What changed in this filing

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Item 1. Financial Statements

2020-07-29 compared with 2020-04-28 · 746 added, 644 removed, 1318 unchanged (51% of the section changed)

10 unchanged sentences

Securitized debt obligations, net

Secured term loan, net

Secured term loans, net

Convertible notes, net

2 unchanged sentences

Commitments and contingencies

Class A common stock, $ 0.01 par value, 200,000,000 shares authorized, 135,355,320 and 135,003,662 shares issued and outstanding as of March 31, 2020 and December 31, 2019, respectively

Class A common stock, $ 0.01 par value, 400,000,000 shares authorized and 146,196,662 shares issued and outstanding as of June 30, 2020, and 200,000,000 shares authorized and 135,003,662 shares issued and outstanding as of December 31, 2019

Additional paid-in

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Total Liabilities and Equity

The consolidated balance sheets as of March 31, 2020 and December 31, 2019 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, 2020 and December 31, 2019, assets of the consolidated VIEs totaled $ 2.7 billion and $ 1.4 billion, respectively, and liabilities of the consolidated VIEs totaled $ 2.2 billion and $ 1.2 billion, respectively.

The consolidated balance sheets as of June 30, 2020 and December 31, 2019 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 June 30, 2020 and December 31, 2019, assets of the consolidated VIEs totaled $ 2.7 billion and $ 1.4 billion, respectively, and liabilities of the consolidated VIEs totaled $ 2.2 billion and $ 1.2 billion, respectively.

Refer to Note 15 for additional discussion of the VIEs.

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Three Months Ended

Income from loans and other investmen t

Six Months Ended

Income from loans and other investments

Interest and related income

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Increase in current expected credit loss reserve

(Loss) income before income taxes

Income (loss) before income taxes

Income tax provision

Net (loss) income

Net income attributable to non-controlling interests

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

Net (loss) income per share of common stock basic and diluted

Net income (loss)

Net income attributable to non-controlling

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

Net income (loss) per share of common stock basic and diluted

Weighted-average shares of common stock outstanding, basic and diluted

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Three Months Ended

Net (loss) income

Other comprehensive income

Unrealized (loss) gain on foreign currency translation

Realized and unrealized gain (loss) on derivative financial instruments

Six Months Ended

Net income (loss)

Other comprehensive income

Comprehensive (loss) income

Comprehensive income attributable to non-controlling interests

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

Unrealized gain (loss) on foreign currency translation

Realized and unrealized (loss) gain on derivative financial instruments

Other comprehensive (loss) income

Comprehensive income (loss)

Comprehensive income attributable to non-controlling

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

See accompanying notes to consolidated financial statements.

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Balance at December 31, 2019

Adoption of ASU 2016-13,

Shares of class A common stock issued, net

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Other comprehensive income

Net (loss) income

Dividends declared on common stock, $ 0.62 per share

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Balance at March 31, 2020

Shares of class A common stock issued, net

Restricted class A common stock earned

Dividends reinvested

Deferred directors’ compensation

Other comprehensive loss

Dividends declared on common stock, $ 0.62 per share

Distributions to non-controlling

Balance at June 30, 2020

See accompanying notes to consolidated financial statements.

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Changes in Equity (Unaudited)

(in thousands)

Blackstone Mortgage Trust, Inc.

Accumulated Other

Comprehensive

Stockholders’

Non-controlling

(Loss) Income

Balance at December 31, 2018

Adoption of ASU 2016-13,

Shares of class A common stock issued, net

3 unchanged sentences

Other comprehensive income

Net (loss) income

Dividends declared on common stock, $ 0.62 per share

2 unchanged sentences

Balance at March 31, 2019

Shares of class A common stock issued, net

Restricted class A common stock earned

Dividends reinvested

Deferred directors’ compensation

Other comprehensive income

Dividends declared on common stock, $ 0.62 per share

Contributions from non-controlling

Distributions to non-controlling

Balance at June 30, 2019

See accompanying notes to consolidated financial statements.

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(in thousands)

Three Months Ended

Six Months Ended

Cash flows from operating activities

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

Non-cash compensation expense

Satisfaction of management and incentive fees in stock

compensation expense

Amortization of deferred fees on loans and debt securities

Amortization of deferred financing costs and premiums/ discount on debt obligations

Amortization of deferred financing costs and premiums/

discount on debt obligations

Increase in current expected credit loss reserve

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(in thousands)

Three Months Ended

Six Months Ended

Cash flows from financing activities

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Proceeds from sale of loan participations

Repayments of secured term loan

Repayment of loan participations

Net proceeds from issuance of secured term loans

Repayments of secured term loans

Payment of deferred financing costs

Contributions from non-controlling interests

Distributions to non-controlling interests

Contributions from non-controlling

Distributions to non-controlling

Net proceeds from issuance of class A common stock

Dividends paid on class A common stock

Net cash provided by financing activities

Net cash provided by (used in) financing activities

Net increase (decrease) in cash, cash equivalents, and restricted cash

Cash and cash equivalents at beginning of p

Cash and cash equivalents at beginning of period

Effects of currency translation on cash and cash equivalents

Cash and cash equivalents at end of per iod

Cash and cash equivalents at end of period

Supplemental disclosure of cash flows information

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Payments of income taxes

Supplemental disclosure of non-cash investing and financing activities

Supplemental disclosure of non-cash

investing and financing activities

Dividends declared, not paid

Satisfaction of management and incentive fees in stock

Loan principal payments held by servicer, net

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

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

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

We have classified the subordinate risk retention position as a held-to-maturity

We have classified the subordinate position we o w

as a held-to-maturity

debt security that is included in other assets on our consolidated balance sheets.

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

The non-controlling

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

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.

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.

During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or COVID-19,

which has spread to over 200 countries and territories, including the United States, and has spread to every state in the United States.

The World Health Organization has designated COVID-19

as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect to COVID-19.

The global impact of the outbreak has been rapidly evolving, and as cases of COVID-19

have continued to be identified in additional countries, many countries have reacted by instituting quarantines and restrictions on travel, closing financial markets and/or restricting trading and operations of non-essential

offices and retail centers.

Such actions are creating disruption in global supply chains, and adversely impacting many industries.

During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or COVID-19, which has spread to over 200 countries and territories, including the United States, and has spread to every state in the United States.

The World Health Organization has designated COVID-19 as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect to COVID-19.

The global impact of the outbreak has been rapidly evolving, and as cases of COVID-19 have continued to be identified in additional countries, many countries have reacted by instituting quarantines and restrictions on travel, closing financial markets and/or restricting trading, and limiting operations of non-essential offices and retail centers.

Such actions are creating disruption in global supply chains, increasing rates of unemployment and adversely impacting many industries.

The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown.

The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19

on economic and market conditions.

We believe the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of March 31, 2020, however uncertainty over the ultimate impact COVID-19

will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of March 31, 2020 inherently less certain than they would be absent the current and potential impacts of COVID-19.

The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions.

We believe the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of June 30, 2020, however uncertainty over the ultimate impact COVID-19

will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of June 30, 2020 inherently less certain than they would be absent the current and potential impacts of COVID-19.

Actual results may ultimately differ from those estimates.

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

As of both March 31, 2020 and December 31, 2019, we had no restricted cash on our consolidated balance sheets.

As of both June 30, 2020 and December 31, 2019, we had no restricted cash on our consolidated balance sheets.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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 $ 459.1 million and $ 450.8 million as of March 31, 2020 and December 31, 2019, respectively.

Through our subsidiaries, we have oversight of certain servicing accounts held with third-party servicers, or Servicing Accounts, which relate to borrower escrows and other cash balances aggregating $ 350.4 million and $ 450.8 million as of June 30, 2020 and December 31, 2019, respectively.

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

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

Loans Receivable and Provision for Loan Losses

Loans Receivable

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

We are required to periodically evaluate each of these loans for possible impairment.

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.

If a loan is determined to be impaired, we write down the loan through a charge to the provision for loan losses.

Impairment of these loans, which are collateral dependent, is measured 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, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed necessary by our Manager.

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

Debt Securities

Held-to-Maturity

We classify our debt securities as

held-to-maturity,

Debt Securities Held-to-Maturity

We classify our debt securities as held-to-maturity,

as we have the intent and ability to hold these securities until maturity.

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Current Expected Credit Losses Reserve

The current expected credit loss, or CECL, reserve required under Accounting Standard Update, or ASU ,

“Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic

326) ,” or ASU

reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets.

The initial CECL reserve recorded on January

2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity;

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

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

In addition, other than a few narrow exceptions, ASU

requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principal underlying the CECL model that all loans, debt securities, and similar assets have some inherent risk of loss, regardless of credit quality, subordinate capital, or other mitigating factors.

The current expected credit loss, or CECL, reserve required under Accounting Standard Update, or ASU, 2016-13 “Financial Instruments – Credit Losses – Measurement of Credit Losses

on Financial Instruments (Topic 326),” or ASU 2016-13, reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets.

The initial CECL reserve recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity;

however subsequent changes to the CECL reserve are recognized through net income (loss) o

n our consolidated statements of operations.

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

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

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

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

To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance, which includes zero loan losses since the launch of our senior loan origination business in 2013, 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, 2020.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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 loan-to-value,

To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance, which includes zero realized loan losses since the launch of our senior loan origination business in 2013, with market loan loss data licensed from Trepp LLC.

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through May 31, 2020.

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 loan-to-value,

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

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

Our loans typically include commitments to fund incremental proceeds to our borrowers over t

he life of the loan, which 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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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Impaired Loans

incurred loss model assessed on an individual basis, as further described above.

These loans do not incur CECL reserves.

practical expedient applied for collateral-dependent

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

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

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

We adopted ASU

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

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 purpose s

of computing our CECL reserve.

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

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.

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

These estimations require significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of March 31, 2020.

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

For all derivatives other than those designated as non-designated

hedges, we formally document our hedge relationships and designation at the contract’s inception.

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.

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.

Effective April 1, 2020, 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 (loss) 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.

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 (loss) concurrently.

Blackstone Mortgage Trust, Inc.

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Senior Loan Participations

In certain instances, we finance our loans through the non-recourse

syndication of a senior loan interest to a third-party.

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

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

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

When the sales are recognized, our balance sheet only includes our remaining subordinate loan and not the non-consolidated

senior interest we sold.

Secured Term Loan

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

Secured Term Loans

We record our secured 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 secured term loan as additional non-cash

Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the secured term loans as additional non-cash

interest expense.

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

Certain of our other assets are reported at fair value either (i) on a recurring basis, as of each quarter-end,

or (ii) on a nonrecurring basis, as a result of impairment or other events.

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 14

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

These valuations may require significant judgments, which include assumptions regarding capitalization rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed necessary by our Manager.

During the three months ended June 30, 2020, we recorded an aggregate $ 69.7 million CECL reserve specifically related to two of our loans receivable with an aggregate outstanding principal balance of $ 334.2 million.

The CECL reserve was recorded based o n our

of the fair value of the loan’s underlying collateral as of June 30, 2020.

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.

The significant unobserva ble

inputs used to estimate the fair value of these loans receivable include the exit c

apitalization rate assumption used to

forecast the future sa

le price of the underlying real estate collateral, which ranged from

4.25 % to 4.80 %.

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

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Loans receivable, net:

The fair values of these loans were estimated by our Manager based on a discounted cash flow methodology, taking into consideration various factors including capitalization rates, discount rates, leasing, occupancy rates, availability and cost of financing, exit plan, sponsorship, actions of other lenders, and indications of market value from other market participants.

The fair values of these loans were estimated by our Manager based on a discounted cash flow methodology, taking into consideration various factors including 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 our Manager.

Debt securities held-to-maturity:

The fair value of these instruments was estimated by utilizing third-party pricing service providers.

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

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Derivative financial instruments:

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Secured term loan, net:

Secured term loans, net:

The fair value of these instruments was estimated by utilizing third-party pricing service providers.

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

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.

Stock-based compensation expense is recognized for these awards in net income (loss) 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 13 for additional information.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Underwriting Commissions and Offering Costs

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Recent Accounting Pronouncements

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“Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic 326),” or ASU 2016-13.

significantly changes how entities measure credit losses for most financial assets and certain other instruments that are not measured at fair value through net income.

significantly changes how entities measure credit losses for most financial assets and certain other instruments that are not measured at fair value through net income ( loss

replaced the incurred loss model under previous guidance with a CECL model for instruments measured at amortized cost, and requires entities to record reserves for available-for-sale

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

March 31, 2020

June 30, 2020

December 31, 2019

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yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan.

As of March 31, 2020, 99 % of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and $ 11.1 billion of such loans earned interest based on floors that are above the applicable index.

As of June 30, 2020, 99 % of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and $ 12.6 billion of such loans earned interest based on floors that are above the applicable index.

The other 1 % of our loans earned a fixed rate of interest.

We reflect our fixed rate loans as a spread over the relevant floating benchmark rates, as of March 31, 2020 and December 31, 2019, respectively, for purposes of the weighted-averages.

We reflect our fixed rate loans as a spread over the relevant floating benchmark rates, as of June 30, 2020 and December 31, 2019, respectively, for purposes of the weighted-averages.

As of December 31, 2019, 99 % of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $ 6.1 billion of such loans earned interest based on floors that are above the applicable index.

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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, 2020, 57 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 43 % were open to repayment by the borrower without penalty.

As of June 30, 2020, 51 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 49 % were open to repayment by the borrower without penalty.

