BLACKSTONE MORTGAGE TRUST, INC. 10-Q

ITEM 1. FINANCIAL STATEMENTS Blackstone Mortgage Trust, Inc. Consolidated Balance Sheets (Unaudited) (in thousands, except share data) March 31, December 31, 2021 2020 Assets Cash and cash equivalents $ 280,126 $ 289,970 Loans receivable 17,060,102 16,572,715 Current expected credit loss reserve ( 172,100 ) ( 173,549 ) Loans receivable, net 16,888,002 16,399,166 Other assets 186,582 269,819 Total Assets $ 17,354,710 $ 16,958,955 Liabilities and Equity Secured debt agreements, net $ 8,124,787 $ 7,880,536 Securitized debt obligations, net 2,875,241 2,922,499 Asset-specific debt agreements, net 430,448 391,269 Secured term loans, net 1,235,808 1,041,704 Convertible notes, net 617,242 616,389 Other liabilities 167,091 202,327 Total Liabilities 13,450,617 13,054,724 Commitments and contingencies — — Equity Class A common stock, $ 0.01 par value, 400,000,000 shares authorized, 147,031,082 and 146,780,031 shares issued and outstanding as of March 31, 2021 and December 31, 2020, respectively 1,470 1,468 Additional paid-in capital 4,710,986 4,702,713 Accumulated other comprehensive income (loss) 11,284 11,170 Accumulated deficit ( 840,717 ) ( 829,284 ) Total Blackstone Mortgage Trust, Inc. stockholders’ equity 3,883,023 3,886,067 Non-controlling interests 21,070 18,164 Total Equity 3,904,093 3,904,231 Total Liabilities and Equity $ 17,354,710 $ 16,958,955 Note: The consolidated balance sheets as of March 31, 2021 and December 31, 2020 include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of each respective VIE, and liabilities of consolidated VIEs for which creditors do not have recourse to Blackstone Mortgage Trust, Inc. As of March 31, 2021 and December 31, 2020, assets of the consolidated VIEs totaled $ 3.5 billion and $ 3.6 billion, respectively. As of both March 31, 2021 and December 31, 2020, liabilities of the consolidated VIEs totaled $ 2.9 billion. Refer to Note 16 for additional discussion of the VIEs. See accompanying notes to consolidated financial statements. 3 Table of Contents Blackstone Mortgage Trust, Inc. Consolidated Statements of Operations (Unaudited) (in thousands, except share and per share data) Three Months Ended March 31, 2021 2020 Income from loans and other investments Interest and related income $ 187,524 $ 204,875 Less: Interest and related expenses 78,372 104,239 Income from loans and other investments, net 109,152 100,636 Other expenses Management and incentive fees 19,207 19,277 General and administrative expenses 10,597 11,791 Total other expenses 29,804 31,068 Decrease (increase) in current expected credit loss reserve 1,293 ( 122,702 ) Income (loss) before income taxes 80,641 ( 53,134 ) Income tax provision 101 149 Net income (loss) 80,540 ( 53,283 ) Net income attributable to non-controlling interests ( 638 ) ( 67 ) Net income (loss) attributable to Blackstone Mortgage Trust, Inc. $ 79,902 $ ( 53,350 ) Net income (loss) per share of common stock basic and diluted $ 0.54 $ ( 0.39 ) Weighted-average shares of common stock outstanding, basic and diluted 147,336,936 135,619,264 See accompanying notes to consolidated financial statements. 4 Table of Contents Blackstone Mortgage Trust, Inc. Consolidated Statements of Comprehensive Income (Unaudited) (in thousands) Three Months Ended March 31, 2021 2020 Net income (loss) $ 80,540 $ ( 53,283 ) Other comprehensive income Unrealized loss on foreign currency translation ( 34,957 ) ( 69,510 ) Realized and unrealized gain on derivative financial instruments 35,071 103,991 Other comprehensive income 114 34,481 Comprehensive income (loss) 80,654 ( 18,802 ) Comprehensive income attributable to non-controlling interests ( 638 ) ( 67 ) Comprehensive income (loss) attributable to Blackstone Mortgage Trust, Inc. $ 80,016 $ ( 18,869 ) See accompanying notes to consolidated financial statements. 5 Table of Contents Blackstone Mortgage Trust, Inc. Consolidated Statements of Changes in Equity (Unaudited) (in thousands) Blackstone Mortgage Trust, Inc. Class A Common Stock Additional Paid-In Capital Accumulated Other Comprehensive Income Accumulated Deficit Stockholders’ Equity Non-controlling Interests Total Equity Balance at December 31, 2019 $ 1,350 $ 4,370,014 $ ( 16,233 ) $ ( 592,548 ) $ 3,762,583 $ 22,098 $ 3,784,681 Adoption of ASU 2016-13, see Note 2 — — — ( 17,565 ) ( 17,565 ) ( 85 ) ( 17,650 ) Shares of class A common stock issued, net 4 — — — 4 — 4 Restricted class A common stock earned — 8,550 — — 8,550 — 8,550 Dividends reinvested — 162 — ( 150 ) 12 — 12 Deferred directors’ compensation — 125 — — 125 — 125 Other comprehensive income — — 34,481 — 34,481 — 34,481 Net (loss) income — — — ( 53,350 ) ( 53,350 ) 67 ( 53,283 ) Dividends declared on common stock, $ 0.62 per share — — — ( 83,920 ) ( 83,920 ) — ( 83,920 ) Contributions from non-controlling interests — — — — — 8,108 8,108 Distributions to non-controlling interests — — — — — ( 6,681 ) ( 6,681 ) Balance at March 31, 2020 $ 1,354 $ 4,378,851 $ 18,248 $ ( 747,533 ) $ 3,650,920 $ 23,507 $ 3,674,427 Balance at December 31, 2020 $ 1,468 $ 4,702,713 $ 11,170 $ ( 829,284 ) $ 3,886,067 $ 18,164 $ 3,904,231 Shares of class A common stock issued, net 2 — — — 2 — 2 Restricted class A common stock earned — 7,958 — — 7,958 — 7,958 Dividends reinvested — 190 — ( 176 ) 14 — 14 Deferred directors’ compensation — 125 — — 125 — 125 Other comprehensive income — — 114 — 114 — 114 Net income — — — 79,902 79,902 638 80,540 Dividends declared on common stock, $ 0.62 per share — — — ( 91,159 ) ( 91,159 ) — ( 91,159 ) Contributions from non-controlling interests — — — — — 13,448 13,448 Distributions to non-controlling interests — — — — — ( 11,180 ) ( 11,180 ) Balance at March 31, 2021 $ 1,470 $ 4,710,986 $ 11,284 $ ( 840,717 ) $ 3,883,023 $ 21,070 $ 3,904,093 See accompanying notes to consolidated financial statements. 6 Table of Contents Blackstone Mortgage Trust, Inc. Consolidated Statements of Cash Flows (Unaudited) (in thousands) Three Months Ended March 31, 2021 2020 Cash flows from operating activities Net income (loss) $ 80,540 $ ( 53,283 ) Adjustments to reconcile net income (loss) to net cash provided by operating activities Non-cash compensation expense 8,085 8,678 Amortization of deferred fees on loans and debt securities ( 14,212 ) ( 14,399 ) Amortization of deferred financing costs and premiums/ discount on debt obligations 9,162 9,229 (Decrease) increase in current expected credit loss reserve ( 1,293 ) 122,702 Unrealized gain on assets denominated in foreign currencies, net ( 9,325 ) ( 679 ) Unrealized loss on derivative financial instruments, net 3,755 705 Realized loss on derivative financial instruments, net 3,799 449 Changes in assets and liabilities, net Other assets ( 359 ) ( 7,432 ) Other liabilities 2,896 2,647 Net cash provided by operating activities 83,048 68,617 Cash flows from investing activities Origination and fundings of loans receivable ( 1,405,119 ) ( 971,322 ) Principal collections and sales proceeds from loans receivable and debt securities 862,204 620,994 Origination and exit fees received on loans receivable 17,475 8,610 Receipts under derivative financial instruments 7,287 85,432 Payments under derivative financial instruments ( 56,488 ) ( 23,780 ) Collateral deposited under derivative agreements ( 35,860 ) ( 102,140 ) Return of collateral deposited under derivative agreements 86,910 132,940 Net cash used in investing activities ( 523,591 ) ( 249,266 ) continued… See accompanying notes to consolidated financial statements. 7 Table of Contents Blackstone Mortgage Trust, Inc. Consolidated Statements of Cash Flows (Unaudited) (Unaudited) Three Months Ended March 31, 2021 2020 Cash flows from financing activities Borrowings under secured debt agreements $ 1,222,548 $ 955,786 Repayments under secured debt agreements ( 878,030 ) ( 1,531,637 ) Proceeds from issuance of collateralized loan obligations — 1,243,125 Repayment of collateralized loan obligations ( 48,853 ) ( 179,759 ) Borrowings under asset-specific debt agreements 38,734 30,556 Repayments under asset-specific debt agreements — ( 24,360 ) Net proceeds from issuance of secured term loan 198,500 — Repayments of secured term loan ( 3,191 ) ( 1,872 ) Payment of deferred financing costs ( 9,279 ) ( 20,487 ) Contributions from non-controlling interests 13,448 8,108 Distributions to non-controlling interests ( 11,180 ) ( 6,681 ) Dividends paid on class A common stock ( 91,004 ) ( 83,702 ) Net cash provided by financing activities 431,693 389,077 Net (decrease) increase in cash and cash equivalents ( 8,850 ) 208,428 Cash and cash equivalents at beginning of period 289,970 150,090 Effects of currency translation on cash and cash equivalents ( 994 ) ( 3,500 ) Cash and cash equivalents at end of period $ 280,126 $ 355,018 Supplemental disclosure of cash flows information Payments of interest $ ( 67,410 ) $ ( 91,341 ) Receipts (payments) of income taxes $ 264 $ ( 122 ) Supplemental disclosure of non-cash investing and financing activities Dividends declared, not paid $ ( 91,159 ) $ ( 83,290 ) Loan principal payments held by servicer, net $ 2,578 $ 656 See accompanying notes to consolidated financial statements. 8 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (Unaudited) 1. ORGANIZATION References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us” or “our” refer to Blackstone Mortgage Trust, Inc. and its subsidiaries unless the context specifically requires otherwise. Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate in North America, Europe, and Australia. Our portfolio is composed primarily of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators. These senior loans are capitalized by accessing a variety of financing options, including borrowing under our credit facilities, issuing CLOs or single-asset securitizations, and 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 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, 24th Floor, New York, New York 10154. We were incorporated in Maryland in 1998, when we reorganized from a California common law business trust into a Maryland corporation. We conduct our operations as a REIT for U.S. federal income tax purposes. We generally will not be subject to U.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, for interim financial information and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. The consolidated financial statements, including the notes thereto, are unaudited and exclude some of the disclosures required in audited financial statements. We believe we have made all necessary adjustments, consisting of only normal recurring items, so that the consolidated financial statements are presented fairly and that estimates made in preparing our consolidated financial statements are reasonable and prudent. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. The accompanying unaudited consolidated interim financial statements should be read in conjunction with the audited consolidated financial statements included in our Annual Report on Form 10-K for the fiscal year ended December 31, 2020 filed with the Securities and Exchange Commission, or the SEC. Basis of Presentation The accompanying consolidated financial statements include, on a consolidated basis, our accounts, the accounts of our wholly-owned subsidiaries, majority-owned subsidiaries, and variable interest entities, or VIEs, of which we are the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. Certain reclassifications have been made in the presentation of the prior period statements of cash flows and loans receivable in Note 3 to conform to the current period presentation. Principles of Consolidation We consolidate all entities that we control through either majority ownership or voting rights. In addition, we consolidate all VIEs of which we are considered the primary beneficiary. