What changed in this filing

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Item 9A. Controls and Procedures

2021-02-10 compared with 2020-02-11 · 815 added, 638 removed, 1278 unchanged (53% of the section changed)

5 unchanged sentences

Any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives.

An evaluation of the effectiveness of the design and operation of our disclosure controls and procedures as of the end of the period

covered by this annual report on Form 10-K

An evaluation of the effectiveness of the design and operation of our disclosure controls and procedures as of the end of the period covered by this annual report on Form 10-K

was made under the supervision and with the participation of our management, including our Chief Executive Officer and Chief Financial Officer.

Based upon this evaluation, our Chief Executive Officer and Chief Financial Officer have concluded that our disclosure controls and procedures (a) are effective to ensure that information required to be disclosed by us in reports filed or submitted under the Exchange Act is timely recorded, processed, summarized and reported and (b) include, without limitation, controls and procedures designed to ensure that information required to be disclosed by us in reports filed or submitted under the Exchange Act is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Controls

There were no changes in our internal control over financial reporting (as such term is defined in Rules 13a–15(f) and 15d–15(f) under the Exchange Act) that occurred during our most recent quarter, that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

Based upon this evaluation, our Chief Executive Officer and Chief Financial Officer have concluded that our disclosure controls and procedures (a) are effective to ensure that information required to be disclosed by us in reports filed or submitted under the Exchange Act is recorded, processed, summarized and reported within the time periods specified by SEC rules and forms and (b) include, without limitation, controls and procedures designed to ensure that information required to be disclosed by us in reports filed or submitted under the Exchange Act is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There have been no changes in our “internal control over financial reporting” (as defined in Rule 13a–15(f) of the Exchange Act) that occurred during the our most recent quarter that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

Management’s Report on Internal Control Over Financial Reporting

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The information required by this item is incorporated by reference to the company’s definitive proxy statement to be filed not later than April 30, 2021 with the SEC pursuant to Regulation 14A under the Exchange Act.

PRINCIPAL ACCOUNTING FEES AND SERVICES

PRINCIPAL ACCOUNTANT FEES AND SERVICES

23 unchanged sentences

1-14788) filed on April 13, 2015 and incorporated herein by reference)

Articles of Amendment dated June 8, 2020 (filed as Exhibit 3.1 to the Registrant’s Current Report on Form 8-K filed with the Securities and Exchange Commission on June 11, 2020 and incorporated herein by reference)

Fifth Amended and Restated Bylaws of Blackstone Mortgage Trust, Inc.

13 unchanged sentences

Form of 4.75% Convertible Senior Notes due 2023 (included as Exhibit A in Exhibit 4.5)

Exhibit Description

Second Amended and Restated Management Agreement, dated as of October 23, 2014, by and between Blackstone Mortgage Trust, Inc.

2 unchanged sentences

1-14788) filed on October 28, 2014 and incorporated herein by reference)

Exhibit Description

Amended and Restated Trademark License Agreement, dated as of December 21, 2017, by and between Blackstone Mortgage Trust, Inc.

38 unchanged sentences

1-14788) filed on June 17, 2016 and incorporated herein by reference)

Exhibit Description

Form of Restricted Stock Award of Blackstone Mortgage Trust, Inc.

1 unchanged sentence

1-14788) filed on February 14, 2017 and incorporated herein by reference)

Exhibit Description

Blackstone Mortgage Trust, Inc.

8 unchanged sentences

Form of Restricted Stock Award of Blackstone Mortgage Trust, Inc.

2018 Stock Incentive Plan

2018 Stock Incentive Plan (filed as Exhibit 10.19 to the Registrant’s Annual Report on Form 10-K (File No.

1-14788) filed on February 11, 2020 and incorporated herein by reference)

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

Form of Restricted Stock Award of Blackstone Mortgage Trust, Inc.

2018 Manager Incentive Plan

2018 Manager Incentive Plan (filed as Exhibit 10.21 to the Registrant’s Annual Report on Form 10-K (File No.

1-14788) filed on February 11, 2020 and incorporated herein by reference)

Form of Indemnification Agreement (filed as Exhibit 10.1 to the Registrant’s Current Report on Form 8-K (File No.

21 unchanged sentences

1-14788) filed on April 28, 2015 and incorporated herein by reference)

Exhibit Description

Amendment No.

2 unchanged sentences

1-14788) filed on April 26, 2016 and incorporated herein by reference)

Exhibit Description

Amendment No.

8 unchanged sentences

7 to Master Repurchase Agreement, dated as of December 19, 2019, among Parlex 1 Finance, LLC and Bank of America, N.A.

(filed as Exhibit 10.32 to the Registrant’s Annual Report on Form 10-K (File No.

1-14788) filed on February 11, 2020 and incorporated herein by reference)

Amendment No.

8 to Master Repurchase Agreement, dated as of February 19, 2020, among Parlex 1 Finance, LLC and Bank of America, N.

(filed as Exhibit 10.3 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on April 28, 2020 and incorporated herein by reference)

Guarantee Agreement, dated as of May 21, 2013, made by Blackstone Mortgage Trust, Inc.

15 unchanged sentences

in favor of Bank of America, N.A.

(filed as Exhibit 10.36 to the Registrant’s Annual Report on Form 10-K (File No.

1-14788) filed on February 11, 2020 and incorporated herein by reference)

Fourth Amended and Restated Master Repurchase Agreement, dated as of February 15, 2019, among Parlex 2 Finance, LLC, Parlex 2A Finco, LLC, Parlex 2 UK Finco, LLC, Parlex 2 Eur Finco, LLC, Parlex 2 AU Finco, LLC, Parlex 2 CAD Finco, LLC and Citibank, N.A.

4 unchanged sentences

1-14788) filed on July 23, 2019 and incorporated herein by reference)

Exhibit Description

Second Amendment, dated as of July 16, 2019, to Fourth Amended and Restated Master Repurchase Agreement by and among Parlex 2 Finance, LLC, Parlex 2A Finco, LLC, Parlex 2 UK Finco, LLC, Parlex 2 Eur Finco, LLC, Parlex 2 AU Finco, LLC, Parlex 2 CAD Finco, LLC and Citibank, N.A.

1 unchanged sentence

1-14788) filed on October 23, 2019 and incorporated herein by reference)

Third Amendment, dated as of February 19, 2020, to Fourth Amended and Restated Master Repurchase Agreement, dated as of February 15, 2019, among Parlex 2 Finance, LLC, Parlex 2A Finco, LLC, Parlex 2 UK Finco, LLC, Parlex 2 Eur Finco, LLC, Parlex 2 AU Finco, LLC, Parlex 2 CAD Finco, LLC, and Citibank, N.A.

(filed as Exhibit 10.4 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on April 28, 2020 and incorporated herein by reference)

Fourth Amendment, dated as of September 30, 2020, to Fourth Amended and Restated Master Repurchase Agreement, dated as of February 15, 2019, among Parlex 2 Finance, LLC, Parlex 2A Finco, LLC, Parlex 2 UK Finco, LLC, Parlex 2 Eur Finco, LLC, Parlex 2 AU Finco, LLC, Parlex 2 CAD Finco, LLC, and Citibank, N.A.

(filed as Exhibit 10.1 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on October 29, 2020 and incorporated herein by reference)

Limited Guaranty, dated as of June 12, 2013, made by Blackstone Mortgage Trust, Inc.

6 unchanged sentences

1-14788) filed on February 17, 2015 and incorporated herein by reference)

Exhibit Description

Second Amendment to Limited Guaranty, dated as of February 24, 2014, made by Blackstone Mortgage Trust, Inc.

20 unchanged sentences

1-14788) filed on April 28, 2015 and incorporated herein by reference)

Exhibit Description

Amendment No.

16 unchanged sentences

1-14788) filed on April 25, 2017 and incorporated herein by reference)

Exhibit Description

Amendment No.

7 unchanged sentences

1-14788) filed on February 12, 2019 and incorporated herein by reference)

Amendment No.

10 to Amended and Restated Master Repurchase and Securities Contract, dated as of November 13, 2019, between Parlex 5 Finco, LLC and Wells Fargo Bank, National Association (filed as Exhibit 10.1 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on April 28, 2020 and incorporated herein by reference)

Amendment No.

11 to Amended and Restated Master Repurchase and Securities Contract, dated as of December 23, 2019, between Parlex 5 Finco, LLC and Wells Fargo Bank, National Association (filed as Exhibit 10.2 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on April 28, 2020 and incorporated herein by reference)

Exhibit Description

Amendment No.

12 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 13, 2020, between Parlex 5 Finco, LLC and Wells Fargo Bank, National Association (filed as Exhibit 10.5 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on April 28, 2020 and incorporated herein by reference)

Fourth Amended and Restated Master Repurchase and Securities Contract, dated as of June 30, 2016, by and among Parlex 5 Ken Finco, LLC, Parlex 5 Ken UK Finco, LLC, Parlex 5 Ken CAD Finco, LLC, Parlex 5 Ken ONT Finco, LLC, Parlex 5 Ken EUR Finco, LLC and Wells Fargo Bank, National Association (filed as Exhibit 10.3 to the Registrant’s Quarterly Report on Form 10-Q (File No.

20 unchanged sentences

1-14788) filed on July 25, 2017 and incorporated herein by reference)

Exhibit Description

Amendment No.

3 unchanged sentences

1-14788) filed on October 28, 2014 and incorporated herein by reference)

Second Amended and Restated Master Repurchase Agreement, dated as of December 16, 2019, by and among Parlex 15 Finco, LLC and Deutsche Bank AG, Cayman Islands Branch

Member Guaranty made as of December 16, 2019 by Parlex 15 Holdco, LLC for the benefit of Deutsche Bank AG, Cayman Islands Branch

Exhibit Description

Second Amended and Restated Master Repurchase Agreement, dated as of December 16, 2019, by and among Parlex 15 Finco, LLC and Deutsche Bank AG, Cayman Islands Branch (filed as Exhibit 10.67 to the Registrant’s Annual Report on Form 10-K (File No.

1-14788) filed on February 11, 2020 and incorporated herein by reference)

Member Guaranty made as of December 16, 2019 by Parlex 15 Holdco, LLC for the benefit of Deutsche Bank AG, Cayman Islands Branch (filed as Exhibit 10.68 to the Registrant’s Annual Report on Form 10-K (File No.

1-14788) filed on February 11, 2020 and incorporated herein by reference)

Senior Facilities Agreement, dated March 2, 2018, between Project Quasar Pledgeco S.L.U., Bank of America Merrill Lynch International Limited, Deutsche Bank AG, London Branch, J.P.