As of December 31, 2019, 61 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 39 % were open to repayment by the borrower without penalty.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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Amortization of fees and other items

Loans Receivable, as of March 31, 2020

Loans Receivable, net, as of March 31, 2020

Loans Receivable, as of June 30, 2020

Loans Receivable, net, as of June 30, 2020

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

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

March 31, 2020

June 30, 2020

Property Type

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Total loan exposure encompasses the entire loan we originated and financed, including $ 739.6 million of such non-consolidated

senior interests as of March 31, 2020.

senior interests as of June 30, 2020.

Excludes investment exposure to the $ 857.3 million 2018 Single Asset Securitization.

See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

See Note 4 for details of the subordinate position

we own in the 2018 Single Asset Securitization.

Blackstone Mortgage Trust, Inc.

14 unchanged sentences

Excludes investment exposure to the $ 930.0 million 2018 Single Asset Securitization.

See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

See Note 4 for details of the subordinate position

we own in the 2018 Single Asset Securitization.

Loan Risk Ratings

6 unchanged sentences

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

March 31, 2020

June 30, 2020

December 31, 2019

11 unchanged sentences

Total loan exposure encompasses the entire loan we originated and financed, including $ 739.6 million and $ 688.5 million of such non-consolidated

senior interests as of March 31, 2020 and December 31, 2019, respectively.

Excludes investment exposure to the 2018 Single Asset Securitization of

$ 880.7 million and $ 930.0

million as of March 31, 2020 and December 31, 2019, respectively.

See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

The weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of March 31, 2020 and December 31, 2019, respectively.

in the risk rating was primarily the result of $ 3.1

billion aggregate principal amount of loans that were downgraded to a risk rating of “ 4 ” to reflect the higher risk in loans collateralized by hospitality and select other asset classes that are particularly negatively impacted by the

During the three months ended March 31, 2020, we entered into a loan modification, which is classified as a troubled debt restructuring under GAAP, for one of our loans with a net book value of

This modification includes, among other changes, an additional borrower contribution of capital, a reduction in loan spread, and an extension of the maturity date to November 9, 2020.

As of March 31, 2020, we had no commitments to lend additional funds to the borrower, the borrower was current with all terms of the loan, and we expect to collect all contractual amounts due thereunder.

We did no t have any impaired loans, nonaccrual loans, or loans in maturity default as of March 31, 2020 or December 31, 2019.

senior interests as of June 30, 2020 and December 31, 2019, respectively.

Excludes investment exposure to the 2018 Single Asset Securitization of $ 857.3 million and $ 930.0 million as of June 30, 2020 and December 31, 2019, respectively.

See Note 4 for details of the subordinate

we own in the 2018 Single Asset Securitization.

The weighted-average risk rating of our total loan exposure was

3.0 and 2.8 as of June 30, 2020 and December 31, 2019, respectively.

The increase in the risk rating was primarily the result of loans with an aggregate principal balance of $ 3.1 billion that were downgraded to a

“ 5 ” as of June 30, 2020 to reflect the higher risk in loans collateralized by hospitality assets and select other assets that are particularly negatively impacted by the COVID-19 pandemic.

Blackstone Mortgage Trust, Inc.

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

The following table presents the activity in our loans receivable CECL reserve by investment pool for the three months ended March 31, 2020 ($ in thousands):

The following table presents the activity in our loans receivable CECL reserve by investment pool for the three and

six months ended June 30, 2020 ($ in thousands):

Impaired Loans

Loans Receivable, Net

2 unchanged sentences

Increase in CECL reserve

CECL reserve as of June 30, 2020

CECL reserve as of March 31, 2020

(Decrease) increase in CECL reserve

CECL reserve as of June 30, 2020

Our initial CECL reserve against our loans receivable portfolio of $ 13.9 million recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity;

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

During the three months ended March 31, 2020, we recorded a $ 98.8 million increase in expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $ 112.7 million as of March 31, 2020.

This CECL reserve reflects the macroeconomic impact of the

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio.

however subsequent changes to the CECL reserve are recognized through net income (loss)

on our consolidated statements of operations.

During the three and six months ended June 30, 2020, we recorded an increase of $ 65.4 million and $ 164.1 million, respectively, in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $ 178.1 million as of June 30, 2020.

This CECL reserve reflects the macroeconomic impact of the COVID-19

pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

See Note 2 for further discussion of COVID-19.

During the first quarter of 2020, we entered into a loan modification related to a multifamily asset in New York City ,

which is classified as a troubled debt restructuring under GAAP.

This modification included, among other changes, an additional borrower contribution of capital, a reduction in loan spread, and an extension of the loan’s maturity date to November 9, 2020.

As of June 30, 2020, we recorded a

$ 14.8 million CECL reserve on this loan, which had an outstanding principal balance of

$ 52.8 million as of June 30, 2020.

The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of June 30, 2020, and to reflect ongoing loan modification discussions.

As of June 30, 2020, the borrower was current with all terms of the loan, including payments of interest.

As of June 30, 2020, we recorded a

million CECL reserve on a loan related to a ho spitality

as set in New York

with an outstanding principal balance of

million as of June 30, 2020.

The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of June 30, 2020, and to reflect ongoing loan modification discussions.

As of June 30, 2020, the borrower was current with all terms of the loan, including payments of interest.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Our primary credit quality indicator is our risk ratings, which are

further discussed above.

The following table presents the net book value of our loan portfolio as of March 31, 2020 by year of origination, investment pool, and risk rating ($ in thousands):

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

The following table presents the net book value of our loan portfolio as of June 30, 2020 by year of origination, investment pool, and risk rating ($ in thousands):

Net Book Value of Loans Receivable by Year of Origination (1)(2)

As of March 31, 2020

As of June 30, 2020

Total Non-U.S.

Total unique loans

Impaired loans

Total impaired loans

Total loans receivable

3 unchanged sentences

Origination dates are subsequently updated to reflect material loan modifications.

Excludes the $ 76.9 million net book value of our held-to-maturity

debt securities which represents our subordinated risk retention position related to the 2018 Single Asset Securitization, and is included in other assets on our consolidated balance sheets.

See Note 4 for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

Excludes the $ 75.8 million net book value of our held-to-maturity debt securities which represents our subordinate position we own in the 2018 Single Asset Securitization, and is included in other assets on our consolidated balance sheets.

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

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

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

As of March 31, 2020 and December 31, 2019, our Multifamily Joint Venture held $ 731.4

million and $ 670.5 million of loans, respectively, which are included in the loan disclosures above.

As of June 30, 2020 and December 31, 2019, our Multifamily Joint Venture held $ 624.1 million and $ 670.5 million of loans, respectively, which are included in the loan disclosures above.

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

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

March 31, 2020

June 30, 2020

December 31, 2019

Debt securities

held-to-maturity

Loan portfolio payments held by servicer (1)

Debt securities held-to-maturity

Debt securities held-to-maturity,

Accrued interest receivable

Loan portfolio payments held by servicer

Prepaid expenses

Collateral deposited under derivative agreements

Prepaid taxes

Prepaid expenses

Derivative assets

Collateral deposited under derivative agreements

Represents the subordinate risk retention interest in the 2018 Single Asset Securitization, which held aggregate loan assets of $ 880.7 million and $ 930.0 million as of March 31, 2020 and December 31, 2019, respectively, with a yield to full maturity of L+ 10.0 % and a maximum maturity date of June 9, 2025 , assuming all extension options are exercised by the borrower.

Refer to Note 15 for additional discussion.

Represents loan principal and interest payments held by our third-party loan servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle.

Represents the subordinate position we own in the 2018

Single Asset Securitization, which held aggregate loan assets of $ 857.3 million and $ 930.0 million as of June 30, 2020 and December 31, 2019, respectively, with a yield to

full maturity of L+ 10.0 % and a maximum maturity date of June 9, 2025 , assuming all extension options are exercised by the borrower.

Refer to Note 15 for additional discussion.

Current Expected Credit Loss Reserve

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

The following table presents the activity in our debt securities CECL reserve by investment pool for the three months ended March 31, 2020 ($ in thousands):

The following table presents the activity in our debt securities CECL reserve by investment pool for the three and

six months ended June 30, 2020 ($ in thousands):

Impaired Loans

Debt Securities Held-To-Maturity

2 unchanged sentences

Increase in CECL reserve

CECL reserve as of June 30, 2020

CECL reserve as of March 31, 2020

Decrease in CECL reserve

CECL reserve as of June 30, 2020

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

of $ 445,000 recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity;

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

During the three months ended March 31, 2020, we recorded a $ 4.7 million increase in expected credit loss reserve against our debt securities held-to-maturity,

bringing our total CECL reserve to $ 5.1 million as of March 31, 2020.

however subsequent changes to the CECL reserve are recognized through net income (loss)

on our consolidated statements of operations.

During the three and six months ended June 30, 2020, we recorded a decrease of $ 1.0 million and an increase of $ 3.7 million, respectively, in the expected credit loss reserve against our debt securities held-to-maturity,

bringing our total CECL reserve to $ 4.1 million as of June 30, 2020.

This CECL reserve reflects the macroeconomic impact of the COVID-19

3 unchanged sentences

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

March 31, 2020

June 30, 2020

December 31, 2019

Accrued dividends payable

Derivative liabilities

Accrued interest payable

Current expected credit loss reserve for unfunded loan commitments

Accrued management and incentive fees payable

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

Accounts payable and other liabilities

Derivative liabilities

Represents the CECL reserve related to our unfunded loan commitments.

1 unchanged sentence

Current Expected Credit Loss Reserve for Unfunded Loan Commitments

As of March 31, 2020, we had unfunded commitments of $ 3.9 billion related to 94 loans receivable.

As of June 30, 2020, we had unfunded commitments of $ 3.6 billion related to 91 loans receivable.

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

See Note 2 for further discussion of the CECL reserve related to our unfunded loan commitments, and Note 17 for further discussion of our unfunded loan commitments.

The following table presents the activity in the CECL reserve related to our unfunded loan commitments by investment pool for the three months ended March 31, 2020 ($ in thousands):

The following table presents the activity in the CECL reserve related to our unfunded loan commitments by investment pool for the three and six months ended June 30, 2020 ($ in thousands):

Impaired Loans

Unfunded Loan Commitments

2 unchanged sentences

Increase in CECL reserve

CECL reserve as of June 30, 2020

CECL reserve as of March 31, 2020

(Decrease) increase in CECL reserve

CECL reserve as of June 30, 2020

Our initial CECL reserve against our unfunded loan commitments of $ 3.3 million recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity;

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

During the three months ended March 31, 2020, we recorded a $ 19.3 million increase in expected credit loss reserve against our unfunded loan commitments, bringing our total CECL reserve to $ 22.5 million as of March 31, 2020.

however subsequent changes to the CECL reserve are recognized through net income (loss)

on our consolidated statements of operations.

During the three and six months ended June 30, 2020, we recorded a decrease of $ 7.5 million and an increase of $ 11.7 million, respectively, in the expected credit loss reserve against our unfunded loan commitments, bringing our total CECL reserve to $ 15.0 million as of June 30, 2020.

This CECL reserve reflects the macroeconomic impact of the COVID-19

4 unchanged sentences

SECURED DEBT AGREEMENTS, NET

During the three months ended March 31, 2020, we increased the size of one of our credit facilities and added a multi-currency facility with one of our existing lenders, providing an aggregate additional $ 650.0 million of credit capacity.

During the three months ended June 30, 2020, we

entered into agreements with seven of our secured credit facility lenders, representing an aggregate $ 7.9 billion of our secured credit

facilities, to temporarily suspend credit mark provisions on certain of their portfolio assets in exchange for:

(i) cash repayments;

(ii) pledges of additional collateral;

and (iii) reductions in our available borrowings.

Our secured debt agreements include secured credit facilities, asset-specific financings, and a revolving credit agreement.

2 unchanged sentences

Borrowings Outstanding

March 31, 2020

June 30, 2020

December 31, 2019

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Secured Credit Facilities

The following table details our secured credit facilities as of March 31, 2020 ($ in thousands):

March 31, 2020

The following table details our secured credit facilities as of June 30, 2020 ($ in thousands):

June 30, 2020

Credit Facility Borrowings

5 unchanged sentences

Morgan Stanley

US Bank - Multi.

Goldman Sachs - Multi.

Société Générale

Goldman Sachs - Multi.

US Bank - Multi.

Bank of America - Multi.

4 unchanged sentences

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

The weighted-average outstanding balance of our secured credit facilities was $ 9.3 billion for the three months ended March 31, 2020.

As of March 31, 2020, we had aggregate borrowings of $ 9.0 billion outstanding under our secured credit facilities, with a weighted-average cash coupon of LIBOR plus 1.60 % per annum, a weighted-average all-in

The weighted-average outstanding balance of our secured credit facilities was $ 9.2 billion for the six months ended June 30, 2020.

As of June 30, 2020, we had aggregate borrowings of $ 9.4 billion outstanding under our secured credit facilities, with a weighted-average cash coupon of LIBOR plus 1.62 % per annum, a weighted-average all-in

cost of credit, including associated fees and expenses, of LIBOR plus 1.82 % per annum, and a weighted-average advance rate of 75.6 %.

As of March 31, 2020, outstanding borrowings under these facilities had a weighted-average maturity, including extension options, of 3.5

As of June 30, 2020, outstanding borrowings under these facilities had a weighted-average maturity, including extension options, of 3.4

Blackstone Mortgage Trust, Inc.

18 unchanged sentences

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

The weighted-average outstanding balance of our secured credit facilities was $ 9.4 billion for the three months ended December 31, 2019.

The weighted-average outstanding balance of our secured credit facilities was $ 8.9 billion for the six months ended December 31, 2019.