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. In 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 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 9 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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. Refer to Note 16 for additional discussion of our VIEs. In April 2017, we entered into a joint venture, or our Multifamily Joint Venture, with Walker & Dunlop Inc. to originate, hold, and finance multifamily bridge loans. Pursuant to the terms of the agreements governing the joint venture, Walker & Dunlop contributed 15 % of the venture’s equity capital and we contributed 85 %. We consolidate the Multifamily Joint Venture as we have a controlling financial interest. The non-controlling interests included on our consolidated balance sheets represent the equity interests in our Multifamily Joint Venture that are owned by Walker & Dunlop. A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these non-controlling interests based on Walker & Dunlop’s pro rata ownership of our Multifamily Joint Venture. Use of Estimates The preparation of consolidated financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. As of March 31, 2021, the novel coronavirus, or COVID-19, pandemic is ongoing. During 2020, the COVID-19 pandemic created disruption in global supply chains, increased rates of unemployment and adversely impacted many industries, including industries related to the collateral underlying certain of our loans. In 2021, the global economy has, with certain setbacks, begun reopening and wider distribution of vaccines will likely encourage greater economic activity. Nonetheless, the recovery could remain uneven, particularly given uncertainty with respect to the distribution and acceptance of the vaccines and their effectiveness with respect to new variants of the virus. We believe the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of March 31, 2021, however uncertainty over the ultimate impact COVID-19 will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of March 31, 2021 inherently less certain than they would be absent the current and potential impacts of COVID-19. Actual results may ultimately differ from those estimates. Revenue Recognition Interest income from our loans receivable portfolio and debt securities is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis. Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan 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. 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 Cash and cash equivalents represent cash held in banks and liquid investments with original maturities of three months or less . We may have bank balances in excess of federally insured amounts; however, we deposit our cash and cash equivalents with high credit-quality institutions to minimize credit risk exposure. We have not experienced, and do not expect, any losses on our cash or cash equivalents. As of both March 31, 2021 and December 31, 2020, we had no restricted cash on our consolidated balance sheets. 10 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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 $ 391.1 million and $ 384.6 million as of March 31, 2021 and December 31, 2020, respectively. This cash is maintained in segregated bank accounts, and these amounts are not included in the assets and liabilities presented in our consolidated balance sheets. Cash in these Servicing Accounts will be transferred by the respective third-party servicer to the borrower or us under the terms of the applicable loan agreement upon occurrence of certain future events. We do not generate any revenue or incur any expenses as a result of these Servicing Accounts. Loans Receivable We originate and purchase commercial real estate debt and related instruments generally to be held as long-term investments at amortized cost. 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. 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. 1. The WARM method requires us to reference historic loan loss data across a comparable data set and apply such loss rate to each of our loans over their expected remaining term, taking into consideration expected economic conditions over the relevant timeframe. We apply the WARM method for the majority of our loan portfolio, which 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 February 28, 2021. Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and origination loan-to-value, or LTV. We believe this CMBS data, which includes month-over-month loan and property performance, is the most relevant, available, and comparable dataset to our portfolio. Our loans typically include commitments to fund incremental proceeds to our borrowers over the life of the loan, 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. 11 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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: • U.S. Loans : WARM method that incorporates a subset of historical loss data, expected weighted-average remaining maturity of our loan pool, and an economic view. • Non-U.S. Loans : WARM method that incorporates a subset of historical loss data, expected weighted average remaining maturity of our loan pool, and an economic view. • Unique Loans : a probability of default and loss given default model, assessed on an individual basis. • Impaired Loans : impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan. Determining that a loan is impaired requires significant judgment from management and is based on several factors including (i) the underlying collateral performance, (ii) discussions with the borrower, (iii) borrower events of default, and (iv) other facts that impact the borrower’s ability to pay the contractual amounts due under the terms of the loan. If a loan is determined to be impaired, we record the impairment as a component of our CECL 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 differ 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 Adoption Assets: Loans U.S. Loans $ 8,955 Non-U.S. Loans 3,631 Unique Loans 1,356 CECL reserve on loans $ 13,942 CECL reserve on held-to-maturity debt securities 445 Liabilities: CECL reserve on unfunded loan commitments 3,263 Total impact of ASU 2016-13 adoption on retained earnings $ 17,650 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 12 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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 “l” through “5,” from less risk to greater risk, relative to our loan portfolio in the aggregate, which ratings are defined as follows: 1 - Very Low Risk 2 - Low Risk 3 - Medium Risk 4 - High Risk/Potential for Loss: A loan that has a risk of realizing a principal loss. 5 - Impaired/Loss Likely: A loan that has a very high risk of realizing a principal loss or has otherwise incurred a principal loss. Estimation of Economic Conditions In addition to the WARM method computations and probability-weighted models described above, our CECL 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 March 31, 2021. Derivative Financial Instruments We classify all derivative financial instruments as either other assets or other liabilities on our consolidated balance sheets at fair value. On the date we enter into a derivative contract, we designate each contract as (i) a hedge of a net investment in a foreign operation, or net investment hedge, (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability, or cash flow hedge, (iii) a hedge of a recognized asset or liability, or fair value hedge, or (iv) a derivative instrument not to be designated as a hedging derivative, or non-designated hedge. For all derivatives other than those designated as non-designated hedges, we formally document our hedge relationships and designation at the contract’s inception. This documentation includes the identification of the hedging instruments and the hedged items, its risk management objectives, strategy for undertaking the hedge transaction and our evaluation of the effectiveness of its hedged transaction. On a quarterly basis, we also formally assess whether the derivative we designated in each hedging relationship is expected to be, and has been, highly effective in offsetting changes in the value or cash flows of the hedged items. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued and the changes in fair value of the instrument are included in net income prospectively. 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 13 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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 and Asset-Specific Debt Agreements 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 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. 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 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 loans as additional non-cash interest expense. Convertible Notes The “Debt with Conversion and Other Options” Topic of the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, requires the liability and equity components of convertible debt instruments that may be settled in cash upon conversion, including partial cash settlement, to be separately accounted for in a manner that reflects the issuer’s nonconvertible debt borrowing rate. The initial proceeds from the sale of convertible notes are allocated between a liability component and an equity component in a manner that reflects interest expense at the rate of similar nonconvertible debt that could have been issued at such time. The equity component represents the excess initial proceeds received over the fair value of the liability component of the notes as of the date of issuance. We measured the estimated fair value of the debt component of our convertible notes as of the respective issuance dates based on our nonconvertible debt borrowing rate. The equity component of each series of our convertible notes is reflected within additional paid-in capital on our consolidated balance sheet, and the resulting issue discount is amortized over the period during which such convertible notes are expected to be outstanding (through the maturity date) as additional non-cash interest expense. The additional non-cash interest expense attributable to such convertible notes will increase in subsequent periods through the maturity date as the notes accrete to their par value over the same period. Deferred Financing Costs The deferred financing costs that are included as a reduction in the net book value of the related liability on our consolidated balance sheets include issuance and other costs related to our debt obligations. These costs are amortized as interest expense using the effective interest method over the life of the related obligations. 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. 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. 14 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) ASC 820 also establishes a fair value hierarchy that prioritizes and ranks the level of market price observability used in measuring financial instruments. Market price observability is affected by a number of factors, including the type of financial instrument, the characteristics specific to the financial instrument, and the state of the marketplace, including the existence and transparency of transactions between market participants. Financial instruments with readily available quoted prices in active markets generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Financial instruments measured and reported at fair value are classified and disclosed based on the observability of inputs used in the determination, as follows: • Level 1: Generally includes only unadjusted quoted prices that are available in active markets for identical financial instruments as of the reporting date. • Level 2: Pricing inputs include quoted prices in active markets for similar instruments, quoted prices in less active or inactive markets for identical or similar instruments where multiple price quotes can be obtained, and other observable inputs, such as interest rates, yield curves, credit risks, and default rates. • Level 3: Pricing inputs are unobservable for the financial instruments and include situations where there is little, if any, market activity for the financial instrument. These inputs require significant judgment or estimation by management of third-parties when determining fair value and generally represent anything that does not meet the criteria of Levels 1 and 2. The estimated value of each asset reported at fair value using Level 3 inputs is determined by an internal committee composed of members of senior management of our Manager, including our Chief Executive Officer, Chief Financial Officer, and other senior officers. Certain of our other assets are reported at fair value, as of quarter-end, either (i) on a recurring basis or (ii) on a nonrecurring basis, as a result of impairment or other events. Our assets that are recorded at fair value are discussed further in Note 15. We generally value our assets recorded at fair value by either (i) discounting expected cash flows based on assumptions regarding the collection of principal and interest and estimated market rates, or (ii) obtaining assessments from third-party dealers. For collateral-dependent loans that are identified as impaired, we measure impairment by comparing our Manager’s estimation of the fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed relevant by our Manager. During the three months ended June 30, 2020, we recorded an aggregate $ 69.7 million CECL reserve specifically related to two of our loans receivable, which was unchanged as of March 31, 2021. These two loans have an aggregate outstanding principal balance of $ 338.7 million, net of cost-recovery proceeds, as of March 31, 2021. The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of March 31, 2021. 