What changed in this filing

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Item 1. Financial Statements

2020-10-29 compared with 2020-07-29 · 716 added, 568 removed, 1496 unchanged (46% of the section changed)

3 unchanged sentences

(in thousands, except share data)

September 30,

Cash and cash equivalents

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Commitments and contingencies

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

Class A common stock, $ 0.01 par value, 400,000,000 shares authorized and 146,197,290 shares issued and outstanding as of September 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 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.

The consolidated balance sheets as of September 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 September 30, 2020 and December 31, 2019, assets of the consolidated VIEs totaled $ 2.6 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

Six Months Ended

Nine Months Ended

September 30,

Income from loans and other investments

6 unchanged sentences

Total other expenses

Increase in current expected credit loss reserve

Income (loss) before income taxes

Income tax provision

Net income (loss)

Decrease (increase) in current expected credit loss reserve

Income before income taxes

Income tax provision (benefit)

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

Net income attributable to Blackstone Mortgage Trust, Inc.

Net income per share of common stock basic and diluted

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

4 unchanged sentences

Three Months Ended

Six Months Ended

Net income (loss)

Nine Months Ended

September 30,

Other comprehensive income

1 unchanged sentence

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.

Other comprehensive income (loss)

Comprehensive income

Comprehensive loss attributable to non-controlling

Comprehensive income attributable to Blackstone Mortgage Trust, Inc.

See accompanying notes to consolidated financial statements.

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Balance at June 30, 2020

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 September 30, 2020

See accompanying notes to consolidated financial statements.

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Balance at June 30, 2019

Restricted class A common stock earned

Dividends reinvested

Deferred directors’ compensation

Other comprehensive loss

Dividends declared on common stock, $ 0.62 per share

Contributions from non-controlling

Distributions to non-controlling

Balance at September 30, 2019

See accompanying notes to consolidated financial statements.

2 unchanged sentences

(in thousands)

Six Months Ended

Nine Months Ended

September 30,

Cash flows from operating activities

Net (loss) income

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

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

Satisfaction of management and incentive fees in stock

1 unchanged sentence

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

on assets denominated in foreign currencies, net

Unrealized gain on derivative financial instruments, net

on derivative financial instruments, net

Changes in assets and liabilities, net

14 unchanged sentences

(in thousands)

Six Months Ended

Nine Months Ended

September 30,

Cash flows from financing activities

5 unchanged sentences

Repayment of loan participations

Net proceeds from issuance of secured term loans

Net proceeds from secured term loan borrowings

Repayments of secured term loans

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Dividends paid on class A common stock

Net cash provided by (used in) financing activities

Net cash provided by financing activities

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

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

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

Our portfolio is composed

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

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

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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 position we o w

as a held-to-maturity

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

Refer to Note 15 for additional discussion of our VIEs.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

We have classified the subordinate position we own as a held-to-maturity

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

Refer to Note 15 for additional discussion of our VIEs.

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

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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 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 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.

As of September 30, 2020, there is an ongoing 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.

The global impact of the outbreak has been rapidly evolving, and many countries have reacted by instituting, or strongly encouraging, quarantines and restrictions on travel, closing financial markets and/or restricting trading, limiting operations of non-essential

offices, retail centers, hotels, and other businesses, and taking other restrictive measures designed to help slow the spread of COVID-19.

Businesses are also implementing similar precautionary measures.

Such measures, as well as the general uncertainty surrounding the dangers and impact of COVID-19,

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

Moreover, with the continued spread of COVID-19,

governments and businesses are likely to take increasingly aggressive measures to help slow its spread.

For this reason, among others, as COVID-19

continues to spread, the potential impacts, including a global, regional, or other economic recession, are increasingly uncertain and difficult to assess.

The rapid development and fluidity of this situation preclude

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

Income is then recorded on the basis of cash received until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed.

Interest received

is then recorded as a reduction in

the outstanding principal balance

until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed.

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

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

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

As of both September 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 $ 350.4 million and $ 450.8 million as of June 30, 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 $ 339.1 million and $ 450.8 million as of September 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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Current Expected Credit Losses Reserve

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

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

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.

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

While ASU 2016-13

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

In addition, other than a few narrow exceptions, ASU 2016-13

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

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

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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,

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

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 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 (loss).

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)

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.

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

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

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

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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 June 30, 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 hedge.

For all derivatives other than those designated as non-designated hedges, we formally document our hedge relationships and designation at the contract’s inception.

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 (loss) prospectively.

Effective April 1, 2020, our net investment hedges are assessed using a method based on changes in spot exchange rates.

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

Deferred gains and losses are reclassified out of accumulated other comprehensive income (loss) and into net income (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.

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

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

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

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

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

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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 , as of quarter-end, either (i) on a recurring basis 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 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 Mana

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.

During the nine months ended September 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 $ 338.8 million, as of September 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 September 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 %.

The significant unobservable inputs used to estimate the fair value of these loans receivable include the exit capitalization rate assumption used to forecast the future sale 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, 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.

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, credit worthiness 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:

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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 (loss) 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 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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“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 ( loss

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.

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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and may apply other elections, as applicable, as the expected market transition from IBORs to alternative reference rates continues to develop.

In August 2020, the FASB issued ASU 2020-06

“Debt—Debt with Conversion and Other Options (Subtopic 470-20)

and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40):

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

simplifies the accounting for convertible debt by eliminating the beneficial conversion and cash conversion accounting models.

also updates the earnings per share calculation and requires entities to assume share settlement when the convertible debt can be settled in cash or shares.

is effective for fiscal years beginning after December 15, 2021 and is to be adopted through a cumulative-effect adjustment to the opening balance of retained earnings either at the date of adoption or in the first comparative period presented.