5 unchanged sentences

1-14788) filed on July 23, 2019 and incorporated herein by reference)

First Amendment, dated August 25, 2020, to Amended and Restated Master Repurchase Agreement, dated as of June 19, 2019, by and among Parlex 3A Finco, LLC, Parlex 3A UK Finco, LLC, Parlex 3A Eur Finco, LLC and Barclays Bank plc.

(filed as Exhibit 10.2 to the Registrant’s Quarterly Report on Form 10-Q (file No.

1-14788) filed on October 29, 2020 and incorporated herein by reference)

Amended and Restated Guaranty, dated as of June 19, 2019 made by Blackstone Mortgage Trust, Inc.

5 unchanged sentences

1-14788) filed on May 6, 2013 and incorporated herein by reference)

Term Loan Credit Agreement, dated as of April 23, 2019, among Blackstone Mortgage Trust, Inc., the lenders party thereto, JPMorgan Chase Bank, N.A., as Administrative Agent, and JP Morgan Chase Bank, N.A., Merrill Lynch, Pierce, Fenner & Smith Incorporated, Barclays Bank Plc, Deutsche Bank Securities Inc.

and Blackstone Advisory Partners LP, as Joint Lead Arrangers and Joint Bookrunners (filed as Exhibit 10.1 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on July 29, 2020 and incorporated herein by reference)

First Amendment to Term Loan Credit Agreement, dated as of November 19, 2019, by and among Blackstone Mortgage Trust, Inc., the subsidiary guarantors party thereto, each lender party thereto and JPMorgan Chase Bank, N.A., as administrative agent and collateral agent (filed as Exhibit 10.2 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on July 29, 2020 and incorporated herein by reference)

Second Amendment to Term Loan Credit Agreement, dated as of May 20, 2020, by and among Blackstone Mortgage Trust, Inc., the subsidiary guarantors party thereto, each lender party thereto and JPMorgan Chase Bank, N.A., as administrative agent and collateral agent (filed as Exhibit 10.3 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on July 29, 2020 and incorporated herein by reference)

Exhibit Description

Third Amendment to Term Loan Credit Agreement, dated as of June 11, 2020, by and among Blackstone Mortgage Trust, Inc., the subsidiary guarantors party thereto, each lender party thereto and JPMorgan Chase Bank, N.A., as administrative agent and collateral agent (filed as Exhibit 10.4 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on July 29, 2020 and incorporated herein by reference)

Loan Guaranty, entered into as of April 23, 2019, by and among the subsidiary guarantors and other persons from time to time party thereto and JPMorgan Chase Bank, N.A., as administrative agent and collateral agent (filed as Exhibit 10.5 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on July 29, 2020 and incorporated herein by reference)

Pledge and Security Agreement, entered into as of April 23, 2019, by and among Blackstone Mortgage Trust, Inc., the grantors from time to time party thereto and JPMorgan Chase Bank, N.A., as administrative agent and collateral agent (filed as Exhibit 10.6 to the Registrant’s Quarterly Report on Form 10-Q (File No.

1-14788) filed on July 29, 2020 and incorporated herein by reference)

Subsidiaries of Blackstone Mortgage Trust, Inc.

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Inline XBRL Taxonomy Extension Label Linkbase Document

Exhibit Description

Inline XBRL Taxonomy Extension Presentation Linkbase Document

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issued by COSO.

Change in Accounting Principle

As discussed in Note 2 to the financial statements, the Company has changed its method of accounting for credit losses in the year ended December 31, 2020 due to adoption of Accounting Standard Update, or ASU, 2016-13

“Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic 326).”

Basis for Opinions

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Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk.

operating effectiveness of internal control based on the assessed risk.

Our audits also included performing such other procedures as we considered necessary in the circumstances.

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Definition and Limitations of Internal Control over Financial Reporting

A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in

accordance with generally accepted accounting principles.

A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company;

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Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Critical Audit Matter

The critical audit matter communicated below is a matter arising from the current-period audit of the financial statements that was communicated or required to be communicated to the audit committee and that (1) relates to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments.

Critical Audit Matters

The critical audit matters communicated below are matters arising from the current-period audit of the financial statements that were communicated or required to be communicated to the audit committee and that (1) relates to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments.

The communication of critical audit matters does not alter in any way our opinion on the financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates.

Loans Receivable – Identification of Impairment Indicators – Refer to Note 2 and Note 3 in the Consolidated Financial Statements

Current Expected Credit Loss (“CECL”) Reserve – Adjustments to Reflect Management’s Estimation of Economic Conditions – Refer to Note 2 in the Financial Statements

Critical Audit Matter Description

The Company evaluates loans for possible indicators of impairment on a quarterly basis in order to determine whether events or changes in circumstances exist that may indicate that the carrying amounts of loans receivable are no longer recoverable.

The loans are typically collateralized by commercial real estate.

As a result, the Company regularly evaluates the extent and impact of any deterioration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower/sponsor on a loan by loan basis.

Possible indicators of impairment may include, but are not limited to, events or changes in circumstances affecting occupancy of an underlying property, market rental rates and physical condition of such property.

The Company’s evaluation involves a certain level of judgment and/or estimation related to whether the financial performance of the collateral or the existing market conditions results in an impairment indicator.

Changes in these judgements and/or estimates could have a significant impact on the loans identified for further analysis.

For the year ended December 31, 2019, no impairment loss has been recognized on loans receivable.

We identified the determination of impairment indicators for loans receivable as a critical audit matter because of the level of judgment involved in management’s assessment of whether events or changes in circumstances have occurred indicating that the carrying amounts of loans receivable may not be recoverable.

This required a high degree of auditor judgment and an increased extent of effort when performing audit procedures to evaluate whether management appropriately identified impairment indicators, including period-over-period review of the borrower’s financial information and business plans, collateral performance and assessment of micro- and macro-economic factors.

The Company estimates its CECL reserve primarily using the Weighted Average Remaining Maturity (“WARM”) method, which has been identified as an acceptable loss-rate method for estimating CECL reserves.

The Company utilizes its own historical loan loss data supplemented with the data obtained from an external service provider.

The data obtained is subject to several screening and/or judgmental adjustments that are applied in order to better align this loan-level data to the attributes of the Company’s loan portfolio.

The Company’s CECL reserve determined under the WARM method is further adjusted to reflect management’s estimation of the current and future economic conditions that may impact the performance of the commercial real estate assets securing the Company’s loans.

The items considered in management’s estimation include unemployment rates, interest rates and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for the Company’s loans during their anticipated term.

We identified the adjustments to the CECL reserve to reflect management’s estimation of the current and future economic conditions that may impact the performance of the commercial real estate assets securing the Company’s loans as a critical audit matter because of the subjectivity, complexity and estimation uncertainty in

such adjustments made to account for the macroeconomic factors.

This required a high degree of auditor judgment and an increased extent of effort when performing audit procedures to evaluate whether the adjustments determined by management reasonably and appropriately quantify macroeconomic risks associated with the Company’s loan portfolio.

How the Critical Audit Matter Was Addressed in the Audit

Our audit procedures related to the factors evaluated by management to evaluate if impairment indicators existed on a loan by loan basis and a determination of whether those factors would indicate a potential impairment, included among others:

We tested the design and operating effectiveness of controls over identification of impairment indicators, including but not limited to, not making contractual debt service payments, deterioration in underlying property performance, and negative trends in micro- and macro-economic factors.

We evaluated a sample of loans for potential impairment by:

Evaluating the accuracy and determining the relevance of the factors utilized during the Company’s evaluation

Analyzing period over period changes on items such as rental rates, physical conditions of the property, net operating income, debt service coverage ratio, occupancy, cash flow volatility, leasing and tenant profile, loan structure, exit plan, and project sponsorship, to determine impact on loan performance.

Evaluating the financial performance of the collateral associated with each loan

Reviewing the changes in budgets and the summaries of third-party reports, where applicable, for construction loans.

Evaluating the impact of macroeconomic and microeconomic events on the borrower, sponsor, or asset type.

We reviewed the payment history for all loans in the Company’s portfolio to ensure that the borrowers are making contractual payments in accordance with the loan agreements.

Our audit procedures to assess the adjustments applied by management to the CECL reserve to account for current and future economic conditions included, among others:

We tested the design and operating effectiveness of controls implemented by the Company in relation to the establishment of the CECL reserve.

Specifically, in relation to the adjustments made to their CECL reserve to account for current and future economic conditions, we focused our procedures on internal controls related to evaluation of macroeconomic factors and other judgments involved in the determination of such adjustments.

We evaluated the appropriateness and consistency of the methods and assumptions used by management to develop the adjustments, assessed macro-economic and industry trends, and performed benchmarking analysis against peers.

We tested the accuracy and completeness of quantitative data used by management to develop the adjustments to account for current and future economic conditions.

CECL Reserve – Estimation of Fair Value of Underlying Collateral of Impaired Loans – Refer to Note 2 and Note 3 in the Financial Statements

Critical Audit Matter Description

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

These valuations require significant judgment, 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 the Company.

We identified the estimation of the fair value of the underlying collateral of impaired loans as a critical audit matter because of the complexity and judgement involved in the determination of the valuation methodology and assumptions, as well as subjectivity of the unobservable inputs utilized in the valuation.

Auditing the fair value of the underlying collateral for impaired loans required a high degree of auditor judgment and increased effort, including the need to involve our fair value specialists.

How the Critical Audit Matter Was Addressed in the Audit

Our audit procedures related to the estimate of fair of the underlying collateral of impaired loans as part of estimation of the CECL reserve included, among others:

We tested the design and operating effectiveness of controls over the estimation of the fair value of the collateral underlying the impaired loans, including specifically management’s review of the valuation model and underlying assumptions utilized in estimating the fair value of the underlying collateral.

We tested management’s assumptions through independent analysis and comparison to external sources.

We utilized our internal fair value specialists to assist in the evaluation of management’s valuation methodologies and assumptions.

With the assistance of our internal fair value specialists, we evaluated certain of these assumptions (e.g., guideline transactions, discount rates, capitalization rates).

internal fair value specialist procedures included testing the underlying source information of the assumptions, as well as developing a range of independent estimates and comparing those to the assumptions used by management.