As of December 31, 2019, we had aggregate borrowings of $ 9.8 billion outstanding under our secured credit facilities, with a weighted-average cash coupon of LIBOR plus 1.60 % per annum, a weighted-average all-in

4 unchanged sentences

Notes to Consolidated Financial Statements (continued)

The following tables outline the key terms of our credit facilities as of March 31, 2020:

The following tables outline the key terms of our credit facilities as of June 30, 2020:

Guarantee (1)

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Collateral marks only

June 18, 2024 (

Goldman Sachs

Collateral marks only

October 22, 2024 (11)

Collateral marks only

September 23, 2025 (10)

14 unchanged sentences

Term matched (11)

Collateral marks only

Term matched (11)

Goldman Sachs

Collateral marks only

Term matched (11)

Other than amounts guaranteed based on specific collateral asset types, borrowings under our credit facilities are non-recourse

Margin call provisions under our credit facilities do not permit valuation adjustments based on capital markets events, and are limited to collateral-specific credit marks.

These provisions have been temporarily suspended on certain of our facilities as described above.

These facilities finance the loan investments of our consolidated Multifamily Joint Venture.

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

Specific borrowings outstanding of $ 914.2 million are 100 % guaranteed.

The remainder of the credit facility borrowings are 25 % guaranteed.

In addition to the 25 % guarantee across all borrowings, there is an incremental guarantee of $ 146.2 million related to $ 194.9 million of specific borrowings outstanding.

Specific borrowings outstanding of $ 934.7

million are 100

% guaranteed.

The remainder of the credit facility borrowings are 25

% guaranteed.

In addition to the 25

% guarantee across all borrowings, there is an incremental guarantee of $ 146.6

million related to $ 195.4

million of specific borrowings outstanding.

Includes a one-year

2 unchanged sentences

extension options which may be exercised at our sole discretion.

Includes t wo

extension options which may be exercised at our sole discretion.

Includes two one-year

extension options which may be exercised at our sole discretion.

Includes four

extension options which may be exercised at our sole discretion.

Includes three

Includes two one-year

extension options which may be exercised at our sole discretion.

14 unchanged sentences

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

March 31, 2020

June 30, 2020

Asset-Specific Financings

8 unchanged sentences

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

Other than amounts guaranteed on an asset by asset basis, borrowings under our asset-specific financings are non-recourse

Other than amounts guaranteed on an asset by asset basis, borrowings under our asset-specific financings are non-recourse to us.

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

Each of our asset-specific financings is term-matched to the corresponding collateral loans.

The weighted-average outstanding balance of our asset-specific financings was $ 342.1 million for the three months ended March 31, 2020 and $ 293.9 million for the three months ended December 31, 2019.

The weighted-average outstanding balance of our asset-specific financings was $ 312.5 million for the six months ended June 30, 2020 and $ 262.5 million for the six months ended December 31, 2019.

Revolving Credit Agreement

2 unchanged sentences

The maturity date of the facility is April 4, 2023.

During the three months ended March 31, 2020, we had no

borrowings under the revolving credit agreement and we recorded interest expense of $ 496,000 , including $ 274,000

of amortization of deferred fees and expenses.

During the three months ended December 31, 2019, we had no

borrowings under the revolving credit agreement and we recorded interest expense of $ 490,000 , including $ 266,000 of amortization of deferred fees and expenses.

During the six months ended June 30, 2020, we had no borrowings under the revolving credit agreement and we recorded interest expense of $ 901,000 , including $ 459,000 of amortization of deferred fees and expenses.

During the six months ended December 31, 2019, we had no borrowings under the revolving credit agreement and we recorded interest expense of $ 972,000 , including $ 525,000 of amortization of deferred fees and expenses.

Debt Covenants

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(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 $ 2.8 billion as of each measurement date plus 75 % of the net cash proceeds of future equity issuances subsequent to March 31, 2020;

(ii) our tangible net worth, as defined in the agreements, shall not be less than $ 3.0 billion as of each measurement date plus 75 % of the net cash proceeds of future equity issuances subsequent to June 30, 2020;

(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, 2020 and December 31, 2019, we were in compliance with these covenants.

As of June 30, 2020 and December 31, 2019, we were in compliance with these covenants.

Refer to Note 7 for information regarding financial covenants contained in the agreements governing our senior secured term loan facility.

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

March 31, 2020

June 30, 2020

Securitized Debt Obligations

30 unchanged sentences

The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $ 500.0 million.

During the three months ended March 31, 2020 and 2019, we recorded $ 12.0 million and $ 13.5 million, respectively, of interest expense related to our securitized debt obligations.

During the three and six months ended June 30, 2020, we recorded $ 10.7 million and $ 22.7 million, respectively, of interest expense related to our securitized debt obligations.

During the three and six months ended June 30, 2019, we recorded $ 12.5 million and $ 25.0 million, respectively, of interest expense related to our securitized debt obligations.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

SECURED TERM LOAN, NET

As of March 31, 2020, the following senior secured term loan facility, or Secured Term Loan, was outstanding ($ in thousands):

Term Loan Issuance

Net Book Value (1)

SECURED TERM LOANS, NET

During the three months ended June 30, 2020 ,

we entered into a $ 325.0 million senior secured term loan facility, or the 2020 Term Loan.

As of June 30, 2020, the following senior secured term loan facilities, or Secured Term Loans, were outstanding ($ in thousands):

Interest Rate (1)

2019 Term Loan

April 23, 2026

The net book value of our Secured Term Loan was $ 736.1 million as of December 31, 2019.

Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Secured Term Loan.

The Secured Term Loan is partially amortizing, with an amount equal to 1.0 % per annum of the aggregate principal balance due in quarterly installments.

The issue discount and transaction expenses on the Secured Term Loan were $ 1.6 million and $ 10.1 million, respectively, which will be amortized into interest expense over the life of the Secured Term Loan.

The guarantee under our Secured Term Loan contains the financial covenant that our indebtedness shall not exceed 83.33

% of our total assets.

As of March 31, 2020 and December 31, 2019, we were in compliance with this covenant.

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

2020 Term Loan

April 23, 2026

The 2020 Term Loan includes a LIBOR floor of 1.00 %.

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

The 2019 and 2020 Term Loans are partially amortizing, with an amount equal to 1.0 % per annum of the aggregate principal balance due in quarterly installments.

The issue discount and transaction expenses on the 2019 Term Loan were $ 1.6 million and $ 10.1 million, respectively, which will be amortized into interest expense over the life of the 2019 Term Loan.

The issue discount and transaction expenses of the 2020 Term Loan were $ 9.6 million and

$ 3.8 million, respectively, which will be amortized into interest expense over the life of the 2020 Term Loan.

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

June 30, 2020

December 31, 2019

Unamortized discount

Deferred financing costs

Net book value

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

As of June 30, 2020 and December 31, 2019, we were in compliance with this covenant.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

CONVERTIBLE NOTES, NET

As of March 31, 2020, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

As of June 30, 2020, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes Issuance

Interest Rate

Conversion Rate (2)

2 unchanged sentences

Represents the shares of class A common stock per $ 1,000 principal amount of Convertible Notes, which is equivalent to a conversion price of $ 35.67 and $ 36.23 per share of class A common stock, respectively, for the May 2017 and March 2018 convertible notes.

The cumulative dividend threshold as defined in the respective May 2017 and March 2018 convertible notes supplemental indentures have no t been exceeded as of March 31, 2020.

The cumulative dividend threshold as defined in the respective May 2017 and March 2018 convertible notes supplemental indentures have no t been exceeded as of June 30, 2020.

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 January 31, 2022 and December 14, 2022 for the May 2017 and March 2018 convertible notes, respectively, at the applicable conversion rate in effect on the conversion date.

1 unchanged sentence

We may not redeem the Convertible Notes prior to maturity.

The last reported sale price of our class A common stock of $ 18.62 on March 31, 2020 was less than the per share conversion price of the May 2017 and March 2018 convertible notes.

The last reported sale price of our class A common stock of $ 24.09 on June 30, 2020 was less than the per share conversion price of the May 2017 and March 2018 convertible notes.

We have the intent and ability to settle each series of the Convertible Notes in cash and, as a result, the potential conversion of the Convertible Notes did not have any impact on our diluted earnings per share.

3 unchanged sentences

Including the amortization of the discount and issuance costs, our total cost of the March 2018 convertible notes issuance is 5.49 % per annum.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

March 31, 2020

June 30, 2020

December 31, 2019

4 unchanged sentences

Three Months Ended

Six Months Ended

Discount and issuance cost amortization

Total interest expense

Accrued interest payable for the Convertible Notes was $ 7.8 million and $ 6.0 million as of March 31, 2020 and December 31, 2019, respectively.

As of both June 30, 2020 and December 31, 2019, accrued interest payable for the Convertible Notes was $ 6.0 million.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

DERIVATIVE FINANCIAL INSTRUMENTS

4 unchanged sentences

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

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.

We may 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.

During the three months ended March 31, 2020, we terminated all of our outstanding foreign currency forward contracts, with aggregate notional amounts of €

552.1 million, £ 365.5

million, A$ 134.8

million, and C$ 23.7 million.

Our exposure to these currencies continues to be reduced by our local-currency borrowings investments denominated in currencies other than the U.S.

As of March 31, 2020, we did not have any outstanding foreign exchange derivatives designated as net investment hedges of foreign currency risk.

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

December 31, 2019

Foreign Currency

Sell GBP Forward

Sell EUR Forward

Sell AUD Forward

Sell CAD Forward

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Cash Flow Hedges of Interest Rate Risk

2 unchanged sentences

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

March 31, 2020

June 30, 2020

Interest Rate Derivatives

8 unchanged sentences

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, 2020, we estimate that an additional $ 5,000 will be reclassified from accumulated other comprehensive income (loss) as an increase to interest expense

During the twelve months following June 30, 2020, we estimate that an additional $ 13,000 will be reclassified from accumulated other comprehensive income (loss) as an increase to interest expense.

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.

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.

During the three months ended March 31, 2020, we terminated all of our outstanding foreign currency forward contracts, with aggregate notional amounts of €

552.1 million, £ 365.5 million, A$ 134.8 million, and C$ 23.7 million.

During the three months ended June 30, 2020, we entered into foreign currency forward contracts with aggregate notional amounts of €

620.4 million, £ 530.2 million, A$ 92.8 million, and C$ 24.4 million.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Designated Hedges of Foreign Currency Risk

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

June 30, 2020

December 31, 2019

Foreign Currency Derivatives

Buy USD / Sell EUR Forward

Buy USD / Sell GBP Forward

Buy USD / Sell EUR Forward

Buy USD / Sell AUD Forward

Buy USD / Sell CAD Forward

Non-designated

As of March 31, 2020, we did not have any outstanding non-designated

Hedges of Foreign Currency Risk

During the three months ended March 31, 2020 and March 31, 2019, we recorded losses

of $ 1.2 million and

$ 660,000 , respectively, related to non-designated

hedges that were reported as a component of interest expense in our consolidated financial statements.

The following tables summarize our non-designated

hedges (notional amount in thousands):

The following table details our outstanding foreign exchange derivatives that were non-designated

hedges of foreign currency risk (notional amount in thousands):

June 30, 2020

December 31, 2019

Non-designated

Buy USD / Sell GBP Forward

Buy CAD / Sell USD Forward

Buy USD / Sell EUR Forward

Buy USD / Sell CAD Forward

Buy EUR / Sell USD Forward

Buy GBP / Sell EUR Forward

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Buy USD / Sell AUD Forward

Financial Statement Impact of Hedges of Foreign Currency Risk

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

Amount of Income (Expense) Recognized

from Foreign Exchange Contracts

Foreign Exchange Contracts

Location of Income

in Hedging Relationships

(Expense) Recognized

June 30, 2020

Designated Hedges

Interest Income (1)

Non-Designated

Interest Income (1)

Non-Designated

Interest Expense (2)

Represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR.

These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S.

dollar terms.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Valuation of Derivative Instruments

Valuation and Other Comprehensive Income

The following table summarizes the fair value of our derivative financial instruments ($ in thousands):

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Liability Position (2)

March 31, 2020

June 30, 2020

December 31, 2019

March 31, 2020

June 30, 2020

December 31, 2019

Derivatives designated as hedging instruments:

Interest rate derivatives

Foreign exchange contracts

Derivatives not designated as hedging instruments:

Interest rate derivatives

Derivatives not designated as hedging instruments:

Foreign exchange contracts

Interest rate derivatives

Total Derivatives

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Location of Gain

Gain Reclassified

from Accumulated

Reclassified from

OCI into Income

Three Months Ended

Reclassified from

Three Months Ended

Derivatives in Hedging Relationships

June 30, 2020

OCI into Income

June 30, 2020

Net Investment Hedges

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Interest Expense

During the three months ended March 31, 2020 and 2019, we received net cash settlements of $ 61.7 million and paid $ 2.0 million, respectively, on our foreign currency forward contracts.

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

During the three months ended March 31, 2020 and 2019, we recorded total interest and related expenses of $ 104.2 million and $ 118.7 million, respectively, which were reduced by $ 28 ,000 and $ 168 ,000, respectively, related to income generated by our cash flow hedges.

During the three and six months ended June 30, 2020, we paid net cash settlements of $ 4.7 million and received net cash settlements of $ 57.0 million, respectively, on our foreign currency forward contracts.

Those amounts are included as a

component of accumulated other comprehensive income (

our consolidated balance sheets.

During the three months ended June 30, 2020, we recorded total interest and related expenses of $ 84.9 million, which included interest expenses of $ 9 ,000 related to our cash flow hedges.