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 %. We are also required by GAAP to disclose fair value information about financial instruments, which are not otherwise reported at fair value in our consolidated balance sheet, to the extent it is practicable to estimate a fair value for those instruments. These disclosure requirements exclude certain financial instruments and all non-financial instruments. The following methods and assumptions are used to estimate the fair value of each class of financial instruments, for which it is practicable to estimate that value: • Cash and cash equivalents: The carrying amount of cash and cash equivalents approximates fair value. • Loans receivable, net: The fair values of these loans were estimated 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. 15 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) • Debt securities held-to-maturity: 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. • Derivative financial instruments: The fair value of our foreign currency and interest rate contracts was estimated using advice from a third-party derivative specialist, based on contractual cash flows and observable inputs comprising foreign currency rates and credit spreads. • Secured debt agreements, net: The fair value of these instruments was estimated based on the rate at which a similar credit facility would currently be priced. • Securitized debt obligations, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price. • Asset-specific debt 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. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price. • Convertible notes, net: Each series of the convertible notes is actively traded and their fair values were obtained using quoted market prices. Income Taxes Our financial results generally do not reflect provisions for current or deferred income taxes on our REIT taxable income. We believe that we operate in a manner that will continue to allow us to be taxed as a REIT and, as a result, we generally do not expect to pay substantial corporate level taxes other than those payable by our taxable REIT subsidiaries. If we were to fail to meet these requirements, we may be subject to federal, state, and local income tax on current and past income, and penalties. Refer to Note 13 for additional information. 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. 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. Earnings per Share Basic earnings per share, or Basic EPS, is computed in accordance with the two-class method and is based on the net earnings allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by the weighted-average number of shares of our class A common stock, including restricted class A common stock and deferred stock units outstanding during the period. Our restricted class A common stock is considered a participating security, as defined by GAAP, and has been included in our Basic EPS under the two-class method as these restricted shares have the same rights as our other shares of class A common stock, including participating in any gains or losses. Diluted earnings per share, or Diluted EPS, is determined using the treasury stock method, and is based on the net earnings allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by the weighted-average number of shares of our class A common stock, including restricted class A common stock and deferred stock units. Refer to Note 11 for additional discussion of earnings per share. 16 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Foreign Currency In the normal course of business, we enter into transactions not denominated in United States, or U.S., dollars. Foreign exchange gains and losses arising on such transactions are recorded as a gain or loss in our consolidated statements of operations. In addition, we consolidate entities that have a non-U.S. dollar functional currency. Non-U.S. dollar denominated assets and liabilities are translated to U.S. dollars at the exchange rate prevailing at the reporting date and income, expenses, gains, and losses are translated at the average exchange rate over the applicable period. Cumulative translation adjustments arising from the translation of non-U.S. dollar denominated subsidiaries are recorded in other comprehensive income (loss). Underwriting Commissions and Offering Costs Underwriting commissions and offering costs incurred in connection with common stock offerings are reflected as a reduction of additional paid-in capital. Costs incurred that are not directly associated with the completion of a common stock offering are expensed when incurred. Recent Accounting Pronouncements In March 2020, the FASB issued ASU 2020-04 “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting,” or ASU 2020-04. ASU 2020-04 provides optional expedients 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. ASU 2020-04 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. In January 2021, the FASB issued ASU 2021-01 “Reference Rate Reform (Topic 848): Scope,” or ASU 2021-01. ASU 2021-01 clarifies that the practical expedients in ASU 2020-04 apply to derivatives impacted by changes in the interest rate used for margining, discounting, or contract price alignment. The guidance in ASU 2020-04 is 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 2020-06 “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity,” or ASU 2020-06. ASU 2020-06 simplifies the accounting for convertible debt by eliminating the beneficial conversion and cash conversion accounting models. ASU 2020-06 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. ASU 2020-06 is effective for fiscal years beginning after December 15, 2021 and is to be adopted through a cumulative-effect adjustment to the opening balance of retained earnings either at the date of adoption or in the first comparative period presented. Upon adoption of ASU 2020-06, convertible debt proceeds, unless issued with a substantial premium or an embedded conversion feature, will no longer be allocated between debt and equity components. This will reduce the issue discount and result in less non-cash interest expense in our consolidated financial statements. Additionally, ASU 2020-06 will result in the reporting of a diluted earnings per share, if the effect is dilutive, in our consolidated financial statements, regardless of our settlement intent. 17 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 3. LOANS RECEIVABLE, NET The following table details overall statistics for our loans receivable portfolio ($ in thousands): March 31, 2021 December 31, 2020 Number of loans 121 120 Principal balance $ 17,143,102 $ 16,652,824 Net book value $ 16,888,002 $ 16,399,166 Unfunded loan commitments (1) $ 3,457,326 $ 3,160,084 Weighted-average cash coupon (2) L + 3.23 % L + 3.18 % Weighted-average all-in yield (2) L + 3.56 % L + 3.53 % Weighted-average maximum maturity (years) (3) 3.1 3.1 ____________ __ _ _ (1) Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date. (2) The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, STIBOR, BBSY, and CDOR, as applicable to each loan. As of March 31, 2021, 99.5 % of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR, and $ 14.0 billion of such loans earned interest based on floors that are above the applicable index. The other 0.5 % of our loans earned a fixed rate of interest. We reflect our fixed rate loans as a spread over the relevant floating benchmark rates, as of March 31, 2021 and December 31, 2020, respectively, for purposes of the weighted-averages. As of December 31, 2020, 99.4 % of our loans by total loan exposure 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. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method. (3) Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date. As of March 31, 2021, 35 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 65 % were open to repayment by the borrower without penalty. As of December 31, 2020, 31 % of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 69 % were open to repayment by the borrower without penalty. Activity relating to our loans receivable portfolio was as follows ($ in thousands): Principal Balance Deferred Fees / Other Items (1) Net Book Value Loans receivable, as of December 31, 2020 $ 16,652,824 $ ( 80,109 ) $ 16,572,715 Loan fundings 1,405,119 — 1,405,119 Loan repayments and sales ( 798,155 ) — ( 798,155 ) Unrealized (loss) gain on foreign currency translation ( 116,686 ) 524 ( 116,162 ) Deferred fees and other items — ( 17,475 ) ( 17,475 ) Amortization of fees and other items — 14,060 14,060 Loans receivable, as of March 31, 2021 $ 17,143,102 $ ( 83,000 ) $ 17,060,102 CECL reserve ( 172,100 ) Loans receivable, net, as of March 31, 2021 $ 16,888,002 ____________ __ _ _ (1) Other items primarily consist of purchase and sale discounts or premiums, exit fees, and deferred origination expenses. 18 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The tables below detail the property type and geographic distribution of the properties securing the loans in our portfolio ($ in thousands): March 31, 2021 Property Type Number of Loans Net Book Value Total Loan Exposure (1)(2) Percentage of Portfolio Office 59 $ 9,701,241 $ 10,228,801 57 % Hospitality 14 2,327,639 2,411,594 13 Multifamily 33 2,161,102 2,240,222 12 Industrial 4 668,848 673,558 4 Retail 4 535,666 548,128 3 Life Sciences 2 454,860 460,516 3 Self-Storage 1 285,537 285,555 2 Condominium 2 223,095 251,943 1 Other 2 702,114 932,704 5 Total loans receivable 121 $ 17,060,102 $ 18,033,021 100 % CECL reserve ( 172,100 ) Loans receivable, net $ 16,888,002 Geographic Location Number of Loans Net Book Value Total Loan Exposure (1)(2) Percentage of Portfolio United States Northeast 25 $ 4,255,718 $ 4,277,969 24 % West 24 2,628,773 3,142,128 17 Southeast 26 2,857,343 2,982,274 17 Midwest 8 979,640 981,965 5 Southwest 10 645,254 647,988 4 Northwest 1 15,408 15,413 — Subtotal 94 11,382,136 12,047,737 67 International United Kingdom 14 1,945,475 2,196,903 12 Ireland 1 1,259,112 1,265,417 7 Spain 2 1,167,734 1,171,926 7 Australia 2 246,348 247,429 1 Canada 2 66,954 67,079 — Other Europe 6 992,343 1,036,530 6 Subtotal 27 5,677,966 5,985,284 33 Total loans receivable 121 $ 17,060,102 $ 18,033,021 100 % CECL reserve ( 172,100 ) Loans receivable, net $ 16,888,002 ____________ __ _ _ (1) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $ 889.9 million of such non-consolidated senior interests as of March 31, 2021. (2) Excludes investment exposure to the $ 695.7 million 2018 Single Asset Securitization. See Note 4 for details of the subordinate position we own in the 2018 Single Asset Securitization. 