/s/ Deloitte & Touche LLP

6 unchanged sentences

Cash and cash equivalents

Loans receivable

Current expected credit loss reserve

Loans receivable, net

14,467,375

Liabilities and Equity

Secured debt agreements, net

Loan participations sold, net

Securitized debt obligations, net

Secured term loan, net

Asset-specific debt agreements, net

Secured term loans, net

Convertible notes, net

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Commitments and contingencies

Class A common stock, $ 0.01

par value, 200,000,000

shares authorized, 135,003,662

and 123,435,738

shares issued and outstanding as of December 31, 2019 and 2018, respectively

Class A common stock, $ 0.01 par value, 400,000,000 shares authorized and 146,780,031 shares issued and outstanding as of December 31, 2020, and 200,000,000 shares authorized and 135,003,662 shares issued and outstanding as of December 31, 2019

Additional paid-in

Accumulated other comprehensive loss

Accumulated other comprehensive income (loss)

Accumulated deficit

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The consolidated balance sheets as of December 31, 2020 and December 31, 2019 include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of each respective VIE, and liabilities of consolidated VIEs for which creditors do not have recourse to Blackstone Mortgage Trust, Inc.

As of December 31, 2019 and December 31, 2018, assets of the consolidated VIEs totaled

$ 1.4 billion

and $ 1.5 billion, respectively, and liabilities of the consolidated VIEs totaled $ 1.2 billion and

$ 1.3 billion

, respectively.

As of December 31, 2020 and December 31, 2019, assets of the consolidated VIEs totaled $ 3.6 billion and $ 1.4 billion, respectively, and liabilities of the consolidated VIEs totaled $ 2.9 billion and $ 1.2 billion, respectively.

Refer to Note 16 for additional discussion of the VIEs.

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Total other expenses

Increase in current expected credit loss reserve

Income before income taxes

Income tax (benefit) provision

Income tax provision (benefit)

Net income attributable to non-controlling

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Issuance of convertible notes

Conversion of convertible notes

Dividends reinvested

Deferred directors’ compensation

Other comprehensive

Dividends declared on common stock, $ 2.48

Other comprehensive loss

Dividends declared on common stock, $ 2.48 per share

Contributions from non-controlling

3 unchanged sentences

Restricted class A common stock earned

Issuance of convertible notes

Conversion of convertible notes

Dividends reinvested

Deferred directors’ compensation

Other comprehensive loss

Dividends declared on common stock, $ 2.48

Other comprehensive income

Dividends declared on common stock, $ 2.48 per share

Contributions from non-controlling

1 unchanged sentence

Balance at December 31, 2019

Adoption of ASU 2016-13

Shares of class A common stock issued, net

3 unchanged sentences

Other comprehensive income

Dividends declared on common stock, $ 2.48

Dividends declared on common stock, $ 2.48 per share

Contributions from non-controlling

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compensation expense

Satisfaction of management and incentive fees in stock

Amortization of deferred fees on loans and debt securities

1 unchanged sentence

discount on debt obligations

Increase in current expected credit loss reserve

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

Unrealized (gain) loss on derivative financial instruments, net

Realized loss (gain) on derivative financial instruments, net

Changes in assets and liabilities, net

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Origination and fundings of loans receivable

Principal collections and sales proceeds from loans

receivable and debt securities

Principal collections and sales proceeds from loans receivable and debt securities

Loan contributed to securitization

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Repayments under secured debt agreements

Proceeds from issuance of collateralized loan obligations

Repayment of collateralized loan obligations

Proceeds from issuance of

securitized debt

Repayment of securitized debt

Borrowings under asset-specific debt agreements

Repayments under asset-specific debt agreements

Proceeds from sale of loan participations

1 unchanged sentence

Net proceeds from issuance of secured term loan

Repayments of

secured term loan

Repayments of secured term loan

Payment of deferred financing costs

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Dividends paid on class A common stock

Net cash provided by financing activities

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

Cash, cash equivalents, and restricted cash at beginning of year

Effects of currency translation on cash, cash equivalents, and restricted cash

Cash, cash equivalents, and restricted cash at end of year

Net cash (used in) provided by financing activities

Net increase (decrease) in cash and cash equivalents

Cash and cash equivalents at beginning of year

Effects of currency translation on cash and cash equivalents

Cash and cash equivalents at end of year

Supplemental disclosure of cash flows information

Payments of interest

Receipts (payments)

of income taxes

(Payments) receipts of income taxes

Supplemental disclosure of non-cash

1 unchanged sentence

Dividends declared, not paid

Satisfaction of management and incentive fees in stock

Loan principal payments held by servicer, net

Consolidation of loans receivable of a VIE

Consolidation of securitized debt obligations of a VIE

See accompanying notes to consolidated financial statements

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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 investment objective is to preserve and protect shareholder capital while producing attractive risk-adjusted returns primarily through dividends generated from current income from our loan portfolio.

We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of The Blackstone Group Inc., or Blackstone, and are a real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.” Our principal executive offices are located at 345 Park Avenue, 42 nd

Floor, New York, New York 10154.

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

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

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

We were incorporated in Maryland in 1998, when we reorganized from a California common law business trust into a Maryland corporation.

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All intercompany balances and transactions have been eliminated in consolidation.

The weighted-average cash coupon, all-in

yield, and all-in

cost were updated in the prior period presentation of loans receivable and securitized debt obligations in Notes 3 and 7, respectively, to conform to the current period presentation.

The classifications of asset-specific

financings and secured credit facilities were updated in the prior period presentation of secured debt agreements in Note 5 to conform to the current period presentation.

Certain reclassifications have been made in the presentation of the prior period balance sheet, statements of cash flows, and secured debt agreements in Note 5 to conform to the current period presentation.

Principles of Consolidation

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

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

We are not the primary beneficiary of the VIE because we do not have the power to direct the activities that most

We are not the primary

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

significantly affect the VIE’s economic performance and, therefore, do not consolidate the 2018 Single Asset Securitization on our balance sheet.

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

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 own as a held-to-maturity

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

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The preparation of consolidated financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period.

Actual results may ultimately differ from those estimates.

As of December 31, 2020, there is an ongoing global outbreak of a novel coronavirus, or COVID-19.

In March 2020, the World Health Organization designated COVID-19

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

The United States and other countries reacted to the COVID-19

outbreak with unprecedented government intervention, including interest rate cuts and economic stimulus.

The global impact of the outbreak rapidly evolved (and continues to do so), and many countries 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 also implemented similar precautionary measures.

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

have created disruption in global supply chains, increasing rates of unemployment and adversely impacting many industries, including industries related to the collateral underlying certain of our loans.

Moreover, with the continued spread of COVID-19,

governments and businesses are likely to continue to take 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 December 31, 2020, however uncertainty over the ultimate impact COVID-19

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

Actual results may ultimately differ materially

from those estimates.

Revenue Recognition

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Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan or debt security as an adjustment to yield.

Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in 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.

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 .

Income accrual is generally suspended for loans at the earlier of the date

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

at which payments become 90 days past due or when, in the opinion of our Manager, recovery of income and principal becomes doubtful .

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

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.

Cash and Cash Equivalents

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

During the second quarter of 2018, the letter of credit related to our restricted cash balance was cancelled and the cash was transferred out of our segregated bank account.

As of both December 31, 2019 and December 31, 2018, we had no

restricted cash on our consolidated balance sheets.

million and $ 320.0

million as of December 31, 2019 and December 31, 2018, respectively.

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

Through our subsidiaries, we have oversight of certain servicing accounts held with third-party servicers, or Servicing Accounts, which relate to borrower escrows and other cash balances aggregating $ 384.6 million and $ 450.8 million as of December 31, 2020 and December 31, 2019, respectively.

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

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

Loans Receivable

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

Debt Securities Held-to-Maturity

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

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

We include our debt securities in other assets on our consolidated balance sheets at amortized cost.

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 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 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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Loans Receivable and Provision for Loan Losses

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

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

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.

The WARM method requires us to reference historic loan loss data across a comparable data set and apply such loss rate to each of our loans over their expected remaining term, taking into consideration expected economic conditions over the relevant timeframe.

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

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

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

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 November 30, 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 origination loan-to-value,

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

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

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

This CECL reserve is estimated using the same process outlined above for our outstanding loan balances, and changes in this component of the CECL reserve will similarly impact our consolidated net income.

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

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

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

WARM method that incorporates a subset of historical loss data, expected weighted-average remaining maturity of our loan pool, and an economic view.

WARM method that incorporates a subset of historical loss data, expected weighted average remaining maturity of our loan pool, and an economic view.

a probability of default and loss given default model, assessed on an individual basis.

Impaired Loans

impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan.

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

Impairment of these loans, which are collateral dependent, is measured by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan.

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

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

Our Manager performs a quarterly review of our portfolio of loans.

In conjunction with this review, our Manager assesses the risk factors of each loan, and assigns it a risk rating based on a variety of factors, including, without limitation, loan-to-value

ratio, or LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship.

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

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

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

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

Actual losses, if any, could ultimately

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

differ materially from these estimates.

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

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

We adopted ASU 2016-13

using the modified-retrospective method for all financial assets measured at amortized cost.

Prior to our adoption, we had no loan loss provisions on our consolidated balance sheets.

We recorded a cumulative-effective adjustment to the opening retained earnings in our consolidated statement of equity as of January 1, 2020.

The following table details the impact of this adoption ($ in thousands):

Impact of ASU 2016-13

CECL reserve on loans

CECL reserve on held-to-maturity

debt securities

CECL reserve on unfunded loan commitments

Total impact of ASU 2016-13

adoption on retained earnings

Contractual Term and Unfunded Loan Commitments

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

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

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

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

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

Credit Quality Indicator

Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve.

Our Manager performs a quarterly risk review of our portfolio of loans, and assigns each loan a risk rating based on a variety of factors, including, without limitation, LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship.

Based on a 5-point

scale, our loans are rated “1” through “5,” from less risk to greater risk, relative to our loan portfolio in the aggregate, which ratings are defined as follows:

scale, our loans are rated “l” through “5,” from less risk to greater risk, relative to our loan portfolio in the aggregate, which ratings are defined as follows:

Very Low Risk

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A loan that has a very high risk of realizing a principal loss or has otherwise incurred a principal loss.

Debt Securities Held-to-Maturity

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

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

We include our debt securities in other assets on our consolidated balance sheets at amortized cost.

If, based on current information and events, there is an adverse change in cash flows expected to be collected from the cash flows previously projected for one of our debt securities, an other-than-temporary impairment is deemed to have occurred.

A change in expected cash flows is considered adverse if the present value of the revised cash flows (taking into consideration both the timing and amount of cash flows expected to be collected), discounted using the debt security’s current yield, is less than the present value of the previously estimated remaining cash flows.

If an other-than-temporary impairment is considered to have occurred, the debt security is written down to fair value.