During the six months ended June 30, 2020, we recorded total interest and related expenses of $ 189.1 million, which included $ 20 ,000 related to income generated by our cash flow hedges

Credit-Risk Related Contingent Features

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

As of June 30, 2020, we were in a net liability position with each such derivative counterparty and posted collateral of $ 22.2 million under these derivative contracts.

As of December 31, 2019, we were in a net liability position with each such derivative counterparty and posted collateral of $ 30.8 million under these derivative contracts.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

of March 31, 2020, we were in a net liabilit y

position with one such derivative counterparty and did not have any collateral posted under the derivative contract.

As of December 31, 2019, we were in a net liability position with each such derivative counterparty and posted collateral of $ 30.8 million under these derivative contracts.

Stock and Stock Equivalents

Authorized Capital

As of March 31, 2020, we had the authority to issue up to 300,000,000 shares of stock, consisting of 200,000,000 shares of class A common stock and 100,000,000 shares of preferred stock.

During the three months ended June 30, 2020, we filed articles of amendment to our charter authorizing

us to issue an additional 200,000,000 shares of common stock.

As of June 30, 2020, 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, 2020.

We did not have any shares of preferred stock issued and outstanding as of June 30, 2020.

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 such dividends as may be 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.

The following table details our issuances

of class A common stock during the six months ended June 30, 2020 ($ in thousands, except share and per share data):

Class A Common Stock

Shares issued

Gross share issue price (2)

Net share issue price (3)

Net proceeds (4)

shares issued to our Manager in satisfaction of the management and incentive fees accrued in

the first quarter of 2020.

The per share price was calculated based on the volume-weighted average price on the NYSE of our class A common stock over the five trading days following our April 29, 2020 first quarter 2020 earnings conference call.

Represents the weighted-average gross price per share paid by the underwriters or sales agents, as applicable , in June 2020.

Represents the weighted-average net proceeds per share after underwriting or sales discounts and commissions, as applicable , in June 2020.

Net proceeds represents proceeds received from the underwriters less applicable transaction costs in June 2020.

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

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

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.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

Three Months Ended March 31,

Six Months Ended June 30,

Common Stock Outstanding

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Ending balance

Includes deferred stock units held by members of our board of directors of 268,049 and 236,803 as of March 31, 2020 and 2019, respectively.

Includes 325 and 281 shares issued under our dividend reinvestment program during the three months ended March 31, 2020 and 2019, respectively.

Includes deferred stock units held by members of our board of directors of 281,143 and 244,536 as of June 30, 2020 and 2019, respectively.

Includes 971 and 553 shares issued under our dividend reinvestment program during the six months ended June 30, 2020 and 2019, respectively.

Dividend Reinvestment and Direct Stock Purchase Plan

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

During the three months ended March 31, 2020 and 2019, we issued 325 shares and 281 shares, respectively, of class A common stock under the dividend reinvestment component of the plan.

As of March 31, 2020, a total of 9,993,699 shares of class A common stock remained available for issuance under the dividend reinvestment and direct stock purchase plan.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

During the three and six months ended June 30, 2020, we issued 646 shares and 971 shares, respectively, of class A common stock under the dividend reinvestment component of the plan compared to 272 shares and 553 shares, respectively, for the same periods in 2019.

As of June 30, 2020, a total of 9,993,053 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

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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.

We did not sell any shares of our class A common stock under ATM Agreements during the three months ended March 31, 2020.

During the three months ended March 31, 2019, we issued and sold 1,909,628 shares of class A common stock under ATM Agreements, generating net proceeds totaling $ 65.4 million.

As of March 31, 2020, sales of our class A common stock with an aggregate sales price of $ 363.8 million remained available for issuance under our ATM Agreements.

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

dividend policy remains subject to revision at the discretion of our board of directors.

We did not sell any shares of our class A common stock under ATM Agreements during the six months ended June 30, 2020.

During the six months ended June 30, 2019, we issued and sold 1,909,628 shares of class A common stock under ATM Agreements, generating net proceeds totaling $ 65.4 million.

As of June 30, 2020, sales of our class A common stock with an aggregate sales price of $ 363.8 million remained available for issuance under our ATM Agreements.

We generally intend to distribute substantially all of our taxable income, which does not necessarily equal net income (loss) 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 13, 2020 , we declared a dividend of $ 0.62 per share, or $ 83.9 million in aggregate, that was paid on April 15, 2020 , to stockholders of record as of March 31, 2020 .

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

On June 15, 2020 , we declared a dividend of $ 0.62 per share, or $ 90.6 million in aggregate, that was paid on July 15, 2020 , to stockholders of record as of June 30, 2020 .

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

Three Months Ended

Three Months Ended June 30,

Six Months Ended June 30,

Dividends declared per share of common stock

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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.

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.

per share calculation.

Our Convertible Notes are excluded from dilutive earnings per share as we have the intent and ability to settle these instruments in cash.

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

Net (loss) income

The following table sets forth the calculation of basic and diluted net income (loss)

per share of class A common stock based on the weighted-average of both restricted and unrestricted class A common stock outstanding ($ in thousands, except per share data):

Three Months Ended June 30,

Six Months Ended June 30,

Net income (loss) (1)

Weighted-average shares outstanding, basic and diluted

Per share amount, basic and diluted

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

Other Balance Sheet Items

Accumulated Other Comprehensive Incom e

As of March 31, 2020, total accumulated other comprehensive

was $ 18.2 million, primarily representing $ 168.5

million of net realized and unrealized gains related to changes in the fair value of derivative instruments, offset by

of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.

As of December 31, 2019, total accumulated other comprehensive loss was

million, primarily representing $

million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies, offset by $

million of net realized and unrealized gains related to changes in the fair value of derivative instruments.

Accumulated Other Comprehensive Income

As of June 30, 2020, total accumulated other comprehensive income was $ 8.9 million, primarily representing $ 137.8 million of net realized and unrealized gains related to changes in the fair value of derivative instruments, offset by $ 128.9 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.

As of December 31, 2019, total accumulated other comprehensive loss was $ 16.2 million, primarily representing $ 80.7 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies, offset by $ 64.5 million of net realized and unrealized gains related to changes in the fair value of derivative instruments.

Non-Controlling

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.

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, 2020, our Multifamily Joint Venture’s total equity was $ 156.7 million, of which $ 133.2 million was owned by us, and $ 23.5 million was allocated to non-controlling

As of June 30, 2020, our Multifamily Joint Venture’s total equity was $ 140.1 million, of which $ 119.1 million was owned by us, and $ 21.0 million was allocated to non-controlling

As of December 31, 2019, our Multifamily Joint Venture’s total equity was $ 147.3 million, of which $ 125.2 million was owned by us, and $ 22.1 million was allocated to non-controlling

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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 outstanding equity balance, as defined in the Management Agreement.

period over (b) an amount equal to 7.00 % per annum multiplied by our outstanding Equity, provided that our Core Earnings over the prior three-year period is greater than zero.

Core Earnings, as defined in our Management Agreement, is generally equal to our net income (loss) prepared in accordance with GAAP, excluding (i) certain non-cash

items, (ii) the net income (loss) related to our legacy portfolio, and (iii) incentive management fees.

During the three months ended March 31, 2020 and 2019, we incurred $ 14.5 million and $ 13.1 million, respectively, of management fees payable to our Manager.

In addition, during the three months ended March 31, 2020 and 2019, we incurred $ 4.8 million and $ 6.7 million, respectively, of incentive fees payable to our Manager.

As of March 31, 2020 and December 31, 2019 we had accrued management and incentive fees payable to our Manager of $ 19.3 million and $ 20.2 million, respectively.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Management and Incentive Fees

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

Core Earnings, as defined in our Management Agreement, is generally equal to our net income (loss) prepared in accordance with GAAP, excluding (i) certain non-cash items, (ii) the net income (loss) related to our legacy portfolio, and (iii) incentive management fees.

During the three and six months ended June 30, 2020, we incurred $ 14.8 million and $ 29.2 million, respectively, of management fees payable to our Manager, compared to $ 13.3 million and $ 26.4 million during the same period in 2019.

In addition, during the three and six months ended June 30, 2020, we incurred $ 5.7 million and $ 10.5 million, respectively, of incentive fees payable to our Manager, compared to $ 7.7 million and $ 14.4 million during the same period in 2019.

During the three months ended June 30, 2020, we issued 840,696 shares of class A common stock to our Manager in satisfaction of our aggregate $ 19.3 million of management and incentive fees ac crued in

the first quarter of 2020.

As of June 30, 2020 and December 31, 2019 we had accrued management and incentive fees payable to our Manager of $ 20.5 million and $ 20.2 million, respectively.

General and Administrative Expenses

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

Three Months Ended

Three Months Ended June 30,

Six Months Ended June 30,

Professional services (1)

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Total general and administrative expenses

During the three months ended March 31, 2020 and 2019, we recognized an aggregate $ 376,000 and $ 169,000 , respectively, of expenses related to our Multifamily Joint Venture.

During the three and six months ended June 30, 2020, we recognized an aggregate $ 200,000 and $ 576,000 , respectively, of expenses related to our Multifamily Joint Venture.

During the three and six months ended June 30, 2019, we recognized an aggregate $ 164,000 and $ 333,000 , respectively, of expenses related to our Multifamily Joint Venture.

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

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federal income 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, 2020 and December 31, 2019, we were in compliance with all REIT requirements.

If we fail to

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

As of June 30, 2020 and December 31, 2019, 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.

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 currently own no UBTI producing assets and we do not intend to purchase or generate assets that produce UBTI distributions in the future.

During the three months ended March 31, 2020 and 2019, we recorded a current income tax provision of $ 149 ,000 and $ 101 ,000, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

We did no t have any deferred tax assets or liabilities as of March 31, 2020 or December 31, 2019.

Effective January 1, 2018, under legislation from the Tax Cuts and Jobs Act of 2017, the maximum U.S.

federal corporate income tax rate was reduced from

Accordingly, to the extent that the activities of our taxable REIT subsidiaries generate taxable income in future periods, they may be subject to lower U.S.

federal income tax rates.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

During the three and six months ended June 30, 2020, we recorded a current income tax provision of $ 23 ,000 and $ 173 ,000, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

During the three and six months ended June 30, 2019, we recorded a current income tax provision of $ 46 ,000 and $ 147 ,000, respectively.

We did no t have any deferred tax assets or liabilities as of June 30, 2020 or December 31, 2019.

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

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As of December 31, 2019, we had estimated NOLs of $ 159.0 million that will expire in 2029 , unless they are utilized by us prior to expiration.

As of March 31, 2020, tax years 2016 through 2019 remain subject to examination by taxing authorities.

As of June 30, 2020, tax years 2016 through 2019 remain subject to examination by taxing authorities.

STOCK-BASED INCENTIVE PLANS

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

However, as of March 31, 2020, 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.

We had stock-based incentive awards outstanding under nine benefit plans as of March 31, 2020.

However, as of June 30, 2020, 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.

We had stock-based incentive awards outstanding under nine benefit plans as of June 30, 2020.

Seven of such benefit plans have expired and no new awards may be issued under them.

Under our two current benefit plans, a maximum of 5,000,000 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, 2020, there were 2,884,030 shares available under our current benefit plans.

As of June 30, 2020, there were 2,870,936 shares available under our current benefit plans.

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

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Balance as of December 31, 2019

Balance as of March 31, 2020

Balance as of June 30, 2020

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

The 1,887,067 shares of restricted class A common stock outstanding as of March 31, 2020 will vest as follows:

The 1,547,277 shares of restricted class A common stock outstanding as of June 30, 2020 will vest as follows:

501,794 shares will vest in 2020;

690,100 shares will vest in

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

and 355,383 shares will vest in 2022.

As of March 31, 2020, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 66.1 million based on the grant date fair value of shares granted subsequent to July 1, 2018.

As of June 30, 2020, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 53.0 million based on the grant date fair value of shares granted subsequent to July 1, 2018.

The compensation cost of our share based compensation arrangements for awards granted before July 1, 2018 is based on the closing price of our class A common stock of $ 31.43 on June 29, 2018, the last trading day prior to July 1, 2018.

This cost is expected to be recognized over a weighted-average period of 1.1 years from March 31, 2020.

This cost is expected to be recognized over a weighted-average period of 1.1 years from June 30, 2020.

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, 2020

June 30, 2020

December 31, 2019

Refer to Note 2 for further discussion regarding fair value measurement.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Fair Value of Financial Instruments

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

March 31, 2020

June 30, 2020

December 31, 2019

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Securitized debt obligations, net

Secured term loan, net

Secured term loans, net

Convertible notes, net

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

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

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

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

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We are the primary beneficiary of, and therefore consolidate, the CLOs and the 2017 Single Asset Securitization on our balance sheet as we (i) control the relevant interests of the CLOs and the 2017 Single Asset Securitization that give us power to direct the activities that most significantly affect the CLOs and the 2017 Single Asset Securitization, and (ii) have the right to receive benefits and obligation to absorb losses of the CLOs and the 2017 Single Asset Securitization through the subordinate interests we own.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

The following table details the assets and liabilities of our consolidated CLOs and 2017 Single Asset Securitization VIEs ($ in thousands):

March 31, 2020

June 30, 2020

December 31, 2019

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Total liabilities

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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Variable Interest Entities

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

We have classified the subordinate risk retention position as a held-to-maturity

We have classified the subordinate position we o w

as a held-to-maturity

debt security that is included in other assets on our consolidated balance sheets.

Our maximum exposure to loss from the 2018 Single Asset Securitization is limited to our book value of $ 76.9 million as of March 31, 2020.

Our maximum exposure to loss from the 2018 Single Asset Securitization is limited to our book value of $ 75.8 million as of June 30, 2020.