Upon adoption of ASU 2020-06,

convertible debt proceeds, unless issued with a substantial premium or an embedded conversion feature, will no longer be allocated between debt and equity components.

This will reduce the issue discount and result in less non-cash

interest expense in our consolidated financial statements.

Additionally, ASU 2020-06

will result in the reporting of a diluted earnings per share, if the effect is dilutive, in our consolidated financial statements, regardless of our settlement intent.

Blackstone Mortgage Trust, Inc.

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

June 30, 2020

September 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 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.

As of September 30, 2020, 99 % of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and $ 13.4 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 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.

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.

We reflect our fixed rate loans as a spread over the relevant floating benchmark rates, as of September 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.

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

Excludes loans accounted for under the cost-recovery method.

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

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 September 30, 2020, 42 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 58 % 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.

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Loan fundings

Loan repayments

Unrealized (loss) gain on foreign currency translation

Loan repayments and sales

Unrealized gain (loss) on foreign currency translation

Deferred fees and other items

Amortization of fees and other items

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.

Loans Receivable, as of September 30, 2020

Loans Receivable, net, as of September 30, 2020

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

Blackstone Mortgage Trust, Inc.

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

June 30, 2020

September 30, 2020

Property Type

Exposure (1)(2)

Percentage of

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Geographic Location

Exposure (1)(2)

Percentage of

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Total loan exposure encompasses the entire loan we originated and financed, including $ 716.2 million of such non-consolidated

senior interests as of June 30, 2020.

senior interests as of September 30, 2020.

Excludes investment exposure to the $ 807.7 million 2018 Single Asset Securitization.

See Note 4 for details of the subordinate position

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.

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Property Type

Exposure (1)(2)

Percentage of

Geographic Location

Exposure (1)(2)

Percentage of

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

See Note 4 for details of the subordinate position

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

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

June 30, 2020

September 30, 2020

December 31, 2019

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Total loan exposure encompasses the entire loan we originated and financed, including $ 716.2 million and $ 688.5 million of such non-consolidated

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.

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

Excludes investment exposure to the 2018 Single Asset Securitization of $ 807.7 million and $ 930.0 million as of September 30, 2020 and December 31, 2019, respectively.

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

The weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of September 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 $ 3.2 billion that were downgraded to a “ 4 ” or “ 5 ” as of September 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

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 and

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

The following table presents the activity in our loans receivable CECL reserve by investment pool for the three and nine months ended September 30, 2020 ($ in thousands):

Impaired Loans

3 unchanged sentences

Increase in CECL reserve

CECL reserve as of September 30, 2020

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

CECL reserve as of September 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 (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.

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

During the three and nine months ended September 30, 2020, we recorded a decrease of $ 1.0 million and an increase of $ 163.1 million, respectively, in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $ 177.0 million as of September 30, 2020.

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

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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

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, a reduction in the loan’s contractual interest payments and an extension of the loan’s maturity date.

As of September 30, 2020, we recorded a $

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

52.5 million, net of cost-recovery proceeds, as of September 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 September 30, 2020, and to reflect ongoing loan modification discussions.

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

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

This modification included, among other changes, a reduction in the loan’s contractual interest payments and an extension of the loan’s maturity date.

As of September 30, 2020, we recorded a

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.

million, net of cost-recovery proceeds, as of September 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 September 30, 2020.

As of July 1, 2020, the income accrual was suspended on the two loans detailed above, which had an aggregate outstanding principal balance of $ 338.8 million, as of September 30, 2020.

No income was recorded on these loans during the three months ended September 30, 2020.

Blackstone Mortgage Trust, Inc.

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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):

The following table presents the net book value of our loan portfolio as of September 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 June 30, 2020

As of September 30, 2020

Total Non-U.S.

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Origination dates are subsequently updated to reflect material loan modifications.

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.

Excludes the $ 75.3 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.

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

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.

As of September 30, 2020 and December 31, 2019, our Multifamily Joint Venture held $ 566.1 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):

June 30, 2020

September 30, 2020

December 31, 2019

Loan portfolio payments held by servicer (1)

Debt securities held-to-maturity

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Collateral deposited under derivative agreements

Derivative assets

Loan portfolio payments held by servicer (2)

Prepaid taxes

Prepaid expenses

Derivative assets

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.

Represents the subordinate position we own in the 2018 Single Asset Securitization, which held aggregate loan assets of $ 807.7 million and $ 930.0 million as of September 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.

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.

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 and

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

The following table presents the activity in our debt securities CECL reserve by investment pool for the three and nine months ended September 30, 2020 ($ in thousands):

Impaired Loans

3 unchanged sentences

Increase in CECL reserve

CECL reserve as of September 30, 2020

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

CECL reserve as of September 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 (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.

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

During the three and nine months ended September 30, 2020, we recorded a decrease of $ 2.1 million and an increase of $ 1.6 million, respectively, in the expected credit loss reserve against our debt securities held-to-maturity,

bringing our total CECL reserve to $ 2.0 million as of September 30, 2020.

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

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

June 30, 2020

September 30, 2020

December 31, 2019

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Current Expected Credit Loss Reserve for Unfunded Loan Commitments

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

As of September 30, 2020, we had unfunded commitments of $ 3.3 billion related to 83 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 and six months ended June 30, 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 nine months ended September 30, 2020 ($ in thousands):

Impaired Loans

3 unchanged sentences

Increase in CECL reserve

CECL reserve as of September 30, 2020

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

CECL reserve as of September 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 (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.

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

During the three and nine months ended September 30, 2020, we recorded a decrease of $ 2.9 million and an increase of $ 8.8 million, respectively, in the expected credit loss reserve against our unfunded loan commitments, bringing our total CECL reserve to $ 12.1 million as of September 30, 2020.