The total other-than-temporary impairment is bifurcated into (i) the amount related to expected credit losses, and (ii) the amount related to fair value adjustments in excess of expected credit losses.

The other-than-temporary impairment related to expected credit losses is calculated by comparing the amortized cost basis of the security to the present value of cash flows expected to be collected, discounted at the security’s current yield, and is recognized in earnings in the consolidated statement of operations.

The remaining other-than-temporary impairment that is no t related to expected credit losses is recognized in other comprehensive income (loss).

A portion of other-than-temporary impairments recognized through earnings is accreted back to the amortized cost basis of the security through interest income, while amounts recognized through other comprehensive income (loss) are amortized over the life of the security with no impact on earnings.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Estimation of Economic Conditions

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

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

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

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 December 31, 2020.

Derivative Financial Instruments

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If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued and the changes in fair value of the instrument are included in net income prospectively.

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

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

Gains and losses, representing hedge components excluded from the assessment of effectiveness, are recognized in interest income on our consolidated statements of operations over the contractual term of our net investment hedges on a systematic and rational basis, as documented at hedge inception in accordance with our accounting policy election.

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

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

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

To the extent a derivative does not qualify for hedge accounting and is deemed a non-designated

hedge, the changes in its fair value are included in net income concurrently.

Secured Debt Agreements

Where applicable, we record investments financed with secured debt agreements as separate assets and the related borrowings under any secured debt agreements are recorded as separate liabilities on our consolidated balance sheets.

Interest income earned on the investments and interest expense incurred on the secured debt agreements are reported separately on our consolidated statements of operations.

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.

Secured Debt Agreements and Asset-Specific Debt Agreements

Where applicable, we record investments financed with secured debt agreements or asset-specific debt agreements as separate assets and the related borrowings under any secured debt agreements or asset-specific debt agreements are recorded as separate liabilities on our consolidated balance sheets.

Interest income earned on

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements ( continued

the investments and interest expense incurred on the secured debt agreements or asset-specific debt agreements are reported separately on our consolidated statements of operations.

Senior Loan Participations

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

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

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

of a senior loan interest to a third-party.

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

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

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

senior interest we sold.

Secured Term Loan

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

interest we sold.

Secured Term Loans

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

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

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

interest expense.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Convertible Notes

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Fair Value of Financial Instruments

The “Fair Value Measurements and Disclosures” Topic of the FASB, or ASC 820, defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements under GAAP.

The “Fair Value Measurements and Disclosures” Topic o f

the FASB, or ASC 820

, defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements under

Specifically, this guidance defines fair value based on exit price, or the price that would be received upon the sale of an asset or the transfer of a liability in an orderly transaction between market participants at the measurement date.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

ASC 820 also establishes a fair value hierarchy that prioritizes and ranks the level of market price observability used in measuring financial instruments.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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

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

Certain of our other assets are reported at fair value, as of quarter-end,

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

Our assets that are recorded at fair value are discussed further in Note 15.

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

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

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

These disclosure requirements exclude certain financial instruments and all non-financial

During the year ended December 31, 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 $ 338.7 million, as of December 31,

The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of December 31, 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 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 %.

value for those instruments.

These disclosure requirements exclude certain financial instruments and all

non-financial

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

The following methods and assumptions are used to estimate the fair value of each class of financial instruments, for which it is practicable to estimate that value:

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Loans receivable, net:

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

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

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

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

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

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

Loan participations sold, net:

The fair value of these instruments was estimated based on the value of the related loan receivable asset.

Securitized debt obligations, net:

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Secured term loan, net:

Asset-specific debt agreements, net:

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

Secured term loans, net:

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Convertible notes, net:

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Our financial results generally do not reflect provisions for current or deferred income taxes on our REIT taxable income.

We believe that we operate in a manner that will continue to allow us to be taxed as a REIT and, as a result, we generally do not expect to pay substantial corporate level taxes other than those payable by our taxable REIT subsidiaries.

We believe that we operate in a manner that will continue to allow us to be taxed as a REIT and, as a

result, we generally do not expect to pay substantial corporate level taxes other than those payable by our taxable REIT subsidiaries.

If we were to fail to meet these requirements, we may be subject to federal, state, and local income tax on current and past income, and penalties.

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Stock-Based Compensation

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.

members of our board of directors.

Stock-based compensation expense is recognized for these awards in net income on a variable basis over the applicable vesting period of the awards, based on the value of our class A common stock.

Refer to Note 14 for additional information.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Earnings per Share

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Recent Accounting Pronouncements

In April 2019, the FASB issued ASU 2019-04,

“Codification Improvements to Topic 326, Financial Instruments –

Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments,” or ASU 2019-04.

amends existing guidance originally issued by (i) ASU 2016-13

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

(ii) ASU 2017-12

“Derivatives and Hedging Topic 815:

Targeted Improvements to Accounting for Hedging Activities,” or ASU 2017-12,

and (iii) ASU 2016-01

“Financial Instruments – Overall (Subtopic 825-10):

Recognition and Measurement of Financial Assets and Financial Liabilities,” or ASU 2016-01.

The amendments in ASU 2019-04

that relate to ASU 2016-13

clarify specific issues related to the implementation of the current expected credit loss, or CECL, model, which are effective for fiscal years beginning after December 15, 2019 and are to be adopted through a cumulative-effect adjustment to retained earnings as of January 1, 2020.

The amendments in ASU 2019-04

that relate to ASU 2017-12

primarily update guidance related to fair value hedges and do not have an impact on our consolidated financial statements.

The amendments in ASU 2019-04

that relate to ASU 2016-01

primarily update guidance related to equity securities and do not have an impact on our consolidated financial statements.

In June 2016, the FASB issued ASU 2016-13

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

will replace the incurred loss model under existing guidance with a CECL model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale

debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model.

It also simplifies the accounting model for purchased credit-impaired debt securities and loans.

is effective for fiscal years beginning after December 15, 2019 and is to be adopted through a cumulative-effect adjustment to retained earnings as of January 1, 2020.

The CECL reserve required under ASU 2016-13

is a valuation account that is deducted from the related loans’ and debt securities’ amortized cost basis on our consolidated balance sheets, and which will reduce our total stockholders’ equity.

The initial CECL reserve recorded on January 1, 2020 will be reflected as a direct charge to retained earnings;

however future changes to the CECL reserve will be recognized through net income on our consolidated statements of operations.

While ASU 2016-13

does not require any particular method for determining the CECL allowance, it does specify the allowance 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

We plan to 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.

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

Application of the WARM method to estimate a CECL reserve requires significant judgment, including (i) the appropriate historical loan loss reference data, (ii) the expected timing and amount of future loan fundings and

“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.

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

debt securities rather than reduce the carrying amount, as they did previously under the other-than-temporary impairment model.

It also simplified the accounting model for purchased credit-impaired debt securities and loans.

We adopted ASU 2016-13

on January 1, 2020, and recorded a $ 17.7 million cumulative-effect adjustment to retained earnings.

In March 2020, the FASB issued ASU

“Reference Rate Reform (Topic 848):

Facilitation of the Effects of Reference Rate Reform on Financial Reporting,” or ASU

provides optional

and exceptions to GAAP requirements for modifications on debt instruments, leases, derivatives, and other contracts, related to the expected market transition from LIBOR, and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates.

generally considers contract modifications related to reference rate reform to be an event that does not require contract remeasurement at the modification date nor a reassessment of a previous accounting determination.

The guidance in ASU

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

repayments, and (iii) the current credit quality of our portfolio and our expectations of performance and market conditions over the relevant time period.

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

This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through December 31, 2019 .

Within this database, we focused

our historical loss reference calculations on the most relevant subset of available CMBS data.

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

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

The CECL reserve related to future loan fundings is recorded as a component of Other Liabilities on our consolidated balance sheets, and not as an offset to the related loan balance.

CECL reserve will be estimated using the same process outlined above for our outstanding loan balances, and changes in this component of the

CECL reserve will similarly impact our consolidated net income.

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

optional and may be elected over time, through December 31, 2022, as reference rate reform activities occur.

Once ASU 2020-04

is elected, the guidance must be applied prospectively for all eligible contract modifications.

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

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

We continue to evaluate the impact of ASU 2020-04

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

“Debt—Debt with Conversion and Other Options (Subtopic

and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic

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

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

on January 1, 2020, we expect to record an initial CECL reserve, including future loan funding commitments, of approximately $ 17.6

million, or $ 0.13

per share, reflecting an aggregate CECL reserve of 0.11

% of our aggregate outstanding principal balance of $ 16.4

billion as of December 31, 2019.

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

interest expense in our consolidated financial statements.

Additionally, ASU

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.

LOANS RECEIVABLE, NET

9 unchanged sentences

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

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

As of December 31, 2019,

of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and

billion of such loans earned interest based on floors that are above the applicable index.

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 December 31, 2020, 99 % of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and $ 13.7 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.

e reflect our fixed rate loans

as a spread over the

relevant floating benchmark rates ,

as of December 31, 2019 and December 31, 2018 ,

respectively,

for purposes of the weighted-averages.

As of December 31, 2018,

% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and

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 December 31, 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,

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.

6 unchanged sentences

Other Items (1)

December 31, 2017

Loans Receivable, as of December 31, 2018

Loan fundings

Loan repayments

Loan contributed to securitization

Unrealized (loss) gain on foreign currency translation

Loan repayments and sales proceeds

Unrealized gain (loss) on foreign currency translation

Deferred fees and other items

Amortization of fees and other items

December 31, 2018

Loans Receivable, as of December 31, 2019

Loan fundings

Loan repayments and sales proceeds

Loan repayments and sales

Unrealized gain (loss) on foreign currency translation

1 unchanged sentence

Amortization of fees and other items

December 31, 2019

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

Loans Receivable, as of December 31, 2020

Loans Receivable, net, as of December 31, 2020

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

Blackstone Mortgage Trust, Inc.

3 unchanged sentences

Property Type

Exposure (1)(2)

Percentage of

Total loans receivable

Loans receivable, net

Geographic Location

Exposure (1)(2)

Percentage of

2 unchanged sentences

United Kingdom

Total loans receivable

Loans receivable, net

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

1 unchanged sentence

See Note 2 for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $ 688.5

million of such non-consolidated

Total loan exposure encompasses the entire loan we originated and financed, including $ 801.8 million of such non-consolidated

senior interests as of December 31, 2020.

1 unchanged sentence

million 2018 Single Asset Securitization.

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

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

Blackstone Mortgage Trust, Inc.