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

TRANSACTIONS WITH RELATED PARTIES

We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2020 , and will be automatically renewed for a one -year

term upon such date and each anniversary thereafter unless earlier terminated.

As of March 31, 2020 and December 31, 2019, our consolidated balance sheet included $ 19.3 million and $ 20.2 million of accrued management and incentive fees payable to our Manager, respectively.

During the three months ended March 31, 2020, we paid aggregate management and incentive fees of $ 20.2 million to our Manager, compared to $ 18.6 million during the same period of 2019.

In addition, during the three months ended March 31, 2020, we reimbursed our Manager for expenses incurred on our behalf of $ 218,000 compared to $ 188,000 during the same period of 2019.

As of March 31, 2020, our Manager held 936,653 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 32.1 million, and vest in installments over three years from the date of issuance.

During the three months ended March 31, 2020 and 2019, we recorded non-cash

expenses related to shares held by our Manager of $ 4.3 million and $ 3.8 million, respectively.

We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2020, and will be automatically renewed for a one-year term upon such date and each anniversary thereafter unless earlier terminated.

As of June 30, 2020 and December 31, 2019, our consolidated balance sheets included $ 20.5 million and $ 20.2 million of accrued management and incentive fees payable to our Manager, respectively.

During the three and six months ended June 30, 2020, we paid aggregate management and incentive fees of $ 19.3 million and $ 39.4 million, respectively, to our Manager, compared to $ 19.8 million and $ 38.4 million during the same periods of 2019.

During the three months ended June 30, 2020, we issued 840,696 shares of class A common stock to our Manager in satisfaction of our aggregate $ 19.3 million of management and incentive fees

the first quarter of 2020.

The per share price with respect to such issuance was calculated based on the volume-weighted average

price on the NYSE of our class A common stock over the five trading days following our April 29, 2020 first quarter 2020 earnings conference call .

In addition, during the three and six months ended June 30, 2020, we reimbursed our Manager for expenses incurred on our behalf of $ 205,000 and $ 423,000 , respectively, compared to $ 242,000 and $ 430,000 during the same periods of 2019.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

As of June 30, 2020, our Manager held 768,179 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 26.3 million, and vest in installments over three years from the date of issuance.

During the three and six months ended June 30, 2020, we recorded non-cash

expenses related to shares held by our Manager of $ 4.2 million and $ 8.5 million, respectively, compared to $ 3.9 million and $ 7.7 million during the same period of 2019.

Refer to Note 13 for further details on our restricted class A common stock.

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

This affiliate did not earn any special servicing fees related to the CLOs during the three months ended March 31, 2020 or 2019.

During the three months ended March 31, 2020, we originated two loans whereby the respective borrowers engaged an affiliate of our Manager to act as title insurance agent in connection with these transactions.

We did not incur any expenses or receive any revenues as a result of th e

transaction s

There w ere no

similar transactions during the three months ended March 31, 2019.

During the three months ended March 31, 2020 and 2019, we incurred expenses for various administrative, compliance, and capital market data services to third-party service providers that are affiliates of our Manager of $ 133,000 and

$ 86,000 , respectively.

In the first quarter of 2020, we acquired a $ 140.0 million interest in

a total $ 421.5 million senior loan to a borrower that is partially owned by a Blackstone-advised investment vehicle.

This affiliate did not earn any special servicing fees related to the CLOs during the six months ended June 30, 2020 or 2019.

During the six months ended June 30, 2020, we originated two loans whereby the respective borrowers engaged an affiliate of our Manager to act as title insurance agent in connection with these transactions.

We did not incur any expenses or receive any revenues as a result of these transactions.

There were no similar transactions during the six months ended June 30, 2019.

During the three and six months ended June 30, 2020, we incurred $ 138,000 and $ 271,000 , respectively, of expenses for various administrative, compliance, and capital market data services to third-party service providers that are affiliates of our Manager, compared to $ 90,000 and $ 176,000 during the same periods of 2019.

In the second quarter of 2020, a Blackstone-advised investment vehicle acquired an aggregate $ 5.0 million participation, or 2 %, of the total 2020 Term Loan as a part of a broad syndication lead-arranged by JP Morgan.

Partners L.P., an affiliate of our Manager, was engaged as a book-runner for the transaction and received aggregate fees of $ 250,000 in such capacity.

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

In the first quarter of 2020, we acquired a $ 140.0 million interest in a total $ 421.5 million senior loan to a borrower that is partially owned by a Blackstone-advised investment vehicle.

We will forgo all non-economic

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The senior loan terms were negotiated by third parties without our involvement and our 33 % interest in the senior loan was made on such market terms.

In the second and fourth quarter of 2019, certain Blackstone-advised investment vehicles acquired an aggregate $ 60.0 million participation, or 8 %, of the total 2019 Term Loan as a part of a broad syndication lead-arranged by JP Morgan.

Partners L.P., an affiliate of our Manager, was engaged as a book-runner for the transactions and received aggregate fees of $ 750,000 in such capacity.

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

In the second quarter of 2019, we originated €

191.8 million of a total €

391.3 million senior loan to a borrower that is wholly owned by a Blackstone-advised investment vehicle.

We will forgo all non-economic

rights under the loan, including voting rights, so long as the Blackstone-advised investment vehicle controls the borrower.

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

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

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

In the second quarter of 2020, we entered into a loan modification with the borrower.

The modification terms were negotiated by the third party ,

lender, without our involvement.

COMMITMENTS AND CONTINGENCIES

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on the global economy generally, and our business in particular, is uncertain.

As of March 31, 2020, no contingencies have been recorded on our consolidated balance sheet as a result of COVID-19,

As of June 30, 2020, no contingencies have been recorded on our consolidated balance sheet as a result of COVID-19,

however as the global pandemic continues and the economic implications worsen, it may have long-term impacts on our financial condition, results of operations, and cash flows.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Unfunded Commitments Under Loans Receivable

As of March 31, 2020, we had unfunded commitments of

$ 3.9 billion related to 94 loans receivable .

We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of

for such financed loans, resulting in identified financing for

$ 2.4 billion of our aggregate unfunded loan commitments as of March 31, 2020.

As of June 30, 2020, we had unfunded commitments of $ 3.6 billion related to 91 loans receivable.

We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of 75.6 % for such financed loans, resulting in identified financing for $ 2.2 billion of our aggregate unfunded loan commitments as of June 30, 2020.

Some of our lenders, including substantially all of our financing of construction loans, are contractually obligated to fund their ratable portion of these loan commitments over time, while other lenders have some degree of discretion over future loan funding obligations.

We expect to fund our loan commitments over the tenor of these loans, which have a weighted-average future funding period of 4.0 years.

Our future loan

fundings comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and will vary depending on the progress of capital projects, leasing, and cash flows at the assets underlying 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.

As a result of the

We expect to fund our loan

commitments over the tenor of these loans, which have a weighted-average future funding period of 3.9 years.

Our future loan fundings comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and will vary depending on the progress of capital projects, leasing, and cash flows at the assets underlying 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.

As a result of the COVID-19

pandemic, the progress of capital expenditures, construction, and leasing is anticipated to be slower than otherwise expected, and the pace of future funding relating to these capital needs may be commensurately slower.

Principal Debt Repayments

Our contractual principal debt repayments as of March 31, 2020 were as follows ($ in thousands):

Our contractual principal debt repayments as of June 30, 2020 were as follows ($ in thousands):

Payment Timing

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

The Secured Term Loan is partially amortizing, with an amount equal to 1.0 % per annum of the principal balance due in quarterly installments.

Refer to Note 7 for further details on our secured term loan.

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

Refer to Note 7 for further details on our secured term loans.

Reflects the outstanding principal balance of Convertible Notes, excluding any potential conversion premium.

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Board of Directors’ Compensation

As of March 31, 2020, of the eight members of our board of directors, our five independent directors are entitled to annual compensation of $ 175,000 each, $ 75,000 of which will be paid in the form of cash and $ 100,000 in the form of deferred stock units.

As of June 30, 2020, of the eight members of our board of directors, our five independent directors are entitled to annual compensation of $ 175,000 each, $ 75,000 of which will be paid in the form of cash and $ 100,000 in the form of deferred stock units.

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

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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, 2020, we were not involved in any material legal proceedings.

As of June 30, 2020, we were not involved in any material legal proceedings.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

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Our actual results or outcomes may differ materially from those in this discussion as a result of various factors, including but not limited to those discussed in Item 1A.

Risk Factors in our annual report on Form 10-K

for the year ended December 31, 2019, as well as in Part II.

Risk Factors and elsewhere in this quarterly report on Form 10-Q.

Risk Factors in our annual report on Form 10-K for the year ended December 31, 2019, as well as in Part II.

Risk Factors in our quarterly report on Form 10-Q for the fiscal period ended March 31, 2020 and elsewhere in this quarterly report on Form 10-Q.

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

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Recent Developments

During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or COVID-19,

which has spread to over 200 countries and territories, including the United States, and has spread to every state in the United States.

The World Health Organization has designated COVID-19

as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect to COVID-19.

The global impact of the outbreak has been rapidly evolving, and as cases of COVID-19

offices and retail centers.

Such actions are creating disruption in global supply chains, increasing rates of unemployment and adversely impacting many industries.

During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or COVID-19, which has spread to over 200 countries and territories, including the United States, has spread to every state in the United States, and is continuing to spread.

The World Health Organization has designated COVID-19 as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect to COVID-19.

The United States and other countries have reacted to the COVID-19 outbreak with unprecedented government intervention, including interest rate cuts and economic stimulus.

Such actions are creating disruption in global supply chains, increasing rates of unemployment and adversely impacting many industries, including industries in which the collateral underlying certain of our loans are involved.

The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown.

The outbreak of COVID-19

and its impact on the current financial, economic and capital markets environment, and future developments in these and other areas present uncertainty and risk with respect to our financial condition, results of operations, liquidity, and ability to pay distributions.

The outbreak of COVID-19 and its impact on the current financial, economic and capital markets environment, and future developments in these and other areas present uncertainty and risk with respect to our financial condition, results of operations, liquidity, and ability to pay distributions.

We expect that these impacts are likely to continue to some extent as the outbreak persists and potentially even longer.

The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19

on economic and market conditions, and, as a result, present material uncertainty and risk with respect to us and the performance of our investments.

The full extent of the impact and effects of COVID-19

will depend on future developments, including, among other factors, the duration and spread of the outbreak, along with related travel advisories, quarantines and restrictions, the recovery time of the disrupted supply chains and industries, the impact of labor market interruptions, the impact of government interventions, and uncertainty with respect to the duration of the global economic slowdown.

For additional discussion with respect to the potential impact of the COVID-19

pandemic on our liquidity and capital resources, see “Liquidity and Capital Resources” below.

The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions, and, as a result, present material uncertainty and risk with respect to us and the performance of our investments.

The full extent of the impact and effects of COVID-19 will depend on future developments, including, among other factors, the duration and spread of the outbreak, along with related travel advisories, quarantines and restrictions, the recovery time of the disrupted supply chains and industries, the impact of labor market interruptions, the impact of government interventions, and uncertainty with respect to the duration of the global economic slowdown.

For additional discussion with respect to the potential impact of the COVID-19 pandemic on our liquidity and capital resources, see “Liquidity and Capital Resources” below.

Key Financial Measures and Indicators

As a real estate finance company, we believe the key financial measures and indicators for our business are earnings per share, dividends declared, Core Earnings, and book value per share.

For the three months ended March 31, 2020 we recorded a net loss per share of $0.39, declared a dividend of $0.62 per share, and reported $0.64 per share of Core Earnings.

In addition, our book value per share as of March 31, 2020 was $26.92.

For the three months ended June 30, 2020 we recorded earnings per share of $0.13, declared a dividend of $0.62 per share, and reported $0.62 per share of Core Earnings.

In addition, our book value per share as of June 30, 2020 was $26.45.

As further described below, Core Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP.

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Earnings Per Share and Dividends Declared

The following table sets forth the calculation of basic and diluted net income per share and dividends declared per share ($ in thousands, except per share data):

The following table sets forth the calculation of basic and diluted net income (loss) per share and dividends declared per share ($ in thousands, except per share data):

Three Months Ended

June 30, 2020

March 31, 2020

December 31, 2019

Net (loss) income (1)

Net income (loss) (1)

Weighted-average shares outstanding, basic and diluted

Net (loss) income per share, basic and diluted

Net income (loss) per share, basic and diluted

Dividends declared per share

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

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

Core Earnings

Core Earnings is a non-GAAP

measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise included in 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, and (v) certain non-cash

Core Earnings may also be adjusted from time to time to exclude one-time

events pursuant to changes in GAAP and certain other non-cash

charges as determined by our Manager, subject to approval by a majority of our independent directors.

During the three months ended March 31, 2020, we recorded a $122.7 million increase in current expected credit loss, or CECL, reserve, which has been excluded from Core Earnings consistent with other unrealized gains (losses) pursuant to our existing policy for reporting Core Earnings and the terms of the management agreement between our Manager and us.

We believe that Core Earnings provides meaningful information to consider in addition to our net income and cash flow from operating activities determined in accordance with GAAP.

Core Earnings is a non-GAAP measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise included in 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, and (v) certain non-cash items.

Core Earnings may also be adjusted from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as determined by our Manager, subject to approval by a majority of our independent directors.

During the six months ended June 30, 2020, we recorded a $179.5 million increase in the current expected credit loss, or CECL, reserve, which has been excluded from Core Earnings consistent with other unrealized gains (losses) pursuant to our existing policy for reporting Core Earnings and the terms of the management agreement between our Manager and us.

We believe that Core Earnings provides meaningful information to consider in addition to our net income (loss) and cash flow from operating activities determined in accordance with GAAP.