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

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SECURED DEBT AGREEMENTS, NET

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:

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;

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Borrowings Outstanding

June 30, 2020

September 30, 2020

December 31, 2019

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Secured Credit Facilities

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

June 30, 2020

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

September 30, 2020

Credit Facility Borrowings

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Société Générale

Goldman Sachs - Multi.

US Bank - Multi.

Bank of America - Multi.

Goldman Sachs -

Bank of America -

Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged.

3 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 $ 9.2 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

The weighted-average outstanding balance of our secured credit facilities was $ 9.0 billion for the nine months ended September 30, 2020.

As of September 30, 2020, we had aggregate borrowings of $ 8.7 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 73.7 %.

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

As of September 30, 2020, outstanding borrowings under these facilities had a weighted-average maturity, including extension options, of 3.2

Blackstone Mortgage Trust, Inc.

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Société Générale

US Bank - Multi.

Goldman Sachs - Multi.

Bank of America - Multi.

Goldman Sachs -

Bank of America -

Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged.

3 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 $ 8.9 billion for the six months ended December 31, 2019.

The weighted-average outstanding balance of our secured credit facilities was $ 8.7 billion for the nine 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

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Notes to Consolidated Financial Statements (continued)

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

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

Guarantee (1)

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Term/Maturity

Morgan Stanley

Deutsche Bank

Collateral marks only

March 1, 2022

Goldman Sachs - Multi.

Term matched (6)

Collateral marks only

July 12, 2022 (6)

Bank of America - Multi.

Term matched ( 6

Collateral marks only

July 19, 2023 (7)

Term matched ( 6

$ / £ / € / A$ / C$

Collateral marks only

January 7, 2024 (8)

Term matched ( 6

Goldman Sachs

Collateral marks only

Term matched ( 6

Bank of America

3 unchanged sentences

September 23, 2025 ( 8

Deutsche Bank

Collateral marks only

Term matched (11)

Collateral marks only

Term matched (11)

Société Générale

January 7, 2024 ( 9

Morgan Stanley

Collateral marks only

Term matched (11)

September 29, 2025 (1 0

Collateral marks only

Term matched ( 6

Société Générale

Collateral marks only

3 unchanged sentences

Term matched ( 6

Goldman Sachs - Multi.

Collateral marks only

Term matched (11)

Goldman Sachs

July 12, 2022 (1 1

Bank of America - Multi.

Collateral marks only

Term matched (11)

July 19, 2023 (12)

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

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

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

extension option which may be exercised at our sole discretion.

Specific borrowings outstanding of $ 920.3 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 $ 195.5 million of specific borrowings outstanding.

These secured credit facilities have various availability periods during which new advances can be made and which are generally subject to each lender’s discretion.

Maturity dates for advances outstanding are tied to the term of each respective collateral asset.

Includes two one-year

extension options which may be exercised at our sole discretion.

Includes four one-year

extension options which may be exercised at our sole discretion.

Includes two one-year

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extension options which may be exercised at our sole discretion.

Includes five one-year

Includes a one-year

extension option which may be exercised at our sole discretion.

Includes two one-year

extension options which may be exercised at our sole discretion.

These secured credit facilities have various availability periods during which new advances can be made and which are generally subject to each lender’s discretion.

Maturity dates for advances outstanding are tied to the term of each respective collateral asset.

Borrowings (1)

Floating Rate Index (2)

Floating Rate

BBSY + 1.90 %

CDOR + 1.80 %

INDEX + 1.62 %

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

June 30, 2020

September 30, 2020

Asset-Specific Financings

Yield/Cost (1)

Guarantee (2)

Collateral assets

2 unchanged sentences

Asset-Specific Financings

Yield/Cost (1)

Guarantee (2)

Collateral assets

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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 an asset by asset basis, borrowings under our asset-specific financings are non-recourse to us.

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

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 $ 312.5 million for the six months ended June 30, 2020 and $ 262.5 million for the six months ended December 31, 2019.

The weighted-average outstanding balance of our asset-specific financings was $ 309.1 million for the nine months ended September 30, 2020 and $ 216.5 million for the nine months ended December 31, 2019.

Revolving Credit Agreement

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

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.

During the nine months ended September 30, 2020, we had no borrowings under the revolving credit agreement and we recorded interest expense of $ 1.2 million, including $ 575,000 of amortization of deferred fees and expenses.

During the nine months ended December 31, 2019, the weighted-average outstanding borrowings under the revolving credit agreement was $ 4.6 million, and we recorded interest expense of $ 1.6 million, including $ 779,000 of amortization of deferred fees and expenses.

As of December 31, 2019, we had no outstanding borrowings under the agreement.

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

As of September 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):

June 30, 2020

September 30, 2020

Securitized Debt Obligations

Yield/Cost (1)

2020 Collateralized Loan Obligation

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Securitized Debt Obligations

Yield/Cost (1)

2017 Collateralized Loan Obligation

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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 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.

During the three and nine months ended September 30, 2020, we recorded $ 9.1 million and $ 31.8 million, respectively, of interest expense related to our securitized debt obligations.

During the three and nine months ended September 30, 2019, we recorded $ 11.9 million and $ 36.9 million, respectively, of interest expense related to our securitized debt obligations.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

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):

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

Interest Rate (1)

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

June 30, 2020

September 30, 2020

December 31, 2019

3 unchanged sentences

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.

As of September 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.

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CONVERTIBLE NOTES, NET

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

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

Convertible Notes Issuance

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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 June 30, 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 September

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 $ 24.09 on June 30, 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 $ 21.97 on September 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.

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

June 30, 2020

September 30, 2020

December 31, 2019

4 unchanged sentences

Three Months Ended

Six Months Ended

Nine Months Ended

September 30,

Discount and issuance cost amortization

Total interest expense

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

Accrued interest payable for the Convertible Notes was $ 7.8 million and $ 6.0 million, as of September 30, 2020 and December 31, 2019, respectively.

