertible notes are measured using observable, quoted market prices, or Level 1 inputs. Estimates of fair value for securitized debt obligations, the Term Loans, and the Senior Secured notes are measured using observable, quoted market prices, in inactive markets, or Level 2 inputs. All other fair value significant estimates are measured using unobservable inputs, or Level 3 inputs. See Note 2 for further discussion regarding fair value measurement of certain of our assets and liabilities. 19. VARIABLE INTEREST ENTITIES We have financed a portion of our loans through the CLOs, all of which are VIEs. We are the primary beneficiary of, and therefore consolidate, the CLOs on our balance sheet as we (i) control the relevant interests of the CLOs that give us power to direct the activities that most significantly affect the CLOs, and (ii) have the right to receive benefits and obligation to absorb losses of the CLOs through the subordinate interests we own. The following table details the assets and liabilities of our consolidated VIEs ($ in thousands): March 31, 2024 December 31, 2023 Assets Loans receivable $ 2,973,831 $ 3,061,278 Current expected credit loss reserve ( 168,521 ) ( 183,508 ) Loans receivable, net 2,805,310 2,877,770 Other assets 13,462 103,692 Total assets $ 2,818,772 $ 2,981,462 Liabilities Securitized debt obligations, net $ 2,328,073 $ 2,505,417 Other liabilities 7,518 8,101 Total liabilities $ 2,335,591 $ 2,513,518 Assets held by these VIEs are restricted and can be used only to settle obligations of the VIEs, including the subordinate interests owned by us. The liabilities of these VIEs are non-recourse to us and can only be satisfied from the assets of the VIEs. The consolidation of these VIEs results in an increase in our gross assets, liabilities, interest income and interest expense, however it does not affect our stockholders’ equity or net income. We are not obligated to provide, have not provided, and do not intend to provide material financial support to these consolidated VIEs. 43 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 20. TRANSACTIONS WITH RELATED PARTIES 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 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. 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. 44 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. The loan terms were negotiated by our third-party co-lender, and we forgo all non-economic rights under the loan, including voting rights, so long as a Blackstone-advised investment vehicle controls the borrower. In the second quarter of 2023, the loan was modified to include, among other changes, an extension of the loan's maturity date, an additional borrower equity contribution and partial repayment, and an increase in the loan’s contractual interest rate (a portion of which is paid-in-kind). The terms of the modification were negotiated by our third-party co-lender, and we agreed to the modification on such terms. 21. COMMITMENTS AND CONTINGENCIES Unfunded Commitments Under Loans Receivable 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. Principal Debt Repayments Our contractual principal debt repayments as of March 31, 2024 were as follows ($ in thousands): Year Secured Debt (1) Asset-Specific Debt (1) Term Loans (2) Senior Secured Notes Convertible Notes (3) Total (4) 2024 (remaining) $ 2,232,905 $ — $ 16,497 $ — $ — $ 2,249,402 2025 1,661,438 848,368 21,997 — — 2,531,803 2026 4,042,308 — 1,302,575 — — 5,344,883 2027 3,251,934 — 8,258 339,918 300,000 3,900,110 2028 524,681 — 8,258 — — 532,939 Thereafter 690,183 216,116 772,138 — — 1,678,437 Total obligation $ 12,403,449 $ 1,064,484 $ 2,129,723 $ 339,918 $ 300,000 $ 16,237,574 (1) Our secured debt and asset-specific debt agreements are generally term-matched to their underlying collateral. Therefore, the allocation of payments under such agreements is generally allocated based on the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower. In limited instances, the maturity date of the respective debt agreement is used. (2) The Term Loans are partially amortizing, with an amount equal to 1.0 % per annum of the initial principal balance due in quarterly installments. Refer to Note 10 for further details on our Term Loans. (3) Reflects the outstanding principal balance of Convertible Notes, excluding any potential conversion premium. Refer to Note 12 for further details on our Convertible Notes. (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. 45 Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Board of Directors’ Compensation 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. Litigation From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. As of March 31, 2024, we were not involved in any material legal proceedings. 46