This adjusted measure helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations.

Although, according to the management agreement between our Manager and us, or our Management Agreement, we calculate the incentive and base management fees due to our Manager using Core Earnings before our incentive fee expense, we report Core Earnings after incentive fee expense, as we believe this is a more meaningful presentation of the economic performance of our class A common stock.

Core Earnings does not represent net income or cash generated from operating activities and should not be considered as an alternative to GAAP net income, or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs.

Core Earnings does not represent net income (loss) or cash generated from operating activities and should not be considered as an alternative to GAAP net income (loss), or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs.

In addition, our methodology for calculating Core Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Core Earnings may not be comparable to the Core Earnings reported by other companies.

The following table provides a reconciliation of Core Earnings to GAAP net income ($ in thousands, except per share data):

The following table provides a reconciliation of Core Earnings to GAAP net income (loss) ($ in thousands, except per share data):

Three Months Ended

June 30, 2020

March 31, 2020

December 31, 2019

Net (loss) income (1)

Net income (loss) (1)

Increase in current expected credit loss reserve

compensation expense

Hedging and foreign currency income, net (2)

Increase attributable to non-controlling interests

Non-cash compensation expense

Realized hedging and foreign currency income, net (2)

Adjustments attributable to non-controlling interests, net

Core Earnings

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Core Earnings per share, basic and diluted

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

Primarily represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR.

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

For the three months ended June 30, 2020, represents realized gains on the repatriation of unhedged foreign currency.

For the three months ended March 31, 2020, primarily represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR.

These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S.

dollar terms.

These amounts are not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements.

These amounts were not included in GAAP net income (loss), but rather as a component of Other Comprehensive Income in our consolidated financial statements.

Book Value Per Share

The following table calculates our book value per share ($ in thousands, except per share data):

June 30, 2020

March 31, 2020

December 31, 2019

Stockholders’ equity

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Loan Portfolio

During the quarter ended March 31, 2020, we originated or acquired $1.3 billion of loans.

Loan fundings during the quarter totaled $1.0 billion, including $29.0 million of non-consolidated

senior interests.

Loan fundings during the quarter totaled $317.2 million, including $47.9 million of non-consolidated senior interests.

Loan repayments during the quarter totaled $385.7 million.

We generated interest income of $204.9 million and incurred interest expense of $104.2 million during the quarter, which resulted in $100.6 million of net interest income during the three months ended March 31, 2020.

We generated interest income of $192.0 million and incurred interest expense of $84.9 million during the quarter, which resulted in $107.1 million of net interest income during the three months ended June 30, 2020.

Portfolio Overview

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Three Months Ended

March 31, 2020

December 31, 2019

Six Months Ended

June 30, 2020

Loan originations (1)

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Includes new loan originations and additional commitments made under existing loans.

Loan fundings during the three months ended March 31, 2020 and December 31, 2019 include $29.0 million and $26.1 million, respectively, of additional fundings under related non-consolidated

senior interests.

The following table details overall statistics for our investment portfolio as of March 31, 2020 ($ in thousands):

Loan fundings during the three and six months ended June 30, 2020 include $47.9 million and $76.9 million, respectively, of additional fundings under related non-consolidated senior interests.

The following table details overall statistics for our investment portfolio as of June 30, 2020 ($ in thousands):

Total Investment Exposure

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Weighted-average cash coupon (5)

Weighted-average all-in

Weighted-average all-in yield (5)

Weighted-average maximum maturity (years) (6)

Loan to value (LTV) (7)

Excludes investment exposure to the $84.2 million subordinate risk retention interest we own in the $880.7 million 2018 Single Asset Securitization.

Excludes investment exposure to the $82.0 million subordinate position we own in the $857.3 million 2018 Single Asset Securitization.

Refer to Notes 4 and 15 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.

In certain instances, we finance our loans through the non-recourse

sale of a senior loan interest that is not included in our consolidated financial statements.

Total loan exposure encompasses the entire loan we originated and financed, including $692.3 million of such non-consolidated

senior interests that are not included in our balance sheet portfolio.

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

Total loan exposure encompasses the entire loan we originated and financed, including $739.6 million of such non-consolidated senior interests that are not included in our balance sheet portfolio.

Includes investment exposure to the $857.3 million 2018 Single Asset Securitization.

We do not consolidate the 2018 Single Asset Securitization on our consolidated financial statements, and instead reflect our $84.2 million subordinate risk retention investment as a component of other assets on our consolidated balance sheet.

We do not consolidate the 2018 Single Asset Securitization on our consolidated financial statements, and instead reflect our $82.0 million subordinate position as a component of other assets on our consolidated balance sheet.

Refer to Notes 4 and 15 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.

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

The weighted-average cash coupon and all-in

yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan.

As of March 31, 2020, 97% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $11.4 billion of such loans earned interest based on floors that are above the applicable index.

The other 3% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2020, for purposes of the weighted-averages.

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.

The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each investment.

As of June 30, 2020, 97% of our investments by total investment exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $13.0 billion of such investments earned interest based on floors that are above the applicable index.

The other 3% of our investments earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of June 30, 2020, for purposes of the weighted-averages.

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.

Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date.

As of March 31, 2020, 56% of our loans and other investments were subject to yield maintenance or other prepayment restrictions and 44% were open to repayment by the borrower without penalty.

As of June 30, 2020, 51% of our loans and other investments were subject to yield maintenance or other prepayment restrictions and 49% were open to repayment by the borrower without penalty.

Based on LTV as of the dates loans and other investments were originated or acquired by us.

The following table details the floating benchmark rates for our investment portfolio as of March 31, 2020 ($/ €

/£/A$/C$ in thousands):

The following table details the floating benchmark rates for our investment portfolio as of June 30, 2020 ($/€/£/A$/C$ in thousands):

Total Investment

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INDEX + 3.55%

The cash coupon and all-in

yield of our fixed rate loans are reflected as a spread over USD LIBOR for purposes of the weighted-averages.

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.

The charts below detail the geographic distribution and types of properties securing our investment portfolio, as of March 31, 2020:

Refer to section VI of this Item 2 for details of our loan portfolio, on a loan-by-loan

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.

We earn forward points on our forward contracts that reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR.

These forward contracts effectively convert the foreign currency rate exposure for such investments to USD LIBOR.

The cash coupon and all-in yield of our fixed rate loans are reflected as a spread over USD LIBOR for purposes of the weighted-averages.

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.

The charts below detail the geographic distribution and types of properties securing our investment portfolio, as of June 30, 2020:

Refer to section VI of this Item 2 for details of our loan portfolio, on a loan-by-loan basis.

Portfolio Management

Our loan portfolio is 100% performing with no loan impairments, loan defaults, or non-accrual

loans as of March 31, 2020.

Further, all interest payments due in April 2020 were paid across our loan portfolio, including with respect to loans collateralized by hospitality assets, which we believe demonstrates the strength of our loan portfolio and the commitment and financial wherewithal of our borrowers, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized sponsors.

We maintain a robust asset management relationship with our borrowers and have utilized these relationships to address the potential impacts of the COVID-19

pandemic on our loans secured by properties experiencing cash flow pressure, most significantly hospitality assets.

Some of our borrowers have indicated that due to the impact of the COVID-19

pandemic, they will be unable to timely execute their business plans, have had to temporarily close their businesses, or have experienced other negative business consequences and have requested temporary interest deferral or forbearance, or other modifications of their loans.

Accordingly, discussions we have had with our borrowers have addressed potential near-term defensive loan modifications, which could include repurposing of reserves, temporary deferrals of interest, or performance test or covenant waivers on loans collateralized by assets directly impacted by the COVID-19

pandemic, and which would generally be coupled with an additional equity commitment and/or guaranty from sponsors.

While no loan modifications of this nature have been closed to date, we are encouraged by the tone of these conversations and our borrowers’ initial response to the COVID-19

pandemic’s impacts on their properties.

We believe our loan sponsors are generally committed to supporting assets collateralizing our loans through additional equity investments, and that we will benefit from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors.

Our portfolio’s low origination weighted-average LTV of 63.4% as of March 31, 2020 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption.

We collected all interest payments that were due under our loans through July 2020, including with respect to loans collateralized by hospitality assets, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.

We maintain a robust asset management relationship with our borrowers and have utilized these relationships to address the potential impacts of the COVID-19 pandemic on our loans secured by properties experiencing cash flow pressure, most significantly hospitality assets.

Some of our borrowers have indicated that due to the impact of the COVID-19 pandemic, they will be unable to timely execute their business plans, have had to temporarily close their businesses, or have experienced other negative business consequences and have requested temporary interest deferral or forbearance, or other modifications of their loans.

During the three months ended June 30, 2020, we closed 13 loan modifications, representing an aggregate principal balance of $2.4 billion.

The loan modifications included term extensions, interest rate changes, repurposing of reserves, temporary deferrals of interest, and performance test or covenant waivers, many of which were coupled with additional equity commitments from sponsors.

We are generally encouraged by our borrowers’ initial response to the COVID-19 pandemic’s impacts on their properties.

With limited exceptions, we believe our loan sponsors are committed to supporting assets collateralizing our loans through additional equity investments, and that we will benefit from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors.

Our investment portfolio’s low origination weighted-average LTV of 63.6% as of June 30, 2020 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption.

While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments.

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As discussed in Note 2 to our consolidated financial statements, our Manager performs a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk.

The weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of March 31, 2020 and December 31, 2019, respectively.

The increase in the risk rating was primarily the result of $3.1 billion aggregate principal amount of loans that were downgraded to a risk rating of “4” to reflect the higher risk in loans collateralized by hospitality and select other asset classes that are particularly negatively impacted by the COVID-19

The weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of June 30, 2020 and December 31, 2019, respectively.

The increase in the risk rating was primarily the result of loans with an aggregate principal balance of $3.1 billion that were downgraded to a “4” or “5” as of June 30, 2020 to reflect the higher risk in loans collateralized by hospitality assets and select other assets that are particularly negatively impacted by the COVID-19 pandemic.

The following table allocates the principal balance and total loan exposure balances based on our internal risk ratings ($ in thousands):

March 31, 2020

June 30, 2020

Exposure (1)(2)

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Loans receivable, net

In certain instances, we finance our loans through the non-recourse

sale of a senior loan interest that is not included in our consolidated financial statements.

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

See Note 2 to our consolidated financial statements for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $692.3 million of such non-consolidated

senior interests as of March 31, 2020.

Total loan exposure encompasses the entire loan we originated and financed, including $739.6 million of such non-consolidated senior interests as of June 30, 2020.

Excludes investment exposure to the $857.3 million 2018 Single Asset Securitization.

Refer to Notes 4 and 15 to our consolidated financial statements for details of the subordinated risk retention interest we own in the 2018 Single Asset Securitization.

Refer to Notes 4 and 15 to our consolidated financial statements for details of the subordinate position we own in the 2018 Single Asset Securitization.

Current Expected Credit Loss Reserve

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Our initial CECL reserve of $17.7 million recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity;

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

During the three months ended March 31, 2020, we recorded a $122.7 million increase in expected credit loss reserve, bringing our total CECL reserve to $140.4 million as of March 31, 2020.

This CECL reserve reflects the macroeconomic impact of the COVID-19

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio.

Further, this reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the COVID-19

however subsequent changes to the CECL reserve are recognized through net income (loss) on our consolidated statements of operations.

During the six months ended June 30, 2020, we recorded a $179.5 million increase in the current expected credit loss reserve, bringing our total CECL reserve to $197.2 million as of June 30, 2020.

This CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

Further, this reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the COVID-19 pandemic.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

During the first quarter of 2020, we entered into a loan modification related to a multifamily asset in New York City, which is classified as a troubled debt restructuring under GAAP.

This modification included, among other changes, an additional borrower contribution of capital, a reduction in loan spread, and an extension of the loan’s maturity date to November 9, 2020.

As of June 30, 2020, we recorded a $14.8 million CECL reserve on this loan, which had an outstanding principal balance of $52.8 million as of June 30, 2020.

The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of June 30, 2020, and to reflect ongoing loan modification discussions.

As of June 30, 2020, the borrower was current with all terms of the loan, including payments of interest.

As of June 30, 2020, we recorded a $54.9 million CECL reserve on a loan related to a hospitality asset in New York City with an outstanding principal balance of $281.4 million as of June 30, 2020.

The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of June 30, 2020, and to reflect ongoing loan modification discussions.

As of June 30, 2020, the borrower was current with all terms of the loan, including payments of interest.

Multifamily Joint Venture

As of March 31, 2020, our Multifamily Joint Venture held $731.4 million of loans, which are included in the loan disclosures above.

As of June 30, 2020, our Multifamily Joint Venture held $624.1 million of loans, which are included in the loan disclosures above.

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

Portfolio Financing

Of our $12.3 billion of portfolio financing, $2.9 billion includes securitized debt obligations and non-consolidated

senior interests, which are both inherently non-mark

to market, non-recourse,

and term-matched to the financed assets, and we have $9.4 billion of borrowings under our credit facilities.

Of our $13.5 billion of portfolio financing, $3.8 billion includes consolidated and non-consolidated securitized debt obligations, and non-consolidated senior interests, which are inherently non-mark to market, non-recourse, and term-matched to the financed assets, and we have $9.7 billion of borrowings under our credit facilities and asset-specific financings.

The following table details our portfolio financing ($ in thousands):

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Outstanding Principal Balance

March 31, 2020

June 30, 2020

December 31, 2019

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Revolving credit agreement

Non-consolidated

senior interests (1)

Non-consolidated senior interests (1)

Securitized debt obligations

Non-consolidated securitized debt obligation (2)

Total portfolio financing

These non-consolidated

senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.