19 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) December 31, 2020 Property Type Number of Loans Net Book Value Total Loan Exposure (1)(2) Percentage of Portfolio Office 58 $ 9,834,509 $ 10,303,895 58 % Hospitality 14 2,295,255 2,369,454 14 Multifamily 31 1,788,149 1,862,667 11 Industrial 6 673,912 675,344 4 Retail 4 538,702 551,243 3 Self-Storage 2 301,566 301,491 2 Condominium 2 245,492 264,162 2 Life Sciences 1 146,290 147,763 1 Other 2 748,840 978,602 5 Total loans receivable 120 $ 16,572,715 $ 17,454,621 100 % CECL reserve ( 173,549 ) Loans receivable, net $ 16,399,166 Geographic Location Number of Loans Net Book Value Total Loan Exposure (1)(2) Percentage of Portfolio United States Northeast 24 $ 4,050,732 $ 4,069,712 23 % West 27 2,942,126 3,413,089 20 Southeast 25 2,624,701 2,707,080 16 Midwest 8 973,702 976,693 6 Southwest 9 597,100 598,813 3 Northwest 1 15,404 15,413 — Subtotal 94 11,203,765 11,780,800 68 International United Kingdom 13 1,816,901 2,066,390 12 Ireland 1 1,309,443 1,317,846 8 Spain 2 1,247,162 1,252,080 7 Australia 2 259,126 259,788 1 Canada 3 82,185 82,262 — Other Europe 5 654,133 695,455 4 Subtotal 26 5,368,950 5,673,821 32 Total loans receivable 120 $ 16,572,715 $ 17,454,621 100 % CECL reserve ( 173,549 ) Loans receivable, net $ 16,399,166 ____________ __ _ _ (1) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 for further discussion. 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. (2) Excludes investment exposure to the $ 735.5 million 2018 Single Asset Securitization. See Note 4 for details of the subordinate position we own in the 2018 Single Asset Securitization. Loan Risk Ratings As further described in Note 2, our Manager evaluates our loan portfolio on a quarterly basis. In conjunction with our quarterly loan portfolio review, our Manager assesses the risk factors of each loan, and assigns a risk rating based on several factors. Factors considered in the assessment include, but are not limited to, risk of loss, current LTV, debt yield, collateral performance, structure, exit plan, and sponsorship. Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined in Note 2. 20 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table allocates the principal balance and net book value of our loans receivable based on our internal risk ratings ($ in thousands): March 31, 2021 December 31, 2020 Risk Rating Number of Loans Net Book Value Total Loan Exposure (1)(2) Number of Loans Net Book Value Total Loan Exposure (1)(2) 1 7 $ 679,670 $ 681,516 8 $ 777,163 $ 778,283 2 19 2,567,527 2,581,715 17 2,513,848 2,528,835 3 79 10,515,383 11,460,179 79 9,911,914 10,763,496 4 14 2,960,287 2,970,875 14 3,032,593 3,045,309 5 2 337,235 338,736 2 337,197 338,698 Total loans receivable 121 $ 17,060,102 $ 18,033,021 120 $ 16,572,715 $ 17,454,621 CECL reserve ( 172,100 ) ( 173,549 ) Loans receivable, net $ 16,888,002 $ 16,399,166 (1) In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. See Note 2 for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $ 889.9 million and $ 801.8 million of such non-consolidated senior interests as of March 31, 2021 and December 31, 2020, respectively. (2) Excludes investment exposure to the 2018 Single Asset Securitization of $ 695.7 million and $ 735.5 million as of March 31, 2021 and December 31, 2020, 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 as of both March 31, 2021 and December 31, 2020. 21 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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 loans receivable CECL reserve by investment pool for the three months ended March 31, 2021 and 2020 ($ in thousands): U.S. Loans Non-U.S. Loans Unique Loans Impaired Loans Total Loans Receivable, Net CECL reserve as of December 31, 2019 $ — $ — $ — $ — $ — Initial CECL reserve on January 1, 2020 8,955 3,631 1,356 — 13,942 Increase in CECL reserve 55,906 18,194 24,652 — 98,752 CECL reserve as of March 31, 2020 $ 64,861 $ 21,825 $ 26,008 $ — $ 112,694 CECL reserve as of December 31, 2020 $ 42,995 $ 27,734 $ 33,159 $ 69,661 $ 173,549 Increase (decrease) in CECL reserve 1,539 ( 3,134 ) 146 — ( 1,449 ) CECL reserve as of March 31, 2021 $ 44,534 $ 24,600 $ 33,305 $ 69,661 $ 172,100 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 three months ended March 31, 2021 and 2020, we recorded a decrease of $ 1.4 million and an increase of $ 98.8 million, respectively, in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $ 172.1 million and $ 112.7 million as of March 31, 2021 and 2020, respectively. 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 2020, we entered into loan modifications related to a multifamily asset in New York City, which are classified as troubled debt restructurings 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 March 31, 2021. This loan has an outstanding principal balance of $ 52.4 million, net of cost-recovery proceeds, as of March 31, 2021. The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of March 31, 2021. During 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 March 31, 2021. This loan has an outstanding principal balance of $ 286.3 million, net of cost-recovery proceeds, as of March 31, 2021. The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of March 31, 2021. 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 March 31, 2021. No income was recorded on these loans subsequent to July 1, 2020. 22 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Our primary credit quality indicator is our risk ratings, which are further discussed above. The following tables present the net book value of our loan portfolio as of March 31, 2021 and December 31, 2020, respectively, by year of origination, investment pool, and risk rating ($ in thousands): Net Book Value of Loans Receivable by Year of Origination (1)(2) As of March 31, 2021 Risk Rating 2021 2020 2019 2018 2017 Prior Total U.S. loans 1 $ — $ — $ 406,527 $ — $ 44,147 $ — $ 450,674 2 — — 334,343 1,012,589 702,562 302,656 2,352,150 3 745,274 779,045 2,270,297 1,512,230 1,089,777 447,881 6,844,504 4 — 66,042 171,009 1,058,798 63,332 105,345 1,464,526 5 — — — — — — — Total U.S. loans $ 745,274 $ 845,087 $ 3,182,176 $ 3,583,617 $ 1,899,818 $ 855,882 $ 11,111,854 Non-U.S. loans 1 $ — $ — $ — $ 137,941 $ 91,055 $ — $ 228,996 2 — 101,214 — — — 114,163 215,377 3 464,195 — 2,477,344 468,699 — — 3,410,238 4 — — 247,589 — — — 247,589 5 — — — — — — — Total Non-U.S. loans $ 464,195 $ 101,214 $ 2,724,933 $ 606,640 $ 91,055 $ 114,163 $ 4,102,200 Unique loans 1 $ — $ — $ — $ — $ — $ — $ — 2 — — — — — — — 3 — — — 200,163 — 60,478 260,641 4 — — 328,027 920,145 — — 1,248,172 5 — — — — — — — Total unique loans $ — $ — $ 328,027 $ 1,120,308 $ — $ 60,478 $ 1,508,813 Impaired loans 1 $ — $ — $ — $ — $ — $ — $ — 2 — — — — — — — 3 — — — — — — — 4 — — — — — — — 5 — — — 284,808 — 52,427 337,235 Total impaired loans $ — $ — $ — $ 284,808 $ — $ 52,427 $ 337,235 Total loans receivable 1 $ — $ — $ 406,527 $ 137,941 $ 135,202 $ — $ 679,670 2 — 101,214 334,343 1,012,589 702,562 416,819 2,567,527 3 1,209,469 779,045 4,747,641 2,181,092 1,089,777 508,359 10,515,383 4 — 66,042 746,625 1,978,943 63,332 105,345 2,960,287 5 — — — 284,808 — 52,427 337,235 Total loans receivable $ 1,209,469 $ 946,301 $ 6,235,136 $ 5,595,373 $ 1,990,873 $ 1,082,950 $ 17,060,102 CECL reserve ( 172,100 ) Loans receivable, net $ 16,888,002 (1) Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications. (2) Excludes the $ 76.7 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. 23 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Net Book Value of Loans Receivable by Year of Origination (1)(2) As of December 31, 2020 Risk Rating 2020 2019 2018 2017 2016 Prior Total U.S. loans 1 $ — $ 231,796 $ 253,674 $ 43,906 $ 17,009 $ — $ 546,385 2 — 282,017 1,172,168 757,138 79,848 222,677 2,513,848 3 781,595 2,391,297 1,672,897 1,134,288 227,466 220,644 6,428,187 4 65,978 170,541 1,055,142 63,293 105,380 — 1,460,334 5 — — — — — — — Total U.S. loans $ 847,573 $ 3,075,651 $ 4,153,881 $ 1,998,625 $ 429,703 $ 443,321 $ 10,948,754 Non-U.S. loans 1 $ — $ — $ 136,021 $ 94,757 $ — $ — $ 230,778 2 — — — — — — — 3 105,300 2,526,225 479,512 — 113,653 — 3,224,690 4 — 256,494 — — — — 256,494 5 — — — — — — — Total Non-U.S. loans $ 105,300 $ 2,782,719 $ 615,533 $ 94,757 $ 113,653 $ — $ 3,711,962 Unique loans 1 $ — $ — $ — $ — $ — $ — $ — 2 — — — — — — — 3 — — 198,433 — — 60,604 259,037 4 — 325,097 990,668 — — — 1,315,765 5 — — — — — — — Total unique loans $ — $ 325,097 $ 1,189,101 $ — $ — $ 60,604 $ 1,574,802 Impaired loans 1 $ — $ — $ — $ — $ — $ — $ — 2 — — — — — — — 3 — — — — — — — 4 — — — — — — — 5 — — 284,809 — — 52,388 337,197 Total impaired loans $ — $ — $ 284,809 $ — $ — $ 52,388 $ 337,197 Total loans receivable 1 $ — $ 231,796 $ 389,695 $ 138,663 $ 17,009 $ — $ 777,163 2 — 282,017 1,172,168 757,138 79,848 222,677 2,513,848 3 886,895 4,917,522 2,350,842 1,134,288 341,119 281,248 9,911,914 4 65,978 752,132 2,045,810 63,293 105,380 — 3,032,593 5 — — 284,809 — — 52,388 337,197 Total loans receivable $ 952,873 $ 6,183,467 $ 6,243,324 $ 2,093,382 $ 543,356 $ 556,313 $ 16,572,715 CECL reserve ( 173,549 ) Loans receivable, net $ 16,399,166 (1) Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications. (2) 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. 24 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Multifamily Joint Venture As discussed in Note 2, we entered into a Multifamily Joint Venture in April 2017. As of March 31, 2021 and December 31, 2020, our Multifamily Joint Venture held $ 587.7 million and $ 484.8 million of loans, respectively, which are included in the loan disclosures above. Refer to Note 2 for additional discussion of our Multifamily Joint Venture. 4. OTHER ASSETS AND LIABILITIES Other Assets The following table details the components of our other assets ($ in thousands): March 31, 2021 December 31, 2020 Debt securities held-to-maturity (1) $ 77,597 $ 77,445 CECL reserve ( 889 ) ( 1,723 ) Debt securities held-to-maturity, net 76,708 75,722 Accrued interest receivable 67,472 66,757 Derivative assets 31,789 522 Loan portfolio payments held by servicer (2) 8,916 73,224 Prepaid expenses 778 973 Collateral deposited under derivative agreements — 51,050 Prepaid taxes — 376 Other 919 1,195 Total $ 186,582 $ 269,819 (1) Represents the subordinate position we own in the 2018 Single Asset Securitization, which held aggregate loan assets of $ 695.7 million and $ 735.5 million as of March 31, 2021 and December 31, 2020, 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. (2) 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 three months ended March 31, 2021 and 2020 ($ in thousands): U.S. Loans Non-U.S. Loans Unique Loans Impaired Loans Total Debt Securities Held-To-Maturity CECL reserve as of December 31, 2019 $ — $ — $ — $ — $ — Initial CECL reserve on January 1, 2020 445 — — — 445 Increase in CECL reserve 4,677 — — — 4,677 CECL reserve as of March 31, 2020 $ 5,122 $ — $ — $ — $ 5,122 CECL reserve as of December 31, 2020 $ 1,723 $ — $ — $ — $ 1,723 Decrease in CECL reserve ( 834 ) — — — ( 834 ) CECL reserve as of March 31, 2021 $ 889 $ — $ — $ — $ 889 25 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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; however subsequent changes to the CECL reserve are recognized through net income on our consolidated statements of operations. During the three months ended March 31, 2021 and 2020, we recorded a decrease of $ 834,000 and an increase of $ 4.7 million, respectively, in the expected credit loss reserve against our debt securities held-to-maturity, bringing our total CECL reserve to $ 889,000 and $ 5.1 million, as of March 31, 2021 and 2020, respectively. 