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

9 unchanged sentences

Certain of our transactions expose us to interest rate risks, which include a fixed versus floating rate mismatch between our assets and liabilities.

We use derivative financial instruments, which include interest rate caps and swaps, and may also include interest rate options, floors, and other interest rate derivative contracts, to hedge interest rate risk.

We use derivative financial instruments, which includes interest rate caps, and may also include interest rate swaps, options, floors, and other interest rate derivative contracts, to hedge interest rate risk.

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

June 30, 2020

September 30, 2020

Interest Rate Derivatives

Maturity (Years)

Interest Rate Swaps

Interest Rate Caps

5 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 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.

During the twelve months following September 30, 2020, we estimate that an additional $ 7,000 will be reclassified from accumulated other comprehensive income (loss) as an increase to interest expense.

Net Investment Hedges of Foreign Currency Risk

2 unchanged sentences

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

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.

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.

2 unchanged sentences

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

September 30, 2020

December 31, 2019

7 unchanged sentences

Buy USD / Sell AUD Forward

Buy USD / Sell CAD Forward

Sell CAD Forward

Non-designated

2 unchanged sentences

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

June 30, 2020

September 30, 2020

December 31, 2019

1 unchanged sentence

Non-designated

Buy USD / Sell GBP Forward

Buy EUR / Sell GBP Forward

Buy CAD / Sell USD Forward

3 unchanged sentences

Buy GBP / Sell EUR Forward

Buy USD / Sell GBP Forward

Buy AUD / Sell USD Forward

Sell USD Forward

Buy USD / Sell AUD Forward

1 unchanged sentence

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

Amount of Income (Expense) Recognized

Increase (Decrease) to Interest Income

and Interest Expense Recognized

from Foreign Exchange Contracts

3 unchanged sentences

(Expense) Recognized

June 30, 2020

September 30, 2020

Designated Hedges

13 unchanged sentences

Fair Value of Derivatives in an

Fair Value of Derivatives in a

Asset Position (1)

Fair Value of Derivatives in a

Liability Position (2)

June 30, 2020

September 30, 2020

December 31, 2019

June 30, 2020

September 30, 2020

December 31, 2019

9 unchanged sentences

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

Recognized in

Gain (Loss) Recognized in

OCI on Derivatives

Location of Gain

Amount of Gain (Loss)

Reclassified from

OCI into Income

Accumulated OCI into Income

Reclassified from

Derivatives in Hedging Relationships

June 30, 2020

September 30, 2020

OCI into Income

June 30, 2020

September 30, 2020

Net Investment Hedges

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Interest Expense

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

During the three and nine months ended September 30, 2020, we paid net cash settlements of $ 67.9 million and $ 10.9 million, respectively, on our foreign currency forward contracts.

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

During the three months ended September 30, 2020, we recorded total interest and related expenses of $ 79.0 million, which included interest expenses of $ 11 ,000 related to our cash flow hedges.

During the nine months ended September 30, 2020, we recorded total interest and related expenses of $ 268.1 million, which included $ 9 ,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 September 30, 2020, we were in a net liability position with each such derivative counterparty and posted collateral of $ 9.4 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.

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Authorized Capital

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.

During the nine months ended September 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 September 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 June 30, 2020.

We did not have any shares of preferred stock issued and outstanding as of September 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

The following table details our issuances of class A common stock during the nine months ended September 30, 2020 ($ in thousands, except share and per share data):

Class A Common Stock Offerings

Shares issued

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Net proceeds (4)

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

the first quarter of 2020.

Represents 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.

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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.

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

Six Months Ended June 30,

Nine Months Ended September 30,

Common Stock Outstanding (1)

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Ending balance

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.

Includes deferred stock units held by members of our board of directors of 293,856 and 252,267 as of September 30, 2020 and 2019, respectively.

Includes 1,599 and 879 shares issued under our dividend reinvestment program during the nine months ended September 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 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.

During the three and nine months ended September 30, 2020, we issued 628 shares and 1,599 shares, respectively, of class A common stock under the dividend reinvestment component of the plan compared to 326 shares and 879 shares, respectively, for the same periods in 2019.

As of September 30, 2020, a total of 9,992,425 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 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.

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

During the nine months ended September 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 September 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 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.

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.

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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 .

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

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

Three Months Ended June 30,

Six Months Ended June 30,

Three Months Ended September 30,

Nine Months Ended September 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 (loss)

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.

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 (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)

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

Three Months Ended September 30,

Nine Months Ended September 30,

Net income (1)

Weighted-average shares outstanding, basic and diluted

Per share amount, basic and diluted

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

Represents net income attributable to Blackstone Mortgage Trust.

Other Balance Sheet Items

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 September 30, 2020, total accumulated other comprehensive income was $ 9.6 million, primarily representing $ 75.8 million of net realized and unrealized gains related to changes in the fair value of derivative instruments, offset by $ 66.2 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 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 September 30, 2020, our Multifamily Joint Venture’s total equity was $ 137.3 million, of which $ 116.7 million was owned by us, and $ 20.6 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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Pursuant to a management agreement between our Manager and us, or our Management Agreement, our Manager earns a base management fee in an amount equal to 1.50 % per annum multiplied by our outstanding equity balance, as defined in the Management Agreement.

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

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.

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 prepared in accordance with GAAP, excluding (i) certain non-cash

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

During the three and nine months ended September 30, 2020, we incurred $ 15.6 million and $ 44.8 million, respectively, of management fees payable to our Manager, compared to $ 14.4 million and $ 40.8 million during the same period in 2019.

In addition, during the three and nine months ended September 30, 2020, we incurred $ 3.4 million and $ 13.9 million, respectively, of incentive fees payable to our Manager, compared to $ 3.1 million and $ 17.4 million during the same period in 2019.