These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.

Represents the senior non-consolidated investment exposure to the 2018 Single Asset Securitization.

We own the related subordinate position, which is classified as a held-to-maturity debt security on our balance sheet.

Refer to Notes 4 and 15 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

Secured Credit Facilities

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

March 31, 2020

June 30, 2020

Credit Facility Borrowings

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Morgan Stanley

US Bank - Multi.

Goldman Sachs - Multi.

Société Générale

Goldman Sachs - Multi.

US Bank - Multi.

Bank of America - Multi.

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

March 31, 2020

June 30, 2020

Asset-Specific Financings

Yield/Cost (1)

Guarantee (2)

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

Other than amounts guaranteed on asset-by-asset

basis, borrowings under our asset-specific financings are non-recourse

Other than amounts guaranteed on asset-by-asset basis, borrowings under our asset-specific financings are non-recourse to us.

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

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The maturity date of the facility is April 4, 2023.

As of March 31, 2020, we had no outstanding borrowings under the agreement.

Non-Consolidated

Senior Interests

In certain instances, we finance our loans through the non-recourse

sale of a senior loan interest that is not included in our consolidated financial statements.

These non-consolidated

The following table details the subordinate interests retained on our balance sheet and the related non-consolidated

senior interests as of March 31, 2020 ($ in thousands):

March 31, 2020

Non-Consolidated

Senior Interests

As of June 30, 2020, we had no outstanding borrowings under the agreement.

Non-Consolidated Senior Interests

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

The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests as of June 30, 2020 ($ in thousands):

June 30, 2020

Non-Consolidated Senior Interests

Yield/Cost (1)

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Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate.

In addition to cash coupon, all-in

yield/cost includes the amortization of deferred fees / financing costs.

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

Securitized Debt Obligations

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

March 31, 2020

June 30, 2020

Securitized Debt Obligations

Yield/Cost (1)

2020 Collateralized Loan Obligation

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Financing provided (4)

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.

yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.

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.

All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.

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

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The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.

During the three months ended March 31, 2020, we recorded $12.0 million of interest expense related to our securitized debt obligations.

During the three and six months ended June 30, 2020, we recorded $10.7 million and $22.7 million, respectively, of interest expense related to our securitized debt obligations.

Refer to Notes 6 and 15 to our consolidated financial statements for additional details of our securitized debt obligations.

Non-Consolidated Securitized Debt Obligation

In the third quarter of 2018, we contributed a senior loan to the 2018 Single Asset Securitization, and invested in the related subordinate position.

We do not consolidate the 2018 Single Asset Securitization on our balance sheet.

The non-consolidated securitized debt obligation provides structural leverage for our net investment which is reflected as a held-to-maturity debt security on our balance sheet.

The following table details our non-consolidated securitized debt obligations ($ in thousands):

June 30, 2020

Non-Consolidated Securitized Debt Obligation

Yield/Cost (1)

Collateral assets

Financing provided

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

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

Repayments of non-consolidated 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.

Corporate Financing

Secured Term Loan

As of March 31, 2020, the following Secured Term Loan was outstanding ($ in thousands):

Secured Term Loans

As of June 30, 2020, the following Secured Term Loans were outstanding ($ in thousands):

Term Loan Issuance

Interest Rate (1)

2019 Term Loan

April 23, 2026

Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Secured Term Loan.

Refer to Notes 2 and 7 to our consolidated financial statements for additional discussion of our Secured Term Loan.

2020 Term Loan

April 23, 2026

The 2020 Term Loan borrowing is subject to a LIBOR floor of 1.00%.

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

Refer to Notes 2 and 7 to our consolidated financial statements for additional discussion of our Secured Term Loans.

Convertible Notes

As of March 31, 2020, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

As of June 30, 2020, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes Issuance

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Floating Rate Portfolio

Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income.

As of March 31, 2020, 97% of our loans by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate loans.

As of March 31, 2020, the remaining 3% of our loans by total loan exposure earned a fixed rate of interest, but are financed with liabilities that pay interest at floating rates, which resulted in a negative correlation to rising interest rates to the extent of our financing.

Generally, our business model is such that rising interest rates will increase our net income (loss), while declining interest rates will decrease net income (loss).

As of June 30, 2020, 97% of our investments by total investment exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments.

As of June 30, 2020, the remaining 3% of our investments by total investment exposure earned a fixed rate of interest, but are financed with liabilities that pay interest at floating rates, which resulted in a negative correlation to rising interest rates to the extent of our financing.

In certain instances where we have financed fixed rate assets with floating rate liabilities, we have purchased interest rate swaps or caps to limit our exposure to increases in interest rates on such liabilities.

Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities.

The following table details our loan portfolio’s net exposure to interest rates by currency as of March 31, 2020 ($/ €

/£/A$/C$ in thousands):

The following table details our investment portfolio’s net exposure to interest rates by currency as of June 30, 2020 ($/€/£/A$/C$ in thousands):

Floating rate loans (1)(2)

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Net floating rate exposure (5)

Our floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency.

Our floating rate investments and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency.

Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate.

Includes borrowings under secured debt agreements, non-consolidated

senior interests, securitized debt obligations, and secured term loans.

Balance includes two interest rate swaps totaling C$17.3 million ($12.3 million as of March 31, 2020) that are used to hedge a portion of our fixed rate debt.

In addition, we have one interest rate cap of C$21.4 million ($15.2 million as of March 31, 2020) to limit our exposure to increases in interest rates.

Includes investment exposure to the 2018 Single Asset Securitization.

Refer to Notes 4 and 15 to our consolidated financial statements for details of the subordinate position we own in the 2018 Single Asset Securitization.

Includes borrowings under secured debt agreements, non-consolidated senior interests, securitized debt obligations, non-consolidated securitized debt obligations, and secured term loans.

Balance includes two interest rate swaps totaling C$17.3 million ($12.7 million as of June 30, 2020) that are used to hedge a portion of our fixed rate debt.

In addition, we have one interest rate cap of C$21.4 million ($15.8 million as of June 30, 2020) to limit our exposure to increases in interest rates.

Our Results of Operations

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Three Months Ended

Six Months Ended

Income from loans and other investments

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Increase in current expected credit loss reserve

(Loss) income before income taxes

Income (loss) before income taxes

Income tax provision

Net (loss) income

Net income attributable to non-controlling

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

Net (loss) income per share - basic and diluted

Net income (loss)

Net income attributable to non-controlling interests

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

Net income (loss) per share - basic and diluted

Dividends declared per share

Income from loans and other investments, net

Income from loans and other investments, net decreased $5.4 million during the three months ended March 31, 2020 compared to the corresponding period in 2019.

The decrease was primarily due to (i) a decrease in LIBOR and (ii) an increase in the weighted-average principal balance of our outstanding financing arrangements, which increased by $1.4 billion during the three months ended March 31, 2020, as compared to the corresponding period in 2019.

This was offset by an increase in the weighted-average principal balance of our loan portfolio, which increased by $1.7 billion during the three months ended March 31, 2020, as compared to the corresponding period in 2019.

Income from loans and other investments, net increased $651,000 during the three months ended June 30, 2020, compared to the corresponding period in 2019, primarily due to (i) $13.0 billion of our loans earning interest based on floors that were above the applicable floating rate index, as of June 30, 2020, and (ii) an increase of $2.2 billion in the weighted-average principal balance of our loan portfolio during the three months ended June 30, 2020, as compared to the corresponding period in 2019.

This was offset by (i) a decrease in LIBOR and (ii) an increase of $2.2 billion in the weighted-average principal balance of our outstanding financing arrangements during the three months ended June 30, 2020, as compared to the corresponding period in 2019.

Income from loans and other investments, net decreased $4.8 million during the six months ended June 30, 2020 compared to the corresponding period in 2019, primarily due to (i) a decrease in LIBOR and (ii) an increase of $1.8 billion in the weighted-average principal balance of our outstanding financing arrangements during the six months ended June 30, 2020, as compared to the corresponding period in 2019.

This was offset by (i) an increase of $1.9 billion in the weighted-average principal balance of our loan portfolio during the six months ended June 30, 2020, as compared to the corresponding period in 2019, and (ii) $1.9 billion of our loans earning interest based on floors that were above the applicable floating rate index, as of June 30, 2019.

Other expenses

Other expenses are composed of management and incentive fees payable to our Manager and general and administrative expenses.

Other expenses increased by $2.0 million during the three months ended March 31, 2020 compared to the corresponding period in 2019 due to (i) an increase of $1.6 million of general operating expenses, (ii) an increase of $1.4 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of our class A common stock during 2019, and (iii) $911,000 of additional non-cash

restricted stock amortization related to shares awarded under our long-term incentive plans.

This is offset by a decrease of $2.0 million of incentive fees payable to our Manager as a result of a decrease in Core Earnings.

Other expenses increased by $901,000 during the three months ended June 30, 2020 compared to the corresponding period in 2019 due to (i) an increase of $1.4 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2019 and 2020, (ii) $896,000 of additional non-cash restricted stock amortization related to shares awarded under our long-term incentive plans, and (iii) an increase of $493,000 of general operating expenses.

This was partially offset by a decrease of $1.9 million of incentive fees payable to our Manager.

Other expenses increased by $2.9 million during the six months ended June 30, 2020 compared to the corresponding period in 2019 due to (i) an increase of $2.9 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2019 and 2020, (ii) an increase of $2.1 million of general operating expenses, and (iii) $1.8 million of additional non-cash restricted stock amortization related to shares awarded under our long-term incentive plans.

This was partially offset by a decrease of $3.9 million of incentive fees payable to our Manager.

Increase in current expected credit loss reserve

During the three months ended March 31, 2020, we recorded a $122.7 million increase in expected credit loss reserve, bringing our total CECL reserve to $140.4 million as of March 31, 2020.

This CECL reserve reflects the macroeconomic impact of the COVID-19

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio.

Further, this reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the COVID-19

During the three months ended June 30, 2020, we recorded a $56.8 million increase in the current expected credit loss reserve.

During six months ended June 30, 2020, we recorded a $179.5 million increase in the current expected credit loss reserve.

This CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio.

This reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the COVID-19 pandemic.

See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling

During the three months ended March 31, 2020 and 2019, we recorded $67,000 and $302,000, respectively, of net income attributable to non-controlling

interests related to our Multifamily Joint Venture.

Net income attributable to non-controlling interests

During the three and six months ended June 30, 2020, we recorded $961,000 and $1.0 million, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

During the three months ended March 31, 2020, we declared a dividend of $0.62 per share, or $83.9 million in aggregate, which was paid on April 15, 2020 to common stockholders of record as of March 31, 2020.

During the three months ended March 31, 2019, we declared a dividend of $0.62 per share, or $77.9 million in aggregate.

During the three months ended June 30, 2020, we declared a dividend of $0.62 per share, or $90.6 million in aggregate, which was paid on July 15, 2020 to common stockholders of record as of June 30, 2020.

During the three months ended June 30, 2019, we declared a dividend of $0.62 per share, or $83.3 million in aggregate.

During the six months ended June 30, 2020, we declared aggregate dividends of $1.24 per share, or $174.6 million.

During the six months ended June 30, 2019, we declared aggregate dividends of $1.24 per share, or $161.2 million.

Liquidity and Capital Resources

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We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, borrowings under secured debt agreements, and the issuance of secured term loans and issuance and sale of convertible notes.

As of March 31, 2020, our balance sheet included $1.4 billion of corporate debt and $12.3 billion of asset-level financing.

As of June 30, 2020, our balance sheet included $1.7 billion of corporate debt and $13.5 billion of asset-level financing.

No portion of our corporate debt matures before 2022 and our asset-specific financing is generally term-matched or matures in 2022 or later.

Of our $12.3 billion of asset-level financing, $2.9 billion includes securitized debt obligations and senior syndications, which are both inherently non-recourse,

to market, and term-matched to the financed assets, and we have $9.4 billion of borrowings under our credit facilities.

Of our $13.5 billion of asset-level financing, $3.8 billion includes consolidated and non-consolidated securitized debt obligations and senior syndications, which are both inherently non-recourse, non-mark to market, and term-matched to the financed assets, and we have $9.7 billion of borrowings under our credit facilities and asset-specific financings.

Margin call provisions under our credit facilities do not permit valuation adjustments based on capital markets events, and are limited to collateral-specific credit marks generally determined on a commercially reasonable basis.

We have not experienced any margin calls to date under any of our credit facilities, however, given the breadth of the COVID-19

pandemic and the resulting uncertainty of its economic impact, we are focused on strengthening our financing arrangements and we have proactively entered into discussions to reduce the advance rate on certain assets within these facilities, and therefore the amount we are able to borrow against such assets, to mitigate the risk of future margin calls as well.

We are in frequent, consistent dialogue with the providers of our secured credit facilities regarding our management of their collateral assets in light of the impacts of the COVID-19

Our Manager’s robust, in-house

asset management team has extensive experience managing loans throughout cycles, and maintains a rated special servicer as part of its broader real estate debt investment and asset management platform.

During the three months ended June 30, 2020, we entered into agreements with seven of our secured credit facility lenders, representing an aggregate $7.9 billion of our secured credit facilities, to temporarily suspend credit mark provisions on certain of their portfolio assets in exchange for:

(i) cash repayments;

(ii) pledges of additional collateral;

and (iii) reductions of available borrowings.

We are in frequent, consistent dialogue with the providers of our secured credit facilities regarding our management of their collateral assets in light of the impacts of the COVID-19 pandemic.