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. Other Liabilities The following table details the components of our other liabilities ($ in thousands): March 31, 2021 December 31, 2020 Accrued dividends payable $ 91,159 $ 91,004 Accrued interest payable 22,116 20,548 Accrued management and incentive fees payable 19,207 19,158 Derivative liabilities 13,466 58,915 Current expected credit loss reserve for unfunded loan commitments (1) 11,021 10,031 Secured debt repayments pending servicer remittance (2) 6,338 — Accounts payable and other liabilities 3,784 2,671 Total $ 167,091 $ 202,327 ____________ _ (1) Represents the CECL reserve related to our unfunded loan commitments. See Note 2 for further discussion of the CECL reserve. (2) Represents pending transfers from our third-party loan servicer that were remitted to our banking counterparties during the subsequent remittance cycle. Current Expected Credit Loss Reserve for Unfunded Loan Commitments As of March 31, 2021, we had unfunded commitments of $ 3.5 billion related to 79 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 three months ended March 31, 2021 and 2020 ($ in thousands): U.S. Loans Non-U.S. Loans Unique Loans Impaired Loans Total Unfunded Loan Commitments CECL reserve as of December 31, 2019 $ — $ — $ — $ — $ — Initial CECL reserve on January 1, 2020 2,801 453 9 — 3,263 Increase in CECL reserve 16,992 2,219 62 — 19,273 CECL reserve as of March 31, 2020 $ 19,793 $ 2,672 $ 71 $ — $ 22,536 CECL reserve as of December 31, 2020 $ 6,953 $ 2,994 $ 84 $ — $ 10,031 Increase (decrease) in CECL reserve 216 778 ( 4 ) — 990 CECL reserve as of March 31, 2021 $ 7,169 $ 3,772 $ 80 $ — $ 11,021 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 three months ended March 31, 2021 and 2020, we recorded an increase of $ 990,000 and $ 19.3 million, respectively, in the expected credit loss reserve against our unfunded loan commitments, bringing our total CECL reserve to $ 11.0 million and $ 22.5 million, as of March 31, 2021 and 2020, respectively. 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. 26 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 5. SECURED DEBT AGREEMENTS, NET Our secured debt agreements include secured credit facilities and a revolving credit agreement. The following table details our secured debt agreements ($ in thousands): Secured Debt Agreements Borrowings Outstanding March 31, 2021 December 31, 2020 Secured credit facilities $ 8,142,728 $ 7,896,863 Revolving credit agreement — — Total secured debt agreements $ 8,142,728 $ 7,896,863 Deferred financing costs (1) ( 17,941 ) ( 16,327 ) Net book value of secured debt $ 8,124,787 $ 7,880,536 ________ (1) 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. Secured Credit Facilities The following table details our secured credit facilities as of March 31, 2021 ($ in thousands): March 31, 2021 Credit Facility Borrowings Collateral Lender Potential (1) Outstanding Available (1) Assets (2) Barclays $ 1,679,748 $ 1,523,419 $ 156,329 $ 2,156,809 Deutsche Bank 1,604,238 1,498,113 106,125 2,494,076 Wells Fargo 1,424,351 1,190,799 233,552 1,885,248 Citibank 981,763 815,675 166,088 1,277,834 Goldman Sachs 598,435 598,435 — 806,252 Bank of America 468,061 468,061 — 658,692 JP Morgan 453,589 409,236 44,353 610,048 Morgan Stanley 531,877 404,877 127,000 854,924 MetLife 284,900 284,900 — 356,125 Santander 259,590 259,590 — 324,488 Société Générale 240,338 240,338 — 309,894 US Bank - Multi. JV (3) 234,864 231,395 3,469 293,580 Goldman Sachs - Multi. JV (3) 217,890 217,890 — 294,101 Bank of America- Multi. JV (3) — — — — $ 8,979,644 $ 8,142,728 $ 836,916 $ 12,322,071 ____________ _ (1) Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility. (2) Represents the principal balance of the collateral assets. (3) These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture. 27 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The weighted-average outstanding balance of our secured credit facilities was $ 7.9 billion for the three months ended March 31, 2021. As of March 31, 2021, we had aggregate borrowings of $ 8.1 billion outstanding under our secured credit facilities, with a weighted-average cash coupon of LIBOR plus 1.65 % per annum, a weighted-average all-in cost of credit, including associated fees and expenses, of LIBOR plus 1.84 % per annum, and a weighted-average advance rate of 73.1 %. As of March 31, 2021, outstanding borrowings under these facilities had a weighted-average maturity, including extension options, of 3.1 years. The following table details our secured credit facilities as of December 31, 2020 ($ in thousands): December 31, 2020 Credit Facility Borrowings Collateral Lender Potential (1) Outstanding Available (1) Assets (2) Deutsche Bank $ 1,892,211 $ 1,847,211 $ 45,000 $ 2,869,889 Barclays 1,443,251 1,249,415 193,836 1,862,987 Wells Fargo 1,241,357 956,780 284,577 1,663,661 Citibank 927,531 779,139 148,392 1,212,521 Goldman Sachs 615,411 615,411 — 828,965 Bank of America 473,678 473,678 — 667,830 JP Morgan 449,449 422,096 27,353 605,144 Morgan Stanley 528,846 401,846 127,000 849,426 MetLife 276,605 276,605 — 349,612 Santander 269,501 269,501 — 337,329 Société Générale 237,822 237,822 — 308,700 US Bank - Multi. JV (3) 184,802 181,795 3,007 231,003 Goldman Sachs - Multi. JV (3) 167,964 167,964 — 231,840 Bank of America - Multi. JV (3) 17,600 17,600 — 22,000 $ 8,726,028 $ 7,896,863 $ 829,165 $ 12,040,907 ____________ (1) Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility. (2) Represents the principal balance of the collateral assets. (3) These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture. The weighted-average outstanding balance of our secured credit facilities was $ 8.1 billion for the three months ended December 31, 2020. As of December 31, 2020, we had aggregate borrowings of $ 7.9 billion outstanding under our secured credit facilities, with a weighted-average cash coupon of LIBOR plus 1.63 % per annum, a weighted-average all-in cost of credit, including associated fees and expenses, of LIBOR plus 1.83 % per annum, and a weighted-average advance rate of 72.8 %. As of December 31, 2020, outstanding borrowings under these facilities had a weighted-average maturity, including extension options, of 3.0 years. Borrowings under each facility are subject to the initial approval of eligible collateral loans by the lender and the maximum advance rate and pricing rate of individual advances are determined with reference to the attributes of the respective collateral loan. 28 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following tables outline the key terms of our secured credit facilities as of March 31, 2021: Lender Currency Guarantee (1) Margin Call (2) Term/Maturity Barclays $ / £ / € / kr 25 % Collateral marks only Term matched (6) Deutsche Bank $ / € 67 % (4) Collateral marks only Term matched (6) Wells Fargo $ / C$ 25 % (5) Collateral marks only Term matched (6) Citibank $ / £ / € /A$ / C$ 25 % Collateral marks only Term matched (6) Goldman Sachs $ / £ / € 25 % Collateral marks only Term matched (6) Bank of America $ 50 % Collateral marks only May 21, 2024 (7) JP Morgan $ / £ 43 % Collateral marks only January 7, 2024 (8) Morgan Stanley $ / £ / € 25 % Collateral marks only September 29, 2025 (9) MetLife $ 72 % Collateral marks only September 23, 2025 (10) Santander € 50 % Collateral marks only Term matched (6) Société Générale $ / £ / € 25 % Collateral marks only Term matched (6) US Bank - Multi. JV (3) $ 25 % Collateral marks only Term matched (6) Goldman Sachs - Multi. JV (3) $ 25 % Collateral marks only July 12, 2022 (11) Bank of America - Multi. JV (3) $ 43 % Collateral marks only July 19, 2023 (12) ___________ (1) Other than amounts guaranteed based on specific collateral asset types, borrowings under our credit facilities are non-recourse to us. (2) 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. (3) These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture. (4) Specific borrowings outstanding of $ 845.4 million are 100 % guaranteed. The remainder of the credit facility borrowings are 25 % guaranteed. (5) In addition to the 25 % guarantee across all borrowings, there is an incremental guarantee of $ 136.8 million related to $ 182.5 million of specific borrowings outstanding. (6) 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. (7) Includes two one-year extension options which may be exercised at our sole discretion. (8) Includes two one-year extension options which may be exercised at our sole discretion. (9) Includes two one-year extension options which may be exercised at our sole discretion. (10) Includes four one-year extension options which may be exercised at our sole discretion. (11) Includes a one-year extension option which may be exercised at our sole discretion. (12) Includes two one-year extension options which may be exercised at our sole discretion. 29 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table details the floating benchmark rates for our secured credit facilities as of March 31, 2021 ($/€/£/kr/A$/C$ in thousands): Currency Potential Borrowings (1) Outstanding Borrowings Floating Rate Index (2) Spread Advance Rate (3) $ $ 4,940,277 $ 4,110,711 USD LIBOR L + 1.68 % 73.2 % € € 2,029,930 € 2,023,664 EURIBOR E + 1.44 % 72.8 % £ £ 827,379 £ 827,379 GBP LIBOR L + 1.95 % 71.6 % kr kr 2,514,364 kr 2,514,364 STIBOR STIBOR + 1.60 % 80.0 % A$ A$ 236,187 A$ 236,187 BBSY BBSY + 1.91 % 72.5 % C$ C$ 63,334 C$ 63,334 CDOR CDOR + 1.78 % 75.8 % $ 8,979,644 $ 8,142,728 INDEX + 1.65 % 73.1 % __________ (1) Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility. (2) Floating rate indices are generally matched to the payment timing under the terms of each secured credit facility and its respective collateral assets. (3) Represents weighted-average advance rate based on the approved outstanding principal balance of the collateral assets pledged. 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 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 three months ended March 31, 2021, we had no borrowings under the revolving credit agreement and we recorded interest expense of $ 300,000 , including $ 81,000 of amortization of deferred fees and expenses. During the three months ended December 31, 2020, we had no borrowings under the revolving credit agreement and we recorded interest expense of $ 317,000 , including $ 93,000 of amortization of deferred fees and expenses. Debt Covenants The guarantees related to our secured debt agreements contain the following financial covenants: (i) our ratio of earnings before interest, taxes, depreciation, and amortization, or EBITDA, to fixed charges, as defined in the agreements, shall be not less than 1.4 to 1.0; (ii) our tangible net worth, as defined in the agreements, shall not be less than $ 3.0 billion as of each measurement date plus 75 % of the net cash proceeds of future equity issuances subsequent to March 31, 2021; (iii) cash liquidity shall not be less than the greater of (x) $ 10.0 million or (y) no more than 5 % of our recourse indebtedness; and (iv) our indebtedness shall not exceed 83.33 % of our total assets. As of March 31, 2021 and December 31, 2020, 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. 30 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 6. SECURITIZED DEBT OBLIGATIONS, NET 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 to us. The CLOs and the 2017 Single Asset Securitization are consolidated in our financial statements. Refer to Note 16 for further discussion of our CLOs and 2017 Single Asset Securitization. The following tables detail our securitized debt obligations ($ in thousands): March 31, 2021 Securitized Debt Obligations Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Term (2) 2020 FL3 Collateralized Loan Obligation Collateral assets 23 $ 1,000,000 $ 1,000,000 L+ 3.08 % March 2024 Financing provided 1 808,750 801,672 L+ 2.10 % November 2037 2020 FL2 Collateralized Loan Obligation Collateral assets 27 1,500,000 1,500,000 L+ 3.15 % March 2024 Financing provided 1 1,243,125 1,234,189 L+ 1.43 % February 2038 2017 FL1 Collateralized Loan Obligation Collateral assets 14 617,481 617,481 L+ 3.54 % February 2023 Financing provided 1 434,981 434,451 L+ 1.89 % June 2035 2017 Single Asset Securitization Collateral assets (3) 1 619,711 619,494 L+ 3.57 % June 2023 Financing provided 1 404,929 404,929 L+ 1.63 % June 2033 Total Collateral assets 65 $ 3,737,192 $ 3,736,975 L+ 3.26 % Financing provided (4) 4 $ 2,891,785 $ 2,875,241 L+ 1.72 % ____________ (1) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees. All-in yield for the total portfolio assumes applicable floating benchmark rates for weighted-average calculation. (2) Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations. (3) The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $ 500.0 million. (4) During the three months ended March 31, 2021, we recorded $ 12.1 million of interest expense related to our securitized debt obligations. 