2 unchanged sentences

Property Type

Exposure (1)(2)

Percentage of

Geographic Location

Exposure (1)(2)

Percentage of

5 unchanged sentences

See Note 2 for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $ 446.9

million of such non-consolidated

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

senior interests as of December 31, 2019.

Excludes investment exposure to the $ 1.0

billion 2018 Single Asset Securitization.

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

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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Loan Risk Ratings

3 unchanged sentences

Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined in Note 2.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

3 unchanged sentences

Exposure (1)(2)

Total loans receivable

Loans receivable, net

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

1 unchanged sentence

See Note 2 for further discussion.

Total loan exposure encompasses the entire loan we originated and financed, including $ 688.5

million and $ 446.9

million of such non-consolidated

Total loan exposure encompasses the entire loan we originated and financed, including $ 801.8 million and $ 688.5 million of such non-consolidated

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

Excludes investment exposure to the $ 930.0

million and $ 1.0 billion 2018 Single Asset Securitization as of December 31, 2019 and December 31, 2018, respectively.

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

The weighted-average risk rating of our total loan exposure was 2.8 and 2.7

as of December 31, 2019 and 2018

, respectively.

The increase was driven primarily by new loans originated during 2019, the majority of which were rated 3 at origination .

t have any impaired loans, nonaccrual loans, or loans in maturity default as of December 31, 2019 or 2018.

The following table allocates the net book value of our loans receivable based on our internal risk ratings, separated by year of origination ($ in thousands):

Excludes investment exposure to the 2018 Single Asset Securitization of $ 735.5 million and $ 930.0 million as of December 31, 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 December 31, 2020 and 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 ” during the year ended December 31, 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

Current Expected Credit Loss Reserve

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

Refer to Note 2 for further discussion of

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

our CECL reserve.

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

Loans Receivable, Net

CECL reserve as of December 31, 2019

Initial CECL reserve on January 1, 2020

Increase in CECL reserve

CECL reserve as of December 31, 2020

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

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

During the year ended December 31, 2020, we recorded an increase of $ 159.6 million in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $ 173.5 million as of December 31, 2020.

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

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

See Note 2 for further discussion of COVID-19.

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

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

During the three months ended June 30, 2020, we recorded a $ 14.8 million CECL reserve on this loan, which was unchanged as of December 31, 2020.

This loan has an outstanding principal balance of $ 52.4 million, net of cost-recovery proceeds, as of December 31, 2020.

The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of December 31, 2020.

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.

During the three months ended June 30, 2020, we recorded a $ 54.9 million CECL reserve on this loan, which was unchanged as of December 31, 2020.

This loan has an outstanding principal balance of $ 286.3 million, net of cost-recovery proceeds, as of December 31, 2020.

The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of December 31, 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 $ 338.7 million, as of December 31, 2020.

No income was recorded on these loans subsequent to July 1, 2020.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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

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

December 31, 2019

As of December 31, 2020

Total Non-U.S.

Total unique loans

Impaired loans

Total impaired loans

Total loans receivable

Loans receivable, net

Date loan was originated or acquired by us.

Origination dates are

subsequently updated to reflect material loan modifications.

Origination dates are subsequently updated to reflect material loan modifications.

Excludes the $ 75.7

million net book value of our held-to-maturity

debt securities which represents our subordinate position we own in the 2018 Single Asset Securitization, and is included in other assets on our consolidated balance sheets.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Multifamily Joint Venture

2 unchanged sentences

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

OTHER ASSETS AND LIABILITIES

1 unchanged sentence

Debt securities held-to-maturity

Accrued interest receivable

Debt securities held-to-maturity,

Loan portfolio payments held by servicer (2)

Accrued interest receivable

Collateral deposited under derivative agreements

Derivative assets

Prepaid expenses

Derivative assets

Prepaid taxes

Represents the subordinate risk retention interest in the 2018 Single Asset Securitization , which held aggregate loan assets of $ 930.0 million and $ 1.0 billion

as of December 31, 2019 and December 31, 2018, 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 $ 735.5 million and $ 930.0 million as of December 31, 2020 and December 31, 2019, respectively, with a yield to full maturity of L+ 10.0 % and a maximum maturity date of June 9, 2025 , assuming all extension options are exercised by the borrower.

Refer to Note 16 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

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

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

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

Debt Securities Held-To-Maturity

CECL reserve as of December 31, 2019

Initial CECL reserve on January 1, 2020

Increase in CECL reserve

CECL reserve as of December 31, 2020

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Our initial CECL reserve of $ 445,000 against our debt securities held-to-maturity,

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

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

During the year ended December

2020 , we recorded an increase of $

1.3 million in the expected credit loss reserve against our debt securities

held-to-maturity,

bringing our total CECL reserve to $

1.7 million as of December

This CECL reserve reflects the macroeconomic impact of the

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

2 for further discussion of

Other Liabilities

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

3 unchanged sentences

Accrued management and incentive fees payable

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

Accounts payable and other liabilities

Represents the CECL reserve related to our unfunded loan commitments.

See Note 2 for further discussion of the CECL reserve.

Current Expected Credit Loss Reserve for Unfunded Loan Commitments

As of December 31, 2020, we had unfunded commitments of $ 3.2 billion related to 84 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 18 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 year ended December 31, 2020 ($ in thousands):

Unfunded Loan Commitments

CECL reserve as of December 31, 2019

Initial CECL reserve on January 1, 2020

Increase in CECL reserve

CECL reserve as of December 31, 2020

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

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

During the year ended December 31, 2020, we recorded an increase of $ 6.8 million in the expected

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

credit loss reserve against our unfunded loan commitments, bringing our total CECL reserve to $ 10.0 million as of December 31, 2020.

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

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

See Note 2 for further discussion of COVID-19.

SECURED DEBT AGREEMENTS, NET

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

During the three months ended June 30, 2020, we entered into agreements with our

largest secured credit facility lenders, representing an aggregate

billion of our secured credit facilities as of June 30, 2020, to temporarily suspend credit mark provisions and pre-approve certain loan modifications to certain of their portfolio assets, primarily in exchange for cash repayments and pledging additional loan collateral.

During the three months ended December 31, 2020, we extended the credit facility modification agreements with the

lenders without any further deleveraging or increased cost.

In addition, during the year ended December 31, 2020, we increased the size of one of our credit facilities and added a multi-currency facility with one of our existing lenders, providing an aggregate additional $ 650.0 million of credit capacity.

Our secured debt agreements include secured credit facilities and a revolving credit agreement.

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

4 unchanged sentences

Secured credit facilities

Asset-specific financings

Revolving credit agreement

3 unchanged sentences

Costs incurred in connection with our secured debt agreements are recorded on our consolidated balance sheet when incurred and recognized as a component of interest expense over the life of each related agreement.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Secured Credit Facilities

During the year ended December 31, 2019, we increased the size of six of our existing credit facilities, providing an aggregate additional $ 2.9 billion of credit capacity, and added two new credit facilities, providing an aggregate additional

$ 577.0 million of credit capacity .

The following tables detail our secured credit facilities ($ in thousands):

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

December 31, 2020

3 unchanged sentences

Deutsche Bank

Goldman Sachs

Bank of America

Morgan Stanley

Goldman Sachs

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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

The weighted-average outstanding balance of our secured credit facilities was $ 8.8 billion for the year ended December 31, 2020.

2 unchanged sentences

As of December 31, 2020, outstanding borrowings under these facilities had a weighted-average maturity, including extension options, of 3.0 years.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

The following table details our secured credit facilities as of December 31, 2019 ($ in thousands):

December 31, 2019

5 unchanged sentences

Morgan Stanley

Goldman Sachs

Société Générale

Goldman Sachs -

Goldman Sachs - Multi.

Bank of America - Multi.

Bank of America -

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

10 unchanged sentences

Notes to Consolidated Financial Statements (continued)

The following tables outline the key terms of our credit facilities as of December 31, 2019:

The following table outlines the key terms of our secured credit facilities as of December 31, 2020:

Guarantee (1)

1 unchanged sentence

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)

Goldman Sachs

Term matched (6)

$ / £ / € / A$ / C$

Collateral marks only

October 22, 2023 (8)

Term matched (6)

Goldman Sachs

Collateral marks only

January 7, 2024 (9)

Term matched (6)

Bank of America

2 unchanged sentences

Collateral marks only

June 18, 2024 (11)

January 7, 2024 (8)

Morgan Stanley

Collateral marks only

September 29, 2025 (9)

Deutsche Bank

Collateral marks only

Term matched (13)

September 23, 2025 (10)

Collateral marks only

5 unchanged sentences

Term matched (6)

Goldman Sachs -

Collateral marks only

Term matched (13)

US Bank - Multi.

July 12, 2022 (11)

Bank of America -

Collateral marks only

Term matched (13)

July 19, 2023 (12)

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

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

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

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

3 unchanged sentences

In addition to the 25 % guarantee across all borrowings, there is an incremental guarantee of $ 147.2 million related to $ 196.3 million of specific borrowings outstanding.

extension option 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.

Includes two one-year

options which may be exercised at our sole discretion.

extension option s

which may be exercised at our sole discretion.

extension options which may be exercised at our sole discretion.

Includes two one-year

extension options which may be exercised at our sole discretion.

Includes two one-year

extension options which may be exercised at our sole discretion.

1 unchanged sentence

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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

The following table details the floating benchmark rates for our secured credit facilities as of December 31, 2020 ($/€/£/A$/C$ in thousands):

Borrowings (1)

5 unchanged sentences

Represents weighted-average advance rate based on the approved outstanding principal balance of the collateral assets pledged.

Asset-Specific Financings

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

December 31, 2019

Asset-Specific Financings

Collateral assets

Financing provided

December 31, 2018

Asset-Specific Financings

Collateral assets

Financing provided

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

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

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

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 $ 185.0

$ 52.8 million

for the years ended December 31, 2019 and 2018, respectively.

Revolving Credit Agreement

We have a $ 250.0 million full recourse secured revolving credit agreement with Barclays that is designed to finance first mortgage originations for up to nine months as a bridge to term financing or syndication.

Advances under the agreement are subject to availability under a specified borrowing base and accrue interest at a per

annum pricing

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

rate equal to the sum of (i) an applicable base rate or Eurodollar rate and (ii) an applicable margin, in each case, dependent on the applicable type of loan collateral.

Advances under the agreement are subject to availability under a specified borrowing base and accrue interest at a per annum pricing rate equal to the sum of (i) an applicable base rate or Eurodollar rate and (ii) an applicable margin, in each case, dependent on the applicable type of loan collateral.