During the nine months ended September 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 accrued in the first quarter of 2020.

As of September 30, 2020 and December 31, 2019 we had accrued management and incentive fees payable to our Manager of $ 19.0 million and $ 20.2 million, respectively.

General and Administrative Expenses

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

Three Months Ended June 30,

Six Months Ended June 30,

Three Months Ended

September 30,

Nine Months Ended

September 30,

Professional services (1)

Operating and other costs (1)

Non-cash compensation expenses

compensation expenses

Restricted class A common stock earned

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Total general and administrative expenses

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.

During the three and nine months ended September 30, 2020, we recognized an aggregate $ 293,000 and $ 869,000 , respectively, of expenses related to our Multifamily Joint Venture.

During the three and nine months ended September 30, 2019, we recognized an aggregate $ 234,000 and $ 567,000 , 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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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.

As of September 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.

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

During the three and 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.

During the three and nine months ended September 30, 2020, we recorded a current income tax provision of $ 20 ,000 and $ 192 ,000, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

During the three and nine months ended September 30, 2019, we recorded a current income tax benefit of $ 721 ,000 and $ 573 ,000, respectively.

We did no t have any deferred tax assets or liabilities as of September 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 June 30, 2020, tax years 2016 through 2019 remain subject to examination by taxing authorities.

As of September 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 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.

However, as of September 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 September 30, 2020.

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

As of September 30, 2020, there were 2,858,223 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 June 30, 2020

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

501,794 shares will vest in 2020;

The 1,296,380 shares of restricted class A common stock outstanding as of September 30, 2020 will vest as follows:

250,897 shares will vest in 2020;

690,100 shares will vest

Blackstone Mortgage Trust, Inc.

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and 355,383 shares will vest in 2022.

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.

As of September 30, 2020, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 43.2 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 June 30, 2020.

This cost is expected to be recognized over a weighted-average period of 1.0 years from September 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):

June 30, 2020

September 30, 2020

December 31, 2019

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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):

June 30, 2020

September 30, 2020

December 31, 2019

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We have financed a portion of our loans through the CLOs and the 2017 Single Asset Securitization, all of which are VIEs.

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)

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.

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

June 30, 2020

September 30, 2020

December 31, 2019

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We have classified the subordinate position we o w

as a held-to-maturity

We have classified the subordinate position we own 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 $ 75.8 million as of June 30, 2020.

Our maximum exposure to loss from the 2018 Single Asset Securitization is limited to our book value of $ 75.3 million as of September 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 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.

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 September 30, 2020 and December 31, 2019, our consolidated balance sheets included $ 19.0 million and $ 20.2 million of accrued management and incentive fees payable to our Manager, respectively.

During the three and nine months ended September 30, 2020, we paid aggregate management and incentive fees of $ 20.5 million and $ 59.9 million, respectively, to our Manager, compared to $ 21.0 million and $ 59.4 million during the same periods of 2019.

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.

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 nine months ended September 30, 2020, we reimbursed our Manager for expenses incurred on our behalf of $ 416,000 and $ 839,000 , respectively, compared to $ 335,000 and $ 766,000 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

As of September 30, 2020, our Manager held 643,698 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 22.2 million, and vest in installments over three years from the date of issuance.

During the three and nine months ended September 30, 2020, we recorded non-cash

expenses related to shares held by our Manager of $ 4.3 million and $ 12.8 million, respectively, compared to $ 3.8 million and $ 11.5 million during the same period of 2019.

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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 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.

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

During both the nine months ended September 30, 2020 and 2019, 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.

During the three and nine months ended September 30, 2020, we incurred $ 98,000 and $ 369,000 , 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 $ 106,000 and $ 282,000 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.

Blackstone Securities 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.

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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 third quarter of 2019, we originated $ 214.3 million of a total $ 437.4 million senior loan to an unaffiliated third party, which was part of a total financing that included a mezzanine loan originated by a Blackstone advised investment vehicle.

We will forgo all non-economic

rights under our loan, including voting rights, so long as any Blackstone advised investment vehicle controls the mezzanine loan.

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

In the third quarter of 2020, we entered into a loan modification with the borrower, which was negotiated by the Blackstone advised investment vehicle that owns the mezzanine loan, and was approved by the third party, majority senior

lender, on behalf of the entire

In the third and fourth quarter of 2019, we acquired an aggregate € 250.0 million of a total € 1.6 billion senior loan to a borrower that is partially owned by a Blackstone-advised investment vehicle.

We will forgo all non-economic

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

The senior loan terms were negotiated by third parties without our involvement and our 16 % 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.

Blackstone Securities 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.

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

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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.

The senior loan

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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 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.

The modification terms were negotiated by the third party, majority 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 June 30, 2020, no contingencies have been recorded on our consolidated balance sheet as a result of COVID-19,

As of September 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 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.

As of September 30, 2020, we had unfunded commitments of $ 3.3 billion related to 83 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 73.7 % for such financed loans, resulting in identified financing for $ 2.3 billion of our aggregate unfunded loan commitments as of September 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 3.9 years.

We expect to fund our loan commitments over the tenor of these loans, which have a weighted-average future funding period of 3.7 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.

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Principal Debt Repayments

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

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

Payment Timing

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Refer to Note 8 for further details on our Convertible Notes.

Does not include $ 739.6 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.

Does not include $ 2.2 billion of securitized debt obligations and $ 716.2 million of non-consolidated

senior interests, as the satisfaction of these liabilities will not require cash outlays from us.

Board of Directors’ Compensation

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.

As of September 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.