31 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) December 31, 2020 Securitized Debt Obligations Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Term (2) 2020 FL3 Collateralized Loan Obligation Collateral assets 25 $ 1,000,000 $ 1,000,000 L+ 3.09 % February 2024 Financing provided 1 808,750 800,993 L+ 2.08 % November 2037 2020 FL2 Collateralized Loan Obligation Collateral assets 31 1,500,000 1,500,000 L+ 3.17 % January 2024 Financing provided 1 1,243,125 1,233,464 L+ 1.44 % February 2038 2017 FL1 Collateralized Loan Obligation Collateral assets 15 666,334 666,334 L+ 3.39 % January 2023 Financing provided 1 483,834 483,113 L+ 1.83 % June 2035 2017 Single Asset Securitization Collateral assets (3) 1 619,194 618,766 L+ 3.57 % June 2023 Financing provided 1 404,929 404,929 L+ 1.63 % June 2033 Total Collateral assets 72 $ 3,785,528 $ 3,785,100 L+ 3.25 % Financing provided (4) 4 $ 2,940,638 $ 2,922,499 L+ 1.70 % ____________ (1) In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees. All-in yield for the total portfolio assumes applicable floating benchmark rates for weighted-average calculation. (2) Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations. (3) The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $ 500.0 million. (4) During the three months ended March 31, 2020, we recorded $ 12.0 million of interest expense related to our securitized debt obligations. 32 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 7. ASSET-SPECIFIC DEBT AGREEMENTS, NET The following tables detail our asset-specific debt agreements ($ in thousands): March 31, 2021 Asset-Specific Debt Agreements Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Wtd. Avg. Term (2) Collateral assets 4 $ 566,170 $ 552,989 L+ 4.62 % Dec. 2023 Financing provided 4 $ 438,433 $ 430,448 L+ 3.43 % Dec. 2023 December 31, 2020 Asset-Specific Debt Agreements Count Principal Balance Book Value Wtd. Avg. Yield/Cost (1) Wtd. Avg. Term (2) Collateral assets 4 $ 512,794 $ 499,085 L+ 4.65 % Oct. 2023 Financing provided 4 $ 399,699 $ 391,269 L+ 3.48 % Oct. 2023 ____________ (1) 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. (2) 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. 8. SECURED TERM LOANS, NET During the three months ended March 31, 2021, we increased our borrowings under our 2019 senior secured term loan facility by $ 200.0 million. As of March 31, 2021, the following senior secured term loan facilities, or Secured Term Loans, were outstanding ($ in thousands): Term Loans Face Value Interest Rate (1) All-in Cost (1)(2) Maturity 2019 Term Loan $ 937,012 L+2.25 % L+2.53 % April 23, 2026 2020 Term Loan $ 322,563 L+4.75 % L+5.60 % April 23, 2026 ____________ (1) The 2020 Term Loan includes a LIBOR floor of 1.00 %. (2) 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 $ 3.1 million and $ 12.3 million, respectively, which will be amortized into interest expense over the life of the 2019 Term Loan. The issue discount and transaction expenses of the 2020 Term Loan were $ 9.6 million and $ 3.8 million, respectively, which will be amortized into interest expense over the life of the 2020 Term Loan. The following table details the net book value of our Secured Term Loans on our consolidated balance sheets ($ in thousands): March 31, 2021 December 31, 2020 Face value $ 1,259,575 $ 1,062,766 Unamortized discount ( 10,819 ) ( 9,807 ) Deferred financing costs ( 12,948 ) ( 11,255 ) Net book value $ 1,235,808 $ 1,041,704 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 March 31, 2021 and December 31, 2020, we were in compliance with this covenant. Refer to Note 2 for additional discussion of our accounting policies for the Secured Term Loans. 33 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 9. CONVERTIBLE NOTES, NET As of March 31, 2021, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands): Convertible Notes Issuance Face Value Interest Rate All-in Cost (1) Conversion Rate (2) Maturity May 2017 $ 402,500 4.38 % 4.85 % 28.0324 May 5, 2022 March 2018 $ 220,000 4.75 % 5.33 % 27.6052 March 15, 2023 ____________ (1) Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method. (2) Represents the shares of class A common stock per $ 1,000 principal amount of Convertible Notes, which is equivalent to a conversion price of $ 35.67 and $ 36.23 per share of class A common stock, respectively, for the May 2017 and March 2018 convertible notes. The cumulative dividend threshold as defined in the respective May 2017 and March 2018 convertible notes supplemental indentures have no t been exceeded as of March 31, 2021. 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. We may not redeem the Convertible Notes prior to maturity. The last reported sale price of our class A common stock of $ 31.00 on March 31, 2021 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 issue 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 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. The following table details the net book value of our Convertible Notes on our consolidated balance sheets ($ in thousands): March 31, 2021 December 31, 2020 Face value $ 622,500 $ 622,500 Unamortized discount ( 4,922 ) ( 5,715 ) Deferred financing costs ( 336 ) ( 396 ) Net book value $ 617,242 $ 616,389 The following table details our interest expense related to the Convertible Notes ($ in thousands): Three Months Ended March 31, 2021 2020 Cash coupon $ 7,015 $ 7,015 Discount and issuance cost amortization 852 811 Total interest expense $ 7,867 $ 7,826 Accrued interest payable for the Convertible Notes was $ 7.8 million and $ 6.0 million, as of March 31, 2021 and December 31, 2020, respectively. Refer to Note 2 for additional discussion of our accounting policies for the Convertible Notes. 34 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 10. DERIVATIVE FINANCIAL INSTRUMENTS The sole objective of our use of derivative financial instruments is to minimize the risks and/or costs associated with our investments and/or financing transactions. These derivatives may or may not qualify as net investment, cash flow, or fair value hedges under the hedge accounting requirements of ASC 815 – “Derivatives and Hedging.” Derivatives not designated as hedges are not speculative and are used to manage our exposure to interest rate movements and other identified risks. Refer to Note 2 for additional discussion of the accounting for designated and non-designated hedges. The use of derivative financial instruments involves certain risks, including the risk that the counterparties to these contractual arrangements do not perform as agreed. To mitigate this risk, we only enter into derivative financial instruments with counterparties that have appropriate credit ratings and are major financial institutions with which we and our affiliates may also have other financial relationships. 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 includes interest rate caps, and may also include interest rate swaps, options, floors, and other interest rate derivative contracts, to hedge interest rate risk. The following tables detail our outstanding interest rate derivatives that were designated as cash flow hedges of interest rate risk (notional amount in thousands): March 31, 2021 Interest Rate Derivatives Number of Instruments Notional Amount Strike Index Wtd.-Avg. Maturity (Years) Interest Rate Caps 2 C$ 38,293 1.0 % CDOR 0.6 December 31, 2020 Interest Rate Derivatives Number of Instruments Notional Amount Strike Index Wtd.-Avg. Maturity (Years) Interest Rate Caps 2 C$ 38,293 1.0 % CDOR 0.8 Amounts reported in accumulated other comprehensive income (loss) related to derivatives will be reclassified to interest expense as interest payments are made on our floating rate debt. During the twelve months following March 31, 2021, 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. dollar. We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S. dollar. 35 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 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): March 31, 2021 December 31, 2020 Foreign Currency Derivatives Number of Instruments Notional Amount Foreign Currency Derivatives Number of Instruments Notional Amount Buy USD / Sell EUR Forward 5 € 759,102 Buy USD / Sell EUR Forward 8 € 754,722 Buy USD / Sell SEK Forward 2 kr 628,600 Buy USD / Sell GBP Forward 4 £ 372,487 Buy USD / Sell GBP Forward 4 £ 460,262 Buy USD / Sell AUD Forward 1 A$ 92,800 Buy USD / Sell AUD Forward 1 A$ 92,800 Buy USD / Sell CAD Forward 1 C$ 26,200 Buy USD / Sell CAD Forward 1 C$ 20,800 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): March 31, 2021 December 31, 2020 Number of Notional Number of Notional Non-designated Hedges Instruments Amount Non-designated Hedges Instruments Amount Buy EUR / Sell GBP Forward 1 £ 146,207 Buy EUR / Sell GBP Forward 2 £ 146,207 Buy GBP / Sell EUR Forward 1 € 8,410 Buy USD / Sell EUR Forward 1 € 8,410 Buy USD / Sell EUR Forward 1 € 8,410 Buy EUR / Sell USD Forward 1 € 8,410 Buy USD / Sell CAD Forward 1 C$ 4,200 Buy CAD / Sell USD Forward 1 C$ 4,200 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 Net Interest Income Recognized from Foreign Exchange Contracts Three Months Three Months Foreign Exchange Contracts Location of Income Ended Ended in Hedging Relationships (Expense) Recognized March 31, 2021 March 31, 2020 Designated Hedges Interest Income (1) $ 2,049 $ — Non-Designated Hedges Interest Income (1) ( 275 ) — Non-Designated Hedges Interest Expense (2) ( 9,328 ) ( 1,154 ) Total $ ( 7,554 ) $ ( 1,154 ) ____________ (1) Represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR. These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S. dollar terms. (2) Represents the spot rate movement in our non-designated hedges, which are marked-to-market and recognized in interest expense. 36 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Valuation and Other Comprehensive Income The following table summarizes the fair value of our derivative financial instruments ($ in thousands): Fair Value of Derivatives in an Asset Position (1) as of Fair Value of Derivatives in a Liability Position (2) as of March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Derivatives designated as hedging instruments: Foreign exchange contracts $ 30,948 $ 521 $ 4,517 $ 55,758 Interest rate derivatives — 1 — — Total $ 30,948 $ 522 $ 4,517 $ 55,758 Derivatives not designated as hedging instruments: Foreign exchange contracts $ 841 $ — $ 8,949 $ 3,157 Interest rate derivatives — — — — Total $ 841 $ — $ 8,949 $ 3,157 Total Derivatives $ 31,789 $ 522 $ 13,466 $ 58,915 ____________ (1) Included in other assets in our consolidated balance sheets. (2) Included in other liabilities in our consolidated balance sheets. The following table presents the effect of our derivative financial instruments on our consolidated statements of operations ($ in thousands): Amount of Gain (Loss) Recognized in OCI on Derivatives Location of Gain (Loss) Amount of Gain (Loss) Reclassified from Accumulated OCI into Net Income Three Months Ended Reclassified from Three Months Ended March 31, Accumulated March 31, Derivatives in Hedging Relationships 2021 2020 OCI into Income 2021 2020 Net Investment Hedges Foreign exchange contracts (1) $ 35,070 $ 104,086 Interest Expense $ — $ — Cash Flow Hedges Interest rate derivatives — ( 67 ) Interest Expense (2) ( 1 ) 28 Total $ 35,070 $ 104,019 $ ( 1 ) $ 28 ____________ (1) During the three months ended March 31, 2021 and 2020, we paid net cash settlements of $ 49.2 million and received net cash settlements of $ 61.7 million, respectively, on our foreign currency forward contracts. Those amounts are included as a component of accumulated other comprehensive income on our consolidated balance sheets . (2) During the three months ended March 31, 2021 we recorded total interest and related expenses of $ 78.4 million, which included $ 1,000 related to our cash flow hedges. During the three months ended March 31, 2020 we recorded total interest and related expenses of $ 104.2 million, which was reduced by $ 28,000 related to income generated by our cash flow hedges. Credit-Risk Related Contingent Features We have entered into agreements with certain of our derivative counterparties that contain provisions where if we were to default on any of our indebtedness, including default where repayment of the indebtedness has not been accelerated by the lender, we may also be declared in default on our derivative obligations. In addition, certain of our agreements with our derivative counterparties require that we post collateral to secure net liability positions. As of March 31, 2021, we were in a net asset position with one of our derivative counterparties and in a net liability position with our other derivative counterparty and did no t have any collateral posted under these derivative contracts. 