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

During the year ended December 31, 2019, the weighted-average outstanding borrowings under the revolving credit agreement was $ 14.3 million and we recorded interest expense of $ 2.6 million, including $ 1.0 million

of amortization of deferred fees and expenses.

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

During the year ended December 31, 2020, we had no borrowings under the revolving credit agreement and we recorded interest expense of $ 1.6 million, including $ 685,000 of amortization of deferred fees and expenses.

As of December 31, 2018, we had $ 43.8 million of borrowings outstanding under the agreement.

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

Debt Covenants

5 unchanged sentences

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

These financial covenants also apply to our asset-specific debt agreements.

Refer to Note 7 for information regarding our asset-specific financings.

Refer to Note 8 for information regarding financial covenants contained in the agreements governing our senior secured term loan facility.

LOAN PARTICIPATIONS SOLD, NET

The financing of a loan by the non-recourse

sale of a senior interest in the loan through a participation agreement generally does not qualify as a sale under GAAP.

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

The obligation to pay principal and interest on these liabilities is generally based on the performance of the related loan obligation.

The gross presentation of loan participations sold does not impact stockholders’ equity or net income.

We did not have any loan participations sold as of December 31, 2019.

During the year ended December 31, 2019, we recorded $ 3.2 million of interest expense related to our loan participations sold.

year ended December 31, 2018, we recorded $ 16.6 million of interest expense related to our loan participations sold.

The following table details our loan participations sold as of December 31, 2018 ($ in thousands):

December 31, 2018

Loan Participations Sold

Senior participation (3)

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

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

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

As of December 31, 2018, our loan participations sold were non-recourse

The difference between principal balance and book value of loan participations sold is due to deferred financing costs of $ 110,000 as of December 31, 2018.

Blackstone Mortgage Trust, Inc.

1 unchanged sentence

SECURITIZED DEBT OBLIGATIONS, NET

We have financed a pool of our loans through a collateralized loan obligation, or the CLO, and have also financed one of our loans through a single asset securitization vehicle, or the 2017 Single Asset Securitization.

The CLO and the 2017 Single Asset Securitization have issued securitized debt obligations that are non-recourse

Both the CLO and the 2017 Single Asset Securitization are consolidated in our financial statements.

Refer to Note 16 for further discussion of our CLO and 2017 Single Asset Securitization.

We have financed certain pools of our loans through collateralized loan obligations, which include the 2020 FL3 CLO, 2020 FL2 CLO, and 2017 FL1 CLO, or collectively, the CLOs.

We have also financed one of our loans through a single asset securitization vehicle, or the 2017 Single Asset Securitization.

The CLOs and the 2017 Single Asset Securitization have issued securitized debt obligations that are non-recourse

The CLOs and the 2017 Single Asset Securitization are consolidated in our financial statements.

Refer to Note 15 for further discussion of our CLOs and 2017 Single Asset Securitization.

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

1 unchanged sentence

Securitized Debt Obligations

Collateralized Loan Obligation

Yield/Cost (1)

2020 FL3 Collateralized Loan Obligation

Collateral assets

September 2022

February 2024

Financing provided

November 2037

2020 FL2 Collateralized Loan Obligation

Collateral assets

Financing provided

February 2038

2017 FL1 Collateralized Loan Obligation

Collateral assets

Financing provided

2017 Single Asset Securitization

5 unchanged sentences

Securitized Debt Obligations

Collateralized Loan Obligation

Yield/Cost (1)

2017 FL1 Collateralized Loan Obligation

Collateral assets

September 2022

Financing provided

4 unchanged sentences

Financing provided (4)

As of December 31, 2019, all of our loans financed by securitized debt obligations earned a floating rate of interest.

As of December 31, 2018, 98 % of our loans financed by securitized debt obligations earned a floating rate of interest.

The other 2 % of our loans earned a fixed rate of interest, which we reflect 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, purchase discounts, and accrual of exit fees.

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

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

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

5 unchanged sentences

Notes to Consolidated Financial Statements (continued)

SECURED TERM LOAN, NET

In April 2019 we entered into a $ 500.0 million senior Secured Term Loan, which bears interest at a rate of LIBOR plus 2.50% per annum.

In November 2019 we increased the aggregate principal amount of the Secured Term Loan to $ 748.8 million and decreased the interest rate to LIBOR plus 2.25% .

As of December 31, 2019, the following Secured Term Loan was outstanding ($ in thousands):

Term Loan Issuance

ASSET-SPECIFIC DEBT AGREEMENTS, NET

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

December 31, 2020

Asset-Specific Debt Agreements

Yield/Cost (1)

Guarantee (2)

Collateral assets

Financing provided

December 31, 2019

Asset-Specific Debt Agreements

Yield/Cost (1)

Guarantee (2)

Collateral assets

Financing provided

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

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

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 debt agreements 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 debt agreements is term-matched to the corresponding collateral loans.

SECURED TERM LOANS, NET

During the year ended December 31, 2020, we entered into a $ 325.0 million senior secured term loan facility, or the 2020 Term Loan.

As of December 31, 2020, the following senior secured term loan facilities, or Secured Term Loans, were outstanding ($ in thousands):

2019 Term Loan

April 23, 2026

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

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

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

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

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

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

2020 Term Loan

April 23, 2026

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

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

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

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

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

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

Unamortized discount

Deferred financing costs

Net book value

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

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

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

CONVERTIBLE NOTES, NET

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Convertible Notes Issuance

Interest Rate

Conversion Rate (2)

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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.

Thereafter, the Convertible Notes are convertible at the option of the holder at any time until the

second scheduled trading day immediately preceding the maturity date.

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

We may not redeem the Convertible Notes prior to maturity.

The last reported sale price of our class A common stock of $

37.22 on December 31, 2019 was greater 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 $ 27.53 on December 31, 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.

Upon our issuance of the May 2017 convertible notes, we recorded a $ 979,000 discount based on the implied value of the conversion option and an assumed effective interest rate of 4.57 %, as well as $ 8.4 million of

discount and issuance costs.

Including the amortization of the discount and issuance costs, our total cost of the May 2017 convertible notes issuance is 4.91 % per annum.

Upon our issuance of the March 2018 convertible notes, we recorded a $ 1.5 million discount based on the implied value of the conversion option and an assumed effective interest rate of 5.25 %, as well as $ 5.2 million of

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

discount and issuance costs.

issue discount and issuance costs.

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

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Total interest expense

Accrued interest payable for the Convertible Notes was $ 6.0 million as of both

December 31, 2019 and December 31, 2018.

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

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

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

Net Investment Hedges of Foreign Currency Risk

Certain of our international investments expose us to fluctuations in foreign interest rates and currency exchange rates.

These fluctuations may impact the value of our cash receipts and payments in terms of our functional currency, the U.S.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

December 31, 2019

December 31, 2018

Foreign Currency

Sell GBP Forward

Sell EUR Forward

Sell AUD Forward

Sell EUR Forward

Sell CAD Forward

Cash Flow Hedges of Interest Rate Risk

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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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Interest Rate Derivatives

Interest Rate Swaps

Interest Rate Caps

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Interest Rate Derivatives

Interest Rate Swap

Interest Rate Caps

Interest Rate Swaps

Interest Rate Caps

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 December 31, 2019, we estimate that an additional $ 91,000 will be reclassified from accumulated other comprehensive income (loss) as an increase to interest income.

Non-designated

During the years ended December 31, 2019 and 2018, we recorded gains of

respectively, related to

non-designated

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

During the year ended December 31, 2017, we recorded losses of $ 449,000 related to such

non-designated

During the twelve months following December 31, 2020, we estimate that an additional $ 10,000 will be reclassified from accumulated other comprehensive income (loss) as an increase to interest expense.

Net Investment Hedges of Foreign Currency Risk

Certain of our international investments expose us to fluctuations in foreign interest rates and currency exchange rates.

These fluctuations may impact the value of our cash receipts and payments in terms of our functional currency, the U.S.

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

During the three months ended March 31, 2020, we terminated all of our outstanding foreign currency forward contracts, with aggregate notional amounts of € 552.1 million, £ 365.5 million, A$ 134.8 million, and C$ 23.7 million.

During the three months ended June 30, 2020, we entered into foreign currency forward contracts with aggregate notional amounts of € 620.4 million, £ 530.2 million, A$ 92.8 million, and C$ 24.4 million.

Designated Hedges of Foreign Currency Risk

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

December 31, 2020

December 31, 2019

Foreign Currency Derivatives

Buy USD / Sell EUR Forward

Buy USD / Sell GBP Forward

Buy USD / Sell EUR Forward

Buy USD / Sell AUD Forward

Buy USD / Sell CAD Forward

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

The following tables summarize our non-designated

hedges (notional amount in thousands):

Non-designated

Hedges of Foreign Currency Risk

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

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

December 31, 2020

December 31, 2019

Non-designated

Non-designated Hedges

Buy EUR / Sell GBP Forward

Buy CAD / Sell USD Forward

Buy USD / Sell EUR Forward

Buy USD / Sell CAD Forward

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Buy USD / Sell AUD Forward

December 31, 2018

Financial Statement Impact of Hedges of Foreign Currency Risk

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

Increase (Decrease) to Interest Income and

Interest Expense

Recognized from Foreign

Exchange Contracts

Foreign Exchange Contracts

in Hedging Relationships

Location of Income

(Expense) Recognized

Designated Hedges

Interest Income

Non-Designated

Buy AUD / Sell USD Forward

Buy USD / Sell AUD Forward

Buy GBP / Sell USD Forward

Buy USD / Sell GBP Forward

Buy GBP / Sell EUR Forward

Valuation of Derivative Instruments

Interest Income

Non-Designated

Interest Expense

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

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

dollar terms.

Represents the spot rate movement in our non-designated

hedges, which are marked-to-market

and recognized in interest expense.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Valuation and Other Comprehensive Income

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

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Fair Value of Derivatives in a Liability

Derivatives designated as

hedging instruments:

Derivatives designated as hedging instruments:

Foreign exchange contracts

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Included in other liabilities in our consolidated balance sheets.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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OCI on Derivatives

Loss Reclassified from

Reclassified from

Accumulated OCI into Income

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Interest Expense

During the years

ended December 31, 2019

an d December 31, 2018 ,

we received net cash settlements of $ 43.1 million and $ 29.1 million, respectively,

on our foreign currency forward contracts.

During the year ended December 31, 2017, we paid net cash settlements of $ 14.2 million on our foreign currency forward contracts.

During the year ended December 31, 2020, we paid net cash settlements of $ 43.0 million on our foreign currency contracts.