In addition, (i) the chair of our audit committee receives additional annual cash compensation of $ 20,000 , (ii) the other members of our audit committee receive additional annual cash compensation of $ 10,000 , and (iii) the chairs of each of our compensation and corporate governance committees receive additional annual cash compensation of $ 10,000 .

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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

As of September 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 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.

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.

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

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

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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, 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.

As of September 30, 2020, there is an ongoing 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.

offices, retail centers, hotels, and other businesses, and taking other restrictive measures designed to help slow the spread of COVID-19.

Businesses are also implementing similar precautionary measures.

Such measures, as well as the general uncertainty surrounding the dangers and impact of COVID-19,

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

Moreover, with the continued spread of COVID-19,

governments and businesses are likely to take increasingly aggressive measures to help slow its spread.

For this reason, among others, as COVID-19

continues to spread, the potential impacts, including a global, regional, or other economic recession, are increasingly uncertain and difficult to assess.

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 preclude 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 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.

For the three months ended September 30, 2020 we recorded earnings per share of $0.61, declared a dividend of $0.62 per share, and reported $0.63 per share of Core Earnings.

In addition, our book value per share as of September 30, 2020 was $26.51.

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 (loss) 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 per share and dividends declared per share ($ in thousands, except per share data):

Three Months Ended

September 30, 2020

June 30, 2020

March 31, 2020

Net income (loss) (1)

Net income (1)

Weighted-average shares outstanding, basic and diluted

Net income (loss) per share, basic and diluted

Net income per share, basic and diluted

Dividends declared per share

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

Represents net income 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 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.

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 nine months ended September 30, 2020, we recorded a $173.5 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.

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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 (loss) ($ in thousands, except per share data):

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

Three Months Ended

September 30, 2020

June 30, 2020

March 31, 2020

Net income (loss) (1)

Increase in current expected credit loss reserve

Non-cash compensation expense

Realized hedging and foreign currency income, net (2)

Adjustments attributable to non-controlling interests, net

Net income (1)

(Decrease) increase in current expected credit loss reserve

compensation expense

Realized hedging and foreign currency (loss) 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 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 were not included in GAAP net income (loss), but rather as a component of Other Comprehensive Income in our consolidated financial statements.

Represents net income attributable to Blackstone Mortgage Trust.

Represents realized (losses) gains on the repatriation of unhedged foreign currency.

These amounts are not included in GAAP net income, 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):

September 30, 2020

June 30, 2020

March 31, 2020

Stockholders’ equity

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Loan Portfolio

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 $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.

Loan fundings during the quarter totaled $342.1 million, including $93.6 million of non-consolidated

senior interests.

Loan repayments and sales during the quarter totaled $483.8 million, including $135.0 million of non-consolidated

senior interests.

We generated interest income of $193.9 million and incurred interest expense of $79.0 million during the quarter, which resulted in $115.0 million of net interest income during the three months ended September 30, 2020.

Portfolio Overview

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Three Months Ended

Six Months Ended

June 30, 2020

Nine Months Ended

September 30, 2020

Loan originations (1)

Loan fundings (2)

Loan repayments

Total net fundings

Loan repayments and sales (3)

Total net (repayments) fundings

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

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):

Loan fundings during the three and nine months ended September 30, 2020 include $93.6 million and $170.5 million, respectively, of additional fundings under related non-consolidated

senior interests.

Loan repayments and sales during the three months ended September 30, 2020 include $135.0 million of additional repayments or reduction of loan exposure under related non-consolidated

senior interests.

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

Total Investment Exposure

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Weighted-average cash coupon (5)

Weighted-average all-in yield (5)

Weighted-average all-in

Weighted-average maximum maturity (years) (6)

Loan to value (LTV) (7)

Origination loan to value (LTV) (7)

Excludes investment exposure to the $79.2 million subordinate position we own in the $807.7 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 $739.6 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 $716.2 million of such non-consolidated

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

Includes investment exposure to the $807.7 million 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 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.

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 September 30, 2020, 98% of our investments by total investment exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $13.9 billion of such investments earned interest based on floors that are above the applicable index.

The other 2% of our investments earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of September 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.

Excludes loans accounted for under the cost-recovery method.

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 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.

As of September 30, 2020, 42% of our loans and other investments by total investment exposure were subject to yield maintenance or other prepayment restrictions and 58% 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 June 30, 2020 ($/€/£/A$/C$ in thousands):

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

Total Investment

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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.

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.

Excludes loans accounted for under the cost-recovery method.

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

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

Portfolio Management

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.

We collected 99% of the contractual interest payments that were due under our loans during the three months ended September 30, 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.

During the three months ended September 30, 2020, we closed 11 loan modifications, representing an aggregate principal balance of $1.7 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.

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.

Our investment portfolio’s low origination weighted-average LTV of 63.6% as of September 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 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 weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of September 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 $3.2 billion that were downgraded to a “4” or “5” as of September 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

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

June 30, 2020

September 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 $739.6 million of such non-consolidated senior interests as of June 30, 2020.

Total loan exposure encompasses the entire loan we originated and financed, including $716.2 million of such non-consolidated

senior interests as of September 30, 2020.

Excludes investment exposure to the $807.7 million 2018 Single Asset Securitization.

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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 (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.

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

During the nine months ended September 30, 2020, we recorded a $173.5 million increase in the current expected credit loss reserve, bringing our total CECL reserve to $191.2 million as of September 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

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.

As of September 30, 2020, we recorded a $14.8 million CECL reserve on this loan, which had an outstanding principal balance of $52.5 million, net of cost-recovery proceeds, as of September 30, 2020.

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

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

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

As of September 30, 2020, we recorded a $54.9 million CECL reserve on this loan, which had an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, as of September 30, 2020.

The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of September 30, 2020.

As of July 1, 2020, the income accrual was suspended on the two loans detailed above, which had an aggregate outstanding principal balance of $338.8 million, as of September 30, 2020.