Our Manager’s robust, in-house asset management team has extensive experience managing loans throughout cycles, and maintains a rated special servicer as part of its broader real estate debt investment and asset management platform.

The feedback we have received from our lenders indicates that they believe our Manager, as part of the broader Blackstone Real Estate platform, has a superior capability to manage the loans in our portfolio to a successful resolution.

See Notes 5, 6, 7, and 8 to our consolidated financial statements for additional details regarding our secured debt agreements, securitized debt obligations, Secured Term Loan, and Convertible Notes, respectively.

Debt-to-Equity

Ratio and Total Leverage Ratio

The following table presents our debt-to-equity

ratio and total leverage ratio:

March 31, 2020

Debt-to-Equity Ratio and Total Leverage Ratio

The following table presents our debt-to-equity ratio and total leverage ratio:

June 30, 2020

December 31, 2019

Debt-to-equity

Debt-to-equity ratio (1)

Total leverage ratio (2)

Represents (i) total outstanding secured debt agreements, secured term loans, and convertible notes, less cash, to (ii) total equity, in each case at period end.

Represents (i) total outstanding secured debt agreements, secured term loans, convertible notes, non-consolidated

senior interests, and securitized debt obligations, less cash, to (ii) total equity, in each case at period end.

Represents (i) total outstanding secured debt agreements, secured term loans, convertible notes, non-consolidated senior interests, and consolidated and non-consolidated securitized debt obligations, less cash, to (ii) total equity, in each case at period end.

Sources of Liquidity

Our current sources of liquidity include cash and cash equivalents, available borrowings under our secured debt agreements, and net receivables from servicers related to loan repayments, which are set forth in the following table ($ in thousands):

March 31, 2020

June 30, 2020

December 31, 2019

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For the year ended December 31, 2019, loan repayments generated $998.2 million of liquidity, net of any related financings.

Similarly, through April 24, 2020, loan repayments generated $139.6 million of liquidity.

We currently expect the pace of loan prepayments will slow while the impacts of the COVID-19 pandemic are ongoing, however, as of April 24, 2020, our portfolio does include $3.4 billion of loans with a final maturity date earlier than December 31, 2022.

During the three months ended March 31, 2020, we generated cash flow from operating activities of $68.6 million.

Similarly, through June 30, 2020, loan repayments generated $196.3 million of liquidity.

We currently expect the pace of loan prepayments will slow while the impacts of the COVID-19 pandemic are ongoing, however, as of June 30, 2020, our portfolio does include $3.4 billion of loans with a final maturity date earlier than December 31, 2022.

During the six months ended June 30, 2020, we generated cash flow from operating activities of $175.7 million.

We expect, however, that the impact of the COVID-19 pandemic will put pressure on our cash flow from operations as we enter into loan modifications on certain of our loans permitting interest payments to be capitalized, and as we repay borrowings under our secured credit facilities.

In addition, we are able to generate incremental liquidity through the replenishment provisions of our 2020 CLO, which allow us to replace a loan in the CLO that has been repaid by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

Additionally, during the three months ended June 30, 2020, we received $315.4 million of net borrowings under a secured term loan and $278.3 million of net proceeds from the issuance of shares of class A common stock.

Furthermore, we are able to generate incremental liquidity through the replenishment provisions of our 2020 CLO, which allow us to replace a loan in the CLO that has been repaid by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

We are focused on fortifying our balance sheet and enhancing our liquidity to best position us to weather near-term market uncertainty, satisfy our loan future funding and financing obligations and to potentially make opportunistic new investments, which will cause us to take some or all of the following actions:

raise capital from offerings of securities, borrow additional capital, sell assets, pay our management and incentive fees in shares of our class A common stock (as will be done for the quarter ended March 31, 2020), and /or change our dividend practice, including by reducing the amount of, or temporarily suspending, our future dividends or paying our future dividends in kind for some period of time.

raise capital from offerings of securities, borrow additional capital, sell assets, pay our management and incentive fees in shares of our class A common stock, as we did with respect to such fees for the quarter ended March 31, 2020, and/or change our dividend practice, including by reducing the amount of, or temporarily suspending, our future dividends or paying our future dividends in kind for some period of time.

We have access to liquidity through public offerings of debt and equity securities.

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The specifics of any future offerings, along with the use of proceeds of any securities offered, will be described in detail in a prospectus supplement, or other offering materials, at the time of any offering.

We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,993,699 shares of class A common stock were available for issuance as of March 31, 2020, and our at-the-market

stock offering program, pursuant to which we may sell, from time to time, up to $363.8 million of additional shares of our class A common stock as of March 31, 2020.

We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,993,053 shares of class A common stock were available for issuance as of June 30, 2020, and our at-the-market stock offering program, pursuant to which we may sell, from time to time, up to $363.8 million of additional shares of our class A common stock as of June 30, 2020.

Refer to Note 10 to our consolidated financial statements for additional details.

Liquidity Needs

In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $9.4 billion of outstanding borrowings under secured debt agreements, our Secured Term Loan, and our Convertible Notes.

In addition, we had aggregate unfunded loan commitments of $3.9 billion as of March 31, 2020.

We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of 79.0% for such financed loans, resulting in identified financing for $2.4 billion of our aggregate unfunded loan commitments as of March 31, 2020.

In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $9.7 billion of outstanding borrowings under secured debt agreements, our Secured Term Loans, and our Convertible Notes.

In addition, we had aggregate unfunded loan commitments of $3.6 billion as of June 30, 2020.

We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of 75.6% for such financed loans, resulting in identified financing for $2.2 billion of our aggregate unfunded loan commitments as of June 30, 2020.

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Contractual Obligations and Commitments

Our contractual obligations and commitments as of March 31, 2020 were as follows ($ in thousands):

Our contractual obligations and commitments as of June 30, 2020 were as follows ($ in thousands):

Payment Timing

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The allocation of repayments under our secured debt agreements for both principal and interest payments is based on the earlier of (i) the maturity date of each facility, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

The Secured Term Loan is partially amortizing, with an amount equal to 1.0% per annum of the principal balance due in quarterly installments.

Refer to Note 7 to our consolidated financial statements for further details on our secured term loan.

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

Refer to Note 7 to our consolidated financial statements for further details on our secured term loans.

Reflects the outstanding principal balance of convertible notes, excluding any potential conversion premium.

Refer to Note 8 to our consolidated financial statements for further details on our convertible notes.

Represents interest payments on our secured debt agreements, convertible notes, and Secured Term Loan.

Future interest payment obligations are estimated assuming the interest rates in effect as of March 31, 2020 will remain constant into the future.

Represents interest payments on our secured debt agreements, convertible notes, and Secured Term Loans.

Future interest payment obligations are estimated assuming the interest rates in effect as of June 30, 2020 will remain constant into the future.

This is only an estimate as actual amounts borrowed and interest rates will vary over time.

Total does not include $692.3 million of non-consolidated

senior interests and $2.3 billion of securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

Total does not include $739.6 million of non-consolidated senior interests and $3.0 billion of consolidated and non-consolidated securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

We are also required to settle our interest rate swaps with our derivative counterparties upon maturity which, depending on interest rate movements, may result in cash received from or due to the respective counterparty.

The table above does not include these amounts as they are not fixed and determinable.

During the three months ended March 31, 2020, we terminated all of our outstanding foreign currency forward contracts, with aggregate notional amounts of €

552.1 million, £365.5 million, A$134.8 million, and C$23.7 million, which we previously used to hedge our net exposure to the capital we have invested in such currencies against fluctuations in foreign exchange rates and currency exchange rates.

The termination of these hedges resulted in the receipt of $68.5 million of cash from our hedge counterparties, which represents incremental liquidity to us.

Our exposure to these currencies continues to be reduced by our local-currency borrowings investments denominated in currencies other than the U.S.

Refer to Note 9 to our consolidated financial statements for details regarding our derivative contracts.

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As a REIT, we generally must distribute substantially all of our net taxable income to stockholders in the form of dividends to comply with the REIT provisions of the Internal Revenue Code.

Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Core Earnings as described above.

Our taxable income does not necessarily equal our net income (loss) as calculated in accordance with GAAP, or our Core Earnings as described above.

The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands):

Three Months Ended March 31,

Six Months Ended June 30,

Cash flows provided by operating activities

Cash flows used in investing activities

Cash flows provided by financing activities

Cash flows provided by (used in) financing activities

Net increase (decrease) in cash and cash equivalents

We experienced a net increase in cash and cash equivalents of $208.4 million for the three months ended March 31, 2020, compared to a net decrease of $26.2 million for the three months ended March 31, 2019.

During the three months ended March 31, 2020, we (i) received $1.2 billion of proceeds from the issuance of collateralized loan obligations and (ii) received $621.0 million from loan principal collections.

We used the proceeds from these activities to (i) fund $971.3 million of new loans and (ii) repay a net $569.7 million under our secured debt agreements.

We experienced a net increase in cash and cash equivalents of $1.1 billion for the six months ended June 30, 2020, compared to a net decrease of $25.1 million for the six months ended June 30, 2019.

During the six months ended June 30, 2020, we received (i) $1.2 billion of proceeds from the issuance of collateralized loan obligations, (ii) $928.3 million from loan principal collections, (iii) $315.4 million of net borrowings under a secured term loan, and (iv) $278.3 million in net proceeds from the issuance of shares of class A common stock.

We used the proceeds from these activities to (i) fund $1.2 billion of new loans and (ii) repay a net $286.1 million under our secured debt agreements.

Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity.

Refer to Note 5 to our consolidated financial statements for additional discussion of our secured debt agreements.

Refer to Notes 5 and 10 to our consolidated financial statements for further discussion of our secured debt agreements and equity.

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

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

As of March 31, 2020 and December 31, 2019, we were in compliance with all REIT requirements.

As of June 30, 2020 and December 31, 2019, we were in compliance with all REIT requirements.

Refer to Note 12 to our consolidated financial statements for additional discussion of our income taxes.

Sheet Arrangements

We have no off-balance

sheet arrangements.

Off-Balance Sheet Arrangements

We have no off-balance sheet arrangements.

Critical Accounting Policies

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Actual results could differ from these estimates.

There have been no material changes to our Critical Accounting Policies described in our annual report on Form 10-K

filed with the SEC on February 11, 2020, other than a supplement to the accounting policy for our current expected credit loss reserve.

There have been no material changes to our Critical Accounting Policies described in our annual report on Form 10-K filed with the SEC on February 11, 2020, other than a supplement to the accounting policy for our current expected credit loss reserve.

Refer to Note 2 to our consolidated financial statements for further description of the accounting policy for our current expected credit loss reserve and our other significant accounting policies.

Loan Portfolio Details

The following table provides details of our loan portfolio, on a loan-by-loan

basis, as of March 31, 2020 ($ in millions):

The following table provides details of our loan portfolio, on a loan-by-loan basis, as of June 30, 2020 ($ in millions):

Loan Type (1)

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$125,124 / key

Senior loan (4)

San Francisco

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Orange County

$313,015 / key

Senior loan (4)

Diversified - IT

$309,308 / key

Loan Type (1)

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$1,091 / sqft

$188,647 / key

Canberra - AU

Washington DC

$189,812 / key

Senior loan (4)

Diversified - US

Fort Lauderdale

Diversified - AU

Washington DC

$532,000 / key

Diversified - US

San Francisco

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$236,638 / key

Senior loan (4)

San Francisco

$446,078 / unit

Diversified - CA

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San Francisco

$66,984 / unit

West Palm Beach

$66,984 / unit

$214,341 / key

Diversified - US

Senior loan (4)

San Francisco

$184,768 / unit

$1,167 / sqft

3 unchanged sentences

$274,265 / unit

$593,109 / unit

Loan Type (1)

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$137,304 / unit

Southern California

$784,286 / unit

Calgary - CAN

$784,286 / unit

$162,626 / unit

Diversified - FR

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$162,720 / unit

$133,636 / unit

Diversified - US

3 unchanged sentences

$71,430 / unit

Montreal - CAN

$198,020 / unit

1 unchanged sentence

$74,627 / unit

Loan Type (1)

SQFT / Unit / Key

Montreal - CAN

Diversified - CAN

2 unchanged sentences

$130,180 / unit

Orange County

Loan Type (1)

SQFT / Unit / Key

$46,543 / unit

Orange County

$60,621 / unit

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Total loan amount reflects outstanding principal balance as well as any related unfunded loan commitment.

In certain instances, we finance our loans through the non-recourse

sale of a senior loan interest that is not included in our consolidated financial statements.

As of March 31, 2020, five loans in our portfolio have been financed with an aggregate $692.3 million of non-consolidated

senior interest, which are included in the table above.

Portfolio excludes our $84.2 million subordinate risk retention interest in the $880.7 million 2018 Single Asset Securitization.

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

As of June 30, 2020, five loans in our portfolio have been financed with an aggregate $739.6 million of non-consolidated senior interest, which are included in the table above.

Portfolio excludes our $82.0 million subordinate position in the $857.3 million 2018 Single Asset Securitization.

Refer to Notes 4 and 15 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

The weighted-average cash coupon and all-in

yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan.

The other 3% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2020, for purposes of the weighted-averages.

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.

As of June 30, 2020, 97% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $13.0 billion of such loans earned interest based on floors that are above the applicable index.

The other 3% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of June 30, 2020, for purposes of the weighted-averages.

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.

Maximum maturity assumes all extension options are exercised, however our loans may be repaid prior to such date.

Loan consists of one or more floating and fixed rate tranches.

Coupon and all-in

yield assume applicable floating benchmark rates for weighted-average calculation.

Coupon and all-in yield assume applicable floating benchmark rates for weighted-average calculation.

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

What changed 10-Q

Item 1. Financial Statements