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. 37 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) 11. EQUITY Stock and Stock Equivalents Authorized Capital As of March 31, 2021, we had the authority to issue up to 500,000,000 shares of stock, consisting of 400,000,000 shares of class A common stock and 100,000,000 shares of preferred stock. Subject to applicable NYSE listing requirements, our board of directors is authorized to cause us to issue additional shares of authorized stock without stockholder approval. In addition, to the extent not issued, currently authorized stock may be reclassified between class A common stock and preferred stock. We did not have any shares of preferred stock issued and outstanding as of March 31, 2021 and December 31, 2020 . Class A Common Stock and Deferred Stock Units Holders of shares of our class A common stock are entitled to vote on all matters submitted to a vote of stockholders and are entitled to receive such dividends as may be authorized by our board of directors and declared by us, in all cases subject to the rights of the holders of shares of outstanding preferred stock, if any. We also issue restricted class A common stock under our stock-based incentive plans. Refer to Note 14 for additional discussion of these long-term incentive plans. In addition to our class A common stock, we also issue deferred stock units to certain members of our board of directors in lieu of cash compensation for services rendered. These deferred stock units are non-voting, but carry the right to receive dividends in the form of additional deferred stock units in an amount equivalent to the cash dividends paid to holders of shares of class A common stock. The following table details the movement in our outstanding shares of class A common stock, including restricted class A common stock and deferred stock units: Three Months Ended March 31, Common Stock Outstanding (1) 2021 2020 Beginning balance 147,086,722 135,263,728 Issuance of class A common stock (2) 515 325 Issuance of restricted class A common stock, net (3) 250,536 351,333 Issuance of deferred stock units 11,437 7,983 Ending balance 147,349,210 135,623,369 ____________ (1) Includes 318,128 and 268,049 deferred stock units held by members of our board of directors as of March 31, 2021 and 2020, respectively. (2) Represents 515 and 325 shares issued under our dividend reinvestment program during the three months ended March 31, 2021 and 2020, respectively. (3) Includes 13,273 and 249 shares of restricted class A common stock forfeited under our stock-based incentive plans during the three months ended March 31, 2021 and 2020, 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. Under the dividend reinvestment component of this plan, our class A common stockholders can designate all or a portion of their cash dividends to be reinvested in additional shares of class A common stock. The direct stock purchase component allows stockholders and new investors, subject to our approval, to purchase shares of class A common stock directly from us. During the three months ended March 31, 2021 and 2020, we issued 515 shares and 325 shares, respectively, of class A common stock under the dividend reinvestment component of the plan. As of March 31, 2021, a total of 9,991,459 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 On November 14, 2018, we entered into six equity distribution agreements, or ATM Agreements, pursuant to which we may sell, from time to time, up to an aggregate sales price of $ 500.0 million of our class A common stock. On 38 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) July 26, 2019, we amended our existing ATM Agreements and entered into one additional ATM Agreement. Sales of class A common stock made pursuant to our ATM Agreements may be made in negotiated transactions or transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, as amended. Actual sales depend on a variety of factors including market conditions, the trading price of our class A common stock, our capital needs, and our determination of the appropriate sources of funding to meet such needs. During the three months ended March 31, 2021 and 2020, we did not sell any shares of our class A common stock under ATM Agreements. As of March 31, 2021, sales of our class A common stock with an aggregate sales price of $ 363.8 million remained available for issuance under our ATM Agreements. Dividends We generally intend to distribute substantially all of our taxable income, which does not necessarily equal net income as calculated in accordance with GAAP, to our stockholders each year to comply with the REIT provisions of the Internal Revenue Code of 1986, as amended, or the Internal Revenue Code. Our dividend policy remains subject to revision at the discretion of our board of directors. All distributions will be made at the discretion of our board of directors and will depend upon our taxable income, our financial condition, our maintenance of REIT status, applicable law, and other factors as our board of directors deems relevant. On March 15, 2021 , we declared a dividend of $ 0.62 per share, or $ 91.2 million in aggregate, that was paid on April 15, 2021 to stockholders of record as of March 31, 2021 . The following table details our dividend activity ($ in thousands, except per share data): Three Months Ended March 31, 2021 2020 Dividends declared per share of common stock $ 0.62 $ 0.62 Total dividends declared $ 91,159 $ 83,920 Earnings Per Share We calculate our basic and diluted earnings per share using the two-class method for all periods presented as the unvested shares of our restricted class A common stock qualify as participating securities, as defined by GAAP. These restricted shares have the same rights as our other shares of class A common stock, including participating in any dividends, and therefore have been included in our basic and diluted net income (loss) per share calculation. Our Convertible Notes are excluded from dilutive earnings per share as we have the intent and ability to settle these instruments in cash. The following table sets forth the calculation of basic and diluted net income (loss) per share of class A common stock based on the weighted-average of both restricted and unrestricted class A common stock outstanding ($ in thousands, except per share data): Three Months Ended March 31, 2021 2020 Net income (loss) (1) $ 79,902 $ ( 53,350 ) Weighted-average shares outstanding, basic and diluted 147,336,936 135,619,264 Per share amount, basic and diluted $ 0.54 $ ( 0.39 ) ____________ (1) Represents net income (loss) attributable to Blackstone Mortgage Trust. Other Balance Sheet Items Accumulated Other Comprehensive Income As of March 31, 2021, total accumulated other comprehensive income was $ 11.3 million, primarily representing $ 39.9 million of net realized and unrealized gains related to changes in the fair value of derivative instruments, offset by $ 28.6 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies. 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. 39 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Non-Controlling Interests The non-controlling interests included on our consolidated balance sheets represent the equity interests in our Multifamily Joint Venture that are not owned by us. A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these non-controlling interests based on their pro rata ownership of our Multifamily Joint Venture. As of March 31, 2021, our Multifamily Joint Venture’s total equity was $ 140.5 million, of which $ 119.4 million was owned by us, and $ 21.1 million was allocated to non-controlling interests. As of December 31, 2020, our Multifamily Joint Venture’s total equity was $ 121.1 million, of which $ 102.9 million was owned by us, and $ 18.2 million was allocated to non-controlling interests. 12. OTHER EXPENSES Our other expenses consist of the management and incentive fees we pay to our Manager and our general and administrative expenses. Management and Incentive Fees Pursuant to a management agreement between our Manager and us, or our Management Agreement, our Manager earns a base management fee in an amount equal to 1.50 % per annum multiplied by our outstanding equity balance, as defined in the Management Agreement. In addition, our Manager is entitled to an incentive fee in an amount equal to the product of (i) 20 % and (ii) the excess of (a) our Core Earnings (as defined in our Management Agreement) for the previous 12-month period over (b) an amount equal to 7.00 % per annum multiplied by our outstanding Equity, provided that our Core Earnings over the prior three-year period is greater than zero. Core Earnings, as defined in our Management Agreement, is generally equal to our 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) certain non-cash items, and (v) incentive management fees. During the three months ended March 31, 2021 and 2020, we incurred $ 15.6 million and $ 14.5 million, respectively, of management fees payable to our Manager. In addition, during the three months ended March 31, 2021 and 2020, we incurred $ 3.6 million and $ 4.8 million, respectively, of incentive fees payable to our Manager. As of both March 31, 2021 and December 31, 2020 we had accrued management and incentive fees payable to our Manager of $ 19.2 million. 40 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) General and Administrative Expenses General and administrative expenses consisted of the following ($ in thousands): Three Months Ended March 31, 2021 2020 Professional services (1) $ 1,819 $ 1,662 Operating and other costs (1) 693 1,451 Subtotal 2,512 3,113 Non-cash compensation expenses Restricted class A common stock earned 7,960 8,553 Director stock-based compensation 125 125 Subtotal 8,085 8,678 Total general and administrative expenses $ 10,597 $ 11,791 ____________ (1) During the three months ended March 31, 2021 and 2020, we recognized an aggregate $ 235,000 and $ 376,000 , respectively, of expenses related to our Multifamily Joint Venture. 13. INCOME TAXES We have elected to be taxed as a REIT under the Internal Revenue Code for U.S. federal income tax purposes. We generally must distribute annually at least 90 % of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S. federal income tax not to apply to our earnings that we distribute. To the extent that we satisfy this distribution requirement, but distribute less than 100 % of our net taxable income, we will be subject to U.S. federal income tax on our undistributed taxable income. In addition, we will be subject to a 4 % nondeductible excise tax if the actual amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal tax laws. Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to the nature of our assets and the sources of our income. Even if we qualify as a REIT, we may be subject to certain U.S. federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state, and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of March 31, 2021 and December 31, 2020, we were in compliance with all REIT requirements. Securitization transactions could result in the creation of taxable mortgage pools for federal income tax purposes. As a REIT, so long as we own 100% of the equity interests in a taxable mortgage pool, we generally would not be adversely affected by the characterization of the securitization as a taxable mortgage pool. Certain categories of stockholders, however, such as foreign stockholders eligible for treaty or other benefits, stockholders with net operating losses, and certain tax-exempt stockholders that are subject to unrelated business income tax, or UBTI, could be subject to increased taxes on a portion of their dividend income from us that is attributable to the taxable mortgage pool. We have no t made UBTI distributions to our common stockholders and do not intend to make such UBTI distributions in the future. During the three months ended March 31, 2021 and 2020, we recorded a current income tax provision of $ 101 ,000 and $ 149 ,000, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes. We did no t have any deferred tax assets or liabilities as of March 31, 2021 or December 31, 2020. 