During the years ended December 31, 2019, and December 31, 2018, we received net cash settlements of $ 43.1 million and $ 29.1 million, respectively, on our foreign currency forward contracts.

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

During the year s

ended December 31, 2019 and December 31, 2018,

we recorded total interest and related expenses of $ 458.5 million and $ 359.6 million, respectively

, which were reduced by $ 195,000 and

$ 563,000 , respectiv ely,

related to income generated by our cash flow hedges.

During the year ended December 31,

2017, we recorded total interest and related expenses of $

234.9 million, which included interest expense s

of $ 831,000 related to our cash flow hedges.

During the years ended December 31, 2020, December 31, 2019, and December 31, 2018, we recorded total interest and related expenses of $ 347.5 million, $ 458.5 million, and $ 359.6 million, respectively, which were reduced by $ 7,000 , $ 195,000 , and $ 563,000 , respectively, 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 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.

As of December 31, 2018, we were in a net asset position with each such derivative counterparty and did not have any collateral posted under these derivative contracts.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

As of December 31, 2020, we were in a net liability position with each such derivative counterparty and posted collateral of $ 51.1

million under these derivative contracts, which amount is included in other assets on our consolidated balance sheet.

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, which amount is included in other assets on our consolidated balance sheet.

Stock and Stock Equivalents

Authorized Capital

During the year ended December 31, 2020, we filed articles of amendment to our charter authorizing us to issue an additional 200,000,000 shares of common stock.

As of December 31, 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.

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

t have any shares of preferred stock issued and outstanding as of December 31, 2019.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

We did not have any shares of preferred stock issued and outstanding as of December 31, 2020.

Class A Common Stock and Deferred Stock Units

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Net proceeds (6)

Issuance includes 1.9 million shares issued under our at-the-market

program, with a weighted -

average gross share

issue price of $ 34.63 .

Issuance includes 7.7 million shares issued under our at-the-market

program, with a weighted -

average gross s hare

issue price of $ 33.66 .

Represents the weighted-average

gross price per share paid by the underwriters or sales agents, as applicable.

Represents the weighted-average

net proceeds per share after underwriting or sales discounts and commissions.

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

Includes 840,696 shares issued to our Manager in satisfaction of the management and incentive fees accrued in the first quarter of 2020, with a share issue price of $ 22.93 .

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.

Issuance includes 1.9

million shares issued under our at-the-market

program, with a weighted-average gross share issue price of $ 34.63

Issuance includes 7.7

million shares issued under our at-the-market

program, with a weighted-average gross share issue price of $ 33.66

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

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

Net proceeds represent proceeds received from the underwriters less applicable transaction costs.

Includes $ 19.3 million of net proceeds related to 840,696 shares issued to our Manager in satisfaction of the management and incentives fees accrued in the first quarter of 2020.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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Ending balance

Includes deferred stock units held by members of our board of directors of 260,066 , 228,839 , and 197,217 as of December 31, 2019, 2018, and 2017, respectively.

Includes 1,214 , 1,688 , and 1,401 shares issued under our dividend reinvestment program during the years ended December 31, 2019, 2018, and 2017, respectively.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Includes 306,691 deferred stock units, 260,066 deferred stock units, and 228,839 deferred stock units held by members of our board of directors as of December 31, 2020, 2019, and 2018, respectively.

Includes 2,050

1,214 shares, and 1,688 shares issued under our dividend reinvestment program during the years ended December 31, 2020, 2019, and 2018, respectively.

shares, 17,565

shares, and 17,820

shares of restricted class A common stock forfeited under our stock-based incentive plans during the years ended December 31, 2020, 2019, and 2018, respectively.

See Note 14 for further discussion of our stock-based incentive plans.

Dividend Reinvestment and Direct Stock Purchase Plan

On March 25, 2014

, we adopted a dividend reinvestment and direct stock purchase plan, under which we registered and reserved for issuance, in the aggregate, 10,000,000 shares of class A common stock.

On March 25, 2014, we adopted a dividend reinvestment and direct stock purchase plan, under which we registered and reserved for issuance, in the aggregate, 10,000,000 shares of class A common stock.

Under the dividend reinvestment component of this plan, our class A common stockholders can designate all or a portion of their cash dividends to be reinvested in additional shares of class A common stock.

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

During the years ended December 31, 2019, 2018, and 2017 we issued 1,214 shares, 1,688 shares, and 1,401

shares, respectively, of class A common stock under the dividend reinvestment component of the plan.

As of December 31, 2019, a total of 9,994,024 shares of class A common stock remained available for issuance under the dividend reinvestment and direct stock purchase plan.

During the years ended December 31, 2020, 2019, and 2018 we issued 2,050 shares, 1,214 shares, and 1,688 shares, respectively, of class A common stock under the dividend

reinvestment component of the plan.

As of December

2020 , a total of

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

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

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

During the year ended December 31, 2018, we issued and sold 7,666,743 shares of class A common stock under ATM Agreements, generating

net proceeds totaling $ 254.1 million.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

funding to meet such needs.

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

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

During the year ended December 31, 2018, we issued and sold 7,666,743 shares of class A common stock under ATM Agreements, generating net proceeds totaling $ 254.1 million.

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

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Percent taxable as capital gain dividends

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Earnings Per Share

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Represents net income attributable to Blackstone Mortgage Trust.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Other Balance Sheet Items

Accumulated Other Comprehensive Loss

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.

Accumulated Other Comprehensive Income

As of December 31, 2020, total accumulated other comprehensive income was $ 11.2 million, primarily representing (i) $ 6.4 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies, and (ii) $ 4.8 million of net realized and unrealized gains related to changes in the fair value of derivative instruments.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

Management and Incentive Fees

Pursuant to 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.

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 years ended December 31, 2019, 2018, and 2017, we incurred $ 55.3 million, $ 47.0 million, and $ 38.6

million, respectively , of management fees payable to our Manager

In addition, during the years ended December 31, 2019, 2018, and 2017, we incurred $ 23.2 million, $ 27.9 million, and $ 16.2

million, respectively , of incentive fees payable to our Manager

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 GAAP net income (loss), including realized gains and losses not otherwise recognized in current period GAAP net income (loss), and excluding (i) non-cash

equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), (iv) net income (loss) attributable to our legacy portfolio, (v) certain non-cash

items, and (vi) incentive management fees.

During the years ended December 31, 2020, 2019, and 2018, we incurred $ 60.4 million, $ 55.3 million, and $ 47.0 million, respectively, of management fees payable to our Manager.

In addition, during the years ended December 31, 2020, 2019, and 2018, we incurred $ 17.5 million, $ 23.2 million, and $ 27.9 million, respectively, of incentive fees payable to our Manager.

During the year ended December 31, 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 December 31, 2020 and 2019 we had accrued management and incentive fees payable to our Manager of $ 19.2 million and $ 20.2 million, respectively.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

General and Administrative Expenses

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Operating and other costs (1)

Non-cash compensation expenses

compensation expenses

Restricted class A common stock earned

Director stock-based compensation

Total BXMT expenses

Other expenses

Total general and administrative expenses

During the years ended December 31, 2019, 2018, and 2017, respectiv ely,

we recognized an aggregate $ 865,000 ,

$ 427,000 , and $ 232,000 ,

respectively, of expenses related to our Multifamily Joint Venture.

Such amounts are included in our consolidated general and administrative exp enses.

During the years ended December 31, 2020, 2019, and 2018, we recognized an aggregate $ 1.1 million, $ 865,000 , and $ 427,000 , respectively, of expenses related to our Multifamily Joint Venture.

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

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federal tax laws.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

with regard to the nature of our assets and the sources of our income.

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

Even if we qualify as a REIT, we may be subject to certain U.S.

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stockholders that are subject to unrelated business income tax, or UBTI, could be subject to increased taxes on a portion of their dividend income from us that is attributable to the taxable mortgage pool.

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

During the year ended December 31, 2019, we recorded a current income tax benefit of $ 506 ,000, primarily due to an expected $ 747,000 tax credit refund.

During the years ended December 31, 2018 and 2017, we recorded a current income tax provision of $ 308 ,000, and $ 314 ,000, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

We did not have any deferred tax assets or liabilities as of December 31, 2019 or 2018.

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

federal corporate income tax rate was reduced from 35 % to 21 %.

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

federal income tax rates.

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

During the year ended December 31, 2020, we recorded a current income tax provision of $ 323 ,000, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

During the year ended

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

December 31, 2019, we recorded a current income tax benefit of $ 506 ,000, primarily due to a tax credit refund.

During the year ended December 31, 2018, we recorded a current income tax provision of $ 308 ,000, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes.

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

As a result of our issuance of 25,875,000 shares of class A common stock in May 2013, the availability of our NOLs is generally limited to $ 2.0

million per annum

by change of control provisions promulgated by the Internal Revenue Service with respect to the ownership of Blackstone Mortgage Trust.

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

As of December 31, 2020, we had estimated NOLs of $ 159.0 million that will expire in 2029 , unless they are utilized by us prior to expiration.

As of December 31, 2019, tax years 201 6

through 2019 remain subject to examination by taxing authorities.

As of December 31, 2020, tax years 2017 through 2020 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 December 31, 2019, 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 December 31, 2019.

However, as of December 31, 2020, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through our issuance of stock-based instruments.

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

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

1 unchanged sentence

As of December 31, 2020, there were 2,263,098 shares available under our current benefit plans.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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, 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

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 1,627,890 shares of restricted class A common stock outstanding as of December 31, 2020 will vest as follows:

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and 194,305 shares will vest in 2023.

As of December 31, 2019, total unrecognized compensation cost relating to un

vested share-based compensation arrangements was $ 55.8 million based on the grant date fair value of shares granted subsequent to July 1 ,

The compensation cost of our share-based compensation arrangements for awards granted before July 1 ,

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 ,

This cost is expected to be recognized over a weighted -

average period of 1.2 years from December 31, 2019.

As of December 31, 2020, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 51.4 million based on the grant date fair value of shares granted subsequent to July 1, 2018.

The compensation cost of our share-based compensation

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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 1.2 years from December 31, 2020.

Assets and Liabilities Measured at Fair Value

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As discussed in Note 2, GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the statement of financial position, for which it is practicable to estimate that value.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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Secured debt agreements, net

Loan participations sold, net

Securitized debt obligations, net

Secured term loan, net

Asset-specific debt agreements, net

Secured term loans, net

Convertible notes, net

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Estimates of fair value for debt securities held-to-maturity,

securitized debt obligations, and the secured term loan are measured using observable, quoted market prices, in inactive markets, or Level 2 inputs.

securitized debt obligations, and the secured term loans are measured using observable, quoted market prices, in inactive markets, or Level 2 inputs.