No income was recorded on these loans during the three months ended September 30, 2020.

Multifamily Joint Venture

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

As of September 30, 2020, our Multifamily Joint Venture held $566.1 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 $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.

Of our $12.6 billion of portfolio financing, $3.6 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 $9.0 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

June 30, 2020

September 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)

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.

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.

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.

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

June 30, 2020

September 30, 2020

Credit Facility Borrowings

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Société Générale

Goldman Sachs - Multi.

US Bank - Multi.

Goldman Sachs - Multi.

Bank of America - Multi.

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

June 30, 2020

September 30, 2020

Asset-Specific Financings

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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 to us.

Other than amounts guaranteed on asset-by-asset

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

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 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

As of September 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.

These non-consolidated

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

senior interests as of September 30, 2020 ($ in thousands):

September 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):

June 30, 2020

September 30, 2020

Securitized Debt Obligations

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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.

All-in 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.

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 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 nine months ended September 30, 2020, we recorded $9.1 million and $31.8 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

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

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):

September 30, 2020

Debt Obligation

Yield/Cost (1)

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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.

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.

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.

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Secured Term Loans

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

Term Loan Issuance

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

Interest Rate (1)

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Convertible Notes

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

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

Convertible Notes Issuance

Interest Rate

March 15, 2023

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Floating Rate Portfolio

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.

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 September 30, 2020, 98% 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 September 30, 2020, the remaining 2% 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 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 investment portfolio’s net exposure to interest rates by currency as of June 30, 2020 ($/€/£/A$/C$ in thousands):

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

Floating rate loans (1)(2)(3)

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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.

Euro balance includes a loan denominated in British Pound Sterling, with an outstanding principal balance of £145.7 million as of September 30, 2020, that is hedged to Euro exposure through a foreign currency forward contract.

Refer to Note 9 to our consolidated financial statements for additional discussion of our foreign currency derivatives.

Includes borrowings under secured debt agreements, non-consolidated

senior interests, securitized debt obligations, non-consolidated

securitized debt obligations, and secured term loans.

In addition, we have two interest rate caps of C$38.7 million ($29.0 million as of September 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

Nine Months Ended

September 30,

Income from loans and other investments

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Total other expenses

Increase in current expected credit loss reserve

Income (loss) before income taxes

Income tax provision

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

Decrease (increase) in current expected credit loss reserve

Income before income taxes

Income tax provision (benefit)

Net income attributable to non-controlling

Net income attributable to Blackstone Mortgage Trust, Inc.

Net income per share - basic and diluted

Dividends declared per share

Income from loans and other investments, net

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.

Income from loans and other investments, net increased $13.0 million and $8.3 million during the three and nine months ended September 30, 2020, respectively, as compared to the corresponding periods in 2019.

The increase in both periods was primarily due to (i) $13.4 billion of our loans earning interest based on floors that were above the applicable floating rate index, as of September 30, 2020, and (ii) an increase in the weighted-average

principal balance of our loan portfolio by $2.1 billion and $2.0 billion during the three and nine months ended September 30, 2020, respectively, as compared to the corresponding periods in 2019.

This was offset by (i) a decrease in LIBOR, (ii) an increase in the weighted-average

principal balance of our outstanding financing arrangements by $2.0 billion and $1.9 billion during the three and nine months ended September 30, 2020, respectively, as compared to the corresponding periods in 2019 and (iii) a decline in interest income related to two loans that are accounted for under the cost-recovery method effective June 30, 2020.

Other expenses

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

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.

Other expenses increased by $3.0 million during the three months ended September 30, 2020 compared to the corresponding period in 2019 due to (i) an increase of $1.1 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) $895,000 of additional non-cash

restricted stock amortization related to shares awarded under our long-term incentive plans, (iii) an increase of $606,000 of general operating expenses, and (iv) an increase of $336,000 of incentive fees payable to our Manager.

Other expenses increased by $5.9 million during the nine months ended September 30, 2020 compared to the corresponding period in 2019 due to (i) an increase of $4.0 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) $2.7 million of additional non-cash

restricted stock amortization related to shares awarded under our long-term incentive plans, and (iii) an increase of $2.7 million of general operating expenses.

This was partially offset by a decrease of $3.5 million of incentive fees payable to our Manager.

Increase in current expected credit loss reserve

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.

Changes in current expected credit loss reserve

During the three months ended September 30, 2020, we recorded a $6.1 million decrease in the current expected credit loss reserve.

During nine months ended September 30, 2020, we recorded a $173.5 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

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

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.

Net income attributable to non-controlling

During the three and nine months ended September 30, 2020, we recorded $909,000 and $1.9 million, respectively, of net income attributable to non-controlling

interests related to our Multifamily Joint Venture.

Dividends per share

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.

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

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

During the nine months ended September 30, 2020, we declared aggregate dividends of $1.86 per share, or $265.2 million.

During the nine months ended September 30, 2019, we declared aggregate dividends of $1.86 per share, or $244.2 million.

Liquidity and Capital Resources

Capitalization

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 June 30, 2020, our balance sheet included $1.7 billion of corporate debt and $13.5 billion of asset-level financing.

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, borrowings under secured term loans, and the issuance of convertible notes.

As of September 30, 2020, our balance sheet included $1.7 billion of corporate debt and $12.6 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 $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.

Of our $12.6 billion of asset-level financing, $3.6 billion includes consolidated and non-consolidated

securitized debt obligations and senior syndications, which are both inherently non-recourse,

to market, and term-matched to the financed assets, and we have $9.0 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.

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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.

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.

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 Loans, 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:

June 30, 2020

Debt-to-Equity

Ratio and Total Leverage Ratio

The following table presents our debt-to-equity

ratio and total leverage ratio:

September 30, 2020

December 31, 2019

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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 consolidated and non-consolidated 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):

June 30, 2020

September 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 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.