41 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) We have net operating losses, or NOLs, generated by our predecessor business that may be carried forward and utilized in current or future periods. As a result of our issuance of 25,875,000 shares of class A common stock in May 2013, the availability of our NOLs is generally limited to $ 2.0 million per annum by change of control provisions promulgated by the Internal Revenue Service with respect to the ownership of Blackstone Mortgage Trust. As of 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 March 31, 2021, tax years 2017 through 2020 remain subject to examination by taxing authorities. 14. STOCK-BASED INCENTIVE PLANS We are externally managed by our Manager and do not currently have any employees. However, as of March 31, 2021, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through our issuance of stock-based instruments. We had stock-based incentive awards outstanding under nine benefit plans as of March 31, 2021. Seven of such benefit plans have expired and no new awards may be issued under them. Under our two current benefit plans, a maximum of 5,000,000 shares of our class A common stock may be issued to our Manager, our directors and officers, and certain employees of affiliates of our Manager. As of March 31, 2021, there were 2,001,125 shares available under our current benefit plans. The following table details the movement in our outstanding shares of restricted class A common stock and the weighted-average grant date fair value per share: Restricted Class A Common Stock Weighted-Average Grant Date Fair Value Per Share Balance as of December 31, 2020 1,627,890 $ 33.14 Granted 263,809 26.16 Vested ( 170,942 ) 35.21 Forfeited ( 13,273 ) 32.61 Balance as of March 31, 2021 1,707,484 $ 31.86 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 1,707,484 shares of restricted class A common stock outstanding as of March 31, 2021 will vest as follows: 793,646 shares will vest in 2021; 632,999 shares will vest in 2022; and 280,839 shares will vest in 2023. As of March 31, 2021, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $ 49.9 million based on the grant date fair value of shares granted. This cost is expected to be recognized over a weighted-average period of 1.1 years from March 31, 2021. 15. FAIR VALUES Assets and Liabilities Measured at Fair Value The following table summarizes our assets and liabilities measured at fair value on a recurring basis ($ in thousands): March 31, 2021 December 31, 2020 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Assets Derivatives $ — $ 31,789 $ — $ 31,789 $ — $ 522 $ — $ 522 Liabilities Derivatives $ — $ 13,466 $ — $ 13,466 $ — $ 58,915 $ — $ 58,915 Refer to Note 2 for further discussion regarding fair value measurement. 42 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Fair Value of Financial Instruments As discussed in Note 2, GAAP requires disclosure of fair value information about financial instruments, whether or not recognized at fair value in the statement of financial position, for which it is practicable to estimate that value. The following table details the book value, face amount, and fair value of the financial instruments described in Note 2 ($ in thousands): March 31, 2021 December 31, 2020 Book Value Face Amount Fair Value Book Value Face Amount Fair Value Financial assets Cash and cash equivalents $ 280,126 $ 280,126 $ 280,126 $ 289,970 $ 289,970 $ 289,970 Loans receivable, net 16,888,002 17,143,102 16,954,287 16,399,166 16,652,824 16,447,192 Debt securities held-to-maturity (1) 76,708 79,200 73,667 75,722 79,200 70,127 Financial liabilities Secured debt agreements, net 8,124,787 8,142,728 8,142,728 7,880,536 7,896,863 7,896,863 Securitized debt obligations, net 2,875,241 2,891,785 2,890,537 2,922,499 2,940,638 2,923,489 Asset-specific debt agreements, net 430,448 438,433 438,433 391,269 399,699 399,699 Secured term loans, net 1,235,808 1,259,575 1,250,356 1,041,704 1,062,766 1,053,060 Convertible notes, net 617,242 622,500 639,223 616,389 622,500 621,568 (1) Included in other assets on our consolidated balance sheets. Estimates of fair value for cash and cash equivalents and convertible notes are measured using observable, quoted market prices, or Level 1 inputs. Estimates of fair value for debt securities held to maturity, securitized debt obligations, and the secured term 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. 16. VARIABLE INTEREST ENTITIES Consolidated Variable Interest Entities 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. 43 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) The following table details the assets and liabilities of our consolidated CLOs and 2017 Single Asset Securitization VIEs ($ in thousands): March 31, 2021 December 31, 2020 Assets: Loans receivable $ 3,544,063 $ 3,520,130 Current expected credit loss reserve ( 13,623 ) ( 13,454 ) Loans receivable, net 3,530,440 3,506,676 Other assets 8,301 81,274 Total assets $ 3,538,741 $ 3,587,950 Liabilities: Securitized debt obligations, net $ 2,875,241 $ 2,922,499 Other liabilities 2,035 2,104 Total liabilities $ 2,877,276 $ 2,924,603 Assets held by these VIEs are restricted and can be used only to settle obligations of the VIEs, including the subordinate interests owned by us. The liabilities of these VIEs are non-recourse to us and can only be satisfied from the assets of the VIEs. The consolidation of these VIEs results in an increase in our gross assets, liabilities, interest income and interest expense, however it does not affect our stockholders’ equity or net income (loss). Non-Consolidated 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 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 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 $ 76.7 million as of March 31, 2021. We are not obligated to provide, have not provided, and do not intend to provide financial support to these consolidated and non-consolidated VIEs. 17. TRANSACTIONS WITH RELATED PARTIES 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 both March 31, 2021 and December 31, 2020, our consolidated balance sheets included $ 19.2 million of accrued management and incentive fees payable to our Manager. During the three months ended March 31, 2021, we paid aggregate management and incentive fees of $ 19.2 million to our Manager, compared to $ 20.2 million during the same period of 2020. In addition, during the three months ended March 31, 2021, we reimbursed our Manager for expenses incurred on our behalf of $ 40,000 compared to $ 218,000 during the same period of 2020. As of March 31, 2021, our Manager held 856,243 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $ 27.2 million, and vest in installments over three years from the date of issuance. During the three months ended March 31, 2021 and 2020, we recorded non-cash expenses related to shares held by our Manager of $ 4.0 million and $ 4.3 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 CLOs. This affiliate did not earn any special servicing fees related to the CLOs during the three months ended March 31, 2021 or 2020. During the three months ended March 31, 2020, we originated two loans whereby the respective borrowers engaged an affiliate of our Manager to act as title insurance agent in connection with these transactions. We did not incur any expenses or receive any revenues as a result of these transactions. There were no similar transactions during the three months ended March 31, 2021. 44 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) During the three months ended March 31, 2021 and 2020, we incurred $ 100,000 and $ 133,000 , 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 first quarter of 2021, we acquired an SEK 5.0 billion interest in a total SEK 10.2 billion senior loan to a borrower that is wholly owned by a Blackstone-advised i nvestment vehicle. We will forgo all non-economic rights under the loan, including voting rights, so long as we are an affiliate of the borrower. The senior loan terms were negotiated by a third party without our involvement and our 49 % interest in the senior loan was made on such market terms. In the first quarter of 2021, a Blackstone-advised investment vehicle acquired an aggregate $ 5.5 million participation, or 3 %, of the $200 million increase to our 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 transaction and received aggregate fees of $ 200,000 in such capacity. Both of these transactions were on terms equivalent to those of unaffiliated parties. In the first quarter of 2020, we acquired a $ 140.0 million interest in a total $ 421.5 million senior loan to a borrower that is partially owned by a Blackstone-advised investment vehicle. We will forgo all non-economic 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. 18. 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 March 31, 2021, no contingencies have been recorded on our consolidated balance sheet as a result of COVID-19, however as the global pandemic continues and if 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 March 31, 2021, we had unfunded commitments of $ 3.5 billion related to 79 loans receivable. We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of 73.1 % for such financed loans, resulting in identified financing for $ 2.4 billion of our aggregate unfunded loan commitments as of March 31, 2021. 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 3.2 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. 45 Table of Contents Blackstone Mortgage Trust, Inc. Notes to Consolidated Financial Statements (continued) (Unaudited) Principal Debt Repayments Our contractual principal debt repayments as of March 31, 2021 were as follows ($ in thousands): Payment Timing Total Less Than 1 to 3 3 to 5 More Than Obligation 1 Year Years Years 5 Years Principal repayments under secured debt agreements (1) $ 8,142,728 $ 487,802 $ 2,909,143 $ 4,052,182 $ 693,601 Principal repayments under asset-specific debt agreements (1) 438,433 — 316,437 121,996 — Principal repayments of secured term loans (2) 1,259,575 12,763 25,526 25,526 1,195,760 Principal repayments of convertible notes (3) 622,500 — 622,500 — — Total (4) $ 10,463,236 $ 500,565 $ 3,873,606 $ 4,199,704 $ 1,889,361 ____________ (1) 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. (2) 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. (3) Reflects the outstanding principal balance of Convertible Notes, excluding any potential conversion premium. Refer to Note 9 for further details on our Convertible Notes. (4) Total does not include $ 2.9 billion of consolidated securitized debt obligations, $ 616.5 million of non-consolidated securitized debt obligations, and $ 889.9 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 March 31, 2021, 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 . In April 2021, our board of directors approved changes to the compensation of our five independent directors which will be effective July 1, 2021. The other three board members, including our chairman and our chief executive officer, will continue to serve as directors without compensation for such service. These changes will increase the annual compensation of our directors from $ 175,000 to $ 210,000 , of which $ 95,000 will be paid in cash and $ 115,000 will be paid in the form of deferred stock units or, beginning in 2022, at their election, restricted equity awards. In addition, (i) the annual cash compensation for the chair of our compensation committee will increase f rom $ 10,000 to $ 15,000 and (ii) the members of our investment risk management committee will receive additional annual cash compensation of $ 7,500 . Litigation From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. As of March 31, 2021, we were not involved in any material legal proceedings. 46 Table of Contents