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

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

VARIABLE INTEREST ENTITIES

Consolidated Variable Interest Entities

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

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

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

December 31, 2019

December 31, 2018

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.

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

Loans receivable

Current expected credit loss reserve

Loans receivable, net

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Total liabilities

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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

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Variable Interest Entities

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

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

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

We have classified the subordinate position we 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

million as of December 31, 2019.

Refer to Note 17 for further details of this transaction.

Our maximum exposure to loss from the 2018 Single Asset Securitization is limited to our book value of $ 75.7 million as of December 31, 2020.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

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 December 31, 2019 and 2018, our consolidated balance sheet included $ 20.2 million and $ 18.6 million of accrued management and incentive fees payable to our Manager, respectively.

During the years ended December 31, 2019, 2018, and 2017, we paid

management and incentive fees of $ 76.9 million, $ 70.5 million and $ 53.4 million, respectively, to our Manager.

We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2021, and will be automatically renewed for a one-year term upon such date and each anniversary thereafter unless earlier terminated.

As of December 31, 2020 and 2019, our consolidated balance sheets included $ 19.2 million and $ 20.2 million of accrued management and incentive fees payable to our Manager, respectively.

During the years ended December 31, 2020, 2019, and 2018, we paid aggregate management and incentive fees of $ 78.9 million, $ 76.9 million and $ 70.5 million, respectively, to our Manager.

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 years ended December 31, 2020, 2019, and 2018, we reimbursed our Manager for expenses incurred on our behalf of $

million, $ 836,000 , and $ 621,000 , respectively.

As of December 31, 2019, our Manager held 1,017,141 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 34.6 million, and vest in installments over three years from the

date of issuance.

During the years ended December 31, 2019, 2018, and 2017, we recorded

1.0 million, $

1.1 million, and $

836,000 , respectively.

As of December 31, 2020, our Manager held 942,054 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 30.1 million, and vest in installments over three years from the date of issuance.

During the years ended December 31, 2020, 2019, and 2018, we recorded non-cash

expenses related to shares held by our Manager of $ 17.0 million, $ 15.1 million, and $ 13.5 million, respectively.

Refer to Note 14 for further details on our restricted class A common stock.

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

This affiliate did no t earn any special servicing fees related to the CLO during the years ended December 31, 2019, 2018 or 2017.

During the years ended December 31, 2019, 2018, and 2017, we originated four loans, nine loans, and six loans respectively, whereby each respective borrower engaged an affiliate of our Manager to act as title insurance agent in connection with each transaction.

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

This affiliate did not earn any special servicing fees related to the CLOs during the years ended December 31, 2020, 2019 or 2018.

During the years ended December 31, 2020, 2019, and 2018, we originated two loans, nine loans, and six loans respectively, 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.

During the years ended December 31, 2019, 2018, and 2017, we incurred expenses for various administrative, compliance, and capital market data services to third-party service providers that are affiliates of our Manager of $ 440,000 , $ 450,000 , and $ 411,000 , respectively.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

In the fourth quarter of 2019, we acquired €

193.6 million of a total €

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

We will forgo all non-economic

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

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

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

Blackstone Advisory 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.

During the years ended December 31, 2020, 2019, and 2018, we incurred $ 487,000 , $ 440,000 , and $ 450,000 , respectively, of expenses for various administrative, compliance, and capital market data services to third-party service providers that are affiliates of our Manager.

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.

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.

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.

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

We will forgo all non-economic

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

rights under the loan, including voting rights, so long as we are an affiliate of the borrower.

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.

In the fourth quarter of 2019, we acquired € 193.6 million of a total € 388.0 million senior loan to a borrower that is wholly owned 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.

rights under the

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

senior loan terms were negotiated by a third party without our involvement and our

49 % interest in the senior loan was made on such market terms.

In the 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 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 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 senior loan.

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.

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.

We will forgo all non-economic

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

2 unchanged sentences

We will forgo all non-economic

rights under the

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

The senior loan terms were negotiated by a third party without our involvement and our

49 % interest in the senior loan was made on such market terms.

In the fourth quarter of 2018, we originated £ 148.7

million of a total £ 303.5

million senior loan to a borrower that is partially owned by Blackstone-advised investment vehicles.

We will forgo all non-economic

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

The senior loan terms were negotiated by a third-party without our involvement and our 49

% interest in the senior loan was made on such market terms.

In the third quarter of 2018, in a fully subscribed offering totaling $ 1.0 billion, certain Blackstone-advised investment vehicles purchased, in the aggregate, $ 116.1 million of securitized debt obligations issued by the

2018 Single Asset Securitization.

In the second quarter of 2017, in a fully subscribed offering totaling $

474.6 million, certain Blackstone-advised investment vehicles purchased, in the aggregate, $

72.9 million of securitized debt obligations issued by the 2017 Single Asset Securitization.

These investments by the Blackstone-advised investment vehicles represented minority participations in any individual tranche and were purchased by

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

the Blackstone-advised investment vehicles from third-party investment banks on market terms negotiated by the majority third-party investors.

In the second quarter of 2018, we acquired from an unaffiliated third-party a 50 % interest in a $ 1.0 billion senior loan to a borrower that is partially owned by a Blackstone-advised investment vehicle.

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

We will forgo all non-economic

rights under the loan, including voting rights, so long as Blackstone-advised investment vehicles own the borrower above a certain threshold.

Refer to Note 16 for further details on this transaction.

In the first quarter of 2018, we originated €

1.0 billion of a total €

7.3 billion senior term facility, or the Senior Term Facility, for the acquisition of a portfolio of Spanish real estate assets and a Spanish real estate management and loan servicing company by a joint venture between Banco Santander S.A.

and certain Blackstone-advised investment vehicles.

These investment vehicles own 51 % of the joint venture, and we will forgo all non-economic

rights under the Senior Term Facility, including voting rights, so long as Blackstone-advised investment vehicles control the joint venture.

The Senior Term Facility was negotiated by the joint venture with third-party investment banks without our involvement, and our 14 % interest in the Senior Term Facility was made on such market terms.

In the first quarter of 2018, we originated a $ 330.0 million senior loan, the proceeds of which were used by the borrower to repay an existing loan owned by a Blackstone-advised investment vehicle.

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

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

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

The modification terms were negotiated by the third party, majority lender, without our involvement.

COMMITMENTS AND CONTINGENCIES

Impact of COVID-19

As further discussed in Note 2, the full extent of the impact of COVID-19

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

As of December 31, 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.

Unfunded Commitments Under Loans Receivable

As of December 31, 2019, we had unfunded commitments of $ 3.9 billion related to 93 loans receivable, which amounts will generally be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures.

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

As of December 31, 2020, we had unfunded commitments of $ 3.2 billion related to 84 loans receivable.

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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

an average advance rate of 72.8 % for such financed loans, resulting in identified financing for $ 2.2 billion of our aggregate unfunded loan commitments as of December 31, 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 3.7 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.

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 has been

slower than otherwise expected, and the pace of funding relating to these capital needs has been

commensurately slower

and may continue to be

Principal Debt Repayments

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Principal repayments under secured debt agreements (1)

Principal repayments under asset-specific debt agreements (1)

Principal repayments of secured term loans (2)

Principal repayments of convertible notes (3)

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

The Secured Term Loan is partially amortizing, with an amount equal to 1.0

% per annum of the principal balance due in quarterly installments.

Refer to Note 8 for further details on our secured term loan.

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

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

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

Refer to Note 8 for further details on our secured term loans.

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

Refer to Note 9 for further details on our Convertible Notes.

Does not include $ 688.5

million of non-consolidated

senior interests and $ 1.2

billion of securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

Total does not include $ 2.9 billion of consolidated securitized debt obligations, $ 656.3 million of non-consolidated

securitized debt obligations, and $ 801.8 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 December 31, 2019, 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 December 31, 2020, of the eight members of our board of directors, our five independent directors are entitled to annual compensation of $ 175,000 each, $ 75,000 of which will be paid in the form of cash and $ 100,000 in the form of deferred stock units.

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 .

From time to time, we may be involved in various claims and legal a

ctions arising in the ordinary course of business.

As of December 31, 2019, we were not involved in any material legal proceedings.

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 December 31, 2020, we were not involved in any material legal proceedings.

SUMMARY OF QUARTERLY RESULTS OF OPERATIONS (UNAUDITED)

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Income from loans and other investments, net

Net income attributable to

Net (loss) income

Net (loss) income attributable to

Blackstone Mortgage Trust, Inc.

Net income per share of class A common stock:

Net (loss) income per share of class A common stock:

Basic and diluted

14 unchanged sentences

Maturity Date (3)

Prior Liens (6)

Senior Mortgage Loans (1)

1 unchanged sentence

Office / Ireland

Office / Southeast

Mixed-Use / Spain

Office / Northeast

Office / Southeast

Senior loans less than 3% of the carrying amount of total loans

3 unchanged sentences

Senior mortgage loans

Hotel / Diversified

Hospitality / Diversified

L + 2.35 % – 5.00 %

Senior mortgage loans

Multifamily / Diversified

Mixed-Use / Diversified

L + 2.50 % – 4.10 %

Senior mortgage loans

/ Diversified

Multifamily / Diversified

L + 1.86 % – 5.00 %

12 unchanged sentences

Description / Location

Payment Rates

Interest Payment Rates (2)

Maturity Date (3)

5 unchanged sentences

Total subordinate loans

CECL reserve (9)

Total loans, net

Includes senior mortgages and similar credit quality loans, including related contiguous subordinate loans, and pari passu participations in senior mortgage loans.

2 unchanged sentences

I/O = interest only, P/I = principal and interest.

As of December 31, 2020, there were no loans with delinquent principal or interest.

Represents only third party liens.

The tax basis of the loans included above is $ 16.2

billion as of December 31, 2019.

The tax basis of the loans included above is $ 15.2 billion as of December 31, 2020.

Includes subordinate interests in mortgages and mezzanine loans.

As of December 31, 2020, we had a total CECL reserve of $ 173.5 million on our loans receivable, of which an aggregate $ 69.7 million is specifically related to two of our loans receivable with an aggregate outstanding principal balance of $ 338.7 million, as of December 31, 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.

Blackstone Mortgage Trust, Inc.

14 unchanged sentences

Balance at December 31,

Net balance at December 31,

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-K

Item 9A. Controls and Procedures