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.

Similarly, during the nine months ended September 30, 2020, loan repayments and sales generated $326.0 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 September 30, 2020, our portfolio does include $3.2 billion of loans with a final maturity date earlier than December 31, 2022.

During the nine months ended September 30, 2020, we generated cash flow from operating activities of $261.3 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.

Additionally, during the nine months ended September 30, 2020, we received $315.4 million of net proceeds from 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 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 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 may cause us to take some or all of the following actions:

raise additional 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.

To facilitate such offerings, in July 2019, we filed a shelf registration statement with the Securities and Exchange Commission, or the SEC, that is effective for a term of three years and expires at the end of July 2022.

To facilitate such offerings, in July 2019, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires at the end of July 2022.

The amount of securities to be issued pursuant to this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of securities we may issue.

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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 9,993,053 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.

We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,992,425 shares of class A common stock were available for issuance as of September 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 September 30, 2020.

Refer to Note 10 to our consolidated financial statements for additional details.

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In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $9.0 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.

In addition, we had aggregate unfunded loan commitments of $3.3 billion as of September 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 73.7% for such financed loans, resulting in identified financing for $2.3 billion of our aggregate unfunded loan commitments as of September 30, 2020.

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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.

As a result of the COVID-19

pandemic, the progress of capital expenditures, construction, and leasing has been slower than otherwise expected, and the pace of future funding relating to these capital needs has been commensurately slower.

Contractual Obligations and Commitments

Our contractual obligations and commitments as of June 30, 2020 were as follows ($ in thousands):

Our contractual obligations and commitments as of September 30, 2020 were as follows ($ in thousands):

Payment Timing

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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.

Future interest payment obligations are estimated assuming the interest rates in effect as of September 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 $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.

Total does not include $716.2 million of non-consolidated

senior interests and $2.9 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 foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange 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.

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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 (loss) as calculated in accordance with GAAP, or our Core Earnings as described above.

Our taxable income does not necessarily equal our net income 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):

Six Months Ended June 30,

Nine Months Ended September 30,

Cash flows provided by operating activities

Cash flows used in investing activities

Cash flows provided by (used in) financing activities

Cash flows provided by financing activities

Net increase (decrease) in cash and cash equivalents

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.

We experienced a net increase in cash and cash equivalents of $276.3 million for the nine months ended September 30, 2020, compared to a net decrease of $20.5 million for the nine months ended September 30, 2019.

During the nine months ended September 30, 2020, we received (i) $1.4 billion from loan principal collections and sales proceeds, (ii) $1.2 billion of proceeds from the issuance of collateralized loan obligations, (iii) $315.4 million of net proceeds from secured term loan borrowings, 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 $1.5 billion of new loans and (ii) repay a net $1.2 billion under our secured debt agreements.

Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity.

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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 June 30, 2020 and December 31, 2019, we were in compliance with all REIT requirements.

As of September 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.

Off-Balance Sheet Arrangements

We have no off-balance sheet arrangements.

Sheet Arrangements

We have no off-balance

sheet arrangements.

Critical Accounting Policies

2 unchanged sentences

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 June 30, 2020 ($ in millions):

The following table provides details of our loan portfolio, on a loan-by-loan

basis, as of September 30, 2020 ($ in millions):

Loan Type (1)

2 unchanged sentences

Washington DC

$463,671 / key

Senior loan (4)

Diversified - EUR

$454,293 / key

Diversified - UK

1 unchanged sentence

San Francisco

Senior loan (4)

San Francisco

2 unchanged sentences

$131,649 / key

Senior loan (4)

San Francisco

Washington DC

Orange County

Diversified - IT

Orange County

Diversified - UK

$1,142 / sqft

$309,308 / key

1 unchanged sentence

SQFT / Unit / Key

Diversified - UK

$1,091 / sqft

Canberra - AU

$189,812 / key

Senior loan (4)

$189,901 / key

Fort Lauderdale

2 unchanged sentences

Diversified - US

Diversified - UK

San Francisco

$228,253 / key

Diversified - UK

Washington DC

$160,580 / key

4 unchanged sentences

$124,503 / unit

Washington DC

$324,861 / unit

San Francisco

$236,638 / key

Senior loan (4)

1 unchanged sentence

$547,745 / unit

Diversified - CA

$326,262 / unit

$242,198 / key

San Francisco

Brussels - BE

Diversified - CA

$317,164 / unit

3 unchanged sentences

$69,038 / unit

$214,341 / key

Diversified - US

$214,341 / key

$184,768 / unit

4 unchanged sentences

$223,254 / unit

$593,109 / unit

Loan Type (1)

SQFT / Unit / Key

$92,529 / unit

Senior loan (4)

$590,052 / unit

1 unchanged sentence

Southern California

$137,304 / unit

Calgary - CAN

16 unchanged sentences

$74,627 / unit

$136,508 / unit

Diversified - CAN

7 unchanged sentences

$23,284 / unit

$112,222 / unit

$56,544 / unit

$7,289 / unit

Senior loan (4)

Loans receivable, net

3 unchanged sentences

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 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.

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 September 30, 2020, five loans in our portfolio have been financed with an aggregate $716.2 million of non-consolidated

senior interest, which are included in the table above.

Portfolio excludes our $79.2 million subordinate position in the $807.7 million 2018 Single Asset Securitization.

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

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.

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 September 30, 2020, 98% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $13.9 billion of such loans earned interest based on floors that are above the applicable index.

The other 2% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of September 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.

Excludes loans accounted for under the cost-recovery method.

Maximum maturity assumes all extension options are exercised, however our loans may be repaid prior to such date.

Loans are accounted for under the cost-recovery method.

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